General

6 Months Ended

Jun. 30, 2011

General and Financial Highlights [Abstract]

General

1.   General:

Fairfield Futures Fund L.P. II (the “Partnership”) is a limited partnership organized on December 18, 2003 under the partnership laws of the State of New York to engage, directly or indirectly, in the speculative trading of a diversified portfolio of commodity interests including futures contracts, options, swaps and forward contracts. The sectors traded include currencies, energy, grains, indices, U.S. and non-U.S. interest rates, livestock, lumber, metals and softs. The Partnership commenced trading operations on March 15, 2004. The commodity interests that are traded by the Partnership, through its investment in the Master (as defined below), are volatile and involve a high degree of market risk.

Between January 12, 2004 (commencement of the offering period) and March 12, 2004, 28,601 redeemable units of limited partnership interest (“Redeemable Units”) and 285 General Partner unit equivalents were sold at $1,000 per unit. The proceeds of the initial offering were held in an escrow account until March 15, 2004 at which time they were remitted to the Partnership for trading. The Partnership was authorized to sell 200,000 Redeemable Units during its initial offering period. Effective January 31, 2011, the Partnership no longer offers Redeemable Units for sale.

Ceres Managed Futures LLC, a Delaware limited liability company, acts as the general partner (the “General Partner”) and commodity pool operator of the Partnership. The General Partner is wholly owned by Morgan Stanley Smith Barney Holdings LLC (“MSSB Holdings”). Morgan Stanley, indirectly through various subsidiaries, owns a majority equity interest in MSSB Holdings. Citigroup Global Markets Inc. (“CGM”), the commodity broker and a selling agent for the Partnership, owns a minority equity interest in MSSB Holdings. Citigroup Inc. (“Citigroup”), indirectly through various subsidiaries, wholly owns CGM. Prior to July 31, 2009, the date as of which MSSB Holdings became its owner, the General Partner was wholly owned by Citigroup Financial Products Inc., a wholly owned subsidiary of Citigroup Global Markets Holdings Inc., the sole owner of which is Citigroup. As of March 31, 2011, all trading decisions for the Partnership are made by the Advisor (defined below).

On June 1, 2006, the Partnership allocated substantially all of its capital to the CMF Graham Capital Master Fund L.P. (the “Master”), a limited partnership organized under the partnership laws of the State of New York. The Partnership purchased 74,569.3761 units of the Master with cash equal to $75,688,021. The Master was formed in order to permit accounts managed by Graham Capital Management, L.P. (“Graham” or the “Advisor”) using the K4D-15V Program, the Advisor’s proprietary, systematic trading program, to invest together in one trading vehicle. The General Partner is also the general partner of the Master. In addition, the Advisor is a special limited partner (the “Special Limited Partner”) of the Partnership. The Master’s commodity broker is CGM. Individual and pooled accounts currently managed by the Advisor, including the Partnership, are permitted to be limited partners of the Master. 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 General Partner is not aware of any material changes to the trading program discussed above during the fiscal quarter ended June 30, 2011.

At June 30, 2011, the Partnership owned approximately 20.2% of the Master. At December 31, 2010, the Partnership owned approximately 22.8% of the Master. It is the Partnership’s intention to continue to invest substantially all of its assets in the Master. The performance of the Partnership is directly affected by the performance of the Master. The Master’s trading of futures, forwards, swaps and options contracts, if applicable, on commodities is done primarily on U.S. and foreign commodity exchanges. It engages in such trading through a commodity brokerage account maintained with CGM. The Master’s Statements of Financial Condition, Condensed Schedules of Investments and Statements of Income and Expenses and Changes in Partner’s Capital are included herein.

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

The accompanying financial statements 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 June 30, 2011 and December 31, 2010, and the results of its operations and changes in partners’ capital for the three and six months ended June 30, 2011 and 2010. These financial statements present the results of interim periods and do not include all disclosures normally provided in annual financial statements. These financial statements should be read 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, 2010.

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 June 30, 2011 and December 31, 2010 and Statements of Income and Expenses and Changes in Partners’ Capital for the three and six months ended June 30, 2011 and 2010 are presented below:

CMF Graham Capital Master Fund L.P.
Statements of Financial Condition

	(Unaudited)
	June 30,		December 31,
	2011		2010
Assets:
Equity in trading account:
Cash	$	141,949,246	$	151,476,359
Cash margin		21,167,763		14,248,524
Net unrealized appreciation on open futures contracts		0		1,429,574
Net unrealized appreciation on open forward contracts		0		1,819,046
Total assets	$	163,117,009	$	168,973,503
Liabilities and Partners’ Capital:
Liabilities:
Net unrealized depreciation on open futures contracts	$	1,481,839	$	0
Net unrealized depreciation on open forward contracts		135,097		0
Accrued expenses:
Professional fees		26,210		48,832
Total liabilities		1,643,146		48,832
Partners’ Capital:
General Partner, 0.0000 unit equivalents at June 30, 2011 and December 31, 2010		0		0
Limited Partners, 96,859.6189 and 96,248.2420 units outstanding at June 30, 2011 and December 31, 2010, respectively		161,473,863		168,924,671
Total liabilities and partners’ capital	$	163,117,009	$	168,973,503
Net asset value per unit	$	1,667.09	$	1,755.09

CMF Graham Capital Master Fund L.P.
Condensed Schedule of Investments
June 30, 2011

(Unaudited)

	Notional ($)/ Number					% of Partners’
	of Contracts		Fair Value			Capital
Futures Contracts Purchased
Currencies		185	$	44,005			0.03	%
Energy		295		598,101			0.37
Grains		283		(639,952	)		(0.40	)
Indices		467		541,585			0.33
Interest Rates U.S.		1,279		(873,141	)		(0.54	)
Interest Rates Non-U.S.		1,910		(497,941	)		(0.31	)
Metals		165		(385,511	)		(0.24	)
Softs		125		56,779			0.04
Total futures contracts purchased				(1,156,075	)		(0.72	)
Futures Contracts Sold
Currencies		191		49,835			0.03
Energy		218		(433,599	)		(0.27	)
Grains		401		491,735			0.31
Indices		270		(270,688	)		(0.17	)
Interest Rates U.S.		9		(838	)		(0.00	)*
Interest Rates Non-U.S.		569		(131,975	)		(0.08	)
Livestock		55		890			0.00	*
Softs		19		(31,124	)		(0.02	)
Total futures contracts sold				(325,764	)		(0.20	)
Unrealized Appreciation on Open Forward Contracts
Currencies	$	818,938,652		6,695,101			4.15
Metals		114		403,582			0.25
Total unrealized appreciation on open forward contracts				7,098,683			4.40
Unrealized Depreciation on Open Forward Contracts
Currencies	$	853,443,769		(6,723,135	)		(4.16	)
Metals		160		(510,645	)		(0.32	)
Total unrealized depreciation on open forward contracts				(7,233,780	)		(4.48	)
Net fair value			$	(1,616,936	)		(1.00	)%

* Due to rounding.

CMF Graham Capital Master Fund L.P.
Condensed Schedule of Investments
December 31, 2010

	Notional ($)/
	Number of					% of Partners’
	Contracts		Fair Value			Capital
Futures Contracts Purchased
Currencies		228	$	359,313			0.21	%
Energy		283		315,626			0.19
Grains		266		558,739			0.33
Indices		1,248		(459,198	)		(0.27	)
Interest Rates U.S.		504		67,408			0.04
Interest Rates Non-U.S.		203		53,235			0.03
Livestock		40		9,485			0.00	*
Metals		116		778,969			0.46
Softs		73		266,456			0.16
Total futures contracts purchased				1,950,033			1.15
Futures Contracts Sold
Currencies		77		29,787			0.02
Energy		25		(61,340	)		(0.04	)
Grains		10		(33,100	)		(0.02	)
Indices		56		15,505			0.01
Interest Rates U.S.		308		(68,192	)		(0.04	)
Interest Rates Non-U.S.		1,570		(394,024	)		(0.23	)
Metals		1		(7,875	)		(0.01	)
Softs		5		(1,220	)		(0.00	)*
Total futures contracts sold				(520,459	)		(0.31	)
Unrealized Appreciation on Open Forward Contracts
Currencies	$	437,368,583		6,906,040			4.09
Metals		91		653,412			0.39
Total unrealized appreciation on open forward contracts				7,559,452			4.48
Unrealized Depreciation on Open Forward Contracts
Currencies	$	362,272,604		(5,591,385	)		(3.31	)
Metals		23		(149,021	)		(0.09	)
Total unrealized depreciation on open forward contracts				(5,740,406	)		(3.40	)
Net fair value			$	3,248,620			1.92	%

* Due to rounding.

CMF Graham Capital Master Fund L.P.
Statements of Income and Expenses and Changes in Partners’ Capital
(Unaudited)

	Three Months Ended						Six Months Ended
	June 30,						June 30,
	2011			2010			2011			2010
Investment Income:
Interest income	$	6,100		$	43,047		$	37,554		$	63,465
Expenses:
Clearing fees		228,699			122,520			383,777			225,542
Professional fees		14,261			56,562			36,893			73,274
Total expenses		242,960			179,082			420,670			298,816
Net investment income (loss)		(236,860	)		(136,035	)		(383,116	)		(235,351	)
Trading Results:
Net gains (losses) on trading of commodity interests:
Net realized gains (losses) on closed contracts		(3,941,892	)		6,507,871			(3,990,110	)		(735,953	)
Change in net unrealized gains (losses) on open contracts		(3,843,054	)		(5,550,167	)		(4,865,556	)		(2,249,529	)
Total trading results		(7,784,946	)		957,704			(8,855,666	)		(2,985,482	)
Net income (loss)		(8,021,806	)		821,669			(9,238,782	)		(3,220,833	)
Subscriptions — Limited Partners		22,095,530			8,957,500			22,095,530			36,603,197
Redemptions — Limited Partners		(10,800,591	)		(10,501,223	)		(20,270,002	)		(31,765,337	)
Distribution of interest income to feeder funds		(6,100	)		(43,047	)		(37,554	)		(63,465	)
Net increase (decrease) in Partners’ capital		3,267,033			(765,101	)		(7,450,808	)		1,553,562
Partners’ Capital, beginning of period		158,206,830			173,530,923			168,924,671			171,212,260
Partners’ Capital, end of period	$	161,473,863		$	172,765,822		$	161,473,863		$	172,765,822
Net asset value per unit (96,859.6189 and 107,646.4306 units outstanding at June 30, 2011 and 2010, respectively)	$	1,667.09		$	1,604.94		$	1,667.09		$	1,604.94
Net income (loss) per unit*	$	(73.79	)	$	7.64		$	(87.59	)	$	(34.89	)
Weighted average units outstanding		98,699.7975			110,176.4975			96,218.2163			111,139.1762

*Based on change in net asset value per unit.