Investments

9 Months Ended

Sep. 30, 2011

Notes to Financial Statements

Investments

NOTE B – INVESTMENTS IN INVESTMENT FUNDS & FUTURES CONTRACTS

At September 30, 2011 and during the nine months then ended, investments and net realized and unrealized gains (losses) on Investment Funds and futures contracts consisted of the following:

Investment Funds and Futures Contracts	Gains/(Losses) for the nine months ended September 30, 2011			Cost Basis as of September 30, 2011		Fair Value as of September 30, 2011		% of Fund’s Net Assets
Investment funds:
Aspen Commodity Long Short Fund, LLC		(1,012,998	)		16,538,203		16,904,072		18.07%
Boronia Diversified Fund (U.S.), LP †		3,801			-0-		-0-		0.00%
Crabel Fund, LP		294,441			8,000,000		8,294,441		8.87%
Discus Feeder Ltd. †		2,722			-0-		-0-		0.00%
Graham Global Investments Fund Ltd. †		22,283			-0-		-0-		0.00%
Man-AHL Diversified Fund LP †		(198	)		-0-		-0-		0.00%
Robeco Transtrend Diversified Fund LLC		(533,282	)		2,436,936		2,550,056		2.73%
Total investment funds		(1,223,231	)		26,975,139		27,748,569		29.67%
Futures contracts, net		(1,703,394	)		-0-		1,613,257		1.73%
Total	$	(2,926,625	)	$	26,975,139		29,361,826		31.40%
Other assets, less liabilities							64,153,865		68.60%
Net assets						$	93,515,691		100.00%

^† Fund Shares were fully disposed of during 2010.

At September 30, 2011, the fair value measurements were as follows:

Fair Value Measurement	Quoted Prices in Active Markets (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)
Investments in investment funds	$	-0-	$	27,748,569	$	-0-
Investments in Futures contracts, net		1,613,257		-0-		-0-
Total	$	1,613,257	$	27,748,569	$	-0-

At September 30, 2011, the Fund’s investments in futures contracts and net unrealized gains by type, were as follows:

Futures Contract Type	Unrealized Gains
Foreign exchange contracts	$	162,795
Commodity futures contracts		1,450,462
Total	$	1,613,257

At December 31, 2010 and during the nine months ended September 30, 2010, investments and net realized and unrealized gains (losses) on Investment Funds and futures contracts consisted of the following:

Investment Funds and Futures Contracts	Gains/(Losses) for the nine months ended September 30, 2010			Cost Basis as of December 31, 2010		Fair Value as of December 31, 2010		% of Fund’s Net Assets
Investment funds:
Abraham Commodity Fund LP ‡	$	(189,827	)	$	-0-	$	-0-		0.00%
AlphaMosaic (US) LLC (Altis – Cell No. 151) ‡		(55,977	)		-0-		-0-		0.00%
AlphaMosaic (US) LLC (Krom River – Cell No. 42) ‡		53,450			-0-		-0-		0.00%
APM Hedged Global Commodity Fund, LDC ‡		(116,186	)		-0-		-0-		0.00%
Aspen Commodity Long Short Fund, LLC		(20,839	)		20,275,790		21,964,936		22.04%
Boronia Diversified Fund (U.S.), LP †		374,983			-0-		-0-		0.00%
Coolmore Partners LP ‡		(29,505	)		-0-		-0-		0.00%
Discus Feeder Ltd. †		(228,680	)		-0-		-0-		0.00%
Galena Fund Ltd. ‡		70,538			-0-		-0-		0.00%
Global Commodity Systematic LP ‡		(59,413	)		-0-		-0-		0.00%
Graham Global Investments Fund, Ltd. †		569,099			-0-		-0-		0.00%
LD Commodities Alpha Fund LP ‡		11,554			-0-		-0-		0.00%
Man-AHL Diversified II LP †		808,029			-0-		-0-		0.00%
Millburn Commodity Fund LP ‡		71,837			-0-		-0-		0.00%
MMT Energy Fund ‡		(93,718	)		-0-		-0-		0.00%
Robeco Transtrend Diversified Fund LLC		762,992			8,546,675		10,083,339		10.11%
Sparta Commodities US Feeder Fund LLC ‡		(299,680	)		-0-		-0-		0.00%
Winton Futures Fund †		421,977			-0-		-0-		0.00%
Total investment funds	$	2,050,634			28,822,465		32,048,275		32.15%
Futures contracts, net		2,002,461			-0-		1,593,824		1.60%
TOTAL	$	4,053,095		$	28,822,465		33,642,099		33.75%
Other assets, less liabilities							66,032,295		66.25%
Net assets						$	99,674,394		100.00%

^† Fund shares were fully disposed of during 2010.

^‡ Fund shares were transferred to Aspen Commodity Long Short Fund, LLC as of May 1, 2010.

At December 31, 2010, the fair value measurements were as follows:

Description	Quoted Prices in Active Markets (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)
Investments in investment funds	$	-0-	$	32,048,275	$	-0-
Investments in Futures contracts, net		1,593,824		-0-		-0-
Total	$	1,593,824	$	32,048,275	$	-0-

The investment objectives and redemption policies for the Investment Funds and managed accounts in which the Fund was invested as of September 30, 2011 were as follows:

Investment Funds & Managed Accounts	Investment Objective	Redemption Permitted
ADF Trading Company I, LLC (Welton Investment Corporation)	Systematic Trend Follower	Daily
ADF Trading Company IV, LLC (Blackwater Capital Management, LLC)	Systematic Trend Follower	Daily
ADF Trading Company VI, LLC (Abraham Trading Company)	Systematic Trend Follower	Daily
ADF Trading Company VII, LLC (Aspen Partners, Ltd.)	Systematic Trend Follower	Daily
ADF Trading Company VIII, LLC (LBR Group, Inc.)	Discretionary Short-Term	Daily
ADF Trading Company IX, LLC (Eckhardt Trading Company)	Systematic Trend Follower	Daily
ADF Trading Company X, LLC (Saxon Investment Corporation)	Systematic Trend Follower	Daily
ADF Trading Company XI, LLC (Rotella Investment Corporation)	Systematic Trend Follower	Daily
ADF Trading Company XII, LLC (Tactical Investment Management Corporation)	Systematic Trend Follower	Daily
Aspen Commodity Long/Short Fund, LLC	Commodity Specialist	Monthly
Crabel Fund, LP	Systematic Short Term	Monthly
Robeco Transtrend Diversified Fund LLC	Systematic Trend Follower	Monthly

The Investment Funds engage primarily in speculative trading of U.S. and foreign futures contracts and options on U.S. and foreign futures contracts, and foreign currency transactions. The Investment Funds are exposed to both market risks – the risk arising from changes in the market value of the contracts and credit risk – the risk of failure by another party to perform according to the terms of a contract. Furthermore, certain of the Investment Funds include restrictions as to the minimum amount of time that an investor must remain invested in the Investment Fund.

The Fund is required to disclose any investments that exceed 5% of the Fund’s net assets at year end.  Information is not available to determine if an individual investment held by any of the Investment Funds exceeded 5% of the Fund’s net assets at September 30, 2011 and December 31, 2010.

At September 30, 2011 and December 31, 2010, the Fund had remitted $-0- and $16,600,000, respectively, to Investment Funds that was not credited to the Fund’s respective capital accounts until the first day of the following month.  These amounts have been recorded as investments in transit.