Investments (Note B)

12 Months Ended

Dec. 31, 2011

Notes to Financial Statements

Investments (Note B)

NOTE B – INVESTMENTS IN INVESTMENT FUNDS & FUTURES CONTRACTS

At December 31, 2011 and year then ended, investments and net realized and unrealized gains (losses) on Investment Funds and futures contracts consisted of the following:

Investment Funds & Futures Contracts	Net Gains/ (Losses)			Cost Basis		Fair Value		% of Funds Net Assets
Aspen Commodity Long Short Fund, LLC	$	(1,194,333	)	$	16,538,203	$	16,722,737		19.98%
Boronia Diversified Fund (U.S.), LP†		3,801			-0-		-0-		0.00%
Crabel Fund, LP		(243,459	)		8,000,000		7,756,541		9.26%
Discus Feeder Ltd.†		2,723			-0-		-0-		0.00%
Graham Global Investments Fund Ltd.†		22,283			-0-		-0-		0.00%
Man-AHL Diversified II LP†		(198	)		-0-		-0-		0.00%
Robeco Transtrend Diversified Fund LLC‡		(583,140	)		-0-		-0-		0.00%
Total investment funds		(1,992,323	)		24,538,203		24,479,278		29.24%
Futures contracts, net		(5,573,030	)		-0-		607,995		0.73%
Total	$	(7,565,353	)	$	24,538,203		25,087,273		29.97%
Other assets, less liabilities							58,625,889		70.03%
Net assets						$	83,713,162		100.00%

^† Fund shares fully disposed of in 2010 based on estimates. Amounts represent adjustments to actual.

^‡ Fund shares were fully disposed as of December 31, 2011.

At December 31, 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-	$	24,479,278	$	-0-
Unrealized gains on futures contracts, net		607,995		-0-		-0-
Total	$	607,995	$	24,479,278	$	-0-

At December 31, 2011, and during the year then ended, the Fund’s investments in futures contracts and net unrealized gains (losses) by type, were as follows:

Futures Contract Type	Net Unrealized Gains/(Losses)
Foreign exchange contracts	$	(42,477	)
Commodity futures contracts		650,472
Total	$	607,995

Aspen Diversified Fund LLC

Notes to Financial Statements

NOTE B – INVESTMENTS IN INVESTMENT FUNDS & FUTURES CONTRACTS – Continued

As of December 31, 2011, the aggregate unrealized appreciation and depreciation of investment funds was as follows:

Description
Unrealized appreciation	$	184,534
Unrealized depreciation		243,459
Total	$	58,925

At December 31, 2011, and during the year then ended, the Fund’s investments in investment funds and net gains (losses) by investment objective, as a percentage of total, investments were as follows:

Investment Strategy	Net Losses			Cost Basis		Fair Value			% of Total
Systematic Trend Followers	$	(4,377,067	)	$	-0-	$	615,716			2.45%
Systematic Short Term Trend Followers		(1,208,198	)		8,000,000		7,756,541			30.92%
Discretionary Short Term Traders		(785,755	)		-0-		(7,721	)		(0.03%	)
Commodity Specialists		(1,194,333	)		16,538,203		16,722,737			66.66%
Total	$	(7,565,353	)	$	24,538,203	$	25,087,273			100.00%

At December 31, 2011, and during the year then ended, the Fund’s investments in investment funds and net gains by geographic region, as a percentage of total investments, were as follows:

Geographic Region	Net Gains (Losses)			Cost Basis		Fair Value		% of Total
United States	$	(7,590,359	)	$	24,538,203	$	25,087,273		100.00%
Caribbean (Bermuda, Bahamas, and Cayman Islands)		25,006			-0-		-0-		0.00%
Total	$	(7,565,353	)	$	24,538,203	$	25,087,273		100.00%

At December 31, 2010 and during the year then ended, the Fund’s investments and net realized and unrealized gains (losses) on investment funds and futures contracts consisted of the following:

Investment Funds & Futures Contracts	Net Gains/ (Losses)			Cost Basis		Fair Value		% of Funds Net Assets
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		2,391,194			20,275,790		21,964,936		22.04%
Boronia Diversified Fund (U.S.), LP†		571,247			-0-		-0-		0.00%
Coolmore Partners LP‡		(29,505	)		-0-		-0-		0.00%
Discus Feeder Ltd.†		(382,904	)		-0-		-0-		0.00%
Galena Fund Limited‡		70,538			-0-		-0-		0.00%
Global Commodity Systematic LP‡		(59,413	)		-0-		-0-		0.00%
Graham Global Investments Fund Ltd.†		1,317,207			-0-		-0-		0.00%
LD Commodities Alpha Fund LP‡		11,554			-0-		-0-		0.00%
Man-AHL Diversified II LP†		1,046,991			-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		1,848,098			8,546,675		10,083,339		10.12%
Sparta Commodities US Feeder Fund LLC‡		(299,680	)		-0-		-0-		0.00%
Winton Futures Fund†		489,615			-0-		-0-		0.00%
Total investment funds		6,644,521			28,822,465		32,048,275		32.15%
Futures contracts, net		4,072,382			-0-		1,593,824		1.60%
Total	$	10,716,903		$	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:

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-	$	32,048,275	$	-0-
Unrealized gains on futures contracts, net		1,593,824		-0-		-0-
Total	$	1,593,824	$	32,048,275	$	-0-

At December 31, 2010, and during the year then ended, the Fund’s investments in futures contracts and net unrealized gains (losses) by type, were as follows:

Futures Contract Type	Net Unrealized Gains
Foreign exchange contracts	$	407,568
Commodity futures contracts		1,186,256
Total	$	1,593,824

As of December 31, 2010, the aggregate unrealized appreciation and depreciation of investment funds was as follows:

Description
Unrealized appreciation	$	3,225,810
Unrealized depreciation		-0-
Total	$	3,225,810

At December 31, 2010, and during the year then ended, the Fund’s investments in investment funds and net gains (losses) by investment objective, as a percentage of total, investments were as follows:

Investment Strategy	Net Gains/ (Losses)			Cost Basis		Fair Value		% of Total
Systematic Trend Followers	$	8,593,322		$	8,546,675	$	11,677,471		34.71%
Systematic Short Term Trend Followers		358,529			-0-		-0-		0.00%
Systematic Hybrid Trend Followers		(116,186	)		-0-		-0-		0.00%
Commodity Specialists		1,881,238			20,275,790		21,964,936		65.29%
Total	$	10,716,903		$	28,822,465	$	33,642,099		100.00%

At December 31, 2010, and during the year then ended, the Fund’s investments in investment funds and net gains by geographic region, as a percentage of total investments, were as follows:

Geographic Region	Net Gains		Cost Basis		Fair Value		% of Total
United States	$	9,921,967	$	28,822,465	$	33,642,099		100.00%
Caribbean (Bermuda, Bahamas, and Cayman Islands)		794,936		-0-		-0-		0.00%
Total	$	10,716,903	$	28,822,465	$	33,642,099		100.00%

During the year ended December 31, 2009, the Fund’s net realized and unrealized gains (losses) on investment funds and futures contracts consisted of the following:

Investment Funds & Futures Contracts	Net Gains/ (Losses)
Abraham Commodity Fund LP	$	(227,778	)
AlphaMosaic (US) LLC (Altis - Cell No. 151)		(225,772	)
AlphaMosaic (US) LLC (Krom River - Cell No. 42)		(68,192	)
APM Hedged Global Commodity Fund, LDC		(573,295	)
Boronia Diversified Fund (U.S.), LP		(931,965	)
Discus Fund Ltd.		243,054
Discus Feeder Ltd.		18,221
Galena Fund Ltd.		(3,043	)
Global Commodity Systematic LP		144,947
HFR MF Diversified Select Master Trust		(1,122,923	)
Man-AHL Diversified II LP		(2,677,670	)
Millburn Commodity Fund LP		(152,545	)
MMT Energy Fund		(212,084	)
Robeco Transtrend Diversified Fund LLC		(1,367,183	)
Sparta Commodities US Feeder Fund LLC		147,988
Winton Futures Fund		(12,885	)
Total investment funds		(7,021,125	)
Futures contracts, net		(82,441	)
Total	$	(7,103,566	)

At December 31, 2009, and during the year then ended, the Fund’s investments in investment funds and net losses by investment objective, as a percentage of total investments were as follows:

Investment Strategy	Net Losses
Diversified Long-Term Trend Followers	$	(4,387,022	)
Diversified Medium-Term Trend Followers	$	(1,367,184	)
Diversified Short-Term Trend Followers	$	(137,259	)
Commodity Specialists		(1,212,101	)
Total	$	(7,103,566	)

During the year ended December 31, 2009 the Fund’s net losses by geographic region, as a percentage of total investments, were as follows:

Geographic Region	Net Losses
United States	$	(5,453,496	)
Caribbean (Bermuda, Bahamas, and Cayman Islands)		(1,650,070	)
Total	$	(7,103,566	)

The investment objectives and redemptions permitted for the investment funds in which the Fund had invested as of December 31, 2011 were as follows:

Investment Funds & Managed Accounts	Investment Objective	Withdrawals 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 Trader	Daily
ADF Trading Company IX, LLC (Eckhardt Trading Company)	Systematic Trend Follower	Daily
ADF Trading Company X, LLC (Saxon Investment Company)	Systematic Trend Follower	Daily
ADF Trading Company XI, LLC (Rotella Investment Corporation)	Systematic Trend Follower	Daily
ADF Trading Company XII, LLC (Tactical Investment Management Corp.)	Systematic Trend Follower	Daily
Aspen Commodity Long/Short Fund LLC	Commodity Specialist	Monthly
Crabel Fund LP	Systematic Trend Follower	Monthly

These 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 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. Information is not available to determine if an individual investment held by any of these investment funds exceeded 5% of the Fund’s capital at December 31, 2011 and 2010.

At December 31, 2011 and 2010, the Fund had remitted $-0- and $16,600,000, respectively, to the investment funds and managed accounts that would not be credited to its respective capital accounts until the first day of the following month. These amounts were recorded as investments in transit.