Investments

3 Months Ended

Mar. 31, 2012

Notes to Financial Statements

Investments

Aspen Diversified Fund LLC

Notes to Financial Statements

NOTE B – INVESTMENTS IN INVESTMENT FUNDS & FUTURES CONTRACTS

At March 31, 2012 and during the three 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 three months ended March 31, 2012			Cost Basis as of March 31, 2012		Fair Value as of March 31, 2012			% of Fund’s Net Assets
Investment funds:
Aspen Commodity Long Short Fund, LLC		(93,543	)		16,538,203		16,629,195			20.95%
Crabel Fund, LP		356,330			7,704,168		7,812,871			9.84%
Total investment funds		262,787			24,242,371		24,442,066			30.79%
Futures contracts, net		(1,429,931	)		-0-		(542,684	)		(0.68%	)
Total	$	(1,167,144	)	$	24,242,371		23,899,382			30.11%
Other assets, less liabilities							55,474,142			69.89%
Net assets						$	79,373,524			100.00%

At March 31, 2012, 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-		$	24,442,066	$	-0-
Investments in Futures contracts, net		(542,684	)		-0-		-0-
Total	$	(542,684	)	$	24,442,066	$	-0-

At March 31, 2012, the Fund’s investments in futures contracts and net unrealized losses by type, were as follows:

Futures Contract Type	Net Unrealized Losses
Foreign exchange contracts	$	(119,579	)
Commodity futures contracts		(423,105	)
Total	$	(542,684	)

At December 31, 2011 and during the three months ended March 31, 2011, 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 three months ended March 31, 2011			Cost Basis as of December 31, 2011		Fair Value as of December 31, 2011		% of Fund’s Net Assets
Investment funds:
Aspen Commodity Long Short Fund, LLC		421,478			16,538,203		16,722,737		19.98%
Boronia Diversified Fund (U.S.), LP †		3,801			-0-		-0-		0.00%
Crabel Fund, LP		62,123			8,000,000		7,756,541		9.26%
Discus Feeder Ltd. †		3,825			-0-		-0-		0.00%
Graham Global Investments Fund, Ltd. †		58,183			-0-		-0-		0.00%
Man-AHL Diversified II LP †		(198	)		-0-		-0-		0.00%
Robeco Transtrend Diversified Fund LLC		(118,932	)		-0-		-0-		0.00%
Total investment funds	$	430,280			24,538,203		24,479,278		29.24%
Futures contracts, net		396,473			-0-		607,995		0.73%
TOTAL	$	826,753		$	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 were fully disposed of during 2010. Amounts represent adjustments to actual.

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-
Investments in Futures contracts, net		607,995		-0-		-0-
Total	$	607,995	$	24,479,278	$	-0-

At December 31, 2011, 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

The investment objectives and redemption policies for the Investment Funds and managed accounts in which the Fund was invested as of March 31, 2012 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 V, 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

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 March 31, 2012 and December 31, 2011.