Investment in Funds

6 Months Ended

Jun. 30, 2011

Investment in Funds [Abstract]

Investment in Funds

5. Investment in Funds:

On November 1, 2004, the assets allocated to Winton for trading were invested in CMF Winton Master L.P. (“Winton Master”) a limited partnership organized under the partnership laws of the State of New York. The Partnership purchased 15,054.1946 units of Winton Master with cash equal to $14,251,586, and a contribution of open commodity futures and forward contracts with a fair value of $802,609. Winton Master was formed in order to permit commodity pools managed now or in the future by Winton 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 Winton Master. Individual and pooled accounts currently managed by Winton, including the Partnership, are permitted to be limited partners of Winton Master. The General Partner and Winton believe that trading through this structure should promote efficiency and economy in the trading process.

On July 1, 2005, the assets allocated to Willowbridge for trading were invested in CMF Willowbridge Argo Master Fund L.P. (“Willowbridge Master”), a limited partnership organized under the partnership laws of the State of New York. The Partnership purchased 12,259.3490 units of Willowbridge Master with cash equal to $11,118,119, and a contribution of open commodity futures and forward contracts with a fair value of $1,141,230. Willowbridge Master was formed in order to permit commodity pools managed now or in the future by Willowbridge using its Argo Trading System, a proprietary, systematic trading system, to invest together in one trading vehicle. The General Partner is also the general partner of Willowbridge Master. Individual and pooled accounts currently managed by Willowbridge, including the Partnership, are permitted to be limited partners of Willowbridge Master. The General Partner and Willowbridge believe that trading through this structure should promote efficiency and economy in the trading process.

On April 1, 2006, the assets allocated to Graham for trading were invested in CMF Graham Capital Master Fund L.P. (“Graham Master”), a limited partnership organized under the partnership laws of the State of New York. The Partnership purchased 14,741.1555 units of Graham Master with cash equal to $14,741,156. Graham Master was formed in order to permit accounts managed now and in the future by Graham using its K4D-15V Program, a proprietary, systematic trading system, to invest together in one trading vehicle. The General Partner is also the general partner of Graham Master. Individual and pooled accounts currently managed by Graham, including the Partnership, are permitted to be limited partners of Graham Master. The General Partner and Graham believe that trading through this structure promotes efficiency and economy in the trading process.

On April 1, 2008, the assets allocated to Eckhardt for trading were invested in CMF Eckhardt Master Fund L.P. (“Eckhardt Master”), a limited partnership organized under the partnership laws of the State of New York. The Partnership purchased 7,000.0000 units of Eckhardt Master with cash equal to $7,000,000. Eckhardt Master was formed in order to permit commodity pools managed now or in the future by Eckhardt using its Standard Program, a proprietary, systematic trading system, to invest together in one trading vehicle. The General Partner is also the general partner of Eckhardt Master. Individual and pooled accounts currently managed by Eckhardt, including the Partnership, are permitted to be limited partners of Eckhardt Master. The General Partner and Eckhardt believe that trading through this structure should promote efficiency and economy in the trading process.

On June 1, 2009, the assets allocated to SandRidge for trading were invested in CMF SandRidge Master Fund L.P. (“SandRidge Master”), a limited partnership organized under the partnership laws of the State of New York. The Partnership purchased 1,370.9885 units of SandRidge Master with cash equal to $2,818,836. SandRidge was formed in order to permit accounts managed now and in the future by SandRidge using its Energy Program, a proprietary, discretionary trading system, to invest together in one trading vehicle. The General Partner is also the general partner of SandRidge Master. Individual and pooled accounts currently managed by SandRidge, including the Partnership, are permitted to be limited partners of SandRidge Master. The General Partner and SandRidge believe that trading through this structure promotes efficiency and economy in the trading process.

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

Winton Master’s, Willowbridge Master’s, Graham Master’s, Eckhardt Master’s and SandRidge Master’s (collectively, the “Funds”), trading of futures, forwards, swaps and options contracts, if applicable, on commodities is done primarily on U.S. commodity exchanges and foreign commodity exchanges. The Funds engage in such trading through commodity brokerage accounts maintained with CGM.

A limited partner may withdraw all or part of its 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 three business 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 Association fees (collectively the “clearing fees”) are borne by the Funds. All other fees including CGM’s direct brokerage fees are charged at the Partnership level.

As of June 30, 2011, the Partnership owned approximately 0.8%, 5.8%, 4.0%, 32.6% and 0.6% of Winton Master, Willowbridge Master, Graham Master, Eckhardt Master and SandRidge Master, respectively. As of December 31, 2010 the Partnership owned approximately 0.8%, 2.2%, 4.3%, 34.5% and 0.4% of Winton Master, Willowbridge Master, Graham Master, Eckhardt Master and SandRidge Master, respectively. It is the Partnership’s intention to continue to invest in the Funds. The performance of the Partnership is directly affected by the performance of the Funds. Expenses to 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 for the Funds is shown in the following tables.

	June 30, 2011
	Total Assets			Total Liabilities			Total Capital
Winton Master	$	839,242,715		$	3,738,831		$	835,503,884
Willowbridge Master		72,784,784			1,089,263			71,695,521
Graham Master		163,117,009			1,643,146			161,473,863
Eckhardt Master		25,163,091			125,459			25,037,632
SandRidge Master		334,456,876			16,413,705			318,043,171
Total	$	1,434,764,475		$	23,010,404		$	1,411,754,071
	December 31, 2010
	Total Assets			Total Liabilities			Total Capital
Winton Master	$	883,842,483		$	122,612		$	883,719,871
Willowbridge Master		216,360,362			61,729			216,298,633
Graham Master		168,973,503			48,832			168,924,671
Eckhardt Master		23,748,773			62,448			23,686,325
SandRidge Master		581,631,311			52,896,054			528,735,257
Total	$	1,874,556,432		$	53,191,675		$	1,821,364,757
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)
Winton Master	$	(103,633	)	$	(11,692,933	)	$	(11,796,566	)
Willowbridge Master		(44,827	)		8,404,000			8,359,173
Graham Master		(236,860	)		(7,784,946	)		(8,021,806	)
Eckhardt Master		(62,034	)		(98,570	)		(160,604	)
SandRidge Master		(180,388	)		15,086,153			14,905,765
Total	$	(627,742	)	$	3,913,704		$	3,285,962
	For the six months ended June 30, 2011
	Net Investment			Total trading			Net Income
	Income (loss)			results			(Loss)
Winton Master	$	(57,348	)	$	10,541,599		$	10,484,251
Willowbridge Master		(70,386	)		15,278,935			15,208,549
Graham Master		(383,116	)		(8,855,666	)		(9,238,782	)
Eckhardt Master		(116,690	)		(372,287	)		(488,977	)
SandRidge Master		(430,493	)		30,129,226			29,698,733
Total	$	(1,058,033	)	$	46,721,807		$	45,663,774
	For the three months ended June 30, 2010
	Net Investment			Total trading			Net Income
	Income (loss)			results			(Loss)
Winton Master	$	(13,583	)	$	22,166,459		$	22,152,876
Willowbridge Master		(51,064	)		(13,357,029	)		(13,408,093	)
Graham Master		(136,035	)		957,704			821,669
Eckhardt Master		(40,138	)		2,073,976			2,033,838
SandRidge Master		(388,928	)		(68,950,382	)		(69,339,310	)
Total	$	(629,748	)	$	(57,109,272	)	$	(57,739,020	)
	For the six months ended June 30, 2010
	Net Investment			Total trading			Net Income
	Income (loss)			results			(Loss)
Winton Master	$	(110,017	)	$	54,470,081		$	54,360,064
Willowbridge Master		(118,663	)		(33,883,661	)		(34,002,324	)
Graham Master		(235,351	)		(2,985,482	)		(3,220,833	)
Eckhardt Master		(76,923	)		654,613			577,690
SandRidge Master		(650,172	)		(84,183,590	)		(84,833,762	)
Total	$	(1,191,126	)	$	(65,928,039	)	$	(67,119,165	)

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
Investment	Net Assets			Value		(Loss)			Commissions		Other		(Loss)			Objective	Permitted
Winton Master		24.75	%	$	6,698,039	$	(100,970	)	$	960	$	135	$	(102,065	)	Commodity Portfolio	Monthly
Willowbridge Master		15.40	%		4,167,905		45,320			1,299		563		43,458		Commodity Portfolio	Monthly
Graham Master		23.73	%		6,420,549		(272,718	)		9,112		573		(282,403	)	Commodity Portfolio	Monthly
Eckhardt Master		30.12	%		8,151,628		(31,797	)		14,530		5,985		(52,312	)	Commodity Portfolio	Monthly
SandRidge Master		7.04	%		1,904,811		94,858			669		483		93,706		Energy Portfolio	Monthly
Total				$	27,342,932	$	(265,307	)	$	26,570	$	7,739	$	(299,616	)

	June 30, 2011					For the six months ended June 30, 2011
	% of												Net
	Partnership’s			Fair		Income			Expenses				Income			Investment	Redemptions
Investment	Net Assets			Value		(Loss)			Commissions		Other		(Loss)			Objective	Permitted
Winton Master		24.75	%	$	6,698,039	$	70,432		$	1,921	$	366	$	68,145		Commodity Portfolio	Monthly
Willowbridge Master		15.40	%		4,167,905		240,831			2,310		1,306		237,215		Commodity Portfolio	Monthly
Graham Master		23.73	%		6,420,549		(314,562	)		15,792		1,544		(331,898	)	Commodity Portfolio	Monthly
Eckhardt Master		30.12	%		8,151,628		(130,394	)		28,397		11,732		(170,523	)	Commodity Portfolio	Monthly
SandRidge Master		7.04	%		1,904,811		180,971			1,907		900		178,164		Energy Portfolio	Monthly
Total				$	27,342,932	$	47,278		$	50,327	$	15,848	$	(18,897	)
	December 31, 2010					For the three months ended June 30, 2010
	% of												Net
	Partnership’s			Fair		Income			Expenses				Income			Investment	Redemptions
Investment	Net Assets			Value		(Loss)			Brokerage Fees		Other		(Loss)			Objective	Permitted
Winton Master		25.02	%	$	7,374,266	$	278,074		$	2,312	$	447	$	275,315		Commodity Portfolio	Monthly
Willowbridge Master		16.45	%		4,848,305		(280,508	)		2,028		454		(282,990	)	Commodity Portfolio	Monthly
Graham Master		24.71	%		7,284,623		48,655			5,712		2,641		40,302		Commodity Portfolio	Monthly
Eckhardt Master		27.75	%		8,178,642		626,768			7,867		5,418		613,483		Commodity Portfolio	Monthly
SandRidge Master		7.28	%		2,146,218		(245,813	)		1,757		330		(247,900	)	Energy Portfolio	Monthly
Total				$	29,832,054	$	427,176			$19,676	$	9,290	$	398,210
	December 31, 2010					For the six months ended June 30, 2010
	% of												Net
	Partnership’s			Fair		Income			Expenses				Income			Investment	Redemptions
Investment	Net Assets			Value		(Loss)			Brokerage Fees		Other		(Loss)			Objective	Permitted
Winton Master		25.02	%	$	7,374,266	$	729,753		$	4,854	$	710	$	724,189		Commodity Portfolio	Monthly
Willowbridge Master		16.45	%		4,848,305		(783,187	)		3,943		908		(788,038	)	Commodity Portfolio	Monthly
Graham Master		24.71	%		7,284,623		(210,527	)		10,788		3,462		(224,777	)	Commodity Portfolio	Monthly
Eckhardt Master		27.75	%		8,178,642		183,889			14,336		10,830		158,723		Commodity Portfolio	Monthly
SandRidge Master		7.28	%		2,146,218		(302,760	)		2,829		619		(306,208	)	Energy Portfolio	Monthly
Total				$	29,832,054	$	(382,832	)		$36,750	$	16,529	$	(436,111	)