Investment in Funds

9 Months Ended

Sep. 30, 2011

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 September 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 September 30, 2011, the Partnership owned approximately 0.9%, 5.8%, 4.2%, 32.5% and 0.4% 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.


	September 30, 2011
	Total Assets			Total Liabilities			Total Capital
Winton Master	$	830,305,813		$	289,479		$	830,016,334
Willowbridge Master		76,174,792			57,397			76,117,395
Graham Master		143,001,399			43,258			142,958,141
Eckhardt Master		22,513,093			91,543			22,421,550
SandRidge Master		326,282,515			12,642,258			313,640,257

Total	$	1,398,277,612		$	13,123,935		$	1,385,153,677


	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 September 30, 2011
	Net Investment			Total trading			Net Income
	Income (loss)			results			(Loss)
Winton Master	$	(115,599	)	$	65,557,693		$	65,442,094
Willowbridge Master		(26,164	)		6,231,581			6,205,417
Graham Master		(213,853	)		(7,001,386	)		(7,215,239	)
Eckhardt Master		(36,609	)		(2,067,641	)		(2,104,250	)
SandRidge Master		(153,758	)		18,193,702			18,039,944

Total	$	(545,983	)	$	80,913,949		$	(80,367,966	)


	For the nine months ended September 30, 2011
	Net Investment			Total trading			Net Income
	Income (loss)			results			(Loss)
Winton Master	$	(172,947	)	$	76,099,292		$	75,926,345
Willowbridge Master		(96,550	)		21,510,516			21,413,966
Graham Master		(596,969	)		(15,857,052	)		(16,454,021	)
Eckhardt Master		(153,299	)		(2,439,928	)		(2,593,227	)
SandRidge Master		(584,251	)		48,322,928			47,738,677

Total	$	(1,604,016	)	$	127,635,756		$	126,031,740


	For the three months ended September, 30, 2010
	Net Investment			Total trading			Net Income
	Income (loss)			results			(Loss)
Winton Master	$	63,386		$	26,050,805		$	26,114,191
Willowbridge Master		(28,204	)		(2,263,514	)		(2,291,718	)
Graham Master		(93,915	)		5,920,237			5,826,322
Eckhardt Master		(39,324	)		1,602,450			1,563,126
SandRidge Master		(299,798	)		(42,934,957	)		(43,234,755	)

Total	$	(397,855	)	$	(11,624,979	)	$	(12,022,834	)


	For the nine months ended September 30, 2010
	Net Investment			Total trading			Net Income
	Income (loss)			results			(Loss)
Winton Master	$	(46,631	)	$	80,520,886		$	80,474,255
Willowbridge Master		(146,867	)		(36,147,175	)		(36,294,042	)
Graham Master		(329,266	)		2,934,755			2,605,489
Eckhardt Master		(116,247	)		2,257,063			2,140,816
SandRidge Master		(949,970	)		(127,118,547	)		(128,068,517	)

Total	$	(1,588,981	)	$	(77,553,018	)	$	(79,141,999	)

Summarized information reflecting the Partnership’s investment in, and the operations of the Funds is shown in the following tables.


	September 30, 2011					For the three months ended September 30, 2011
	% of												Net
	Partnership’s			Fair		Income			Expenses				Income			Investment	Redemptions
Investment	Net Assets			Value		(Loss)			Commissions		Other		(Loss)			Objective	Permitted
Winton Master		27.43	%	$	7,103,342	$	540,719		$	1,029	$	179	$	539,511		Commodity Portfolio	Monthly
Willowbridge Master		17.15	%		4,440,471		362,755			793		858		361,104		Commodity Portfolio	Monthly
Graham Master		23.10	%		5,981,132		(297,030	)		8,274		966		(306,270	)	Commodity Portfolio	Monthly
Eckhardt Master		28.18	%		7,298,633		(672,809	)		7,365		4,789		(684,963	)	Commodity Portfolio	Monthly
SandRidge Master		5.57	%		1,443,498		93,970			430		400		93,140		Energy Portfolio	Monthly

Total				$	26,267,076	$	27,605		$	17,891	$	7,192	$	2,522


	September 30, 2011					For the nine months ended September 30, 2011
	% of												Net
	Partnership’s			Fair		Income			Expenses				Income			Investment	Redemptions
Investment	Net Assets			Value		(Loss)			Commissions		Other		(Loss)			Objective	Permitted
Winton Master		27.43	%	$	7,103,342	$	611,151		$	2,950	$	545	$	607,656		Commodity Portfolio	Monthly
Willowbridge Master		17.15	%		4,440,471		603,586			3,103		2,164		598,319		Commodity Portfolio	Monthly
Graham Master		23.10	%		5,981,132		(611,592	)		24,066		2,510		(638,168	)	Commodity Portfolio	Monthly
Eckhardt Master		28.18	%		7,298,633		(803,203	)		35,762		16,521		(855,486	)	Commodity Portfolio	Monthly
SandRidge Master		5.57	%		1,443,498		274,941			2,337		1,300		271,304		Energy Portfolio	Monthly

Total				$	26,267,076	$	74,883		$	68,218	$	23,040	$	(16,375	)


	December 31, 2010					For the three months ended September 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	$	270,078		$	1,576	$	302	$	268,200		Commodity Portfolio	Monthly
Willowbridge Master		16.45	%		4,848,305		(45,145	)		1,508		507		(47,160	)	Commodity Portfolio	Monthly
Graham Master		24.71	%		7,284,623		276,394			5,926		566		269,902		Commodity Portfolio	Monthly
Eckhardt Master		27.75	%		8,178,642		484,516			7,912		5,320		471,284		Commodity Portfolio	Monthly
SandRidge Master		7.28	%		2,146,218		(159,690	)		1,331		394		(161,415	)	Energy Portfolio	Monthly

Total				$	29,832,054	$	826,153		$	18,253	$	7,089	$	800,811



	December 31, 2010					For the nine months ended September 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	$	999,831		$	6,430	$	1,012	$	992,389		Commodity Portfolio	Monthly
Willowbridge Master		16.45	%		4,848,305		(828,332	)		5,451		1,415		(835,198	)	Commodity Portfolio	Monthly
Graham Master		24.71	%		7,284,623		65,867			16,714		4,028		45,125		Commodity Portfolio	Monthly
Eckhardt Master		27.75	%		8,178,642		668,405			22,248		16,150		630,007		Commodity Portfolio	Monthly
SandRidge Master		7.28	%		2,146,218		(462,450	)		4,160		1,013		(467,623	)	Energy Portfolio	Monthly

Total				$	29,832,054	$	443,321		$	55,003	$	23,618	$	364,700