Ceres Orion 10Q 2010 Q3 Quarterly report

UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D.C. 20549

FORM 10-Q

(X) QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d)

OF THE SECURITIES EXCHANGE ACT OF 1934

For the quarterly period ended September 30, 2010

OR ( ) TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d)

OF THE SECURITIES EXCHANGE ACT OF 1934

For the transition period from to

Commission File Number0-50271

ORION FUTURES FUND L.P.

(Exact name of registrant as specified in its charter)


New York		22-3644546

(State or other jurisdiction of incorporation or organization)		(I.R.S. Employer Identification No.)

c/o Ceres Managed Futures LLC
522 Fifth Avenue – 14th Floor
New York, New York 10036

(Address of principal executive offices) (Zip Code)

(212) 296-1999

(Registrant’s telephone number, including area code)

Indicate by check mark whether the registrant (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days.

Yes X No

Indicate by check mark whether the registrant has submitted electronically and posted on its corporate Web site, if any, every Interactive Data File required to be submitted and posted pursuant to Rule 405 of Regulation S-T (§232.405 of this chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit and post such files).

Yes No

Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a non-accelerated filer, or a smaller reporting company. See the definitions of “large accelerated filer”, “accelerated filer” and “smaller reporting company” inRule 12b-2 of the Exchange Act. (Check one):


Large accelerated filer	Accelerated filer	Non-accelerated filer X	Smaller reporting company

Indicate by check mark whether the registrant is a shell company (as defined inRule 12b-2 of the Exchange Act).

Yes No X

As of October 31, 2010, 412,822.4452 Limited Partnership Redeemable Units were outstanding.

ORION FUTURES FUND L.P.

FORM 10-Q

INDEX


			Page
			Number

PART I - Financial Information:

	Item 1.	Financial Statements:

		Statements of Financial Condition at September 30, 2010 (unaudited) and December 31, 2009	3

		Condensed Schedules of Investments at September 30, 2010 (unaudited) and December 31, 2009	4 – 5

		Statements of Income and Expenses and Changes in Partners’ Capital for the three and nine months ended September 30, 2010 and 2009 (unaudited)	6


		Notes to Financial Statements (unaudited)	7 – 20

	Item 2.	Management’s Discussion and Analysis of Financial Condition and Results of Operations	21 – 24

	Item 3.	Quantitative and Qualitative Disclosures about Market Risk	25 – 27

	Item 4.	Controls and Procedures	28

PART II - Other Information			29 – 32

Exhibits

31.1 Certification

31.2 Certification

32.1 Certification

32.2 Certification
EX-31.1
EX-31.2
EX-32.1
EX-32.2

PART I

Item 1. Financial Statements

Orion Futures Fund L.P.
Statements of Financial Condition


	(Unaudited) September 30,		December 31,
	2010		2009

Assets:
Investment in Funds, at fair value	$	888,696,510	$	714,110,396
Equity in trading account:
Cash		184,807,688		100,683,304
Cash margin		15,704,657		9,063,690
Net unrealized appreciation on open futures contracts		6,811,852		3,055,807
Net unrealized appreciation on open forward contracts		4,771,876		950,175
Options purchased, at fair value (cost $1,837,810 and $0 at September 30, 2010 and December 31, 2009, respectively)		1,160,773		—

		1,101,953,356		827,863,372
Interest receivable		18,567		1,562

Total assets	$	1,101,971,923	$	827,864,934

Liabilities and Partners’ Capital:
Liabilities:
Options premium received, at fair value (premium $106,625 and $0 at September 30, 2010 and December 31, 2009, respectively)	$	3,750	$	—
Accrued expenses:
Brokerage commissions		2,634,583		1,986,385
Management fees		1,634,091		1,254,174
Administrative fees		458,015		344,078
Incentive fees		2,506,281		—
Other		98,312		93,103
Redemptions payable		10,453,926		8,400,640

Total liabilities		17,788,958		12,078,380

Partners’ Capital:
General Partner, 4,077.3782 and 2,943.3393 unit equivalents outstanding at September 30, 2010 and December 31, 2009, respectively		10,773,289		7,926,943
Limited Partners, 406,253.8287 and 299,965.0835 Redeemable Units outstanding at September 30, 2010 and December 31, 2009, respectively		1,073,409,676		807,859,611

Total partners’ capital		1,084,182,965		815,786,554

Total liabilities and partners’ capital	$	1,101,971,923	$	827,864,934

Net asset value per unit	$	2,642.21	$	2,693.18

See accompanying notes to financial statements.

Orion Futures Fund L.P.
Condensed Schedule of Investments
September 30, 2010
(Unaudited)


						% of Partners’
	Number of Contracts		Fair Value				Capital
Futures Contracts Purchased
Currencies		634	$	1,644,872			0.15	%
Energy		568		424,733			0.04
Grains		874		1,435,543			0.13
Interest Rates U.S.		432		103,525			0.01
Interest Rates Non-U.S.		354		35,343			0.00	*
Livestock		166		(44,980	)		(0.00	) *
Metals		710		4,482,828			0.41
Softs		562		1,292,880			0.12

Total futures contracts purchased				9,374,744			0.86


Futures Contracts Sold
Energy		162		376,390			0.03
Grains		163		5,313			0.00	*
Indices		4		1,860			0.00	*
Interest Rates U.S.		20		(10,250	)		(0.00	) *
Interest Rates Non-U.S.		208		(17,790	)		(0.00	) *
Livestock		52		(19,790	)		(0.00	) *
Metals		616		(2,898,625	)		(0.27	)

Total futures contracts sold				(2,562,892	)		(0.24	)


Unrealized Appreciation on Open Forward Contracts
Metals		3,686		39,906,410			3.68

Total unrealized appreciation on open forward contracts				39,906,410			3.68


Unrealized Depreciation on Open Forward Contracts
Metals		3,440		(35,134,534	)		(3.24	)

Total unrealized depreciation on open forward contracts				(35,134,534	)		(3.24	)


Options Purchased
Puts
Metals		60		105			0.00	*
Call
Metals		95		962,543			0.09

Energy		400		74,000			0.01
Grains		100		82,500			0.01
Softs		25		41,625			0.00	*

Total options purchased				1,160,773			0.11


Options Premium Received
Puts
Grains
Total options premium received		150		(3,750	)		(0.00	) *

				(3,750	)		(0.00	) *

Investment in Funds
AAA Master Fund LLC				267,790,580			24.70
CMF Willowbridge Argo Master Fund LP				145,269,328			13.40
CMF Winton Master LP				475,636,602			43.87

Total investment in Funds				888,696,510			81.97


Total fair value			$	901,437,261			83.14	%

* Due to rounding

See accompanying notes to financial statements.

Orion Futures Fund L.P.
Condensed Schedule of Investments
December 31, 2009


	Number of					% of Partners’
	Contracts		Fair Value			Capital
Futures Contracts Purchased
Currencies		254	$	419,773			0.05	%
Energy		364		129,842			0.02
Grains		402		91,185			0.01
Interest RatesNon-U.S.		127		(21,825	)		(0.00	)*
Livestock		84		38,440			0.00	*
Metals		222		(140,327	)		(0.02	)
Softs		342		560,264			0.07

Total futures contracts purchased				1,077,352			0.13

Futures Contracts Sold
Currencies		635		1,761,778			0.22
Energy		5		10,950			0.00	*
Interest Rates U.S.		381		438,625			0.05
Interest Rates Non-U.S.		413		61,615			0.01
Metals		58		(294,513	)		(0.04	)

Total futures contracts sold				1,978,455			0.24

Unrealized Appreciation on Open Forward Contracts
Metals		287		3,563,843			0.44

Total unrealized appreciation on open forward contracts				3,563,843			0.44

Unrealized Depreciation on Open Forward Contracts
Metals		222		(2,613,668	)		(0.32	)

Total unrealized depreciation on open forward contracts				(2,613,668	)		(0.32	)

Investment in Funds
AAA Master Fund LLC				284,764,800			34.91
CMF Willowbridge Argo Master Fund LP				135,945,983			16.66
CMF Winton Master LP				293,399,613			35.97

Total investment in Funds				714,110,396			87.54

Total fair value			$	718,116,378			88.03	%

* Due to rounding

See accompanying notes to financial statements.

Orion Futures Fund L.P.
Statements of Income and Expenses and Partners’ Capital
(Unaudited)


	Three Months Ended						Nine Months Ended
	September 30,						September 30,
	2010			2009			2010			2009
Income:
Net gains on trading of commodity interests and investment in Funds:
Net realized gains (losses) on closed contracts	$	4,805,257		$	(4,855,184	)	$	(5,657,154	)	$	(5,606,585	)
Net realized gains (losses) on investment in Funds		4,857,297			(6,668,146	)		(2,120,921	)		121,488,416
Change in net unrealized gains (losses) on open contracts		6,187,480			1,170,075			7,003,584			(94,453	)
Change in net unrealized gains (losses) on investment in Funds		11,659,900			7,997,677			16,884,531			(115,408,975	)

Gain (loss) from, trading net		27,509,934			(2,355,578	)		16,110,040			378,403
Interest income		66,476			22,621			139,740			60,700
Interest income from investment in Funds		263,509			151,965			605,235			428,088

Total income (loss)		27,839,919			(2,180,992	)		16,855,015			867,191


Expenses:
Brokerage commissions, including clearing fees		2,943,794			2,251,687			9,197,994			5,556,620
Management fees		4,798,415			3,427,414			13,327,364			9,687,324
Administrative fees		1,342,505			928,856			3,711,971			2,625,301
Incentive fees		2,506,281			1,035,966			4,395,222			4,138,088
Other		185,478			124,495			624,841			374,447

Total expenses		11,776,473			7,768,418			31,257,392			22,381,780

Net income (loss)		16,063,446			(9,949,410	)		(14,402,377	)		(21,514,589	)
Additions — Limited Partner		75,675,700			107,453,226			364,108,030			242,185,226
Additions — General Partner		—			—			2,975,000			—
Redemptions — Limited Partners		(25,248,599	)		(26,558,490	)		(84,284,242	)		(113,952,130	)

Net increase (decrease) in Partners’ Capital		66,490,547			70,945,326			268,396,411			106,718,507
Partners’ Capital, beginning of period		1,017,692,418			684,660,034			815,786,554			648,886,853

Partners’ Capital, end of period	$	1,084,182,965		$	755,605,360		$	1,084,182,965		$	755,605,360

Net asset value per unit (410,331.2069 and 274,813.5025 units outstanding at September 30, 2010 and 2009, respectively)	$	2,642.21		$	2,749.52		$	2,642.21		$	2,749.52


Net income (loss) per Redeemable Unit and General Partner unit equivalents	$	39.10		$	(37.87	)	$	(50.97	)	$	(87.41	)


Weighted average units outstanding		408,058.2249			268,549.9973			376,423.8169			250,370.2244


See accompanying notes to financial statements.

Orion Futures Fund L.P.
Notes to Financial Statements
September 30, 2010
(Unaudited)


1.	General:

Orion Futures Fund L.P. (the “Partnership”), is a limited partnership organized on March 22, 1999 under the partnership laws of the State of New York to engage, directly or indirectly, in the speculative trading of a diversified portfolio of commodity interests, including futures contracts, options, swaps and forward contracts on United States exchanges and certain foreign exchanges. The Partnership and the Funds, (as defined in Note 5 “Investment in Funds”) engaged in such trading through a brokerage account maintained with CGM (defined below). The sectors traded include currencies, energy, grains, livestock, indices, U.S. and non-U.S. interest rates, softs and metals. The Partnership commenced trading on June 10, 1999. The Partnership and the Funds may trade futures, forwards and options contracts of any kind. In addition, the Partnership may enter into swap contracts on energy-related products. The Partnership privately and continuosly offers up to 600,000 redeemable units of limited partnership interest (“Redeemable Units”) to qualified investors. There is no maximum number of Redeemable Units that may be sold by the Partnership. The commodity interests that are traded by the Partnership and the Funds, are volatile and involve a high degree of market risk.

Ceres Managed Futures LLC, a Delaware limited liability company, acts as the general partner (the “General Partner”) and commodity pool operator of the Partnership. The General Partner is wholly owned by Morgan Stanley Smith Barney Holdings LLC (“MSSB Holdings”), a registered non-clearing futures commission merchant and a member of the National Futures Association (“NFA”). Morgan Stanley, indirectly through various subsidiaries, owns a majority interest in MSSB Holdings. Citigroup Global Markets Inc. (“CGM”), the commodity broker and a selling agent for the Partnership, owns a minority interest in MSSB Holdings. Citigroup Inc. (“Citigroup”), indirectly through various subsidiaries, wholly owns CGM. Prior to July 31, 2009, the date as of which MSSB Holdings became its owner, the General Partner was wholly owned by Citigroup Financial Products Inc., a wholly owned subsidiary of Citigroup Global Markets Holdings Inc., the sole owner of which is Citigroup.

As of September 30, 2010, all trading decisions are made by Willowbridge Associates Inc. (“Willowbridge”), Winton Capital Management Limited (“Winton”) and AAA Capital Management Advisors, Ltd. (successor to AAA Capital Management, Inc.) (“AAA”) (each an “Advisor” and, collectively, the “Advisors”) each of which is a registered commodity trading advisor.

The General Partner and each limited partner of the Partnership (each, a “Limited Partner”) share in the profits and losses of the Partnership in proportion to the amount of Partnership interest owned by each except that no Limited Partner shall be liable for obligations of the Partnership in excess of their capital contribution and profits, if any, net of distributions.

The accompanying financial statements and accompanying notes are unaudited but, in the opinion of management, include all adjustments, consisting only of normal recurring adjustments, necessary for a fair statement of the Partnership’s financial condition at September 30, 2010 and December 31, 2009, and the results of its operations and changes in partners’ capital for the three and nine months ended September 30, 2010 and 2009. These financial statements present the results of interim periods and do not include all disclosures normally provided in annual financial statements. You should read these financial statements together with the financial statements and notes included in the Partnership’s Annual Report onForm 10-K, as amended, filed with the Securities and Exchange Commission (the “SEC”) for the year ended December 31, 2009.

The preparation of financial statements and accompanying notes in conformity with accounting principles generally accepted in the United States of America (“GAAP”) requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities, income and expenses, and related disclosures of contingent assets and liabilities in the financial statements and accompanying notes. In making these estimates and assumptions, management has considered the effects, if any, of events occurring after the date of the Partnership’s Statements of Financial Condition through the date the financial statements were filed. As a result, actual results could differ from these estimates.

Due to the nature of commodity trading, the results of operations for the interim periods presented should not be considered indicative of the results that may be expected for the entire year.

Orion Futures Fund L.P.
Notes to Financial Statements
September 30, 2010
(Unaudited)


2.	Financial Highlights:

Changes in the net asset value per unit for the three and nine months ended September 30, 2010 and 2009 were as follows:


	Three Months Ended						Nine Months Months
	September 30,						September 30,
	2010			2009			2010			2009
Net realized and unrealized gains (losses) *	$	59.91		$	(17.49	)	$	5.10		$	(21.06	)
Interest income		0.81			0.67			1.94			1.97
Expenses **		(21.62	)		(21.05	)		(58.01	)		(68.32	)

Increase (decrease) for the period		39.10			(37.87	)		(50.97	)		(87.41	)
Net asset value per unit, beginning of period		2,603.11			2,787.39			2,693.18			2,836.93

Net asset value per unit, end of period	$	2,642.21		$	2,749.52		$	2,642.21		$	2,749.52


*		Includes brokerage commissions

**		Excludes brokerage commissions


	Three Months Ended						Nine Months Months
	September 30,						September 30,
	2010			2009			2010			2009
Ratios to Average Net Assets:***
Net investment loss before incentive fees****		(3.4	)%		(3.6	)%		(3.6	)%		(3.5	)%


Operating expense		3.5	%		3.7	%		3.7	%		3.6	%
Incentive fees		0.2	%		0.1	%		0.5	%		0.6	%

Total expenses		3.7	%		3.8	%		4.2	%		4.2	%


Total return:
Total return before incentive fees		1.7	%		(1.2	)%		(1.5	)%		(2.6	)%
Incentive fees		(0.2	)%		(0.2	)%		(0.4	)		(0.5	)%

Total return after incentive fees		1.5	%		(1.4	)%		(1.9	)%		(3.1	)%


***		Annualized (other than incentive fee)

****		Interest income less total expenses (exclusive of incentive fees)

The above ratios may vary for individual investors based on the timing of capital transactions during the period. Additionally, these ratios are calculated for the Limited Partner class using the Limited Partners’ share of income, expenses and average net assets.


3.	Trading Activities:

The Partnership was formed for the purpose of trading contracts in a variety of commodity interests, including derivative financial instruments and derivative commodity instruments. The results of the Partnership’s trading activities are shown in the Statements of Income and Expenses and Changes in Partners’ Capital.

The customer agreements between the Partnership and CGM and the Funds and CGM give the Partnership and the Funds the legal right to net unrealized gains and losses on open futures and forward contracts. The Partnership and the Funds net, for financial reporting purposes, the unrealized gains and losses on open futures and forward contracts on the Statements of Financial Condition as the criteria under Accounting Standards Codification (“ASC”) 210, Balance Sheet, has been met.

All of the commodity interests owned by the Partnership are held for trading purposes. The average number of futures contracts traded directly by the Partnership for the three months ended September 30, 2010 and 2009 were 6,949 and 2,467, respectively. The average number of futures contracts traded directly by the Partnership for the nine months ended September 30, 2010 and 2009 were 5,408 and 2,112, respectively. The average number of metal forward contracts traded directly by the Partnership for the three months ended September 30, 2010 and 2009 were 5,869 and 357, respectively. The average number of metal forward contracts traded directly by the Partnership for the nine months ended September 30, 2010 and 2009 were 3,969 and 518, respectively. The average number of option contracts traded directly by the Partnership for the three months ended September 30, 2010 and 2009 were 777 and 0, respectively. The average number of option contracts traded directly by the Partnership for the nine months ended September 30, 2010 and 2009 were 386 and 6, respectively. The average notional value of currency forward contracts, held directly by the Partnership, for the three months ended September 30, 2010 and 2009 were $24,207 and $13,784,365, respectively. The average notional value of currency forward contracts, held directly by the Partnership, for the nine months ended September 30, 2010 and 2009 were $25,789,844 and $12,936,387, respectively.

Orion Futures Fund L.P.
Notes to Financial Statements
September 30, 2010
(Unaudited)

Brokerage commissions are based on the number of trades executed by the Advisors and the Funds.

The Partnership adopted ASC 815, Derivatives and Hedging, as of January 1, 2009, which requires qualitative disclosures about objectives and strategies for using derivatives, quantitative disclosures about fair value amounts of and gains and losses on derivative instruments, and disclosures about credit-risk-related contingent features in derivative agreements. ASC 815 only expands the disclosure requirements for derivatives instruments and related hedging activities and has no impact on the Statements of Financial Condition or Statements of Income and Expenses and Changes in Partners’ Capital. The following tables indicate the fair values of derivative instruments of futures, forward and options contracts traded directly by the Partnership as separate assets and liabilities as of September 30, 2010 and December 31, 2009.


	September 30, 2010
Assets
Futures Contracts
Currencies	$	1,650,872
Energy		877,633
Grains		1,758,948
Indices		1,860
Interest Rates U.S.		105,275
Interest Rates Non-U.S.		170,656
Livestock		800
Metals		4,499,403
Softs		1,523,503

Total unrealized appreciation on open futures contracts	$	10,588,950

Liabilities
Futures Contracts
Currencies	$	(6,000	)
Energy		(76,510	)
Grains		(318,093	)
Interest Rates U.S.		(12,000	)
Interest Rates Non-U.S.		(153,103	)
Livestock		(65,570	)
Metals		(2,915,200	)
Softs		(230,622	)

Total unrealized depreciation on open futures contracts	$	(3,777,098	)

Net unrealized appreciation on open futures contracts	$	6,811,852	*


*		This amount is in “Net unrealized appreciation on open futures contracts” on the Statements of Financial Condition.


	September 30, 2010
Assets
Forward Contracts
Metals		39,906,410

Total unrealized appreciation on open forward contracts	$	39,906,410

Liabilities
Forward Contracts
Metals		(35,134,534	)

Total unrealized depreciation on open forward contracts	$	(35,134,534	)

Net unrealized appreciation on open forward contracts	$	4,771,876	**


**		This amount is in “Net unrealized appreciation on open forward contracts” on the Statements of Financial Condition.

Orion Futures Fund L.P.
Notes to Financial Statements
September 30, 2010
(Unaudited)


	September 30, 2010
Assets
Options Purchased
Energy	$	74,000
Metals		962,648
Grains		82,500
Softs		41,625

Total options purchased	$	1,160,773	***


***		This amount is in “Options purchased, at fair value”, on the Statements of Financial Condition.


	September 30, 2010
Liabilities
Options Premium Received
Grains		(3,750	)

Total options premium received	$	(3,750	)****


****		This amount is in “Options premium received at fair value”, on the Statements of Financial Condition.


	December 31,
	2009

Assets
Futures Contracts
Currencies	$	2,181,550
Energy		199,794
Grains		110,773
Interest Rates U.S.		438,625
Interest Rates Non-U.S.		210,400
Livestock		38,440
Metals		181,742
Softs		663,038

Total unrealized appreciation on open futures contracts	$	4,024,362

Liabilities
Futures Contracts
Energy	$	(59,002	)
Grains		(19,587	)
Interest Rates Non-U.S.		(170,609	)
Metals		(616,583	)
Softs		(102,774	)

Total unrealized depreciation on open futures contracts	$	(968,555	)

Net unrealized appreciation on open futures contracts	$	3,055,807	*


*		This amount is in “Net unrealized appreciation on open futures contracts” on the Statements of Financial Condition.


Assets
Forward Contracts
Metals	$	3,563,843

Total unrealized appreciation on open forward contracts	$	3,563,843

Liabilities
Forward Contracts
Metals	$	(2,613,668	)

Total unrealized depreciation on open forward contracts	$	(2,613,668	)

Net unrealized appreciation on open forward contracts	$	950,175	**


**		This amount is in “Net unrealized appreciation on open forward contracts” on the Statements of Financial Condition.

Orion Futures Fund L.P.
Notes to Financial Statements
September 30, 2010
(Unaudited)

The following tables indicate the Partnership’s trading gains and losses, by market sector, on derivative instruments traded directly by the Partnership for the three and nine months ended September 30, 2010 and 2009.


	Three Months Ended			Three Months Ended			Nine Months Ended			Nine Months Ended
	September 30, 2010			September 30, 2009			September 30, 2010			September 30, 2009
Sector	Gain (loss) from trading			Gain (loss) from trading			Gain (loss) from trading			Gain (loss) from trading
Currencies	$	5,945,510		$	(1,588,471	)	$	7,830,169		$	(1,850,206	)
Energy		(9,037,904	)		(1,080,215	)		(19,387,924	)		(1,005,044	)
Grains		8,711,776			60,989			5,713,050			1,097,454
Indices		(60,251	)		—			(55,528	)		—
Interest Rates U.S.		1,057,562			(127,718	)		2,266,651			(1,586,493	)
Interest Rates Non-U.S.		622,283			(334,859	)		5,324,703			(1,219,116	)
Livestock		87,970			(454,211	)		(429,080	)		(455,441	)
Metals		3,411,538			(38,540	)		(1,189,164	)		246,275
Softs		254,253			(122,084	)		1,273,553			(928,467	)

Total	$	10,992,737		$	(3,685,109	)	$	1,346,430		$	(5,701,038	)


4.	Fair Value Measurements:

Partnership’s and the Funds’ Investments. All commodity interests (including derivative financial instruments and derivative commodity instruments) are held for trading purposes. The commodity interests are recorded on trade date and open contracts are recorded at fair value (as described below) at the measurement date. Investments in commodity interests denominated in foreign currencies are translated into U.S. dollars at the exchange rates prevailing at the measurement date. Gains or losses are realized when contracts are liquidated. Unrealized gains or losses on open contracts are included as a component of equity in trading account on the Statements of Financial Condition. Realized gains or losses and any change in net unrealized gains or losses from the preceding period are reported in the Statements of Income and Expenses and Changes in Partners’ Capital.

Partnership’s and the Funds’ Fair Value Measurements. The Partnership and the Funds adopted ASC 820, Fair Value Measurements and Disclosures, which defines fair value as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. ASC 820 establishes a framework for measuring fair value and expands disclosures regarding fair value measurements in accordance with GAAP. The fair value hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1) and the lowest priority to fair values derived from unobservable inputs (Level 3). The level in the fair value hierarchy within which the fair value measurement in its entirety falls shall be determined based on the lowest level input that is significant to the fair value measurement in its entirety. The Partnership and the Funds did not apply the deferral allowed by ASC 820 for nonfinancial assets and nonfinancial liabilities measured at fair value on a nonrecurring basis.

In 2009, the Partnership and the Funds adopted amendments to ASC 820, which reaffirm that fair value is the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date under current market conditions. These amendments to ASC 820 also reaffirm the need to use judgment in determining if a formerly active market has become inactive and in determining fair values when the market has become inactive. Management has concluded that based on available information in the marketplace, that there has not been a decrease in the volume and level of activity in the Partnerships’ Level 2 assets and liabilities. The adoption of the amendments to ASC 820 had no effect on the Partnership’s Financial Statements.

Orion Futures Fund L.P.
Notes to Financial Statements
September 30, 2010
(Unaudited)

The Partnership and the Funds consider prices for exchange-traded commodity futures, forward and options contracts to be based on unadjusted quoted prices in active markets for identical assets (Level 1). The values of non-exchange-traded forward, swaps and certain options contracts for which market quotations are not readily available, are priced by broker-dealers that derive fair values for those assets from observable inputs (Level 2). Investments in the Funds (other commodity pools) where there are no other rights or obligations inherent within the ownership interest held by the Partnership are priced based on the end of the day net asset value (Level 2). The value of the Partnership’s investments in the Funds reflects its proportional interest in the Funds. As of and for the periods ended September 30, 2010 and December 31, 2009, the Partnership and the Funds did not hold any derivative instruments that are priced at fair value using unobservable inputs through the application of management’s assumptions and internal valuation pricing models (Level 3).


				Quoted Prices in
				Active Markets			Significant Other		Significant
				for Identical			Observable Inputs		Unobservable
	09/30/2010			Assets (Level 1)			(Level 2)		Inputs (Level 3)

Assets
Options Purchased	$	1,160,773		$	1,160,773		$	—	$	—
Futures		6,811,852			6,811,852			—		—
Forwards		4,771,876			4,771,876			—		—
Investment in Funds		888,696,510			—			888,696,510		—

Total assets	$	901,441,011		$	12,744,501		$	888,696,510	$	—

Liabilities
Options Premium Received	$	(3,750	)	$	(3,750	)		—		—

Total liabilities		(3,750	)	$	(3,750	)		—		—

Total fair value	$	901,437,261		$	12,740,751		$	888,696,510	$	—

				Quoted Prices in
				Active Markets			Significant Other		Significant
				for Identical			Observable Inputs		Unobservable
	12/31/2009			Assets (Level 1)			(Level 2)		Inputs (Level 3)

Assets
Forwards	$	950,175		$	950,175		$	—	$	—
Futures		3,055,807			3,055,807			—		—
Investment in Funds		714,110,396			—			714,110,396		—

Total assets	$	718,116,378		$	4,005,982		$	714,110,396	$	—

Total fair value	$	718,116,378		$	4,005,982		$	714,110,396	$	—

Orion Futures Fund L.P.
Notes to Financial Statements
September 30, 2010
(Unaudited)


5.	Investment in Funds:

On September 1, 2001, the assets allocated to AAA for trading were invested in AAA Master Fund LLC, (“AAA Master”), a limited liability company organized under the limited liability company laws of the State of New York. The Partnership purchased 5,173.4381 units of AAA Master with cash equal to $5,173,438. AAA Master was formed in order to permit accounts managed now or in the future by AAA using the Energy Program – Futures and Swaps, a proprietary, discretionary trading system, to invest together in one trading vehicle. The General Partner is also the managing member of AAA Master. Individual and pooled accounts currently managed by AAA, including the Partnership, are permitted to be non-managing members of AAA Master. The General Partner and AAA believe that trading through this structure should promote efficiency and economy in the trading process.

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 35,389.8399 units of Winton Master with cash equal to $33,594,083 and a contribution of open commodity futures and forward contracts with a fair value of $1,795,757. Winton Master was formed in order to permit accounts managed now or in the future by Winton using the 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, a portion of 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 33,529.1186 units of Willowbridge Master with cash equal to $29,866,194 and a contribution of open commodity futures and forward contracts with a fair value of $3,662,925. Willowbridge Master was formed in order to permit accounts managed now or in the future by Willowbridge using the 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 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.

Additional assets allocated to Willowbridge are not invested in a separate limited partnership established by the General Partner, but are held and traded by Willowbridge directly in separate managed accounts in the Partnership’s name. Willowbridge trades the Partnership’s assets directly, pursuant to its Vulcan Trading System, Consolidated Commodities Technical and Consolidated Commodities Fundamental Trading Programs and MStrategy Program.

The General Partner is not aware of any material changes to the trading programs discussed above during the fiscal quarter ended September 30, 2010.

AAA Master’s, Willowbridge Master’s and Winton Master’s (the “Funds”) and the Partnership’s 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 and the Partnership engage in such trading through commodity brokerage accounts maintained with CGM.

A limited partner/non-managing member of the Funds 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

Orion Futures Fund L.P.
Notes to Financial Statements
September 30, 2010
(Unaudited)

as of the end of any day (the “Redemption Date”) after a request for redemption has been made to the general partner/managing member at least 3 days in advance of the Redemption Date. The units are classified as a liability when the limited partner/non-managing member elects to redeem and informs the Funds.

Management, administrative and incentive fees are charged at the Partnership level. All exchange, clearing, user,give-up, floor brokerage and NFA fees are borne by the Partnership directly and through its investments in the Funds. All other fees, including CGM’s direct brokerage commission, are charged at the Partnership level.

At September 30, 2010, the Partnership owned approximately 26.2% of AAA Master, 66.8% of Willowbridge Master and 59.5% of Winton Master. At December 31, 2009, the Partnership owned approximately 23.2% of AAA Master, 58.8% of Willowbridge Master and 51.1% of Winton Master. 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 of the Funds are shown in the following tables.


	September 30, 2010
	Total Assets		Total Liabilities		Total Capital
AAA Master	$	1,365,184,544	$	343,751,769	$	1,021,432,775
Willowbridge Master		217,621,623		43,436		217,578,187
Winton Master		799,636,374		116,941		799,519,433

Total	$	2,382,442,541	$	343,912,146	$	2,038,530,395


	December 31, 2009
	Total Assets		Total Liabilities		Total Capital

AAA Master	$	1,632,583,054	$	403,387,862	$	1,229,195,192
Willowbridge Master		231,147,799		42,482		231,105,317
Winton Master		574,479,690		71,377		574,408,313

Total	$	2,438,210,543	$	403,501,721	$	2,034,708,822

Orion Futures Fund L.P.
Notes to Financial Statements
September 30, 2010
(Unaudited)

Summarized information reflecting the net gain (loss) from trading, total income (loss) and net income (loss) for the Funds are shown in the following tables.


	For the three months ended September 30, 2010
	Gain(loss) from			Total Income
	Trading, net			(loss)			Net income (loss)
AAA Master	$	9,489,985		$	9,697,237		$	8,893,472
Willowbridge Master		(2,263,514	)		(2,194,399	)		(2,291,718	)
Winton Master		26,050,805			26,290,442			26,114,191

Total	$	33,277,276		$	33,793,280		$	32,715,945


	For the three months ended September 30, 2009
	Gain(loss) from			Total Income
	Trading, net			(loss)			Net income (loss)
AAA Master	$	40,194,995		$	40,401,333		$	39,460,830
Willowbridge Master		7,322,348			7,447,037			7,339,274
Winton Master		(20,085,700	)		(20,026,877	)		(20,139,642	)

Total	$	27,431,643		$	27,821,493		$	26,660,462


	For the nine months ended September 30, 2010
	Gain(loss) from			Total Income
	Trading, net			(loss)			Net income (loss)
AAA Master	$	(34,508,985	)	$	(33,992,563	)	$	(36,937,144	)
Willowbridge Master		(36,147,175	)		(35,978,106	)		(36,294,042	)
Winton Master		80,520,886			81,058,904			80,474,255

Total	$	9,864,726		$	11,088,235		$	7,243,069


	For the nine months ended September 30, 2009
	Gain(loss) from			Total Income
	Trading, net			(loss)			Net income (loss)
AAA Master	$	143,718,324		$	144,327,480		$	141,598,562
Willowbridge Master		(29,310,166	)		(28,936,214	)		(29,217,064	)
Winton Master		(23,802,080	)		(23,622,469	)		(23,895,630	)

Total	$	90,606,078		$	91,768,797		$	88,485,868

Orion Futures Fund L.P.
Notes to Financial Statements
September 30, 2010
(Unaudited)

Summarized information reflecting the Partnership’s investments in, and the operations of, the Funds are as shown in the following tables.


	September 30, 2010					For the three months ended September 30, 2010
	% of
	Partnership’s			Fair		Income			Expenses				Net			Investment		Redemption
Investment	Net Assets			Value		(Loss)			Commissions		Other		Income (loss)			Objective		Permitted
AAA Master		24.70	%	$	267,790,580	$	2,523,600		$	161,584	$	48,436	$	2,313,580			Energy Markets	Monthly
Willowbridge Master		13.40	%		145,269,328		(1,413,593	)		47,967		16,136		(1,477,696	)		Commodity Portfolio	Monthly
Winton Master		43.87	%		475,636,602		15,670,699			87,075		16,606		15,567,018			Commodity Portfolio	Monthly

Total				$	888,696,510	$	16,780,706		$	296,626	$	81,178	$	16,402,902


	September 30, 2010					For the nine months ended September 30, 2010
	% of
	Partnership’s			Fair		Income			Expenses				Net				Investment	Redemption
Investment	Net Assets			Value		(Loss)			Commissions		Other		Income (loss)				Objective	Permitted
AAA Master		24.70	%	$	267,790,580	$	(8,424,424	)	$	611,829	$	137,958	$	(9,174,211	)		Energy Markets	Monthly
Willowbridge Master		13.40	%		145,269,328		(22,466,180	)		160,329		42,223		(22,668,732	)		Commodity Portfolio	Monthly
Winton Master		43.87	%		475,636,602		46,259,449			284,257		45,968		45,929,224			Commodity Portfolio	Monthly

Total				$	888,696,510	$	15,368,845		$	1,056,415	$	226,149	$	14,086,281



	December 31, 2009					For the three months ended September 30, 2009
	% of								Expenses
	Partnership’s			Fair		Income							Net				Investment	Redemption
Investment	Net Assets			Value		(Loss)			Commissions		Other		Income (loss)				Objective	Permitted

AAA Master		34.91	%	$	284,764,800	$	8,683,054		$	181,792	$	29,699	$	8,471,563			Energy Markets	Monthly
Willowbridge Master		16.66	%		135,945,983		(10,921,492	)		53,377		10,614		(10,985,483	)		Commodity Portfolio	Monthly
Winton Master		35.97	%		293,399,613		3,719,934			44,820		3,948		3,671,166			Commodity Portfolio	Monthly

Total				$	714,110,396	$	1,481,496		$	279,989	$	44,261	$	1,157,246


	December 31, 2009					For the nine months ended September 30, 2009
	% of								Expenses
	Partnership’s			Fair		Income							Net				Investment	Redemption
Investment	Net Assets			Value		(Loss)			Commissions		Other		Income (loss)				Objective	Permitted
AAA Master		34.91	%	$	284,764,800	$	29,137,670		$	473,840	$	101,679	$	28,562,151			Energy Markets	Monthly
Willowbridge Master		16.66	%		135,945,983		(11,263,564	)		125,780		21,365		(11,410,709	)		Commodity Portfolio	Monthly
Winton Master		35.97	%		293,399,613		(11,366,577	)		107,240		11,436		(11,485,253	)		Commodity Portfolio	Monthly

Total				$	714,110,396	$	6,507,529		$	706,860	$	134,480	$	5,666,189

Orion Futures Fund L.P.
Notes to Financial Statements
September 30, 2010
(Unaudited)

6. Financial Instrument Risks:

In the normal course of business, the Partnership and the Funds are parties to financial instruments with off-balance sheet risk, including derivative financial instruments and derivative commodity instruments. These financial instruments may include forwards, futures, options and swaps, whose values are based upon an underlying asset, index, or reference rate, and generally represent future commitments to exchange currencies or cash balances, or to purchase or sell other financial instruments on specific terms at specified future dates, or, in the case of derivative commodity instruments, to have a reasonable possibility to be settled in cash, through physical delivery or with another financial instrument. These instruments may be traded on an exchange or over-the-counter (“OTC”). Exchange-traded instruments are standardized and include futures and option contracts. OTC contracts are negotiated between contracting parties and include swaps and certain forward and options contracts. Each of these instruments is subject to various risks similar to those related to the underlying financial instruments including market and credit risk. In general, the risks associated with OTC contracts are greater than those associated with exchange-traded instruments because of the greater risk of default by the counterparty to an OTC contract.

Market risk is the potential for changes in the value of the financial instruments traded by the Partnership/Funds due to market changes, including interest and foreign exchange rate movements and fluctuations in commodity or security prices. Market risk is directly impacted by the volatility and liquidity in the markets in which the related underlying assets are traded. The Partnership/Funds are exposed to a market risk equal to the value of futures and forward contracts purchased and unlimited liability on such contracts sold short.

Credit risk is the possibility that a loss may occur due to the failure of a counterparty to perform according to the terms of a contract. The Partnership’s and the Funds’ risk of loss in the event of a counterparty default is typically limited to the amounts recognized in the Statements of Financial Condition and not represented by the contract or notional amounts of the instruments. The Partnership’s and the Funds’ risk of loss is reduced through the use of legally enforceable master netting agreements with counterparties that permit the Partnership and the Funds to offset unrealized gains and losses and other assets and liabilities with such counterparties upon the occurrence of certain events. The Partnership and the Funds have credit risk and concentration risk because the sole counterparty or broker with respect to the Partnership’s and the Funds’ assets is CGM or a CGM affiliate. Credit risk with respect to exchange-traded instruments is reduced to the extent that, through CGM, the Partnership’s and the Funds’ counterparty is an exchange or clearing organization.

As both a buyer and seller of options, the Partnership/Funds pay or receive a premium at the outset and then bear the risk of unfavorable changes in the price of the contract underlying the option. Written options expose the Partnership/Funds to potentially unlimited liability; for purchased options, the risk of loss is limited to the premiums paid. Certain written put options permit cash settlement and do not require the option holder to own the reference asset. The Partnership/Funds do not consider these contracts to be guarantees as described in ASC 460, Guarantees.

The general partner/managing member monitors and attempts to control the Partnership’s/Funds’ risk exposure on a daily basis through financial, credit and risk management monitoring systems and accordingly, believes that it has effective procedures for evaluating and limiting the credit and market risks to which the Partnership/Funds may be subject. These monitoring systems generally allow the general partner/managing member to statistically analyze actual trading results with risk-adjusted performance indicators and correlation statistics. In addition, online monitoring systems provide account analysis of futures, forwards and options positions by sector, margin requirements, gain and loss transactions and collateral positions.

The majority of these instruments mature within one year of the inception date. However, due to the nature of the Partnership’s/Funds’ businesses, these instruments may not be held to maturity.

Orion Futures Fund L.P.
Notes to Financial Statements
September 30, 2010
(Unaudited)

7. Critical Accounting Policies:

Use of Estimates. The preparation of financial statements and accompanying notes in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities, income and expenses, and related disclosures of contingent assets and liabilities in the financial statements and accompanying notes. In making these estimates and assumptions, management has considered the effects, if any, of events occurring after the date the Partnership’s Statements of Financial Condition through the date the financial statements were filed. As a result, actual results could differ from these estimates.

Statement of Cash Flows. The Partnership is not required to provide a Statement of Cash Flows as permitted by ASC 230, Statement of Cash Flows.

Partnership’s and the Funds’ Investments. All commodity interests held by the Partnership and the Funds (including derivative financial instruments and derivative commodity instruments) are held for trading purposes. The commodity interests are recorded on trade date and open contracts are recorded at fair value (as described below) at the measurement date. Investments in commodity interests denominated in foreign currencies are translated into U.S. dollars at the exchange rates prevailing at the measurement date. Gains or losses are realized when contracts are liquidated. Unrealized gains or losses on open contracts are included as a component of equity in trading account on the Statements of Financial Condition. Realized gains or losses and any change in net unrealized gains or losses from the preceding period are reported in the Statements of Income and Expenses and Changes in Partners’ Capital.

Partnership’s and the Funds’ Fair Value Measurements. The Partnership and the Funds adopted ASC 820 as of January 1, 2008 which defines fair value as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. The Partnership and the Funds did not apply the deferral allowed by ASC 820 for nonfinancial assets and nonfinancial liabilities measured at fair value on a nonrecurring basis.

The Partnership and the Funds consider prices for exchange traded commodity futures, forward and options contracts to be based on unadjusted quoted prices in active markets for identical assets (Level 1). The values of non exchange-traded forward, swaps and certain options contracts for which market quotations are not readily available are priced by broker-dealers that derive fair values for those assets from observable inputs (Level 2). Investments in the Funds (other commodity pools) where there are no other rights or obligations inherent within the ownership interest held by the Partnership are priced based on the end of the day net asset value (Level 2). The value of the Partnership’s investments in the Funds reflects its proportional interest in the Funds. As of and for the periods ended September 30, 2010 and December 31, 2009, the Partnership and the Funds did not hold any derivative instruments that are priced at fair value using unobservable inputs through the application of management’s assumptions and internal valuation pricing models (Level 3).

Orion Futures Fund L.P.
Notes to Financial Statements
September 30, 2010
(Unaudited)

Futures Contracts. The Partnership and the Funds trade futures contracts and exchange-cleared swaps. Exchange-cleared swaps are swaps that are traded as futures. The Partnership considers exchange cleared swaps to be futures contracts. A futures contract is a firm commitment to buy or sell a specified quantity of investments, currency or a standardized amount of a deliverable grade commodity, at a specified price on a specified future date, unless the contract is closed before the delivery date, or if the delivery quantity is something where physical delivery cannot occur (such as the S&P 500 Index), whereby such contract is settled in cash. Payments (“variation margin”) may be made or received by the Partnership and the Funds each business day, depending on the daily fluctuations in the value of the underlying contracts, and are recorded as unrealized gains or losses by the Partnership and Funds. When the contract is closed, the Partnership and the Funds record a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. Transactions in futures contracts require participants to make both initial margin deposits of cash or other assets and variation margin deposits, through the futures broker, directly with the exchange on which the contracts are traded. Realized gains (losses) and changes in unrealized gains (losses) on futures contracts are included in the Statements of Income and Expenses and Changes in Partners’ Capital.

Forward Foreign Currency Contracts. Foreign currency contracts are those contracts where the Partnership and the Funds agree to receive or deliver a fixed quantity of foreign currency for an agreed-upon price on an agreed future date. Foreign currency contracts are valued daily, and the Partnership’s and the Funds net equity therein, representing unrealized gain or loss on the contracts as measured by the difference between the forward foreign exchange rates at the dates of entry into the contracts and the forward rates at the reporting date, is included in the Statements of Financial Condition. Realized gains (losses) and changes in unrealized gains (losses) on foreign currency contracts are recognized in the period in which the contract is closed or the changes occur, respectively, and are included in the Statements of Income and Expenses and Changes in Partners’ Capital.

The Partnership and the Funds do not isolate that portion of the results of operations arising from the effect of changes in foreign exchange rates on investments from fluctuations from changes in market prices of investments held. Such fluctuations are included in net gain (loss) on investments in the Statements of Income and Expenses and Changes in Partners’ Capital.

London Metals Exchange Forward Contracts. Metal contracts traded on the London Metals Exchange (“LME”) represent a firm commitment to buy or sell a specified quantity of aluminum, copper, lead, nickel, tin or zinc. LME contracts traded by the Partnership and the Funds are cash settled based on prompt dates published by the LME. Payments (“variation margin”) may be made or received by the Partnership and the Funds each business day, depending on the daily fluctuations in the value of the underlying contracts, and are recorded as unrealized gains or losses by the Partnership and the Funds. A contract is considered offset when all long positions have been matched with a like number of short portions settling on the same prompt date. When the contract is closed at the prompt date, the Partnership and the Funds record a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. Transactions in LME contracts require participants to make both initial margin deposits of cash or other assets and variation margin deposits, through the broker, directly with the LME. Realized gains (losses) and changes in unrealized gains (losses) on metal contracts are included in the Statements of Income and Expenses and Changes in Partners’ Capital.

Options. The Partnership and Funds may purchase and write (sell) both exchange listed and over-the-counter, options on commodities or financial instruments. An option is a contract allowing, but not requiring, its holder to buy (call) or sell (put) a specific or standard commodity or financial instrument at a specified price during a specified time period. The option premium is the total price paid or received for the option contract. When the Partnership and the Funds write an option, the premium received is recorded as a liability in the Statements of Financial Condition and marked to market daily. When the Partnership and the Funds purchase an option, the premium paid is recorded as an asset in the Statements of Financial Condition and marked to market daily. Realized gains (losses) and changes in unrealized gains (losses) on options contracts are included in the Statements of Income and Expenses and Changes in Partners’ Capital.

Brokerage Commissions. Commission charges to open and closed futures and exchange-traded swap contracts are expensed at the time the positions are opened. Commission charges on option contracts are expensed at the time the position is established and when the option contract is closed.

Income Taxes. Income taxes have not been provided as each partner is individually liable for the taxes, if any, on their share of the Partnership’s income and expenses.

Orion Futures Fund L.P.
Notes to Financial Statements
September 30, 2010
(Unaudited)

ASC 740, Income Taxes, provides guidance for how uncertain tax positions should be recognized, measured, presented and disclosed in the financial statements. ASC 740 requires the evaluation of tax positions taken or expected to be taken in the course of preparing the Partnership’s financial statements to determine whether the tax positions are “more-likely-than-not” to be sustained by the applicable tax authority. Tax positions with respect to tax at the Partnership level not deemed to meet the “more-likely-than-not” threshold would be recorded as a tax benefit or expense in the current year. The General Partner has concluded that no provision for income tax is required in the Partnership’s financial statements.

The following is the major tax jurisdiction for the Partnership and the earliest tax year subject to examination: United States – 2007.

Subsequent Events. In 2009, the Partnership adopted ASC 855, Subsequent Events. The objective of ASC 855 is to establish general standards of accounting for and disclosure of events that occur after the balance sheet date but before financial statements are filed. Management has assessed the subsequent events through the date of filing and has determined that there were no subsequent events requiring adjustment in the financial statements.

Recent Accounting Pronouncements. In January 2010, the Financial Accounting Standards Board (“FASB”) issued guidance, which, among other things, amends ASC 820, Fair Value Measurements and Disclosures, to require entities to separately present purchases, sales, issuances, and settlements in their reconciliation of Level 3 fair value measurements (i.e., to present such items on a gross basis rather than on a net basis), and which clarifies existing disclosure requirements regarding the level of disaggregation and the inputs and valuation techniques used to measure fair value for measurements that fall within either Level 2 or Level 3 of the fair value hierarchy. This guidance is effective for interim and annual periods beginning after December 15, 2009, except for the disclosures about purchases, sales, issuances, and settlements in the roll forward of activity in Level 3 fair value measurements which are effective for fiscal years beginning after December 15, 2010, and for interim periods within those fiscal years. The adoption of this guidance did not have a material impact on the Partnership’s financial statements.

In February 2010, the FASB issued Accounting Standards UpdateNo. 2010-09 (“ASU2010-09”), “Subsequent Events (Topic 855): Amendments to Certain Recognition and Disclosure Requirements,” which among other things amended ASC 855 to remove the requirement for an SEC filer to disclose the date through which subsequent events have been evaluated. This change alleviates potential conflicts between ASC 855 and the SEC’s requirements. All of the amendments in this update were effective upon issuance of this update. Management has included the provisions of these amendments in the financial statements.

Net income (loss) per Redeemable Unit and General Partner Unit Equivalents. Net income (loss) per unit is calculated in accordance with investment company guidance. See Note 2, “Financial Highlights”.

8. Subsequent Event:

In 2009, Morgan Stanley and Citigroup combined certain assets of the Global Wealth Management Group of Morgan Stanley & Co. Incorporated, including Demeter Management LLC (“Demeter”) and the Smith Barney division of CGM into a new joint venture, MSSB Holdings. As part of that transaction Ceres Managed Futures LLC (“Ceres” or the “General Partner”) was contributed to and, together with Demeter, became wholly-owned subsidiaries of MSSB Holdings. Demeter currently serves as commodity pool operator for various legacy Morgan Stanley sponsored commodity pools formed prior to the joint venture. Since their contribution to the joint venture, Demeter and Ceres have worked closely to align the operations and management of the commodity pools they oversee. As a result, MSSB Holdings, together with the unanimous support of the Boards of Directors of Demeter and Ceres, has determined that a combination of the assets and operations of Demeter and Ceres into a single commodity pool operator, Ceres, is in the best interest of limited partners and believes that this combination will achieve the intended benefits of the joint venture. Ceres will continue to be wholly-owned by MSSB Holdings. The targeted effective date of the combination is on or about December 1, 2010. Refer to Form 8-K filed on September 14, 2010 for additional information.


Item 2.	Management’s Discussion and Analysis of Financial Condition and Results of Operations.

Liquidity and Capital Resources

The Partnership does not engage in sales of goods or services. The Partnership’s assets are its (i) investment in Funds, (ii) equity in its commodity futures trading account, consisting of cash and cash equivalents, net unrealized appreciation on open futures and forward contracts, and (iii) interest receivables. Because of the low margin deposits normally required in commodity futures trading, relatively small price movements may result in substantial losses to the Partnership, through its direct investments and investment in the Funds. While substantial losses could lead to a material decrease in liquidity, no such illiquidity occurred in the third quarter of 2010.

The Partnership’s capital consists of the capital contributions of the partners as increased or decreased by realized and/or unrealized gains or losses on trading and by expenses, interest income, additions and redemptions of Redeemable Units and distributions of profits, if any.

For the nine months ended September 30, 2010, Partnership capital increased 32.9% from $815,786,554 to $1,084,182,965. This increase was attributable to the addition of 138,427.6992 Redeemable Units totaling $364,108,030 and 1,134.0389 General Partner unit equivalents totaling $2,975,000, which was partially offset by a net loss from operations of $14,402,377 coupled with the redemptions of 32,138.9540 Redeemable Units totaling $84,284,242. Future redemptions can impact the amount of funds available for investment in commodity contract positions in subsequent periods.

Critical Accounting Policies

Partnership’s and the Funds’ Fair Value Measurements. The Partnership and the Funds adopted ASC 820 as of January 1, 2008, which defines fair value as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. The Partnership and the Funds did not apply the deferral allowed by ASC 820 for nonfinancial assets and nonfinancial liabilities measured at fair value on a nonrecurring basis.

Futures Contracts. The Partnership and the Funds trade futures contracts and exchange-cleared swaps. Exchange-cleared swaps are swaps that are traded as futures. The Partnership considers exchange-cleared swaps to be futures contracts. A futures contract is a firm commitment to buy or sell a specified quantity of investments, currency or a standardized amount of a deliverable grade commodity, at a specified price on a specified future date, unless the contract is closed before the delivery date, or if the delivery quantity is something where physical delivery cannot occur (such as the S&P 500 Index), whereby such contract is settled in cash. Payments (“variation margin”) may be made or received by the Partnership and the Funds each business day, depending on the daily fluctuations in the value of the underlying contracts, and are recorded as unrealized gains or losses by the Partnership and Funds. When the contract is closed, the Partnership and the Funds record a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. Transactions in futures contracts require participants to make both initial margin deposits of cash or other assets and variation margin deposits, through the futures broker, directly with the exchange on which the contracts are traded. Realized gains (losses) and changes in unrealized gains (losses) on futures contracts are included in the Statements of Income and Expenses and Changes in Partners’ Capital.

London Metals Exchange Forward Contracts. Metal contracts traded on the London Metals Exchange (“LME”) represent a firm commitment to buy or sell a specified quantity of aluminum, copper, lead, nickel, tin or zinc. LME contracts traded by the Partnership and the Funds are cash settled based on prompt dates published by the LME. Payments (“variation margin”) may be made or received by the Partnership and the Funds each business day, depending on the daily fluctuations in the value of the underlying contracts, and are recorded as unrealized gains or losses by the Partnership and the Funds. A contract is considered offset when all long positions have been matched with a like number of short positions settling on the same prompt date. When the contract is closed at the prompt date, the Partnership and the Funds record a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. Transactions in LME contracts require participants to make both initial margin deposits of cash or other assets and variation margin deposits, through the broker, directly with the LME. Realized gains (losses) and changes in unrealized gains (losses) on metal contracts are included in the Statements of Income and Expenses and Changes in Partners’ Capital.

Results of Operations

During the Partnership’s third quarter of 2010 the net asset value per unit increased 1.5% from $2,603.11 to $2,642.21 as compared to a decrease of 1.4% in the third quarter of 2009. The Partnership experienced a net trading gain before brokerage commissions and related fees in the third quarter of 2010 of $27,509,934. Gains were primarily attributable to the Partnership’s/Funds’ trading of currencies, grains, U.S. and non-U.S. interest rates, softs, livestock and metals and were partially offset by losses in energy and indices. The Partnership experienced a net trading loss before brokerage commissions and related fees in the third quarter of 2009 of $2,355,578. Losses were primarily attributable to the Partnership’s/Funds’ trading of currencies, energy, indices and livestock and were partially offset by gains in grains, U.S. and non-U.S. rates, metals and softs.

The third quarter macro environment was marked by changes in market sentiment. While some doubted the credibility of the European bank stress test, it was well received by the market in July as it removed some of the worst fears through increased bank level balance sheet transparency. Fears that the recovery in the global economy may be stalling had a pivotal effect on markets during August. Economic releases in the U.S. continued to deteriorate; employment data suggested that the labor market recovery was slowing while subsequent news on manufacturing and retail sales also disappointed. As the quarter come to an end in September, there was a sense of market optimism for the majority of commodity and stock indices, as an overall rally was supported by favorable economic data not only in the U.S. but in emerging economies as well. U.S. data releases showed improvements in employment conditions, growth amongst manufacturers and stabilization in the housing sector. Elsewhere, Chinese industrial production rose to signal accelerating growth while the European Commission revised higher growth forecasts for the region’s economy. Gains were accumulated for the quarter on trading in fixed income, agricultural and metals sectors.

The most significant gains for the quarter were during August in the fixed income sector from long positions in European, U.S. and Australian fixed income futures as prices climbed higher due to concern that European governments may struggle to repay their debt, while reports added to evidence that Chinese economic growth may be slowing. Prices continued to move higher after reports on manufacturing in the New York region, U.S. home-builder confidence and Japanese GDP fueled worries over the global economy and spurred demand for the relative “safety” of government bonds. Gains were also recorded in agricultural markets in September as prices in the soybean complex rose amid concerns that reduced rains in Brazil and Argentina may diminish crop yields. Elsewhere, prices of corn futures advanced to the highest level in almost two years as freezing weather threatened crops in China and Canada, and a prolonged drought slowed planting in Russia. Prices in soft commodities markets also rallied, primarily in cotton and sugar, resulting in profits for the Partnership. Prices of cotton futures rallied on concern that supplies might fall short amid rising demand from Asia and prices of sugar futures reached a seven-month high as dry weather threatened crops in Brazil, the world’s biggest grower of sugar. Profits were also realized from trading in both precious and base metals. Despite a flight to riskier assets, weakness in the U.S. dollar pushed gold prices to a new record high above $1,300 and silver prices to the highest closing levels since 1980.

During the Partnership’s nine months ended September 30, 2010, the net asset value per unit decreased 1.9% from $2,693.18 to $2,642.21 as compared to a decrease of 3.1% for the nine months ended September 30, 2009. The Partnership experienced a net trading gain before brokerage commissions and related fees for the nine months ended September 30, 2010 of $16,110,040. Gains were primarily attributable to the Partnership’s/Fund’s trading of currencies, grains, U.S. and non-U.S. interest rates and softs and were partially offset by losses in livestock, energy, metals and indices. The Partnership experienced a net trading gain before brokerage commissions and related fees for the nine months ended September 30, 2009 of $378,403. Gains were primarily attributable to the Partnership’s/Fund’s trading of energy, grains and metals and were partially offset by losses in currencies, U.S. and non-U.S. interest rates, livestock, softs, lumber and indices.

Commodity futures markets are highly volatile. The potential for broad and rapid price fluctuations increases the risks involved in commodity trading, but also increases the possibility of profit. The profitability of the Partnership/Funds depends on the existence of major price trends and the ability of the Advisors to correctly identify those price trends. Price trends are influenced by, among other things, changing supply and demand relationships, weather, governmental, agricultural, commercial and trade programs and policies, national and international political and economic events and changes in interest rates. To the extent that market trends exist and the Advisors are able to identify them, the Partnership expects to increase capital through operations.

Interest income on 100% of the Partnership’s average daily equity maintained in cash in the Partnership’s (or the Partnership’s allocable portion of a Fund’s) brokerage account was earned at a 30-day U.S. Treasury bill rate determined weekly by CGM based on the average non-competitive yield on 3-month U.S. Treasury bills maturing in 30 days from the date on which such weekly rate is determined. CGM may continue to maintain the Partnership’s assets in cash and/or place up to all of the Partnership’s (or a Fund’s) assets in 90-day Treasury bills and pay the Partnership 100% of the interest earned on the U.S. Treasury bills purchased. Interest income for the three and nine months ended September 30, 2010 increased by $155,399 and $256,187 respectively, as compared to the corresponding periods in 2009. The increase in interest income is primarily due to higher average adjusted net assets during the three and nine months ended September 30, 2010, as compared to the corresponding periods in 2009. Interest earned by the Partnership will increase the net asset value of the Partnership. The amount of interest income earned by the Partnership depends on the average daily equity in the Partnership’s and the Funds’ accounts and upon interest rates over which neither the Partnership nor CGM has control.

Brokerage commissions are based on the number of trades executed by the Advisors. Accordingly, they must be compared in relation to the number of trades executed during the period. Brokerage commissions and fees for the three and nine months ended September 30, 2010 increased by $692,107 and $3,641,374, respectively, as compared to the corresponding periods in 2009. The increase in brokerage commissions and fees is primarily due to higher average adjusted net assets during the three and nine months ended September 30, 2010, as compared to the corresponding periods in 2009.

Management fees are calculated as a percentage of the Partnership’s net asset value as of the end of each month and are affected by trading performance, additions and redemptions. Management fees for the three and nine months ended September 30, 2010 increased by $1,371,001 and $3,640,040, respectively, as compared to the corresponding periods in 2009. The increase in management fees is due to higher average adjusted net assets during the three and nine months ended September 30, 2010, as compared to the corresponding periods in 2009.

Administrative fees are paid to the General Partner for administering the business and affairs of the Partnership. These fees are calculated as a percentage of the Partnership’s net asset value as of the end of each month and are affected by trading performance, additions and redemptions. Administrative fees for the three and nine months ended September 30, 2010 increased by $413,649 and $1,086,670, respectively, as compared to the corresponding periods in 2009. The increase in administrative fees is due to higher average adjusted net assets during the three and nine months ended September 30, 2010, as compared to the corresponding periods in 2009.

Incentive fees paid by the Partnership are based on the new trading profits generated by each Advisor at the end of the quarter, as defined in the management agreements among the Partnership, the General Partner and each Advisor. An Advisor will not be paid incentive fees until such Advisor recovers any loss incurred by the Advisor and earns additional new trading profits for the Partnership. Trading performance for the three and nine months ended September 30, 2010 resulted in incentive fees of $2,506,281 and $4,395,222, respectively. Trading performance for the three and nine months ended September 30, 2009 resulted in incentive fees of $1,035,966 and $4,138,088, respectively.

In allocating the assets of the Partnership among the trading advisors, the General Partner considers past performance, trading style, volatility of markets traded and fee requirements. The General Partner may modify or terminate the allocation of assets among trading advisors and may allocate assets to additional advisors at any time.


Item 3.	Quantitative and Qualitative Disclosures about Market Risk

The Partnership/Funds are speculative commodity pools. The market sensitive instruments held by the Partnership/Funds are acquired for speculative trading purposes, and all or substantially all of the Partnership’s/Funds’ assets are subject to the risk of trading loss. Unlike an operating company, the risk of market sensitive instruments is integral, not incidental, to the Partnership’s/Funds’ main lines of business.

The risk to the Limited Partners that have purchased interests in the Partnership is limited to the amount of their capital contributions to the Partnership and their share of the Partnership’s assets and undistributed profits. This limited liability is a consequence of the organization of the Partnership as a limited partnership under applicable law.

Market movements result in frequent changes in the fair value of the Partnership’s/Funds’ open contracts and, consequently, in their earnings and cash balances. The Partnership’s/Funds’ market risk is influenced by a wide variety of factors, including the level and volatility of interest rates, exchange rates, equity price levels, the fair value of financial instruments and contracts, the diversification effects among the Partnership’s/Funds’ open contracts and the liquidity of the markets in which they trade.

The Partnership/Funds rapidly acquire and liquidate both long and short positions in a wide range of different markets. Consequently, it is not possible to predict how a particular future market scenario will affect performance, and the Partnership’s/Funds’ past performances are not necessarily indicative of their future results.

Value at Risk is a measure of the maximum amount which the Partnership/Funds could reasonably be expected to lose in a given market sector. However, the inherent uncertainty of the Partnership’s/Funds’ speculative trading and the recurrence in the markets traded by the Partnership/Funds of market movements far exceeding expectations could result in actual trading or non-trading losses far beyond the indicated Value at Risk or the Partnership’s/Funds’ experience to date (i.e., “risk of ruin”). In light of the foregoing, as well as the risks and uncertainties intrinsic to all future projections, the inclusion of the quantification in this section should not be considered to constitute any assurance or representation that the Partnership’s/Funds’ losses in any market sector will be limited to Value at Risk or by the Partnership’s/Funds’ attempts to manage their market risk.

Exchange maintenance margin requirements have been used by the Partnership/Funds as the measure of their Value at Risk. Maintenance margin requirements are set by exchanges to equal or exceed the maximum losses reasonably expected to be incurred in the fair value of any given contract in 95%-99% of anyone-day interval. Maintenance margin has been used rather than the more generally available initial margin, because initial margin includes a credit risk component, which is not relevant to Value at Risk.

Value at Risk tables represent a probabilistic assessment of the risk of loss in market risk sensitive instruments. The Partnership’s Advisors currently trade the Partnership’s assets indirectly in master fund managed accounts over which they have been granted limited authority to make trading decisions. Willowbridge also directly trades managed accounts in the Partnership’s name. The first trading Value at Risk table reflects the market sensitive instruments held by the Partnership directly and through its investment in the Funds. The remaining trading Value at Risk tables reflect the market sensitive instruments held by the Partnership directly (i.e., in the managed account in the Partnership’s name traded by Willowbridge) and indirectly by each Fund separately. There has been no material change in the trading Value at Risk information previously disclosed in the Partnership’s Annual Report on Form 10-K, as amended, for the year ended December 31, 2009.

The following table indicates the trading Value at Risk associated with the Partnership’s open positions by market category as of September 30, 2010. As of September 30, 2010, the Partnership’s total capitalization was $1,084,182,965.

September 30, 2010
(Unaudited)


	Value at		% of Total
Market Sector	Risk		Capitalization
Currencies	$	11,803,380		1.09	%
Energy		30,422,240		2.81	%
Grains		4,245,821		0.39	%
Interest Rates U.S.		6,776,550		0.63	%
Interest Rates Non-U.S.		8,722,416		0.80	%
Livestock		503,741		0.05	%
Lumber		10,978		0.00	%*
Metals		14,352,475		1.32	%
Softs		3,579,463		0.33	%
Indices		7,496,577		0.69	%

Total	$	87,913,641		8.11	%

* Due to rounding

The following tables indicate the trading Value at Risk associated with the Partnership’s direct investments and indirect investments in the Funds by market sector category as of September 30, 2010, the highest, lowest and average values at any point during the three months ended September 30, 2010. All open positions trading risk exposures have been included in calculating the figures set forth below.

As of September 30, 2010, the Partnership’s Value at Risk for the portion of its assets that are traded directly by Willowbridge was as follows:

September 30, 2010
(Unaudited)


						Three months ended September 30, 2010
	Value at		% of Total			High		Low		Average Value
Market Sector	Risk		Capitalization			Value at Risk		Value at Risk		at Risk*
Currencies	$	1,463,699		0.12	%	$	3,324,728	$	1,106,838	$	1,641,892
Energy		2,251,200		0.21	%		3,894,100		516,100		2,561,333
Grains		1,274,483		0.12	%		4,029,150		330,240		1,710,003
Interest Rates U.S.		408,150		0.04	%		1,314,150		120,312		737,233
Interest Rates Non-U.S.		863,469		0.08	%		2,067,837		568,577		177,752
Livestock		192,200		0.02	%		394,450		79,100		220,783
Metals		8,209,408		0.76	%		10,415,660		260,649		8,832,514
Softs		1,289,925		0.12	%		2,829,825		708,675		1,545,142
Indices		18,000		0.00	%**		135,000		9,000		54,000

Total	$	15,970,534		1.47	%


*		Average of month-end Values at Risk.

Due to rounding

As of September 30, 2010, AAA Master’s total capitalization was $1,021,432,775. The Partnership owned approximately 26.2% of AAA Master. As of September 30, 2010, AAA Master’s Value at Risk for its assets (including the portion of the Partnership’s assets allocated to AAA for trading) was as follows:

September 30, 2010
(Unaudited)


						Three months ended September 30, 2010
			% of Total			High		Low		Average
Market Sector	Value at Risk		Capitalization			Value at Risk		Value at Risk		Value at Risk*

Energy	$	100,250,545		9.82	%	$	131,455,008	$	67,777,807	$	95,952,362
Lumber		41,900		0.00	%**		88,100		41,900		55,033

Total	$	100,292,445		9.82	%


*		Average monthly Values at Risk.

**		Due to rounding.

As of September 30, 2010, Willowbridge Master’s total capitalization was $217,578,187. The Partnership owned approximately 66.8% of Willowbridge Master. As of September 30, 2010, Willowbridge Master’s Value at Risk for its assets (including the portion of the Partnership’s assets allocated to Willowbridge for trading in Willowbridge Master) was as follows:

September 30, 2010
(Unaudited)


						Three months ended September 30, 2010
	Value at		% of Total			High		Low		Average
Market Sector	Risk		Capitalization			Value at Risk		Value at Risk		Value at Risk*

Currencies	$	4,332,223		2.00	%	$	7,096,121	$	940,854	$	4,094,533
Energy		1,020,000		0.47	%		6,539,400		480,000		2,750,750
Grains		1,304,750		0.60	%		3,762,750		510,840		1,211,150
Interest Rates U.S.		1,555,500		0.71	%		3,269,700		780,800		1,930,233
Interest Rates Non-U.S.		1,876,018		0.86	%		5,489,653		640,428		2,375,204
Livestock		108,800		0.05	%		108,800		44,800		99,900
Metals		3,379,005		1.55	%		3,379,005		1,105,260		2,121,300
Softs		2,284,000		1.05	%		3,388,150		799,500		1,454,633

Total	$	15,860,296		7.29	%


*		Average of month-end Values at Risk.

As of September 30, 2010, Winton Master’s total capitalization was $799,519,433. The Partnership owned approximately 59.5% of Winton Master. As of September 30, 2010, Winton Master’s Value at Risk for its assets (including the portion of the Partnership’s assets allocated to Winton for trading) was as follows:

September 30, 2010
(Unaudited)


						Three months ended September 30, 2010
			% of Total			High		Low		Average
Market Sector	Value at Risk		Capitalization			Value at Risk		Value at Risk		Value at Risk*
Currencies	$	12,513,875		1.56	%	$	13,529,797	$	5,424,505	$	9,313,786
Energy		2,057,205		0.26	%		3,640,200		236,988		1,971,144
Grains		3,529,016		0.44	%		3,529,016		556,164		2,253,529
Interest Rates U.S.		8,956,850		1.12	%		10,348,050		7,407,050		8,348,717
Interest Rates Non-U.S.		11,102,130		1.39	%		13,490,861		8,749,852		10,172,949
Livestock		401,450		0.05	%		401,450		190,900		286,400
Metals		6,530,911		0.82	%		6,530,911		3,939,668		4,957,860
Softs		1,283,742		0.16	%		1,283,742		708,094		1,055,530
Indices		12,569,037		1.57	%		12,569,036		2,382,812		6,125,469

Total	$	58,944,216		7.37	%


*		Average of month-end Values at Risk.


Item 4.	Controls and Procedures

The Partnership’s disclosure controls and procedures are designed to ensure that information required to be disclosed by the Partnership on the reports that it files or submits under the Securities Exchange Act of 1934, as amended (the “Exchange Act”), is recorded, processed, summarized and reported within the time periods expected in the SEC’s rules and forms. Disclosure controls and procedures include controls and procedures designed to ensure that information required to be disclosed by the Partnership in the reports it files is accumulated and communicated to management, including the Chief Executive Officer (the “CEO”) and Chief Financial Officer (the “CFO”) of the General Partner, to allow for timely decisions regarding required disclosure and appropriate SEC filings.

Management is responsible for ensuring that there is an adequate and effective process for establishing, maintaining and evaluating disclosure controls and procedures for the Partnership’s external disclosures.

The General Partner’s CEO and CFO have evaluated the effectiveness of the Partnership’s disclosure controls and procedures (as defined inRules 13a-15(e) and15d-15(e) under the Exchange Act) as of September 30, 2010 and, based on that evaluation, the General Partner’s CEO and CFO have concluded that at that date the Partnership’s disclosure controls and procedures were effective.

The Partnership’sinternal control over financial reportingis a process under the supervision of the General Partner’s CEO and CFO to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements in accordance with GAAP. These controls include policies and procedures that:


	•	pertain to the maintenance of records that in reasonable detail accurately and fairly reflect the transactions and dispositions of the assets of the Partnership;

	•	provide reasonable assurance that (i) transactions are recorded as necessary to permit preparation of financial statements in accordance with GAAP, and (ii) the Partnership’s receipts are handled and expenditures are made only pursuant to authorizations of the General Partner; and

	•	provide reasonable assurance regarding prevention or timely detection of unauthorized acquisition, use or disposition of the Partnership’s assets that could have a material effect on the financial statements.

There were no changes in the Partnership’s internal control over financial reporting process during the fiscal quarter ended September 30, 2010 that materially affected, or are reasonably likely to materially affect, the Partnership’s internal control over financial reporting.

PART II. OTHER INFORMATION


Item 1.	Legal Proceedings.

There are no material changes to the discussion set forth under Part I, Item 3, “Legal Proceedings” in the Partnership’s Annual Report on Form 10-K, as amended, for the fiscal year ended December 31, 2009, as updated by the Partnership’s Quarterly Reports on Form 10-Q for the quarters ended March 31, 2010 and June 30, 2010.


Item 1A.	Risk Factors.

There have been no material changes to the risk factors set forth under Part I, Item 1A. “Risk Factors” in the Partnership’s Annual Report on Form 10-K, as amended, for the fiscal year ended December 31, 2009 and under Part II, Item 1A, “Risk Factors” in the Partnership’s Quarterly Report on Form 10-Q for the quarters ended March 31, 2010 and June 30, 2010.


Item 2.	Unregistered Sales of Equity Securities and Use of Proceeds.

For the three months ended September 30, 2010 there were additional sales to Limited Partners of 28,992.9249 Redeemable Units totaling $75,675,700. The Redeemable Units were issued in reliance upon applicable exemptions from registration under Section 4(2) of the Securities Act of 1933, as amended, and Section 506 of Regulation D promulgated there under.

Net proceeds from the sale of additional Redeemable Units are used in the trading of commodity interests including futures contracts, options, forwards and swap contracts.

These Redeemable Units were purchased by accredited investors as defined in Regulation D as well as to a small number of persons who are non-accredited investors. The following chart sets forth the purchases of Redeemable Units by the Partnership.

(d) Maximum Number

(c) Total Number of

(or Approximate

Redeemable

Dollar Value) of

(b) Average

Units Purchased

Redeemable Units

(a) Total Number of

Price Paid per

as Part of

that May Yet Be

Redeemable

Publicly Announced

Purchased Under the

Period

Units Purchased*

Unit**

Plans or Programs

July 1, 2010 –
July 31, 2010

2,674.0263

2,583.50

N/A

August 1, 2010 –
August 31, 2010

2,983.3913

2,643.41

N/A

September 1, 2010 –
September 30, 2010

3,956.5083

2,642.21

N/A

Total

9,613.9259

2,626.25

* Generally, Limited Partners are permitted to redeem their Redeemable Units as of the last day of each month on 10 days’ notice to the General Partner. Under certain circumstances, the General Partner can compel redemption but to date the General Partner has not exercised this right. Purchases of Redeemable Units by the Partnership reflected in the chart above were made in the ordinary course of the Partnership’s business in connection with effecting redemptions for Limited Partners.

** Redemptions of Redeemable Units are effected as of the last day of each month at the net asset value per Redeemable Unit as of that day. No fee will be charged for redemptions.


Item 3.	Defaults Upon Senior Securities. None.


Item 4.	[Removed and Reserved]


Item 5.	Other Information. None.


Item 6.	Exhibits

3.1		Second Amended and Restated Limited Partnership Agreement (filed as Exhibit 3.1 to current report on Form 8-K/A filed on December 28, 2009).

3.2		Certificate of Limited Partnership of the Partnership as filed in the office of the Secretary of State of the State of the State of New York (filed as Exhibit 3.(I) to the general form for registration of securities on Form 10 filed on May 1, 2003).

	(a)		1^st Certificate of Amendment to the Certificate of Limited Partnership as filed in the office of the Secretary of State of the State of New York, dated April 3, 2001 (filed as Exhibit 3.(I) to the general form for registration of securities on Form 10 filed on May 1, 2003).

	(b)		2^nd Certificate of Amendment to the Certificate of Limited Partnership as filed in the office of the Secretary of State of the State of New York, dated May 21, 2003 (filed as Exhibit 3.2(b) to the Form 10-Q filed on November 16, 2009).

	(c)		3^rd Certificate of Amendment to the Certificate of Limited Partnership as filed in the office of the Secretary of State of the State of New York, dated September 21, 2005 (filed as Exhibit 3.2(c) to the Form 10-Q filed on November 16, 2009).

	(d)		4^th Certificate of Amendment to the Certificate of Limited Partnership as filed in the office of the Secretary of State of the State of New York, dated August 27, 2008 (filed as Exhibit 99.1 to current report on Form 8-K filed on September 2, 2008).

	(e)		5^th Certificate of Amendment to the Certificate of Limited Partnership as filed in the office of the Secretary of State of the State of New York, dated September 19, 2008 (filed as Exhibit 3.2(e) to the Form 10-Q filed on November 16, 2009).

	(f)		6^th Certificate of Amendment to the Certificate of Limited Partnership as filed in the office of the Secretary of State of the State of New York, dated September 30, 2009 (filed as Exhibit 99.1(a) to current report on Form 8-K filed on September 30, 2009).

	(g)		1^st Certificate of Change to the Certificate of Limited Partnership as filed in the office of the Secretary of State of the State of New York, dated January 31, 2000 (filed as Exhibit 3.2(g) to the Form 10-Q filed on November 16, 2009).

	(h)		Certificate of Amendment of the Certificate of Limited Partnership of the Partnership as filed in the office of the Secretary of State of the State of New York, dated June 29, 2010 (filed as exhibit 3.1(h) to the Form 8-K filed on July 2, 2010).

10.1

Management Agreement among the Partnership, Smith Barney Futures Management Inc., SFG Global Investments, Inc. and AAA Capital Management Inc. (filed as Exhibit 10 to the general form for registration of securities on Form 10 filed on May 1, 2003).

(a)

First Amendment to the Management Agreement among the Partnership, Smith Barney Futures Management Inc., SFG Global Investments, Inc. and AAA Capital Management Inc. (filed as Exhibit 10 to the general form for registration of securities on Form 10 filed on May 1, 2003).

	(b)		Second Amendment to the Management Agreement among Citigroup Managed Futures LLC and AAA Capital Management Inc. (filed as Exhibit 33 to the quarterly report on Form 10-Q filed on August 14, 2006).

	(c)		Letter extending the Management Agreements between the General Partner and AAA Capital Management Inc. for 2009 (filed as Exhibit 10.1(c) to the annual report on Form 10-K filed on March 31, 2010).

10.2

Management Agreement among the Partnership, Smith Barney Futures Management Inc., SFG Global Investments, Inc. and Willowbridge Associates Inc. (filed as Exhibit 10 to the general form for registration of securities on Form 10 filed on May 1, 2003).

	(a)		First Amendment to the Management Agreement among the Partnership, Smith Barney Futures Management Inc., SFG Global Investments, Inc. and Willowbridge Associates Inc. (filed as Exhibit 10 to the general form for registration of securities on Form 10 filed on May 1, 2003).

	(b)		Letter extending the Management Agreement between the General Partner and Willowbridge Associates Inc. for 2009 (filed as Exhibit 10.2(b) to the annual report on Form 10-K filed on March 31, 2010).

10.3

Management Agreement among the Partnership, Citigroup Managed Futures LLC and Winton Capital Management Limited (filed as Exhibit 10 to the annual report on Form 10-K filed on March 15, 2004).

(a)

Letter extending the Management Agreement between the General Partner and Winton Capital Management Limited for 2009 (filed as Exhibit 10.3(b) to the annual report on Form 10-K filed on March 31, 2010).

10.4		Amended and Restated Customer Agreement between the Partnership and Salomon Smith Barney Inc. (filed as Exhibit 10 to the general form for registration of securities on Form 10 filed on May 1, 2003).

10.5		Second Amended and Restated Agency Agreement between the Partnership, Ceres Managed Futures LLC, Morgan Stanley Smith Barney LLC and CGM Inc. (filed as Exhibit 10.5 to the Form 10-Q filed on November 16, 2009).

10.6		Form of Subscription Agreement (filed as Exhibit 10.5 to the Form 10-Q filed on November 16, 2009).

10.7		Form of Third-Party Subscription Agreement (filed as Exhibit 10.5 to the Form 10-Q filed on November 16, 2009).

10.8		Joinder Agreement among Citigroup Managed Futures LLC, CGM Inc. and Morgan Stanley Smith Barney LLC (filed as Exhibit 10 to the quarterly report on Form 10-Q filed on August 14, 2009).

Exhibit 31.1 — Rule 13a-14(a)/15d-14(a) Certification (Certification of President and Director)

Exhibit 31.2 — Rule 13a-14(a)/15d-14(a) Certification (Certification of Chief Financial Officer, Secretary and Director)

Exhibit 32.1 — Section 1350 Certification (Certification of President and Director)

Exhibit 32.2 — Section 1350 Certification (Certification of Chief Financial Officer, Secretary and Director)

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned thereunto duly authorized.

ORION FUTURES FUND L.P.


By:	Ceres Managed Futures LLC

(General Partner)


By:	/s/ Walter Davis

Walter Davis

President and Director


Date:	November 12, 2010


By:	/s/ Jennifer Magro

Jennifer Magro

Chief Financial Officer, Secretary and Director

(Principal Accounting Officer)


Date:	November 12, 2010

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Ceres Orion (OFFLP) 10-Q2010 Q3 Quarterly report

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