Emerging Cta Portfolio 10Q 2011 Q1 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 March 31, 2011

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 Number0-53211

EMERGING CTA PORTFOLIO L.P.

(Exact name of registrant as specified in its charter)


New York		04-3768983

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

c/o Ceres Managed Futures LLC

522 Fifth Avenue - 14^th 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 the 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 (Do not check if a smaller reporting company)	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 April 30, 2011, 137,876.5083 Limited Partnership Redeemable Units were outstanding.

EMERGING CTA PORTFOLIO L.P.

FORM 10-Q

INDEX


		Page
		Number

PART I - Financial Information:

Item 1.	Financial Statements:

	Statements of Financial Condition at March 31, 2011 (unaudited) and December 31, 2010	3

	Condensed Schedules of Investments at March 31, 2011 (unaudited) and December 31, 2010	4 – 5

	Statements of Income and Expenses and Changes in Partners’ Capital for the three months ended March 31, 2011 and 2010 (unaudited)	6

	Notes to Financial Statements (unaudited)	7 – 17

Item 2.	Management’s Discussion and Analysis of Financial Condition and Results of Operations	18 – 19

Item 3.	Quantitative and Qualitative Disclosures about Market Risk	20 – 25

Item 4.	Controls and Procedures	26

PART II - Other Information		27 – 31

Exhibits
Exhibit 31.1 Certification
Exhibit 31.2 Certification
Exhibit 32.1 Certification
Exhibit 32.2 Certification

PART I

Item 1. Financial Statements

Emerging CTA Portfolio L.P.

Statements of Financial Condition


	(Unaudited)
	March 31,		December 31,
	2011		2010
Assets:
Investment in Funds, at fair value	$	136,996,940	$	93,009,857
Equity in trading account:
Cash		48,374,300		85,698,856
Cash margin		9,032,501		5,943,791
Net unrealized appreciation on open futures contracts		1,283,860		1,516,219
Net unrealized appreciation on open forward contracts		211,795		19,265
Options purchased, at fair value (cost $757,563 and $854,880 at March 31, 2011 and December 31, 2010, respectively)		892,156		901,226

		196,791,552		187,089,214
Interest receivable		2,966		7,439

Total assets	$	196,794,518	$	187,096,653


Liabilities and Partners’ Capital:
Liabilities:
Options premium received, at fair value (premium $44,100 and $0 at March 31, 2011 and December 31, 2010, respectively)	$	29,053	$	—
Accrued expenses:
Brokerage fees		573,899		545,698
Management fees		286,651		279,142
Administrative fees		81,700		77,685
Incentive fees		154,616		500,939
Other		111,726		107,923
Redemptions payable		2,179,801		2,059,665

Total liabilities		3,417,446		3,571,052

Partners’ Capital:
General Partner, 1,302.6036 unit equivalents outstanding at March 31, 2011 and December 31, 2010		1,874,746		1,927,332
Limited Partners, 133,059.0888 and 122,734.7189 Redeemable Units outstanding at March 31, 2011 and December 31, 2010, respectively		191,502,326		181,598,269

Total partners’ capital		193,377,072		183,525,601

Total liabilities and partners’ capital	$	196,794,518	$	187,096,653

Net asset value per unit	$	1,439.23	$	1,479.60

See accompanying notes to financial statements.

Emerging CTA Portfolio L.P.

Condensed Schedule of Investments
March 31, 2011
(Unaudited)


	Notional ($)/
	Number of					% of Partners’
	Contracts		Fair Value			Capital
Futures Contracts Purchased
Currencies		161	$	255,132			0.13	%
Energy		366		1,331,925			0.69
Grains		436		385,116			0.20
Indices		152		243,878			0.12
Interest Rates U.S.		1,486		(139,875	)		(0.07	)
Interest Rates Non-U.S.		487		(95,563	)		(0.05	)
Livestock		331		811,000			0.42
Metals		34		15,949			0.01
Softs		210		(227,436	)		(0.12	)

Total futures contracts purchased				2,580,126			1.33

Futures Contracts Sold
Currencies		122		(82,120	)		(0.04	)
Energy		226		(586,786	)		(0.30	)
Grains		265		118,383			0.06
Indices		118		(504,298	)		(0.26	)
Interest Rates U.S.		157		33,667			0.02
Interest Rates Non-U.S.		324		128,346			0.06
Livestock		242		(676,230	)		(0.35	)
Metals		8		(17,337	)		(0.01	)
Softs		132		290,109			0.15

Total futures contracts sold				(1,296,266	)		(0.67	)

Unrealized Appreciation on Open Forward Contracts
Currencies	$	132,865,599		1,956,590			1.01
Metals		455		1,472,745			0.76

Total unrealized appreciation on open forward contracts				3,429,335			1.77

Unrealized Depreciation on Open Forward Contracts
Currencies	$	124,787,967		(1,745,161	)		(0.90	)
Metals		411		(1,472,379	)		(0.76	)

Total unrealized depreciation on open forward contracts				(3,217,540	)		(1.66	)

Options Purchased
Calls
Metals		271		747,680			0.39
Puts
Grains		6		356			0.00	*
Softs		81		144,120			0.07

Total options purchased				892,156			0.46

Options Premium Received
Calls
Metals		92		(28,940	)		(0.01	)
Puts
Grains		6		(113	)		(0.00	)*

Total options premium received				(29,053	)		(0.01	)

Investment in Funds
CMF Altis Partners Master Fund L.P.				10,570,079			5.46
CMF Sasco Master Fund L.P.				16,032,181			8.29
Waypoint Master Fund L.P.				19,799,346			10.24
Blackwater Master Fund L.P.				24,247,798			12.54
PGR Master Fund L.P.				20,627,846			10.67
JEM Master Fund L.P.				23,134,406			11.96
CMF Cirrus Master Fund L.P.				22,585,284			11.68

Total investment in Funds				136,996,940			70.84

Net fair value			$	139,355,698			72.06	%


*		Due to rounding.

See accompanying notes to financial statements.

Emerging CTA Portfolio L.P.
Condensed Schedule of Investments
December 31, 2010


	Notional ($)/
	Number of					% of Partners’
	Contracts		Fair Value			Capital
Futures Contracts Purchased
Currencies		200	$	313,957			0.17	%
Energy		62		233,896			0.13
Grains		250		538,738			0.29
Indices		163		16,869			0.01
Interest Rates U.S.		592		135,855			0.07
Interest Rates Non-U.S.		640		125,143			0.07
Livestock		214		259,202			0.14
Metals		75		315,525			0.17
Softs		66		18,323			0.01

Total futures contracts purchased				1,957,508			1.06

Futures Contracts Sold
Currencies		114		(56,972	)		(0.03	)
Energy		159		(55,211	)		(0.03	)
Grains		75		(191,587	)		(0.10	)
Indices		97		156,446			0.09
Interest Rates U.S.		6		25			0.00	*
Interest Rates Non-U.S.		22		7,402			0.00	*
Livestock		170		(207,591	)		(0.11	)
Softs		115		(93,801	)		(0.05	)

Total futures contracts sold				(441,289	)		(0.23	)

Unrealized Appreciation on Open Forward Contracts
Currencies	$	76,652,847		1,610,313			0.88
Metals		92		805,081			0.44

Total unrealized appreciation on open forward contracts				2,415,394			1.32

Unrealized Depreciation on Open Forward Contracts
Currencies	$	69,670,836		(1,639,341	)		(0.89	)
Metals		88		(756,788	)		(0.41	)

Total unrealized depreciation on open forward contracts				(2,396,129	)		(1.30	)

Options Purchased
Calls
Energy		106		295,740			0.16
Metals		109		574,070			0.31
Softs		11		31,416			0.02

Total options purchased				901,226			0.49

Investment in Funds
CMF Altis Partners Master Fund L.P.				17,568,791			9.57
CMF Sasco Master Fund L.P.				18,664,413			10.17
Waypoint Master Fund L.P.				21,455,619			11.69
Blackwater Master Fund L.P.				20,047,327			10.92
PGR Master Fund L.P.				15,273,707			8.32

Total investment in Funds				93,009,857			50.67

Net fair value			$	95,446,567			52.01	%


*		Due to rounding.

See accompanying notes to financial statements.

Emerging CTA Portfolio L.P.

Statements of Income and Expenses and Changes in Partners’ Capital
(Unaudited)


	Three Months Ended
	March 31,
	2011			2010
Investment Income:
Interest income	$	14,284		$	13,402
Interest income from investment in Funds		32,198			12,067

Total investment income		46,482			25,469

Expenses:
Brokerage fees including clearing fees		2,042,893			1,693,330
Management fees		853,416			837,333
Administrative fees		240,335			209,333
Incentive fees		119,461			115,578
Other		137,521			165,210

Total expenses		3,393,626			3,020,784

Net investment income (loss)		(3,347,144	)		(2,995,315	)

Trading Results:
Net gains (losses) on trading of commodity interests and investment in Funds:
Net realized gains (losses) on closed contracts		(615,614	)		(2,611,442	)
Net realized gains (losses) on investment in Funds		1,905,764			(946,413	)
Change in net unrealized gains (losses) on open contracts		63,465			2,327,587
Change in net unrealized gains (losses) on investment in Funds		(3,312,682	)		4,590,105

Total trading results		(1,959,067	)		3,359,837

Net income (loss)		(5,306,211	)		364,522
Subscriptions — Limited Partners		20,606,111			12,618,000
Redemptions — Limited Partners		(5,448,429	)		(10,118,927	)

Net increase (decrease) in Partners’ Capital		9,851,471			2,863,595
Partners’ Capital, beginning of period		183,525,601			166,705,672

Partners’ Capital, end of period	$	193,377,072		$	169,569,267

Net asset value per unit (134,361.6924 and 120,312.1145 units outstanding at March 31, 2011 and 2010, respectively)	$	1,439.23		$	1,409.41

Net income (loss) per unit*	$	(40.37	)	$	3.03

Weighted average units outstanding		132,363.8128			121,555.9118


*		Based on change in net asset value per unit.

See accompanying notes to financial statements.

Emerging CTA Portfolio L.P.

Notes to Financial Statements
March 31, 2011
(Unaudited)

1. General:

Emerging CTA Portfolio L.P. (the “Partnership”) is a limited partnership that was organized on July 7, 2003 under the partnership laws of the State of New York. The objective of the Partnership is to achieve capital appreciation through the allocation of assets to a “blind pool” of early-stage commodity trading advisors which engage, directly and indirectly, in speculative trading of a diversified portfolio of commodity interests, including futures contracts, options and forward contracts. The Partnership may also enter into swap and other derivative transactions with the approval of the General Partner (defined below). The sectors traded include currencies, livestock, energy, grains, metals, indices, softs, and U.S. and non-U.S. interest rates. The Partnership and the Funds, (as defined in Note 5 “Investment in Funds”) may trade futures, forward and option contracts of any kind. The commodity interests that are traded by the Partnership and the Funds are volatile and involve a high degree of market risk.

Between December 1, 2003 (commencement of the offering period) and August 5, 2004, 20,872 redeemable units of limited partnership interest (“Redeemable Units”) were sold at $1,000 per Redeemable Unit. The proceeds of the initial offering were held in an escrow account until August 6, 2004, at which time they were remitted to the Partnership for trading. The Partnership privately and continuously offers Redeemable Units in the Partnership to qualified investors. There is no maximum number of Redeemable Units that may be sold by the Partnership.

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”). Morgan Stanley, indirectly through various subsidiaries, owns a majority equity interest in MSSB Holdings. Citigroup Global Markets Inc. (“CGM”), the commodity broker and a selling agent for the Partnership, owns a minority equity 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 March 31, 2011, all trading decisions are made for the Partnership by its eleven trading advisors (the “Advisors”) either directly, through individually managed accounts, or indirectly, through investments in other collective investment vehicles. As indicated above, the Partnership allocates its assets to a “blind pool” of trading advisors which refers to the fact that detailed information about the advisors, such as their backgrounds, individual trading strategies and past performance records has not been, and is not expected to be, provided to investors. The General Partner has chosen not to disclose such information because, among other reasons, the advisors engaged to trade on behalf of the Partnership may have little or no performance histories and the mix of advisors may change frequently as new advisors are identified and others progress beyond the “emerging” stage. The Advisors are not affiliated with one another, are not affiliated with the General Partner or CGM and are not responsible for the organization or operation of the Partnership.

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 March 31, 2011 and December 31, 2010, and the results of its operations and changes in partners’ capital for the three months ended March 31, 2011 and 2010. 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 on Form 10-K filed with the Securities and Exchange Commission (the “SEC”) for the year ended December 31, 2010.

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 such Limited Partner’s capital contribution and profits, if any, net of distributions.

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. 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.

Emerging CTA Portfolio L.P.

Notes to Financial Statements
March 31, 2011
(Unaudited)

2. Financial Highlights:

Changes in the net asset value per unit for the three months ended March 31, 2011 and 2010 were as follows:


	Three Months Ended
	March 31,
	2011			2010
Net realized and unrealized gains (losses) *	$	(30.46	)	$	13.74
Interest income		0.35			0.21
Expenses **		(10.26	)		(10.92	)

Increase (decrease) for the period		(40.37	)		3.03
Net asset value per unit, beginning of period		1,479.60			1,406.38

Net asset value per unit, end of period	$	1,439.23		$	1,409.41


*		Includes brokerage fees and clearing fees.

**		Excludes brokerage fees and clearing fees.


	Three Months Ended
	March 31,
	2011			2010
Ratios to Average Net Assets:***
Net investment income (loss) before incentive fees****		(7.0	)%		(7.1	)%


Operating expenses		7.1	%		7.2	%
Incentive fees		0.1	%		0.1	%

Total expenses		7.2	%		7.3	%

Total return:
Total return before incentive fees		(2.7	)%		0.3	%
Incentive fees		—	%*****		(0.1	)%

Total return after incentive fees		(2.7	)%		0.2	%


***		Annualized (other than incentive fees).

****		Interest income less total expenses.

*****		Due to rounding.

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, respectively, the legal right to net unrealized gains and losses on open futures and forward contracts on the Statements of Financial Condition. The Partnership and the Funds net, for financial reporting purposes, the unrealized gains and losses on open futures and on open forward contracts on the Statements of Financial Condition.

All of the commodity interests owned by the Partnership are held for trading purposes. All of the commodity interests owned by the Funds are held for trading purposes. The monthly average number of futures contracts traded directly by the Partnership during the three months ended March 31, 2011 and 2010 were 4,476 and 6,083, respectively. The monthly average number of metals forward contracts traded directly by the Partnership during the three months ended March 31, 2011 and 2010 were 553 and 513, respectively. The monthly average number of option contracts traded directly by the Partnership during the three months ended March 31, 2011 and 2010 were 244 and 0, respectively. The monthly average notional value of currency forward contracts traded directly by the Partnership during the three months ended March 31, 2011 and 2010 were $317,620,979 and $375,528,302, respectively.

Brokerage fees are calculated as a percentage of the Partnership’s adjusted net asset value on the last day of each month and are affected by trading performance, subscriptions and redemptions.

Emerging CTA Portfolio L.P.

Notes to Financial Statements
March 31, 2011
(Unaudited)

The following tables indicate the gross fair values of derivative instruments of futures and forward as separate assets and liabilities as of March 31, 2011 and December 31, 2010.


	March 31, 2011
Assets
Futures Contracts
Currencies	$	297,843
Energy		1,337,775
Grains		871,937
Indices		256,589
Interest Rates Non-U.S.		180,664
Interest Rates U.S.		111,188
Livestock		811,400
Metals		41,014
Softs		330,482

Total unrealized appreciation on open futures contracts	$	4,238,892

Liabilities
Futures Contracts
Currencies	$	(124,831	)
Energy		(592,636	)
Grains		(368,438	)
Indices		(517,008	)
Interest Rates Non-U.S.		(147,881	)
Interest Rates U.S.		(217,396	)
Livestock		(676,630	)
Metals		(42,403	)
Softs		(267,809	)

Total unrealized depreciation on open futures contracts	$	(2,955,032	)

Net unrealized appreciation on open futures contracts	$	1,283,860	*


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


	March 31, 2011
Assets
Forward Contracts
Currencies	$	1,956,590
Metals		1,472,745

Total unrealized appreciation on open forward contracts	$	3,429,335

Liabilities
Forward Contracts
Currencies	$	(1,745,161	)
Metals		(1,472,379	)

Total unrealized depreciation on open forward contracts	$	(3,217,540	)

Net unrealized appreciation on open forward contracts	$	211,795	**


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


	March 31, 2011
Assets
Options Purchased
Grains	$	356
Metals		747,680
Softs		144,120

Total options purchased	$	892,156	***

Liabilities
Options Premium Received
Grains	$	(113	)
Metals		(28,940	)

Total options premium received	$	(29,053	)****


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

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

Emerging CTA Portfolio L.P.

Notes to Financial Statements
March 31, 2011
(Unaudited)


	December 31, 2010
Assets
Futures Contracts
Currencies	$	423,873
Energy		282,296
Grains		552,787
Indices		223,941
Interest Rates Non-U.S		151,118
Interest Rates U.S.		169,390
Livestock		259,202
Metals		315,525
Softs		43,918

Total unrealized appreciation on open futures contracts	$	2,422,050

Liabilities
Futures Contracts
Currencies	$	(166,888	)
Energy		(103,611	)
Grains		(205,637	)
Indices		(50,626	)
Interest Rates Non-U.S		(18,572	)
Interest Rates U.S.		(33,510	)
Livestock		(207,591	)
Softs		(119,396	)

Total unrealized depreciation on open futures contracts		(905,831	)

Net unrealized appreciation on open futures contracts	$	1,516,219	*


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


	December 31, 2010
Assets
Forward Contracts
Currencies	$	1,610,313
Metals		805,081

Total unrealized appreciation on open forward contracts	$	2,415,394

Liabilities
Forward Contracts
Currencies	$	(1,639,341	)
Metals		(756,788	)

Total unrealized depreciation on open forward contracts		(2,396,129	)

Net unrealized appreciation on open forward contracts	$	19,265	**


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


	December 31, 2010
Assets
Options Purchased
Energy	$	295,740
Metals		574,070
Softs		31,416

Total options purchased	$	901,226	***


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

Emerging CTA Portfolio L.P.

Notes to Financial Statements
March 31, 2011
(Unaudited)

The following tables indicate the trading gains and losses, by market sector, on derivative instruments traded directly by the Partnership for the three months ended March 31, 2011 and 2010.


	Three Months Ended
	March 31,
Sector	2011			2010
Currencies	$	(500,408	)	$	(1,290,781	)
Energy		376,329			(778,392	)
Grains		491,121			493,596
Indices		(1,044,871	)		(70,139	)
Interest Rates U.S.		(47,415	)		(583,632	)
Interest Rates Non-U.S.		(458,286	)		1,047,888
Livestock		(305,846	)		(182,093	)
Metals		387,102			620,966
Softs		550,125			458,732

Total	$	(552,149	)	$	(283,855	)

4. Fair Value Measurements:

Partnership’s and the Funds’ Investments.All commodity interests held by the Partnership and 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. Net 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.Fair value is defined 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 under current market conditions. 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. Management has concluded that based on available information in the marketplace, the Partnership’s and the Funds’ Level 1 assets and liabilities are actively traded.

GAAP also requires 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, there has not been a significant decrease in the volume and level of activity in the Partnership’s and the Funds’ Level 2 assets and liabilities.

The Partnership and the Funds will 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 make disclosures 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 as required under GAAP.

The Partnership and the Funds consider prices for exchange-traded commodity futures, forwards and options contracts to be based on unadjusted quoted prices in active markets for identical assets (Level 1). The values of non-exchange-traded forwards, swaps and certain options contracts for which market quotations are not readily available are priced by broker-dealers who derive fair values for those assets from observable inputs (Level 2). Investments in 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 March 31, 2011 and December 31, 2010, the Partnership and the Funds did not hold any derivative instruments that were priced at fair value using unobservable inputs through the application of management’s assumptions and internal valuation pricing models (Level 3).

Emerging CTA Portfolio L.P.

Notes to Financial Statements
March 31, 2011
(Unaudited)


			Quoted Prices in
			Active Markets			Significant Other		Significant
			for Identical			Observable Inputs		Unobservable Inputs
	March 31, 2011		Assets (Level 1)			(Level 2)		(Level 3)
Assets

Investment in Funds	$	136,996,940	$	—		$	136,996,940	$	—
Futures		4,238,892		4,238,892			—		—
Forwards		3,429,335		1,472,745			1,956,590		—
Options purchased		892,156		892,156			—		—

Total assets		145,557,323		6,603,793			138,953,530		—

Liabilities

Futures	$	2,955,032	$	2,955,032		$	—	$	—
Forwards		3,217,540		1,472,379			1,745,161		—
Options premium received		29,053		29,053			—		—

Total liabilities		6,201,625		4,456,464	��		1,745,161		—

Net fair value	$	139,355,698	$	2,147,329		$	137,208,369	$	—


			Quoted Prices in
			Active Markets			Significant Other		Significant
			for Identical			Observable Inputs		Unobservable Inputs
	December 31, 2010*		Assets (Level 1)			(Level 2)		(Level 3)
Assets
Investment in Funds	$	93,009,857	$	—		$	93,009,857	$	—
Futures		2,422,050		2,422,050			—		—
Forwards		2,415,394		805,081			1,610,313		—
Options purchased		901,226		901,226			—		—

Total assets		98,748,527		4,128,357			94,620,170		—

Liabilities
Futures	$	905,831	$	905,831		$	—	$	—
Forwards		2,396,129		756,788			1,639,341		—

Total liabilities		3,301,960		1,662,619			1,639,341		—

Net fair value	$	95,446,567	$	2,465,738		$	92,980,829	$	—


*		The amounts have been reclassified from the December 31, 2010 prior year financial statements to conform to current year presentation based on new fair value guidance.

5. Investment in Funds:

On November 1, 2005, the assets allocated to Altis Partners Jersey Limited (“Altis”) for trading were invested in the CMF Altis Partners Master Fund L.P. (“Altis Master”), a limited partnership organized under the partnership laws of the State of New York. The Partnership purchased 4,898.1251 units of Altis Master with cash equal to $4,196,275 and a contribution of open commodity futures and forward contracts with a fair value of $701,851. Altis Master was formed to permit accounts managed now or in the future by Altis using the Global Futures Portfolio program, a proprietary, systematic trading program, to invest together in one trading vehicle. The General Partner is also the general partner of Altis Master. Individual and pooled accounts currently managed by Altis, including the Partnership, are permitted to be limited partners of Altis Master. The General Partner and Altis believe that trading through this structure should promote efficiency and economy in the trading process.

On March 1, 2006, the assets allocated to Avant Capital Management L.P. (“Avant”) for trading were invested in the CMF Avant Master Fund L.P. (“Avant Master”), a limited partnership organized under the partnership laws of the State of New York. The Partnership purchased 8,177.1175 units of Avant Master with cash equal to $6,827,887 and a contribution of open commodity futures and forward contracts with a fair value of $1,349,230. Avant Master was formed in order to permit accounts managed now or in the future by Avant using the Diversified Program, a proprietary, systematic trading program, to invest together in one trading vehicle. The Partnership fully redeemed its investment in Avant Master on April 30, 2010 for cash equal to $12,280,606.

On May 1, 2009, the assets allocated to Sasco Energy Partners LLC (“Sasco”) for trading were invested in the CMF Sasco Master Fund L.P. (“Sasco Master”), a limited partnership organized under the partnership laws of the State of New York. The Partnership purchased 16,437.9008 units of Sasco Master with cash equal to $16,364,407 and a contribution of open commodity futures contracts with a fair value of $(1,325,727). Sasco Master was formed in order to permit accounts managed now or in the future by Sasco using the Energy Program, a proprietary, discretionary trading program, to invest together in one trading vehicle. The General Partner is also the general partner of Sasco Master. Individual and pooled accounts currently managed by Sasco, including the Partnership, are permitted to be limited partners of Sasco Master. The General Partner and Sasco believe that trading through this structure should promote efficiency and economy in the trading process.

Emerging CTA Portfolio L.P.

Notes to Financial Statements
March 31, 2011
(Unaudited)

On March 1, 2010, the assets allocated to Waypoint Capital Management LLC for trading were invested in the Waypoint Master Fund L.P. (“Waypoint Master”), a limited partnership organized under the partnership laws of the State of New York. The Partnership purchased 26,581.6800 units of Waypoint Master with cash equal to $26,581,680. Waypoint Master was formed in order to permit commodity pools managed now or in the future by Waypoint using its Diversified Program, a proprietary, systematic trading program, to invest together in one trading vehicle. The General Partner is also the general partner of Waypoint Master. Individual and pooled accounts currently managed by Waypoint, including the Partnership, are permitted to be limited partners of Waypoint Master. The General Partner and Waypoint believe that trading through this structure should promote efficiency and economy in the trading process.

On November 1, 2010, the assets allocated to PGR Capital LLP (“PGR”) for trading were invested in PGR Master Fund L.P. (“PGR Master”), a limited partnership organized under the partnership laws of the State of Delaware. The Partnership purchased 14,913.0290 units of PGR Master with cash equal to $14,913,029. PGR Master was formed to permit accounts managed now or in the future by PGR using the Mayfair Program, a proprietary, systematic trading program, to invest together in one trading vehicle. The General Partner is also the general partner for PGR Master. Individual and pooled accounts currently managed by PGR, including the Partnership, are permitted to be limited partners of PGR Master. The General Partner and PGR believe that trading through this structure should promote efficiency and economy in the trading process.

On November 1, 2010, the assets allocated to Blackwater Capital Management LLC (“Blackwater”) for trading were invested in Blackwater Master Fund L.P. (“Blackwater Master”), a limited partnership organized under the partnership laws of the State of Delaware. The Partnership purchased 15,674.6940 units of Blackwater Master with cash equal to $15,674,694. Blackwater Master was formed to permit accounts managed now or in the future by Blackwater using the Global Program, a proprietary, systematic trading program, to invest together in one trading vehicle. The General Partner is also the general partner for Blackwater Master. Individual and pooled accounts currently managed by Blackwater, including the Partnership, are permitted to be limited partners of Blackwater Master. The General Partner and Blackwater believe that trading through this structure should promote efficiency and economy in the trading process.

On January 1, 2011, the assets allocated to J E Moody & Company LLC (“JE Moody”) for trading were invested in JEM Master Fund L.P. (“JEM Master”), a limited partnership organized under the partnership laws of the State of Delaware. The Partnership purchased 19,624.4798 units of JEM Master with cash equal to $19,624,480. JEM Master was formed to permit accounts managed now or in the future by J E Moody using the Commodity Relative Value Program, a proprietary, systematic trading program, to invest together in one trading vehicle. The General Partner is also the general partner for JEM Master. Individual and pooled accounts currently managed by J E Moody, including the Partnership, are permitted to be limited partners of JEM Master. The General Partner and J E Moody believe that trading through this structure should promote efficiency and economy in the trading process.

On January 1, 2011, the assets allocated to Cirrus Capital Management LLC (“Cirrus”) for trading were invested in CMF Cirrus Master Fund L.P. (“Cirrus Master”), a limited partnership organized under the partnership laws of the State of Delaware. The Partnership purchased 22,270.9106 units of Cirrus Master with cash equal to $22,270,911. Cirrus Master was formed to permit accounts managed now or in the future by Cirrus using the Energy Program, a proprietary, systematic trading program, to invest together in one trading vehicle. The General Partner is also the general partner for Cirrus Master. Individual and pooled accounts currently managed by Cirrus, including the Partnership, are permitted to be limited partners of Cirrus Master. The General Partner and Cirrus believe that trading through this structure should promote efficiency and economy in the trading process.

The General Partner is not aware of any material changes to any of the trading programs discussed above during the fiscal quarter ended March 31, 2011.

Altis Master’s, Sasco Master’s, Waypoint Master’s, Blackwater Master’s, PGR Master’s, JEM Master’s and Cirrus Master’s (the “Funds”) trading of futures, forwards, swaps and options contracts, if applicable, on commodities is done primarily on United States of America commodity exchanges and foreign commodity exchanges. The Funds engage in such trading through commodity brokerage accounts maintained with CGM.

A limited partner may withdraw all or part of their capital contribution and undistributed profits, if any, from the Funds in multiples of the net asset value per unit as of the end of any day (the “Redemption Date”) after a request for redemption has been made to the General Partner at least 3 days in advance of the Redemption Date. The units are classified as a liability when the limited partner elects to redeem and informs the Funds.

Management, administrative and incentive fees are charged at the Partnership level. All exchange, clearing, user, give-up, floor brokerage and National Futures Assocation fees (collectively the “clearing fees”) are borne by the Partnership and through its investment in the Funds. All other fees, including CGM’s direct brokerage fees are charged at the Partnership level.

At March 31, 2011, the Partnership owned approximately 21.6% of Altis Master, 15.7% of Sasco Master, 50.6% of Waypoint Master, 74.3% of PGR Master, 80.3% of Blackwater Master, 100% of JEM Master and 84.7% of Cirrus Master. At December 31, 2010, the Partnership owned approximately 27.6%, of Altis Master, 22.8% of Sasco Master, 52.0% of Waypoint Master, 74.9% of PGR Master and 77.3% of Blackwater 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 investment in the Funds are approximately the same and the redemption rights are not affected.

Emerging CTA Portfolio L.P.

Notes to Financial Statements
March 31, 2011
(Unaudited)

Summarized information reflecting the total assets, liabilities and capital of the Funds is shown in the following tables.


	March 31, 2011
	Total Assets		Total Liabilities		Total Capital
Altis Master	$	49,421,811	$	490,934	$	48,930,877
Sasco Master		109,008,174		6,899,009		102,109,165
Waypoint Master		39,176,243		71,071		39,105,172
Blackwater Master		30,230,892		36,968		30,193,924
PGR Master		27,797,437		43,941		27,753,496
JEM Master		23,142,222		9,000		23,133,222
Cirrus Master		26,677,107		9,000		26,668,107

Total	$	305,453,886	$	7,559,923	$	297,893,963


	December 31, 2010
	Total Assets		Total Liabilities		Total Capital
Altis Master	$	64,276,767	$	591,256	$	63,685,511
Sasco Master		81,882,294		198,664		81,683,630
Waypoint Master		41,306,976		59,330		41,247,646
Blackwater Master		25,966,821		28,810		25,938,011
PGR Master		20,415,391		28,810		20,386,581

Total	$	233,848,249	$	906,870	$	232,941,379

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


	For the three months ended March 31, 2011
	Net Investment			Total Trading			Net Income
	Income (Loss)			Results			(Loss)
Altis Master	$	(53,257	)	$	(8,102,603	)	$	(8,155,860	)
Sasco Master		(369,953	)		(2,250,744	)		(2,620,697	)
Waypoint Master		(64,415	)		(1,606,979	)		(1,671,394	)
Blackwater Master		(27,505	)		1,020,708			993,203
PGR Master		(27,411	)		591,465			564,054
JEM Master		(105,156	)		(187,170	)		(292,326	)
Cirrus Master		(19,809	)		661,782			641,973

Total	$	(667,506	)	$	(9,873,541	)	$	(10,541,047	)


	For the three months ended March 31, 2010
	Net Investment			Total Trading			Net Income
	Income (Loss)			Results			(Loss)
Altis Master	$	(39,025	)	$	2,136,066		$	2,097,041
Avant Master		(23,527	)		618,730			595,203
Sasco Master		(240,581	)		2,912,728			2,672,147
Waypoint Master		(11,498	)		573,053			561,555

Total	$	(314,631	)	$	6,240,577		$	5,925,946

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


	March 31, 2011					For the three months ended March 31, 2011
	% of
	Partnership’s								Expenses				Net Income			Investment	Redemption
Funds	Net Assets			Fair Value		Income (Loss)			Brokerage Fees		Other		(Loss)			Objective	Permitted
Altis Master		5.46	%	$	10,570,079	$	(1,878,531	)	$	11,568	$	4,027	$	(1,894,126	)	Commodity Portfolio	Monthly
Sasco Master		8.29	%		16,032,181		(308,193	)		60,195		8,736		(377,124	)	Energy Portfolio	Monthly
Waypoint Master		10.24	%		19,799,346		(807,200	)		25,907		11,060		(844,167	)	Commodity Portfolio	Monthly
Blackwater Master		12.54	%		24,247,798		784,016			13,121		13,282		757,613		Commodity Portfolio	Monthly
PGR Master		10.67	%		20,627,846		451,151			5,842		17,762		427,547		Commodity Portfolio	Monthly
JEM Master		11.96	%		23,134,406		(182,227	)		101,099		9,000		(292,326	)	Commodity Portfolio	Monthly
Cirrus Master		11.68	%		22,585,284		566,264			14,597		7,626		544,041		Energy Portfolio	Monthly

Total				$	136,996,940	$	(1,374,720	)	$	232,329	$	71,493	$	(1,678,542	)

Emerging CTA Portfolio L.P.

Notes to Financial Statements
March 31, 2011
(Unaudited)


	December 31, 2010					For the three months ended March 31, 2010
	% of
	Partnership’s							Expenses				Net Income		Investment	Redemption
Funds	Net Assets			Fair Value		Income (Loss)		Brokerage Fees		Other		(Loss)		Objective	Permitted
Altis Master		9.57	%	$	17,568,791	$	732,462	$	12,988	$	4,069	$	715,405	Commodity Portfolio	Monthly
Avant Master		—			—		620,526		5,237		20,086		595,203	Energy Portfolio	Monthly
Sasco Master		10.17	%		18,664,413		1,894,258		77,157		82,723		1,734,378	Energy Portfolio	Monthly
Waypoint Master		11.69	%		21,455,619		408,513		6,097		4,393		398,023	Commodity Portfolio	Monthly
Blackwater Master		10.92	%		20,047,327		—		—		—		—	Commodity Portfolio	Monthly
PGR Master		8.32	%		15,273,707		—		—		—		—	Commodity Portfolio	Monthly

Total				$	93,009,857	$	3,655,759	$	101,479	$	111,271	$	3,443,009

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, to purchase or sell other financial instruments at 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 certain forwards and option contracts. OTC contracts are negotiated between contracting parties and include certain forwards and option 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.

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 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/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 is not represented by the contract or notional amounts of the instruments. The Partnership’s/Funds’ risk of loss is reduced through the use of legally enforceable master netting agreements with counterparties that permit the Partnership/Funds to offset unrealized gains and losses and other assets and liabilities with such counterparties upon the occurrence of certain events. The Partnership/Funds have credit risk and concentration risk as the sole counterparty or broker with respect to the Partnership’s/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/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.

The General Partner 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 to statistically analyze actual trading results with risk-adjusted performance indicators and correlation statistics. In addition,

Emerging CTA Portfolio L.P.

Notes to Financial Statements
March 31, 2011
(Unaudited)

online monitoring systems provide account analysis of futures, exchange-cleared swaps, 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’ business, these instruments may not be held to maturity.

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. As a result, actual results could differ from these estimates.

Partnership’s and 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. Net 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 Partner’s Capital.

Partnership’s and Funds’ Fair Value Measurements.Fair value is defined 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 under current market conditions. 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. Management has concluded that based on available information in the marketplace, the Partnership’s and the Funds’ Level 1 assets and liabilities are actively traded.

Futures Contracts.The Partnership and the Funds trade futures contracts and exchange-cleared swaps. Exchange-cleared swaps are swaps that are traded as futures. 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 the 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 directly with the exchange on which the contracts are traded. Net realized gains (losses) and changes in net unrealized gains (losses) on futures contracts are included in the Statements of Income and Expenses and Changes in Partner’s Capital.

Emerging CTA Portfolio L.P.

Notes to Financial Statements
March 31, 2011
(Unaudited)

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 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. Net realized gains (losses) and changes in net unrealized gains (losses) on foreign currency contracts are recognized in the period in which the contract is closed or the changes occur and are included in the Statements of Income and Expenses and Changes in Partner’s Capital.

The Partnership and the Funds do not isolate the 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 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. Net realized gains (losses) and changes in net unrealized gains (losses) on metal contracts are included in the Statements of Income and Expenses and Changes in Partner’s Capital.

Options.The Partnership/Funds may purchase and write (sell) both exchange listed and OTC 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/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/Funds purchase an option, the premium paid is recorded as an asset in the Statements of Financial Condition and marked to market daily. Net realized gains (losses) and changes in net unrealized gains (losses) on options contracts are included in the Statements of Income and Expenses and Changes in Partner’s Capital.

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

GAAP provides guidance for how uncertain tax positions should be recognized, measured, presented and disclosed in the financial statements and 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 Partnership files U.S. federal and various state and local tax returns. No income tax returns are currently under examination. Generally, the 2007 through 2010 tax years remain subject to examination by U.S. federal and most state tax authorities. Management does not believe that there are any uncertain tax positions that require recognition of a tax liability.

Subsequent Events.Management of the Partnership evaluates 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 of or disclosure in the financial statements.

Net Income (Loss) per unit.Net income (loss) per unit is calculated in accordance with investment company guidance. See Note 2, “Financial Highlights”.

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. Its assets are its (i) investment in the Funds, (ii) equity in its trading account, consisting of cash, net unrealized appreciation on open futures contracts and net unrealized appreciation on open forward contracts, and (iii) interest receivables. Because of the low margin deposits normally required in 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 first quarter of 2011.

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

For the three months ended March 31, 2011, Partnership capital increased 5.4% from $183,525,601 to $193,377,072. This increase was attributable by the subscriptions of 14,087.7825 Redeemable Units totaling $20,606,111, which was partially offset by a net loss from operations of $5,306,211 coupled with the redemption of 3,763.4126 Redeemable Units resulting in an outflow of $5,448,429. Future redemptions can impact the amount of funds available for investment in commodity contract positions in subsequent periods.

Critical Accounting Policies

The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosures of contingent assets and liabilities at the date of the financial statements and the reported amounts of income and expense during the reporting period. Management believes that the estimates utilized in preparing the financial statements are reasonable. Actual results could differ from those estimates. The Partnership’s significant accounting policies are described in detail in Note 7 of the Financial Statements.

The Partnership records all investments at fair value in its financial statements, with changes in fair value reported as a component of net realized and change in net unrealized trading gain (loss) in the Statements of Income and Expenses and Changes in Partners’ Capital.

Results of Operations

During the Partnership’s first quarter of 2011, the net asset value per unit decreased 2.7% from $1,479.60 to $1,439.23 as compared to an increase of 0.2% in the first quarter of 2010. The Partnership experienced a net trading loss before brokerage fees and related fees in the first quarter of 2011 of $1,959,067. Losses were primarily attributable to the Partnership/Funds’ trading of commodity futures in currencies, U.S. and non-U.S. interest rates, livestock, and indices and were partially offset by gains in energy, grains, metals, and softs. The Partnership experienced a net trading gain before brokerage fees and related fees in the first quarter of 2010 of $3,359,837. Gains were primarily attributed to the Partnership/Funds’ trading of commodity futures in energy, grains, non-U.S. interest rates, metals, softs and indices and were partially offset by losses in currencies, U.S. interest rates and livestock.

The most significant losses were incurred within the global interest rate sector. In January, losses were recorded from long positions in European fixed-income futures as prices declined after European Central Bank President Jean-Claude Trichet said inflationary pressures in the euro region may increase. Additional losses were recorded in February due to short positions in U.S. and European fixed-income futures as prices increased amid a “flight-to-safety” spurred by geopolitical concerns in the Middle East and North Africa. Within the currency sector, losses were recorded primarily in January as the value of the Australian dollar, Swiss franc, Japanese yen, and Canadian dollar moved lower against the U.S. dollar following stronger-than-expected U.S. factory data and the release of minutes from the latest U.S. Federal Reserve meeting that showed optimism about the U.S. economy. The U.S. dollar was further supported by positive reports on American jobs growth and optimistic forecasts on the service industries, boosting demand for the U.S. currency. Within the global stock index markets, losses were experienced primarily during March from long positions in the global equity index futures as prices moved sharply lower following the worst earthquake and tsunami in Japanese history. Within the livestock sector, losses were registered in March as prices whipsawed. Initially meat prices dropped following the earthquake and tsunami in Japan due to lower demand expectation. However, prices unexpectedly rebounded in the second half of the month as speculation that the natural disaster and the radiation leaks will force the country to import more processed food and meat.

A portion of the Partnership’s losses for the quarter was offset by gains achieved within the energy markets from long futures positions in crude oil and its related products as prices rose after political tension in Egypt stoked worries that protests may spread to crude-producing parts of the Middle East. Further gains were experienced in February due to long futures positions in brent crude and heating oil as prices rose sharply after violence escalated in the Libya, prompting fear of contagion to other nations in the region and causing concern that crude oil supplies may be disrupted. Gains were achieved within the agricultural complex, primarily during January and February, due to long futures positions in cotton as prices increased on signs that global output may fail to keep pace with

rising demand in China, the world’s biggest buyer of the fiber. Additional gains were earned in trading corn and coffee throughout the quarter.

Commodity futures markets are highly volatile. Broad price fluctuations and rapid inflation increase 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 is earned on 100% of the Partnership’s average daily equity maintained in cash in its (or the Partnership’s allocable portion of a Fund’s) account during each month at the 30-day U.S. Treasury bill rate determined weekly by CGM based on the average noncompetitive yield on 3-month U.S. Treasury bills maturing in 30 days from the date on which such weekly rate is determined. Interest income for the three months ended March 31, 2011 increased by $21,013, as compared to the corresponding period in 2010. The increase in interest income is due to higher U.S. Treasury bill rates during the three ended March 31, 2011 as compared to the corresponding period in 2010. Interest earned by the Partnership will increase the net asset value of the Partnership. The amount of interest income earned by the Partnership and the Funds depends on the average daily equity in the Partnership’s/Fund’s account and upon interest rates over which neither the Partnership and the Funds nor CGM has control.

Brokerage fees are calculated as a percentage of the Partnership’s adjusted net asset value on the last day of each month and are affected by trading performance, subscriptions and redemptions. Brokerage fees for the three months ended March 31, 2011 increased by $349,563, as compared to the corresponding period in 2010. The increase in brokerage and fees is due to higher average net assets during the three months ended March 31, 2011 as compared to the corresponding period in 2010.

Management fees are calculated as a percentage of the Partnership’s adjusted net asset value on the last day of each month and are affected by trading performance, subscriptions and redemptions. Management fees for the three months ended March 31, 2011 increased by $16,083, as compared to the corresponding period in 2010. The increase in management fees is due to higher average net assets during the three months ended March 31, 2011 as compared to the corresponding period in 2010.

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 adjusted net asset value on the last day of each month and are affected by trading performance, subscriptions and redemptions. Administrative fees for the three months ended March 31, 2011 increased by $31,002, as compared to the corresponding period in 2010. The increase in administrative fees is due to higher average net assets during the three months ended March 31, 2011 as compared to the corresponding period in 2010.

Incentive fees paid by the Partnership to the Advisors 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. Trading performance for the three ended March 31, 2011 resulted in incentive fees of $119,461. Trading performance for the three months ended March 31, 2010, resulted in incentive fees of $115,578.

In allocating the assets of the Partnership among the Advisors, the General Partner conducts proprietary research and considers the background of the Advisors’ principals, as well as the Advisors’ trading styles, strategies and markets traded, expected volatility, trading results (to the extent available) and fee requirements. The General Partner may modify or terminate the allocation of assets among the 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 them 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 main line of business.

Market movements result in frequent changes in the fair value of the Partnership’s/Funds’ open positions 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 performance is 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 any one-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. Some of 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. Other Advisors directly trade managed accounts in the Partnership’s name. The first two trading Value at Risk tables reflect the market sensitive instruments held by the Partnership directly and through its investments 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 accounts in the Partnership’s name) and indirectly by each Fund separately.

The following tables indicate the trading Value at Risk associated with the Partnership’s open positions by market category as of March 31, 2011 and December 31, 2010. As of March 31, 2011, the Partnership’s total capitalization was $193,377,072.

March 31, 2011


			% of Total
Market Sector	Value at Risk		Capitalization
Currencies	$	7,966,650		4.12	%
Energy		2,523,712		1.30	%
Grains		618,164		0.32	%
Indices		1,974,215		1.02	%
Interest Rates U.S.		1,779,359		0.92	%
Interest Rates Non-U.S.		1,649,399		0.85	%
Livestock		504,783		0.26	%
Lumber		2,592		0.00	%*
Metals		2,065,601		1.07	%
Softs		957,802		0.50	%

Total	$	20,042,277		10.36	%


*		Due to rounding

As of December 31, 2010, the Partnership’s total capitalization was $183,525,601.

December 31, 2010


			% of Total
Market Sector	Value at Risk		Capitalization
Currencies	$	3,742,488		2.05	%
Energy		3,712,642		2.02	%
Grains		610,757		0.33	%
Indices		3,061,953		1.67	%
Interest Rates U.S.		653,137		0.36	%
Interest Rates Non-U.S.		1,216,750		0.66	%
Livestock		268,789		0.15	%
Lumber		1,435		0.00	%*
Metals		1,427,354		0.78	%
Softs		756,573		0.41	%

Total	$	15,451,878		8.43	%


*		Due to rounding

The following tables indicate the trading Value at Risk associated with the Partnership’s direct investments and through its investments in the Funds by market category as of March 31, 2011 and December 31, 2010, the highest, lowest and average values during the three months ended March 31, 2011 and the twelve months ended December 31, 2010. All open contracts trading risk exposures have been included in calculating the figures set forth below. 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 for the year ended December 31, 2010.

As of March 31, 2011, the Partnership’s Value at Risk for the portion of its assets that are traded directly was as follows:

March 31, 2011


						Three months ended March 31, 2011
	Value at		% of Total			High		Low		Average Value
Market Sector	Risk		Capital			Value at Risk		Value at Risk		at Risk*
Currencies	$	2,191,443		1.13	%	$	2,655,434	$	1,266,734	$	2,048,117
Energy		713,480		0.37	%		804,337		260,253		657,742
Grains		435,130		0.22	%		651,925		113,300		406,827
Indices		1,149,722		0.60	%		2,523,159		893,439		1,418,348
Interest Rates U.S.		1,062,657		0.55	%		1,154,807		734,800		920,069
Interest Rates Non-U.S.		640,198		0.33	%		882,250		414,631		640,988
Livestock		188,000		0.10	%		215,275		118,525		167,850
Metals		1,543,933		0.80	%		1,641,692		295,664		1,032,922
Softs		694,183		0.36	%		694,183		238,619		548,728

Total	$	8,618,746		4.46	%


*		Average of month-end Values at Risk.

As of December 31, 2010, the Partnership’s Value at Risk for the portion of its assets that are traded directly was as follows:

December 31, 2010


						Twelve months ended December 31, 2010
	Value at		% of Total			High		Low		Average Value
Market Sector	Risk		Capital			Value at Risk		Value at Risk		at Risk*
Currencies	$	1,070,681		0.58	%	$	8,643,224	$	1,620,748	$	2,949,106
Energy		756,948		0.41	%		1,430,685		440,556		761,191
Grains		318,900		0.17	%		738,061		180,375		346,994
Indices		1,200,793		0.66	%		2,979,873		798,017		1,950,676
Interest Rates U.S.		499,400		0.27	%		1,930,750		288,485		942,116
Interest Rates Non-U.S.		571,973		0.31	%		3,055,102		281,406		1,478,558
Livestock		145,900		0.08	%		268,450		32,850		111,777
Metals		779,984		0.43	%		1,077,058		286,188		619,746
Softs		476,838		0.26	%		690,412		192,635		402,287

Total	$	5,821,417		3.17	%


*		Annual average of month-end Values at Risk.

As of March 31, 2011, Altis Master’s total capital was $48,930,877. The Partnership owned approximately 21.6% of Altis Master. As of March 31, 2011, the Altis Master’s Value at Risk for its assets (including the portion of the Partnership’s assets allocated to Altis for trading) was as follows:

March 31, 2011


						Three months ended March 31, 2011
			% of Total			High		Low		Average
Market Sector	Value at Risk		Capital			Value at Risk		Value at Risk		Value at Risk*
Currencies	$	1,552,902		3.17	%	$	3,359,482	$	646,682	$	1,468,005
Energy		509,312		1.04	%		1,728,561		454,647		981,848
Grains		493,347		1.01	%		716,615		294,622		501,395
Indices		1,475,800		3.03	%		1,470,800		470,802		1,036,164
Interest Rates U.S.		290,766		0.59	%		423,005		220,904		311,558
Interest Rates Non -U.S.		731,077		1.49	%		983,810		332,852		682,580
Livestock		59,800		0.12	%		106,850		21,625		90,900
Lumber		12,000		0.02	%		12,000		800		4,933
Metals		785,441		1.61	%		1,298,785		729,575		954,265
Softs		437,692		0.89	%		785,580		374,414		560,578

Total	$	6,348,137		12.97	%


*		Average of month-end Values at Risk.

As of December 31, 2010, Altis Master’s total capital was $63,685,511. The Partnership owned approximately 27.6% of Altis Master. As of December 31, 2010, the Altis Master’s Value at Risk for its assets (including the portion of the Partnership’s assets allocated to Altis for trading) was as follows:

December 31, 2010


						Twelve months ended December 31, 2010
			% of Total			High		Low		Average
Market Sector	Value at Risk		Capital			Value at Risk		Value at Risk		Value at Risk*
Currencies	$	3,113,522		4.89	%	$	3,481,070	$	143,363	$	2,231,735
Energy		1,077,195		1.69	%		2,479,469		236,868		1,086,124
Grains		483,876		0.76	%		915,463		136,257		435,755
Indices		1,251,469		1.97	%		7,740,340		220,942		2,503,689
Interest Rates U.S.		191,408		0.30	%		1,193,750		110,116		570,835
Interest Rates Non -U.S.		733,663		1.15	%		1,849,973		183,212		1,000,258
Livestock		107,232		0.17	%		170,400		22,320		82,718
Lumber		5,200		0.01	%		27,500		1,100		9,287
Metals		1,079,175		1.69	%		2,589,641		241,177		1,152,447
Softs		747,574		1.17	%		937,879		199,670		499,464

Total	$	8,790,314		13.80	%


*		Annual average of month-end Values at Risk.

As of March 31, 2011, Sasco Master’s total capital was $102,109,165. The Partnership owned approximately 15.7% of Sasco Master. As of March 31, 2011, the Sasco Master’s Value at Risk for its assets (including the portion of the Partnership’s assets allocated to Sasco for trading) was as follows:

March 31, 2011


						Three months ended March 31, 2011
			% of Total			High		Low		Average
Market Sector	Value at Risk		Capitalization			Value at Risk		Value at Risk		Value at Risk*
Energy	$	9,038,644		8.85	%	$	23,105,575	$	9,038,644	$	17,056,663

Totals	$	9,038,644		8.85	%


*		Average of month-end Values at Risk.

As of December 31, 2010, Sasco Master’s total capital was $81,683,630. The Partnership owned approximately 22.8% of Sasco Master. As of December 31, 2010, the Sasco Master’s Value at Risk for its assets (including the portion of the Partnership’s assets allocated to Sasco for trading) was as follows:

December 31, 2010


						Twelve months ended December 31, 2010
			% of Total			High		Low		Average
Market Sector	Value at Risk		Capitalization			Value at Risk		Value at Risk		Value at Risk*
Energy	$	9,618,175		11.77	%	$	16,002,038	$	2,149,045	$	10,344,808

Totals	$	9,618,175		11.77	%


*		Annual average of month-end Values at Risk.

As of March 31, 2011, Waypoint Master’s total capitalization was $39,105,172. The Partnership owned approximately 50.6% of Waypoint Master. As of March 31, 2011, the Waypoint Master’s Value at Risk for its assets (including the portion of the Partnership’s assets allocated to Waypoint for trading) was as follows:

March 31, 2011


						Three months ended March 31, 2011
			% of Total			High		Low		Average
Market Sector	Value at Risk		Capitalization			Value at Risk		Value at Risk		Value at Risk*
Currencies	$	7,828,647		20.01	%	$	10,064,603	$	2,910,415	$	6,548,633
Energy		109,000		0.28	%		195,000		45,000		89,333
Interest Rates U.S.		170,500		0.44	%		502,450		30,400		145,783
Interest Rates Non-U.S.		924,273		2.36	%		1,369,739		330,677		840,248
Metals		120,024		0.31	%		197,750		70,014		121,691
Softs		62,100		0.16	%		89,700		54,000		68,600

Total	$	9,214,544		23.56	%


*		Average of month-end Values at Risk.

As of December 31, 2010, Waypoint Master’s total capitalization was $41,247,646. The Partnership owned approximately 52.0% of Waypoint Master. As of December 31, 2010, the Waypoint Master’s Value at Risk for its assets (including the portion of the Partnership’s assets allocated to Waypoint for trading) was as follows:

December 31, 2010


						For the period ended December 31, 2010
			% of Total			High		Low		Average
Market Sector	Value at Risk		Capitalization			Value at Risk		Value at Risk		Value at Risk*
Currencies	$	1,878,430		4.55	%	$	11,817,974	$	633,809	$	5,198,266
Indices		901,236		2.18	%		1,613,660		100,993		790,428
Metals		80,750		0.20	%		216,436		31,500		66,207

Total	$	2,860,416		6.93	%


*		For the period March 1, 2010 (commencement of trading operations) to December 31, 2010 average of month-end Values at Risk.

As of March 31, 2011, PGR Master’s total capitalization was $27,753,496. The Partnership owned approximately 74.3% of PGR Master. As of March 31, 2011, the PGR Master’s Value at Risk for its assets (including the portion of the Partnership’s assets allocated to PGR for trading) was as follows:

March 31, 2011


						Three months ended March 31, 2011
			% of Total			High		Low		Average
Market Sector	Value at Risk		Capitalization			Value at Risk		Value at Risk		Value at Risk*
Currencies	$	164,135		0.59	%	$	265,514	$	125,948	$	205,315
Energy		285,258		1.03	%		302,794		173,242		244,413
Grains		70,500		0.25	%		133,500		52,500		89,333
Indices		562,023		2.03	%		837,150		372,931		658,492
Interest Rates U.S.		207,450		0.75	%		207,450		132,200		161,282
Interest Rates Non-U.S.		346,720		1.25	%		346,720		108,867		214,136
Livestock		9,600		0.03	%		9,600		6,000		8,867
Metals		185,269		0.67	%		230,771		134,516		179,933
Softs		97,864		0.35	%		134,013		70,400		100,477

Total	$	1,928,819		6.95	%


*		Average of month-end Values at Risk.

As of December 31, 2010, PGR Master’s total capitalization was $20,386,581. The Partnership owned approximately 74.9% of PGR Master. As of December 31, 2010, the PGR Master’s Value at Risk for its assets (including the portion of the Partnership’s assets allocated to PGR for trading) was as follows:

December 31, 2010


						For the period ended December 31, 2010
			% of Total			High		Low		Average
Market Sector	Value at Risk		Capitalization			Value at Risk		Value at Risk		Value at Risk*
Currencies	$	183,120		0.90	%	$	183,120	$	103,066	$	154,058
Energy		252,600		1.24	%		252,600		107,024		195,337
Grains		111,250		0.54	%		111,250		43,750		83,625
Indices		617,024		3.03	%		621,232		385,104		524,198
Interest Rates U.S.		80,800		0.40	%		141,150		66,450		81,150
Interest Rates Non-U.S.		180,603		0.89	%		265,434		135,161		161,976
Livestock		10,000		0.05	%		11,000		6,000		9,500
Metals		162,000		0.79	%		162,000		69,500		125,875
Softs		98,003		0.48	%		109,657		57,757		89,793

Total	$	1,695,400		8.32	%


*		For the period November 1, 2010 (commencement of trading operations) to December 31, 2010 average of month-end Values at Risk.

As of March 31, 2011, Blackwater Master’s total capitalization was $30,193,924. The Partnership owned approximately 80.3% of Blackwater Master. As of March 31, 2011, the Blackwater Master’s Value at Risk for its assets (including the portion of the Partnership’s assets allocated to Blackwater for trading) was as follows:

March 31, 2011


						Three months ended March 31, 2011
			% of Total			High		Low		Average
Market Sector	Value at Risk		Capitalization			Value at Risk		Value at Risk		Value at Risk*
Currencies	$	1,689,331		5.59	%	$	1,689,331	$	511,332	$	1,014,939
Energy		17,500		0.06	%		401,280		16,250		202,557
Grains		30,000		0.10	%		223,000		30,000		95,667
Indices		539,237		1.79	%		965,504		312,761		665,640
Interest Rates U.S.		186,850		0.62	%		186,850		168,549		174,649
Interest Rates Non-U.S.		285,767		0.95	%		482,249		284,602		385,830
Livestock		57,600		0.19	%		125,000		42,000		74,867
Metals		353,858		1.17	%		432,707		86,599		291,907

Total	$	3,160,143		10.47	%


*		Average of month-end Values at Risk.

As of December 31, 2010, Blackwater Master’s total capitalization was $25,938,011. The Partnership owned approximately 77.3% of Blackwater Master. As of December 31, 2010, the Blackwater Master’s Value at Risk for its assets (including the portion of the Partnership’s assets allocated to Blackwater for trading) was as follows:

December 31, 2010


						For the period ended December 31, 2010
			% of Total			High		Low		Average
Market Sector	Value at Risk		Capitalization			Value at Risk		Value at Risk		Value at Risk*
Currencies	$	903,667		3.48	%	$	903,667	$	577,300	$	765,383
Energy		357,370		1.38	%		508,250		184,174		350,610
Grains		97,000		0.37	%		97,000		30,000		48,500
Indices		756,741		2.92	%		1,256,105		756,741		941,241
Interest Rates U.S.		52,250		0.20	%		171,550		14,700		33,475
Interest Rates Non-U.S.		397,172		1.53	%		445,693		86,447		358,644
Livestock		111,000		0.43	%		111,000		40,000		97,000
Metals		240,867		0.93	%		346,947		240,866		283,148

Total	$	2,916,067		11.24	%


*		For the period November 1, 2010 (commencement of trading operations) to December 31, 2010 average of month-end Values at Risk.

As of March 31, 2011, JEM Master’s total capitalization was $23,133,222. The Partnership owned approximately 100.0% of JEM Master. As of March 31, 2011, the JEM Master’s Value at Risk for its assets (including the portion of the Partnership’s assets allocated to JE Moody for trading) was as follows:

March 31, 2011


						Three months ended March 31, 2011
			% of Total			High		Low		Average
Market Sector	Value at Risk		Capitalization			Value at Risk		Value at Risk		Value at Risk*
Energy	$	884,617		3.82	%	$	1,971,955	$	181,650	$	649,499
Grains		126,975		0.55	%		311,775		25,125		183,233
Livestock		130,100		0.56	%		231,350		48,750		92,533
Softs		656,600		2.84	%		656,600		13,750		256,133

Total	$	1,798,292		7.77	%


*		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 in Rules 13a-15(e) and 15d-15(e) under the Exchange Act) as of March 31, 2011 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 March 31, 2011 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.

This section describes the major pending legal proceedings, other than ordinary routine litigation incidental to the business, to which CGM is a party or to which any of their property is subject. There are no material legal proceedings pending against the Partnership or the General Partner.

CGM is a New York corporation with its principal place of business at 388 Greenwich St., New York, New York 10013. CGM is registered as a broker-dealer and futures commission merchant (“FCM”), and provides futures brokerage and clearing services for institutional and retail participants in the futures markets. CGM and its affiliates also provide investment banking and other financial services for clients worldwide.

There have been no material administrative, civil or criminal actions within the past five years against CGM (formerly known as Salomon Smith Barney) or any of its individual principals and no such actions are currently pending, except as follows.

Mutual Funds

Several issues in the mutual fund industry have come under the scrutiny of federal and state regulators. Citigroup has received subpoenas and other requests for information from various government regulators regarding market timing, financing, fees, sales practices and other mutual fund issues in connection with various investigations. Citigroup is cooperating with all such reviews. Additionally, CGM has entered into a settlement agreement with the SEC with respect to revenue sharing and sales of classes of funds.

On May 31, 2005, Citigroup announced that Smith Barney Fund Management LLC and CGM completed a settlement with the SEC resolving an investigation by the SEC into matters relating to arrangements between certain Smith Barney mutual funds, an affiliated transfer agent and an unaffiliated sub-transfer agent. Under the terms of the settlement, Citigroup agreed to pay fines totaling $208.1 million. The settlement, in which Citigroup neither admitted nor denied any wrongdoing or liability, includes allegations of willful misconduct by Smith Barney Fund Management LLC and CGM in failing to disclose aspects of the transfer agent arrangements to certain mutual fund investors.

In May 2007, CGM finalized its settlement agreement with the NYSE and the New Jersey Bureau of Securities on the matter related to its market-timing practices prior to September 2003.

FINRA Settlement

On October 12, 2009, FINRA announced its acceptance of an Award Waiver and Consent (“AWC”) in which CGM, without admitting or denying the findings, consented to the entry of the AWC and a fine and censure of $600,000. The AWC includes findings that CGM failed to adequately supervise the activities of its equities trading desk in connection with swap and related hedge trades in U.S. and Italian equities that were designed to provide certain perceived tax advantages. CGM was charged with failing to provide for effective written procedures with respect to the implementation of the trades, failing to monitor Bloomberg messages and failing to properly report certain of the trades to the NASDAQ.

Auction Rate Securities

On May 31, 2006, the SEC instituted and simultaneously settled proceedings against CGM and 14 other broker-dealers regarding practices in the auction rate securities market. The SEC alleged that the broker-dealers violated Section 17(a)(2) of the Securities Act of 1933, as amended. The broker-dealers, without admitting or denying liability, consented to the entry of an SEC cease-and-desist order providing for censures, undertakings and penalties. CGM paid a penalty of $1.5 million.

On August 7, 2008, Citigroup reached a settlement with the New York Attorney General, the SEC, and other state regulatory agencies, pursuant to which Citigroup agreed to offer to purchase at par auction rate securities from all Citigroup individual investors, small institutions (as defined by the terms of the settlement), and charities that purchased auction rate securities from Citigroup prior to February 11, 2008. In addition, Citigroup agreed to pay a $50 million fine to the State of New York and a $50 million fine to the other state regulatory agencies.

Subprime Mortgage-Related Actions

The SEC, among other regulators, is investigating Citigroup’s subprime and other mortgage-related conduct and business activities, as well as other business activities affected by the credit crisis, including an ongoing inquiry into Citigroup’s structuring and sale of collateralized debt obligations. Citigroup is cooperating fully with the SEC’s inquiries.

On July 29, 2010, the SEC announced the settlement of an investigation into certain of Citigroup’s 2007 disclosures concerning its subprime-related business activities. On October 19, 2010, the United States District Court for the District of Columbia entered a final judgment approving the settlement, pursuant to which Citigroup agreed to pay a $75 million civil penalty and to maintain certain disclosure policies, practices and procedures for a three-year period. Additional information relating to this action is publicly available in court filings under the docket number 10 Civ. 1277 (D.D.C.) (Huvelle, J.).

The Federal Reserve Bank, the OCC and the FDIC, among other federal and state authorities, are investigating issues related to the conduct of certain mortgage servicing companies, including Citigroup affiliates, in connection with mortgage foreclosures. Citigroup is cooperating fully with these inquiries.

Credit Crisis Related Matters

Beginning in the fourth quarter of 2007, certain of Citigroup’s, and CGM’ regulators and other state and federal government agencies commenced formal and informal investigations and inquiries, and issued subpoenas and requested information, concerning Citigroup’s subprime mortgage-related conduct and business activities. Citigroup and certain of its affiliates, including CGM, are involved in discussions with certain of its regulators to resolve certain of these matters.

Certain of these regulatory matters assert claims for substantial or indeterminate damages. Some of these matters already have been resolved, either through settlements or court proceedings, including the complete dismissal of certain complaints or the rejection of certain claims following hearings.

In the course of its business, CGM, as a major futures commission merchant and broker-dealer, is a party to various civil actions, claims and routine regulatory investigations and proceedings that the general partner believes do not have a material effect on the business of CGM.

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 for the fiscal year ended December 31, 2010.

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

For the three months ended March 31, 2011 there were additional subscriptions to Limited Partners of 14,087.7825 Redeemable Units totaling $20,606,111 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 thereunder.

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

The Redeemable Units were purchased by accredited investors as defined in Regulation D. The following chart sets forth the purchases of Redeemable Units by the Partnership.

(d) Maximum Number

(or Approximate

(c) Total Number

Dollar Value) of

(a) Total

of Redeemable Units

Redeemable Units that

Number of

(b) Average

Purchased as Part

May Yet Be

Redeemable

Price Paid per

of Publicly Announced

Purchased Under the

Period

Units Purchased*

Redeemable Unit**

Plans or Programs

January 1, 2011 -
January 31, 2011

639.6178

1,452.07

N/A

February 1, 2011 -
February 28, 2011

1,609.2339

1,454.02

N/A

March 1, 2011 -
March 31, 2011

1,514.5609

1,439.23

N/A

3,763.4126

1,447.74


*		Generally, limited partners are permitted to redeem their Redeemable Units as of the last day of each month on three business days’ notice to the General Partner. Under certain circumstances, the General Partner can compel redemption, although 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(a)		Certificate of Limited Partnership dated June 30, 2003 (filed as Exhibit 3.1 to the General Form for Registration of Securities on Form 10 filed on April 30, 2008 and incorporated herein by reference).

(b)		Certificate of Amendment of the Certificate of Limited Partnership dated September 21, 2005 (filed as Exhibit 3.1(a) to the General Form for Registration of Securities on Form 10 filed on April 30, 2008 and incorporated herein by reference).

(c)		Certificate of Amendment of the Certificate of Limited Partnership dated September 19, 2008 (filed as Exhibit 3.1(c) to the Quarterly Report on Form 10-Q filed on November 16, 2009 and incorporated herein by reference).

(d)		Certificate of Amendment of the Certificate of Limited Partnership dated September 28, 2009 (filed as Exhibit 99.1 to the Current Report on Form 8-K filed on September 30, 2009 and incorporated herein by reference).

(e)		Certificate of Amendment of the Certificate of Limited Partnership dated June 30, 2010 (filed as Exhibit 3.1(e) to the Current Report on Form 8-K filed on July 2, 2010 and incorporated herein by reference).

3.2		Second Amended and Restated Limited Partnership Agreement (filed as Exhibit 3.2 to the Current Report on Form 8-K filed on November 1, 2010 and incorporated herein by reference).

10.1(a)		Management Agreement among the Partnership, the General Partner and Altis (filed as Exhibit 10.1 to the General Form for Registration of Securities on Form 10 filed on April 30, 2008 and incorporated herein by reference).

(b)		Letter from the General Partner to Altis extending the Management Agreement from June 30, 2010 to June 30, 2011 (filed as Exhibit 10.1(b) on Form 10-K filed on March 31, 2011 and incorporated herein by reference).

10.2(a)		Management Agreement among the Partnership, the General Partner and Fall River Capital LLC (filed as Exhibit 10.2 to the General Form for Registration of Securities on Form 10 filed on April 30, 2008 and incorporated herein by reference).

(b)		Letter from the General Partner to Fall River Capital LLC extending the Management Agreement from June 30, 2010 to June 30, 2011 (filed as Exhibit 10.2(b) on Form 10-K filed on March 31, 2011 and incorporated herein by reference).

10.3(a)		Management Agreement among the Partnership, the General Partner and Waypoint Capital Management LLC (filed as Exhibit 10.4 to the General Form for Registration of Securities on Form 10 filed on April 30, 2008 and incorporated herein by reference).

(b)		Letter from the General Partner to Waypoint Capital Management LLC extending the Management Agreement from June 30, 2010 to June 30, 2011 (filed as Exhibit 10.3(b) on Form 10-K filed on March 31, 2011 and incorporated herein by reference).

10.4(a)		Management Agreement among the Partnership, the General Partner and Xplor Capital Management, LLC (filed as Exhibit 10.5 to the General Form for Registration of Securities on Form 10 filed on April 30, 2008 and incorporated herein by reference).

(b)		Letter from the General Partner to Xplor Capital Management, LLC extending the Management Agreement from June 30, 2010 to June 30, 2011 (filed as Exhibit 10.4(b) on Form 10-K filed on March 31, 2011 and incorporated herein by reference).

10.5(a)		Management Agreement among the Partnership the General Partner and Avant (filed as Exhibit 10.6 to the General Form for Registration of Securities on Form 10 filed on April 30, 2008 and incorporated herein by reference).

(b)		Letter from the General Partner to Avant extending the Management Agreement from June 30, 2009 to June 30, 2010 (filed as Exhibit 10.5(b) on Form 10-K filed on March 31, 2010 and incorporated herein by reference).

10.6(a)		Management Agreement among the Partnership, the General Partner and Cantab Capital Partners LLP (filed as Exhibit 10.7 to the General Form for Registration of Securities on Form 10 filed on April 30, 2008 and incorporated herein by reference).

(b)		Letter from the General Partner to Cantab Capital Partners LLP extending the Management Agreement from June 30, 2010 to June 30, 2011 (filed as Exhibit 10.6(b) on Form 10-K filed on March 31, 2011 and incorporated herein by reference).

10.7		Customer Agreement between the Partnership, the General Partner and CGM (filed as Exhibit 10.9 to the General Form for Registration of Securities on Form 10 filed on April 30, 2008 and incorporated herein by reference).

10.8		Amended and Restated Agency Agreement between the Partnership, the General Partner, CGM and MSSB (filed as Exhibit 10.8 to the Current Report on Form 8-K filed on August 4, 2010 and incorporated herein by reference).

10.9		Form of Subscription Agreement (filed as Exhibit 10.11 to the Quarterly Report on Form 10-Q filed on November 16, 2009 and incorporated herein by reference).

10.10 (a)		Management Agreement among the Partnership, the General Partner and Sasco (filed as Exhibit 10.1 to the Current Report on Form 8-K filed on April 21, 2009 and incorporated herein by reference).


(b)		Letter from the General Partner to Sasco extending the Management Agreement from June 30, 2010 to June 30, 2011 (filed as Exhibit 10.10(b) on Form 10-K filed on March 31, 2011 and incorporated herein by reference).

10.11		Joinder Agreement among the Partnership, the General Partner, CGM and MSSB (filed as Exhibit 10 to the Quarterly Report on Form 10-Q for the quarterly period ended June 30, 2009 filed on August 14, 2009 and incorporated herein by reference).

10.12		Amended and Restated Management Agreement among the Partnership, the General Partner and PGR Capital LLP (filed as Exhibit 10.12 to the Current Report on Form 8-K filed on November 4, 2010 and incorporated herein by reference).

10.13		Amended and Restated Management Agreement among the Partnership, the General Partner and Blackwater Capital Management LLC (filed as Exhibit 10.13 to the Current Report on Form 8-K filed on November 4, 2010 and incorporated herein by reference).

10.14		Amended and Restated Management Agreement among the Partnership, the General Partner and J E Moody & Company LLC (filed as Exhibit 10.14 to the Current Report on Form 10-K filed on January 3, 2011 and incorporated herein by reference).

10.15		Amended and Restated Management Agreement among the Partnership, the General Partner and Cirrus Capital Management LLC (filed as Exhibit 10.15 to the Current Report on Form 8-K filed on January 3, 2011 and incorporated herein by reference).

10.16		Management Agreement among the Partnership, the General Partner and Flintlock Capital Asset Management, LLC (filed as Exhibit 10.16 to the Current Report on Form 8-K filed on December, 2010 and incorporated herein by reference).

The exhibits required to be filed by Item 601 of regulation S-K are incorporated herein by reference


(a)		31.1 — Rule 13a-14(a)/15d-14(a) Certification (Certification of President and Director)
		31.2— Rule 13a-14(a)/15d-14(a) Certification (Certification of Chief Financial Officer and Director)
		32.1— Section 1350 Certification (Certification of President and Director)
		32.2— Section 1350 Certification (Certification of Chief Financial Officer 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.

EMERGING CTA PORTFOLIO L.P.


By:		Ceres Managed Futures LLC
		(General Partner)

By:		/s/ Walter Davis Walter Davis
		President and Director

Date:		May 16, 2011

By:		/s/ Jennifer Magro Jennifer Magro
		Chief Financial Officer and Director
		(Principal Accounting Officer)

Date:		May 16, 2011

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