Emerging Cta Portfolio 10Q 2012 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, 2012

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 – 14th Floor

New York, New York 10036

(Address of principal executive offices) (Zip Code)

(212) 296-1999

(Registrant’s telephone number, including area code)

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

YesX No -

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

YesX 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” in Rule 12b-2 of the Exchange Act. (Check one):


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

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

Yes - NoX

As of April 30, 2012, 150,502.6584 Limited Partnership Class A 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, 2012 (unaudited) and December 31, 2011		3

		Condensed Schedules of Investments at March 31, 2012 (unaudited) and December 31, 2011		4–5

		Statements of Income and Expenses and Changes in Partners’ Capital for the three months ended March 31, 2012 and 2011 (unaudited)		6

		Notes to Financial Statements (unaudited)		7–20

	Item 2.	Management’s Discussion and Analysis of Financial Condition and Results of Operations		21–22

	Item 3.	Quantitative and Qualitative Disclosures about Market Risk		23–29

	Item 4.	Controls and Procedures		30

PART II-Other Information				31–34

Exhibits
Exhibit 31.1 Certification
Exhibit 31.2 Certification
Exhibit 32.1 Certification
Exhibit 32.2 Certification
101.INS XBRL Instance Document.
101.SCH XBRL Taxonomy Extension Schema Document.
101.CAL XBRL Taxonomy Extension Calculation Linkbase Document.
101.LAB XBRL Taxonomy Extension Label Linkbase Document.
101.PRE XBRL Taxonomy Extension Presentation Linkbase Document.

PART I

Item 1. Financial Statements

Emerging CTA Portfolio L.P.

Statements of Financial Condition


	(Unaudited) March 31, 2012		December 31, 2011
Assets:
Investment in Funds, at fair value	$	168,808,525	$	159,310,000
Equity in trading account:
Cash		44,371,795		48,192,792
Cash margin		2,268,580		364,015
Net unrealized appreciation on open futures contracts		103,458		0
Net unrealized appreciation on open forward contracts		0		26,212

Total trading equity		215,552,358		207,893,019
Interest receivable		2,211		0

Total assets	$	215,554,569	$	207,893,019

Liabilities and Partners’ Capital:
Liabilities:
Net unrealized depreciation on open futures contracts	$	0	$	1,817
Net unrealized depreciation on open forward contracts		127,305		0
Accrued expenses:
Brokerage fees		628,329		606,200
Management fees		259,866		259,281
Administrative fees		89,436		86,298
Incentive fees		50,061		163,245
Other		152,552		119,104
Redemptions payable		2,877,902		1,705,003

Total liabilities		4,185,451		2,940,948

Partners’ Capital:
General Partner, Class A, 1,508.6394 and 1,438.9316 unit equivalents outstanding at March 31, 2012 and December 31, 2011		2,119,985		2,086,221
Limited Partners, Class A, 148,906.9205 and 139,922.8594 Redeemable Units outstanding at March 31, 2012 and December 31, 2011, respectively		209,249,133		202,865,850

Total partners’ capital		211,369,118		204,952,071

Total liabilities and partners’ capital	$	215,554,569	$	207,893,019

Net asset value per unit, Class A	$	1,405.23	$	1,449.84

See accompanying notes to financial statements.

Emerging CTA Portfolio L.P.

Condensed Scheduleof Investments

March 31, 2012

(Unaudited)


	Notional ($)/ Number of Contracts		Fair Value			% of Partners’ Capital
Futures Contracts Purchased
Currencies		5	$	(5,100	)		(0.00	)%*
Energy		30		(28,460	)		(0.01	)
Grains		60		78,208			0.03
Indices		5		(375	)		(0.00	)*
Interest Rates Non-U.S.		560		(89,224	)		(0.04	)
Metals		35		16,270			0.01
Softs		10		1,456			0.00	*

Total futures contracts purchased				(27,225	)		(0.01	)

Futures Contracts Sold
Currencies		30		29,787			0.01
Interest Rates U.S.		90		17,031			0.01
Interest Rates Non-U.S.		655		83,865			0.04

Total futures contracts sold				130,683			0.06

Unrealized Depreciation on Forward Contracts
Currencies	$	29,365,866		(127,305	)		(0.06	)

Total unrealized depreciation on forward contracts				(127,305	)		(0.06	)

Investment in Funds
CMF Altis Partners Master Fund L.P.				4,281,587			2.03
Waypoint Master Fund L.P.				20,848,772			9.86
Blackwater Master Fund L.P.				36,299,541			17.17
PGR Master Fund L.P.				34,609,788			16.37
JEM Master Fund L.P.				33,497,777			15.85
CMF Cirrus Master Fund L.P.				19,943,894			9.44
FL Master Fund L.P.				19,327,166			9.14

Total investment in Funds				168,808,525			79.86

Net fair value			$	168,784,678			79.85	%

*Due to rounding.

See accompanying notes to financial statements.

Emerging CTA Portfolio L.P.

Condensed Schedule of Investments

December 31, 2011


	Notional ($)/ Number of Contracts		Fair Value			% of Partners’ Capital
Futures Contracts Purchased
Energy		13	$	(6,729	)		(0.00	)%*
Grains		35		13,919			0.00	*
Indices		7		(28	)		(0.00	)*
Metals		7		(8,800	)		(0.00	)*
Softs		8		(179	)		(0.00	)*

Total futures contracts purchased				(1,817	)		0.00	*

Unrealized Appreciation on Forward Contracts
Currencies	$	18,983		42			0.00	*
Metals		43		149,404			0.07

Total unrealized appreciation on forward contracts				149,446			0.07

Unrealized Depreciation on Forward Contracts
Currencies	$	258,087		(761	)		(0.00	)*
Metals		53		(122,473	)		(0.06	)

Total unrealized depreciation on forward contracts				(123,234	)		(0.06	)

Investment in Funds
CMF Altis Partners Master Fund L.P.				4,403,517			2.15
Waypoint Master Fund L.P.				21,857,243			10.67
Blackwater Master Fund L.P.				32,714,125			15.96
PGR Master Fund L.P.				28,765,002			14.03
JEM Master Fund L.P.				31,902,038			15.57
CMF Cirrus Master Fund L.P.				20,248,797			9.88
FL Master Fund L.P.				19,419,278			9.47

Total investment in Funds				159,310,000			77.73

Net fair value			$	159,334,395			77.74	%

*	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,
	2012			2011
Investment Income:
Interest income	$	4,595		$	14,284
Interest income from investment in Funds		17,371			32,198

Total investment income		21,966			46,482

Expenses:
Brokerage fees including clearing fees		2,186,429			2,042,893
Management fees		784,315			853,416
Administrative fees		268,176			240,335
Incentive fees		50,061			119,461
Other		149,014			137,521

Total expenses		3,437,995			3,393,626

Net investment income (loss)		(3,416,029	)		(3,347,144	)

Trading Results:
Net gains (losses) on trading of commodity interests and investment in Funds:
Net realized gains (losses) on closed contracts		(615,493	)		(615,614	)
Net realized gains (losses) investment in Funds		(5,158,873	)		1,905,764
Change in net unrealized gains (losses) on open contracts		(48,242	)		63,465
Change in net unrealized gains (losses) on investment in Funds		2,496,905			(3,312,682	)

Total trading results		(3,325,703	)		(1,959,067	)

Net income (loss)		(6,741,732	)		(5,306,211	)
Subscriptions — Limited Partners		20,672,951			20,606,111
Subscriptions — General Partner		100,000			0
Redemptions — Limited Partners		(7,614,172	)		(5,448,429	)

Net increase (decrease) in Partners’ Capital		6,417,047			9,851,471
Partners’ Capital, beginning of period		204,952,071			183,525,601

Partners’ Capital, end of period	$	211,369,118		$	193,377,072

Net asset value per unit (150,415.5599 and 134,361.6924 units outstanding at March 31, 2012 and 2011, respectively)	$	1,405.23		$	1,439.23

Net income (loss) per unit*	$	(44.61	)	$	(40.37	)

Weighted average units outstanding		150,170.1005			132,363.8128

*	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, 2012

(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 early-stage commodity trading advisors which engage, directly and indirectly, in speculative trading of a diversified portfolio of commodity interests, including futures contracts, forward contracts and options. 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 directly and through its investment in 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 Inc. (“Citigroup”) indirectly owns a minority equity interest in MSSB Holdings. Citigroup also indirectly owns Citigroup Global Markets Inc. (“CGM”), the commodity broker and a selling agent for the Partnership. Prior to July 31, 2009, the date as of which MSSB Holdings became its owner, the General Partner was wholly owned by Citigroup Financial Products Inc., a wholly owned subsidiary of Citigroup Global Markets Holdings Inc., the sole owner of which is Citigroup.

As of September 1, 2011, the Partnership began offering three classes of limited partnership interests: Class A units, Class D units and Class Z units; each will be referred to as a “Class” and collectively referred to as the “Classes”. All Redeemable Units issued prior to September 1, 2011 were deemed “Class A Units.” The rights, liabilities, risks, and fees associated with investment in the Class A Units were not changed. Class A Units and Class D Units are available to taxable U.S. individuals and institutions, as well as U.S. tax exempt individuals and institutions. Class Z Units will be offered to certain employees of Morgan Stanley Smith Barney and its affiliates (and their family members). The Class of units that a Limited Partner receives upon subscription will generally depend upon the amount invested in the Partnership or the status of the investor, although the General Partner may determine to offer units to investors at its discretion. As of March 31, 2012, there were no Redeemable Units outstanding in Class D or Class Z.

As of March 31, 2012, all trading decisions are made for the Partnership by its eight trading advisors (the “Advisors”) either directly, through individually managed accounts, or indirectly, through investments in other collective investment vehicles. Blackwater Capital Management, LLC (“Blackwater”), J E Moody & Company LLC (“J E Moody”), PGR Capital LLP (“PGR Capital”), Waypoint Capital Management LLC (“Waypoint”) and Willowbridge Associates Inc. (“Willowbridge”) have been selected by the General Partner as the major commodity trading advisors. In addition, the General Partner has allocated the Partnership’s assets to additional non-major trading advisors. The General Partner may allocate less than 10% of the Partnership’s assets to a new trading advisor or another trading program of a current Advisor. 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, 2012 and December 31, 2011, and the results of its operations and changes in partners’ capital for the three months ended March 31, 2012 and 2011. 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, 2011.

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 is liable for obligations of the Partnership in excess of its capital contribution and profits or losses, 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, 2012

(Unaudited)

2. Financial Highlights:

Changes in the net asset value per unit for Class A for the three months ended March 31, 2012 and 2011 were as follows:


	Three Months Ended March 31,
	2012			2011
Net realized and unrealized gains (losses) *	$	(36.41	)	$	(30.46	)
Interest income		0.14			0.35
Expenses **		(8.34	)		(10.26	)

Increase (decrease) for the period		(44.61	)		(40.37	)
Net asset value per unit, beginning of period		1,449.84			1,479.60

Net asset value per unit, end of period	$	1,405.23		$	1,439.23

*	Includes brokerage fees and clearing fees.

**	Excludes brokerage fees and clearing fees.


	Three Months Ended March 31,
	2012			2011***
Ratios to average net assets:****
Net investment income (loss)		(6.4	)%		(7.1	)%
Incentive fees		—	%		0.1	%

Net investment income (loss) before incentive fees*****		(6.4	)%		(7.0	)%


Operating expense		6.5	%		7.1	%
Incentive fees		—	%		0.1	%

Total expenses		6.5	%		7.2	%


Total return:
Total return before incentive fees		(3.1	)%		(2.7	)%
Incentive fees		—	%		—	%

Total return after incentive fees		(3.1	)%		(2.7	)%

***	The ratios are shown net and gross of incentive fees to conform to current year presentation.

****	Annualized (other than incentive fees).

***** Interest

income less total expenses.

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

3. Trading Activities:

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

The customer agreements between the Partnership and CGM and the Funds and CGM give the Partnership and the Funds, the legal right to net unrealized gains and losses on open futures and forward contracts 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 as the criteria under Accounting Standards Codification (“ASC”) 210-20, “Balance Sheet”, have been met.

Emerging CTA Portfolio L.P.

Notes to Financial Statements

March 31, 2012

(Unaudited)

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, 2012 and 2011 were 1,354 and 4,476, respectively. The monthly average number of metals forward contracts traded directly by the Partnership during the three months ended March 31, 2012 and 2011 were 11 and 553, respectively. The monthly average number of option contracts held directly by the Partnership during the three months ended March 31, 2012 and 2011 were 21 and 244, respectively. The monthly average notional value of currency forward contracts held directly by the Partnership during the three months ended March 31, 2012 and 2011 were $29,123,661 and $317,620,979, 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.

The following tables indicate the gross fair values of derivative instruments of futures and forward contracts as separate assets and liabilities as of March 31, 2012 and December 31, 2011.


	March 31, 2012
Assets
Futures Contracts
Currencies	$	29,787
Grains		80,270
Interest Rates Non-U.S.		85,229
Interest Rates U.S.		24,688
Metals		19,270
Softs		2,072

Total unrealized appreciation on open futures contracts	$	241,316

Liabilities
Futures Contracts
Currencies	$	(5,100	)
Energy		(28,460	)
Grains		(2,063	)
Indices		(375	)
Interest Rates Non-U.S.		(90,588	)
Interest Rates U.S.		(7,656	)
Metals		(3,000	)
Softs		(616	)

Total unrealized depreciation on open futures contracts	$	(137,858	)

Net unrealized appreciation on open futures contracts	$	103,458	*

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


	March 31, 2012
Liabilities
Forward Contracts
Currencies	$	(127,305	)

Total unrealized depreciation on open forward contracts	$	(127,305	)

Net unrealized depreciation on open forward contracts	$	(127,305	)**

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

Emerging CTA Portfolio L.P.

Notes to Financial Statements

March 31, 2012

(Unaudited)


	December 31, 2011
Assets
Futures Contracts
Energy	$	1,680
Grains		14,643
Indices		128
Softs		90

Total unrealized appreciation on open futures contracts	$	16,541

Liabilities
Futures Contracts
Energy	$	(8,409	)
Grains		(725	)
Indices		(155	)
Metals		(8,800	)
Softs		(269	)

Total unrealized depreciation on open futures contracts	$	(18,358	)

Net unrealized depreciation on open futures contracts	$	(1,817	)*

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


	December 31, 2011
Assets
Forward Contracts
Currencies	$	42
Metals		149,404

Total unrealized appreciation on open forward contracts	$	149,446

Liabilities
Forward Contracts
Currencies	$	(761	)
Metals		(122,473	)

Total unrealized depreciation on open forward contracts	$	(123,234	)

Net unrealized appreciation on open forward contracts	$	26,212	**

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

Emerging CTA Portfolio L.P.

Notes to Financial Statements

March 31, 2012

(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, 2012 and 2011.


	Three Months Ended March 31,
Sector	2012			2011
Currencies	$	708,765		$	(500,408	)
Energy		(43,456	)		376,329
Grains		32,663			491,121
Indices		15,988			(1,044,871	)
Interest Rates U.S.		(324,687	)		(47,415	)
Interest Rates Non-U.S.		(645,414	)		(458,286	)
Livestock		—			(305,846	)
Metals		(377,202	)		387,102
Softs		(30,392	)		550,125

Total	$	(663,735	)***	$	(552,149	)***

***	This amount is in “Total trading results” on the Statement of Income and Expenses and Changes in Partners’ Capital.

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 use of 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.

Effective January 1, 2012, the Partnership adopted Accounting Standards Update (“ASU”) 2011-04, “Amendments to Achieve Common Fair Value Measurement and Disclosure Requirements in GAAP and International Financial Reporting Standards” (“IFRS”). The amendments within this ASU change the wording used to describe many of the requirements in GAAP for measuring fair value and for disclosing information about fair value measurements to eliminate unnecessary wording differences between GAAP and IFRS. However, some of the amendments clarify FASB’s intent about the application of existing fair value measurement requirements and other amendments change a particular principle or requirement for measuring fair value or for disclosing information about fair value measurements. This new guidance did not have a significant impact on the Partnership’s financial statements.

Emerging CTA Portfolio L.P.

Notes to Financial Statements

March 31, 2012

(Unaudited)

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 that derive fair values for those assets and liabilities 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, 2012 and December 31, 2011, the Partnership and the Funds did not hold any derivative instruments that were priced at fair value using unobservable inputs through the application of the General Partner’s assumptions and internal valuation pricing models (Level 3). During the period January 1, 2012 to March 31, 2012, there were no Level 3 assets and liabilities, and there were no transfers of assets or liabilities between Level 1 and Level 2.


	March 31, 2012		Quoted Prices in Active Markets for Identical Assets (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)
Assets
Investment in Funds	$	168,808,525	$	—	$	168,808,525	$	—
Futures		241,316		241,316		—		—

Total assets	$	169,049,841	$	241,316	$	168,808,525	$	—

Liabilities
Futures	$	137,858	$	137,858	$	—	$	—
Forwards		127,305		—		127,305

Total liabilities		265,163		137,858		127,305		—

Net fair value	$	168,784,678	$	103,458	$	168,681,220	$	—


	December 31, 2011		Quoted Prices in Active Markets for Identical Assets (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)
Assets
Investment in Funds	$	159,310,000	$	—	$	159,310,000	$	—
Futures		16,541		16,541		—		—
Forwards		149,446		149,404		42		—

Total assets	$	159,475,987	$	165,945	$	159,310,042	$	—

Liabilities
Futures	$	18,358	$	18,358	$	—	$	—
Forwards		123,234		122,473		761		—

Total liabilities		141,592		140,831		761		—

Net fair value	$	159,334,395	$	25,114	$	159,309,281	$	—

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.

Emerging CTA Portfolio L.P.

Notes to Financial Statements

March 31, 2012

(Unaudited)

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, systematic trading program, to invest together in one trading vehicle. The Partnership fully redeemed its investment in Sasco Master on May 31, 2011 for cash equal to $14,575,007.

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 at 150% Leverage, 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 (“J E 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.

Emerging CTA Portfolio L.P.

Notes to Financial Statements

March 31, 2012

(Unaudited)

On May 1, 2011, the assets allocated to Flintlock Capital Asset Management, LLC (“Flintlock”) for trading were invested in FL Master Fund L.P. (“FL Master”), a limited partnership organized under the partnership laws of the State of Delaware. The Partnership invested in FL Master with cash equal to $23,564,973. FL Master was formed to permit accounts managed now or in the future by Flintlock using the 2x Flintlock Commodity Opportunities Partners, LP, a proprietary, systematic trading program, to invest together in one trading vehicle. The General Partner is also the general partner for FL Master. Individual and pooled accounts currently managed by Flintlock, including the Partnership, are permitted to be limited partners of FL Master. The General Partner and Flintlock 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, 2012.

Altis Master’s, Waypoint Master’s, Blackwater Master’s, PGR Master’s, JEM Master’s, Cirrus Master’s and FL Master’s (collectively, the “Funds”) trading of futures, forwards, swaps and options contracts, as 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 of the Funds may withdraw all or part of their capital contribution and undistributed profits, if any, from the Funds as of the end of any day (the “Redemption Date”) after a request for redemption has been made to the General Partner at least three days in advance of the Redemption Date. Such withdrawals 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 Association fees (collectively the “clearing fees”) are borne by the Partnership directly or through its investment in the Funds. All other fees, including CGM’s direct brokerage fees, are charged at the Partnership level.

At March 31, 2012, the Partnership owned approximately 3.0% of Altis Master, 56.6% of Waypoint Master, 69.4% of PGR Master, 43.9% of Blackwater Master, 70.6% of JEM Master, 87.5% of Cirrus Master and 63.2% of FL Master. At December 31, 2011, the Partnership owned approximately 3.0% of Altis Master, 55.8% of Waypoint Master, 63.9% of PGR Master, 39.5% of Blackwater Master, 69.9% of JEM Master, 87.5% of Cirrus Master and 85.7% of FL 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, 2012

(Unaudited)

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


	March 31, 2012
	Total Assets		Total Liabilities		Total Capital
Altis Master	$	141,013,201	$	271,270	$	140,741,931
Waypoint Master		37,664,716		863,123		36,801,593
Blackwater Master		83,982,901		1,285,397		82,697,504
PGR Master		51,066,944		1,221,065		49,845,879
JEM Master		47,509,677		64,041		47,445,636
Cirrus Master		23,122,872		335,343		22,787,529
FL Master		32,006,201		1,415,456		30,590,745

Total	$	416,366,512	$	5,455,695	$	410,910,817


	December 31, 2011
	Total Assets		Total Liabilities		Total Capital
Altis Master	$	145,096,295	$	161,169	$	144,935,126
Waypoint Master		39,260,567		68,237		39,192,330
Blackwater Master		83,066,066		176,287		82,889,779
PGR Master		45,105,430		68,484		45,036,946
JEM Master		45,732,649		67,973		45,664,676
Cirrus Master		23,186,209		55,047		23,131,162
FL Master		28,928,129		6,267,539		22,660,590

Total	$	410,375,345	$	6,864,736	$	403,510,609

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


	For the three months ended March 31, 2012
	Net Investment Income (Loss)			Total Trading Results			Net Income (Loss)
Altis Master	$	(79,621	)	$	(1,671,720	)	$	(1,751,341	)
Waypoint Master		(45,014	)		(163,723	)		(208,737	)
Blackwater Master		(26,911	)		(4,324,898	)		(4,351,809	)
PGR Master		(26,356	)		(2,266,066	)		(2,292,422	)
JEM Master		(237,599	)		1,325,575			1,087,976
Cirrus Master		(27,287	)		71,386			44,099
FL Master		(58,252	)		(181,171	)		(239,423	)

Total	$	(501,040	)	$	(7,210,617	)	$	(7,711,657	)


	For the three months ended March 31, 2011
	Net Investment Income (Loss)			Total Trading Results			Net Income (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	)

Emerging CTA Portfolio L.P.

Notes to Financial Statements

March 31, 2012

(Unaudited)

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


	March 31, 2012					For the three months ended March 31, 2012
	% of Partnership’s Net Assets			Fair Value		Income (Loss)			Expenses				Net Income (Loss)			Investment Objective	Redemptions Permitted
Funds	% of Partnership’s Net Assets			Fair Value		Income (Loss)			Brokerage Fees		Other		Net Income (Loss)			Investment Objective	Redemptions Permitted
Altis Master		2.03	%	$	4,281,587	$	(50,391	)	$	1,968	$	818	$	(53,177	)	Commodity Portfolio	Monthly
Waypoint Master		9.86	%		20,848,772		(108,197	)		17,864		9,403		(135,464	)	Commodity Portfolio	Monthly
Blackwater Master		17.17	%		36,299,541		(1,848,033	)		22,088		8,802		(1,878,923	)	Commodity Portfolio	Monthly
PGR Master		16.37	%		34,609,788		(1,541,634	)		15,286		10,722		(1,567,642	)	Commodity Portfolio	Monthly
JEM Master		15.85	%		33,497,777		953,071			159,648		12,906		780,517		Commodity Portfolio	Monthly
Cirrus Master		9.44	%		19,943,894		64,332			13,374		12,472		38,486		Energy Markets	Monthly
FL Master		9.14	%		19,327,166		(113,745	)		37,522		15,617		(166,884	)	Commodity Portfolio	Monthly

Total				$	168,808,525	$	(2,644,597	)	$	267,750	$	70,740	$	(2,983,087	)


	December 31, 2011					For the three months ended March 31, 2011
	% of Partnership’s Net Assets			Fair Value		Income (Loss)			Expenses				Net Income (Loss)			Investment Objective	Redemptions Permitted
Funds	% of Partnership’s Net Assets			Fair Value		Income (Loss)			Brokerage Fees		Other		Net Income (Loss)			Investment Objective	Redemptions Permitted
Altis Master		2.15	%	$	4,403,517	$	(1,878,531	)	$	11,568	$	4,027	$	(1,894,126	)	Commodity Portfolio	Monthly
Sasco Master		—			—		(308,193	)		60,195		8,736		(377,124	)	Energy Markets	Monthly
Waypoint Master		10.67	%		21,857,243		(807,200	)		25,907		11,060		(844,167	)	Commodity Portfolio	Monthly
Blackwater Master		15.96	%		32,714,125		784,016			13,121		13,282		757,613		Commodity Portfolio	Monthly
PGR Master		14.03	%		28,765,002		451,151			5,842		17,762		427,547		Commodity Portfolio	Monthly
JEM Master		15.57	%		31,902,038		(182,227	)		101,099		9,000		(292,326	)	Commodity Portfolio	Monthly
Cirrus Master		9.88	%		20,248,797		566,264			14,597		7,626		544,041		Energy Markets	Monthly
FL Master		9.47	%		19,419,278		—			—		—		—		Commodity Portfolio	Monthly

Total				$	159,310,000	$	(1,374,720	)	$	232,329	$	71,493	$	(1,678,542	)

Emerging CTA Portfolio L.P.

Notes to Financial Statements

March 31, 2012

(Unaudited)

6. Financial Instrument Risks:

In the normal course of business, the Partnership and the Funds are parties to financial instruments with off-balance sheet risk, including derivative financial instruments and derivative commodity instruments. These financial instruments may include forwards, futures, options and swaps whose values are based upon an underlying asset, index, or reference rate, and generally represent future commitments to exchange currencies or cash balances, 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 forwards, swaps and certain option contracts. Specific market movements of commodities or futures contracts underlying an option cannot accurately be predicted. Each of these instruments is subject to various risks similar to those relating 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 General Partner estimates that at any given time approximately 3.3% to 13.5% of the Partnership’s contracts are traded OTC.

The risk to the Limited Partners that have purchased Redeemable Units is limited to the amount of their share of the Partnership’s net assets and undistributed profits. This limited liability is a result of the organization of the Partnership as a limited partnership under New York 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 CGM or a CGM affiliate is the sole counterparty or broker with respect to the Partnership’s/Funds’ assets. 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 bears 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, online monitoring systems provide account analysis of futures, forwards and options positions by sector, margin requirements, gain and loss transactions and collateral positions.

The majority of these financial 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.

Emerging CTA Portfolio L.P.

Notes to Financial Statements

March 31, 2012

(Unaudited)

7. Critical Accounting Policies

Use of Estimates.The preparation of financial statements and accompanying notes in conformity with GAAP requires the General Partner 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 the Funds’ Investments.All commodity interests held by the Partnership and the Funds (including derivative financial instruments and derivative commodity instruments) are held for trading purposes. The commodity interests are recorded on trade date and open contracts are recorded at fair value (as described below) at the measurement date. Investments in commodity interests denominated in foreign currencies are translated into U.S. dollars at the exchange rates prevailing at the measurement date. Gains or losses are realized when contracts are liquidated. Unrealized gains or losses on open contracts are included as a component of equity in trading account on the Statements of Financial Condition. 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.

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 that derive fair values for those assets and liabilities 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, 2012 and December 31, 2011, the Partnership and the Funds did not hold any derivative instruments that were priced at fair value using unobservable inputs through the application of the General Partner’s assumptions and internal valuation pricing models (Level 3).

Futures Contracts.The Partnership and the Funds trade futures contracts. A futures contract is a firm commitment to buy or sell a specified quantity of investments, currency or a standardized amount of a deliverable grade commodity, at a specified price on a specified future date, unless the contract is closed before the delivery date or if the delivery quantity is something where physical delivery cannot occur (such as the S&P 500 Index), whereby such contract is settled in cash. Payments (“variation margin”) may be made or received by the Partnership and the Funds each business day, depending on the daily fluctuations in the value of the underlying contracts, and are recorded as unrealized gains or losses by the Partnership and 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, through the futures broker, 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, 2012

(Unaudited)

Forward Foreign Currency Contracts.Forward 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. Forward 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 forward 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 Partners’ 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 Partners’ 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 Partners’ 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. The 2008 through 2011 tax years remain subject to examination by U.S. federal and most state tax authorities. The General Partner does not believe that there are any uncertain tax positions that require recognition of a tax liability.

Subsequent Events.The General Partner evaluates events that occur after the balance sheet date but before financial statements are filed. The General Partner 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.

Emerging CTA Portfolio L.P.

Notes to Financial Statements

March 31, 2012

(Unaudited)

Recent Accounting Pronouncements. In October 2011, FASB issued a proposed ASU intended to improve and converge financial reporting by setting forth consistent criteria for determining whether an entity is an investment company. Under longstanding GAAP, investment companies carry all of their investments at fair value, even if they hold a controlling interest in another company. The primary changes being proposed by FASB relate to which entities would be considered investment companies as well as certain disclosure and presentation requirements. In addition to the changes to the criteria for determining whether an entity is an investment company, FASB also proposes that an investment company consolidate another investment company if it holds a controlling financial interest in the entity. The Partnership will evaluate the impact that this proposed update would have on the financial statements once the pronouncement is issued.

In December 2011, FASB issued ASU 2011-11, “Disclosures about Offsetting Assets and Liabilities,” which creates a new disclosure requirement about the nature of an entity’s rights of setoff and the related arrangements associated with its financial instruments and derivative instruments. Entities are required to disclose both gross information and net information about both instruments and transactions eligible for offset in the statement of financial position and instruments and transactions subject to an agreement similar to a master netting arrangement. The objective of this disclosure is to facilitate comparisons between those entities that prepare their financial statements on the basis of GAAP and those entities that prepare their financial statements on the basis of IFRS. The disclosure requirements are effective for annual reporting periods beginning on or after January 1, 2013, and interim periods within those annual periods. The Partnership should also provide the disclosures retrospectively for all comparative periods presented. The Partnership is currently evaluating the impact that the pronouncement would have on 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) investments in the Funds, (ii) equity in its trading account, consisting of cash and cash equivalents and net unrealized appreciation on open futures contracts. and (iii) interest receivable. Because of the low margin deposits normally required in commodity futures trading, relatively small price movements may result in substantial losses to the Partnership, through its direct investments and investment in the Funds. While substantial losses could lead to a material decrease in liquidity, no such illiquidity occurred in the first quarter of 2012.

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, 2012, Partnership capital increased 3.1% from $204,952,071 to $211,369,118. This increase was attributable to the subscriptions of 14,328.4315 Class A Redeemable Units totaling $20,672,951 and 69.7078 Class A General Partner unit equivalents totaling $100,000, which was partially offset by a net loss from operations of $6,741,732 coupled with the redemption of 5,344.3704 Class A Redeemable Units resulting in an outflow of $7,614,172. 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. The General Partner 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 and the Funds record all investments at fair value in their financial statements, with changes in fair value reported as a component of net realized gains (losses) and change in net unrealized gains (losses) in the Statements of Income and Expenses and Changes in Partners’ Capital.

Results of Operations

During the Partnership’s first quarter of 2012, the net asset value per unit decreased 3.1% from $1,449.84 to $1,405.23 as compared to a decrease of 2.7% in the first quarter of 2011. The Partnership experienced a net trading loss before brokerage fees and related fees in the first quarter of 2012 of $3,325,703. Losses were primarily attributable to the Partnership/Funds’ trading of commodity futures in currencies, grains, U.S. and non-U.S. interest rates, metals and softs, and were partially offset by gains in energy, livestock and indices. 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 most significant losses were recorded within the global interest rate sector in February and March from long positions in U.S., European, Australian, and Canadian fixed-income futures. During February, prices fell amid optimism that Greece would receive a second bailout, thereby diminishing demand for the relative “safety” of government bonds. Meanwhile, prices fell further during March after the U.S. Federal Reserve upwardly revised their U.S. economic outlook. Within the agricultural complex, losses were incurred primarily during January and February from short positions in wheat futures as prices advanced on speculation cold weather in Europe will hurt winter crops that lack protective snow cover. Meanwhile, losses were incurred from short positions in sugar futures throughout the majority of the quarter as prices advanced on concern that supplies will be tighter than forecast because of harvest delays in Brazil, the world’s largest producer of sugar. Within the metals sector, losses were incurred throughout the majority of the quarter from long positions in gold and silver futures as prices declined on speculation that the U.S. Federal Reserve will refrain from offering additional stimulus as the economy recovers, eroding demand for the precious metals. Gold futures prices continued to decline after India, the world’s biggest bullion buyer, increased the tax on imports of precious metals for the second time this year. Within the currency markets, losses were incurred primarily during March from short positions in the Swiss franc, euro, and British pound versus the U.S. dollar as the value of these currencies reversed higher against the U.S. dollar amid optimism regarding the Greek debt bailout. Meanwhile, long positions in the Canadian dollar versus the U.S. dollar resulted in losses as the value of the commodity-linked currency fell after concern over earnings in China reduced demand for higher-yielding currency assets.

A portion of the Partnership’s losses for the quarter was offset by gains experienced within the energy sector from short positions in natural gas futures as prices dropped throughout the majority of the quarter amid ample inventories and mild weather across the U.S. Additional gains were experienced in this market sector during February from long futures positions in RBOB (unleaded) gasoline and Brent crude oil as prices increased on concerns over inventory levels and rising tensions in the Middle East. Within the global stock index sector, gains were achieved primarily during February and March from long positions in U.S. and Pacific Rim equity index futures as prices were buoyed higher by better-than-expected economic reports in these regions. Prices also rose after China cut banks’ reserve requirements to fuel lending and the U.S. Federal Reserve Board raised its assessment of the U.S. economy.

Commodity futures markets are highly volatile. Broad price fluctuations and rapid inflation increase the risks involved in commodity trading, but also increase 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, 2012 decreased by $24,516, as compared to the corresponding period in 2011. The decrease in interest income is due to lower U.S. Treasury bill rates during the three months ended March 31, 2012 as compared to the corresponding period in 2011. 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/Funds’ account and upon interest rates over which neither the Partnership/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, 2012 increased by $143,536, as compared to the corresponding period in 2011. The increase in brokerage fees is due to higher average net assets during the three months ended March 31, 2012, as compared to the corresponding period in 2011.

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, 2012 decreased by $69,101, as compared to the corresponding period in 2011. The decrease in management fees is due to a change in fee percentage rates as a result of a change in the mix of Advisors allocated assets of the Partnership during the three months ended March 31, 2012, as compared to corresponding period in 2011.

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, 2012 increased by $27,841, as compared to the corresponding period in 2011. The increase in administrative fees is due to higher average net assets during the three months ended March 31, 2012, as compared to the corresponding period in 2011.

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 months ended March 31, 2012 resulted in incentive fees of $50,061. Trading performance for the three months ended March 31, 2011 resulted in incentive fees of $119,461.

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.

As of March 31, 2012 and December 31, 2011 the Partnership’s assets were allocated among these Advisors in the following approximate percentages:


Advisor	March 31, 2012			December 31, 2011
Altis Partners (Jersey) Limited		2	%		2	%
Waypoint Capital Management LLC		9	%		11	%
PGR Capital LLP		16	%		14	%
Blackwater Capital Management LLC		17	%		16	%
J E Moody & Company LLC		16	%		15	%
Cirrus Capital Management LLC		9	%		10	%
Flintlock Capital Asset Management LLC		9	%		10	%
Willowbridge Associates Inc.		22	%		19	%

Item 3.

Quantitative and Qualitative Disclosures about Market Risk

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

The limited partners will not be liable for losses exceeding the current net asset value of their investment.

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 market 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. 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, 2011.

The following tables indicate the trading Value at Risk associated with the Partnership’s open positions by market category as of March 31, 2012 and December 31, 2011. As of March 31, 2012, the Partnership’s total capitalization was $211,369,118.

March 31, 2012


Market Sector	Value at Risk		% of Total Capitalization
Currencies	$	3,342,537		1.58	%
Energy		3,461,557		1.64	%
Grains		810,352		0.38	%
Indices		2,325,994		1.10	%
Interest Rates U.S.		1,193,492		0.56	%
Interest Rates Non-U.S.		2,189,703		1.04	%
Livestock		1,224,727		0.58	%
Lumber		225		0.00	%*
Metals		1,554,795		0.74	%
Softs		939,436		0.44	%

Total	$	17,042,818		8.06	%

*	Due to rounding.

As of December 31, 2011, the Partnership’s total capitalization was $204,952,071.

December 31, 2011


Market Sector	Value at Risk		% of Total Capitalization
Currencies	$	2,045,101		1.00	%
Energy		1,049,884		0.51	%
Grains		554,666		0.27	%
Indices		969,832		0.47	%
Interest Rates U.S.		456,702		0.22	%
Interest Rates Non-U.S.		2,195,954		1.07	%
Livestock		17,245		0.01	%
Lumber		1,710		0.00	%*
Metals		804,434		0.40	%
Softs		220,609		0.11	%

Total	$	8,316,137		4.06	%

*	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, 2012 and December 31, 2011, the highest, lowest and average values during the three months ended March 31, 2012 and the twelve months ended December 31, 2011. All open contracts trading risk exposures have been included in calculating the figures set forth below.

As of March 31, 2012, the Partnership’s Value at Risk for the portion of its assets that are traded directly was as follows:

March 31, 2012


						Three months ended March 31, 2012
Market Sector	Value at Risk		% of Total Capital			High Value at Risk		Low Value at Risk		Average Value at Risk*
Currencies	$	984,138		0.47	%	$	2,655,434	$	32,000	$	568,274
Energy		159,500		0.07	%		804,337		14,000		184,269
Grains		105,000		0.05	%		651,925		7,000		51,000
Indices		17,500		0.01	%		2,523,159		16,000		25,833
Interest Rates U.S.		226,500		0.11	%		1,130,127		1,800		114,400
Interest Rates Non-U.S.		95,061		0.04	%		1,071,886		23,027		481,762
Metals		237,500		0.11	%		1,641,692		62,500		264,167
Softs		14,500		0.01	%		694,183		1,450		12,567

Total	$	1,839,699		0.87	%

*	Average of month-end Values at Risk.

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

December 31, 2011


						Twelve months ended December 31, 2011
Market Sector	Value at Risk		% of Total Capital			High Value at Risk		Low Value at Risk		Average Value at Risk*
Currencies	$	15,524		0.01	%	$	3,016,047	$	15,524	$	1,667,723
Energy		78,000		0.04	%		1,025,063		51,958		486,312
Grains		68,250		0.03	%		651,925		22,574		230,826
Indices		28,000		0.01	%		2,523,159		28,000		896,548
Metals		59,500		0.03	%		2,138,330		51,000		623,747
Softs		18,000		0.01	%		867,645		6,750		295,195

Total	$	267,274		0.13	%

*	Annual average of month-end Values at Risk.

As of March 31, 2012, Altis Master’s total capital was $140,741,931. The Partnership owned approximately 3.0% of Altis Master. As of March 31, 2012 , 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, 2012


						Three months ended March 31, 2012
Market Sector	Value at Risk		% of Total Capital			High Value at Risk		Low Value at Risk		Average Value at Risk*
Currencies	$	1,599,792		1.14	%	$	5,066,857	$	646,682	$	2,411,132
Energy		1,264,686		0.90	%		1,728,561		454,647		1,179,690
Grains		1,968,031		1.40	%		2,055,495		294,622		1,441,611
Indices		1,288,829		0.91	%		2,105,800		470,802		1,499,500
Interest Rates U.S.		376,246		0.27	%		798,750		101,249		539,149
Interest Rates Non -U.S.		3,431,043		2.44	%		4,106,498		211,275		2,958,492
Livestock		182,900		0.13	%		427,200		21,625		274,317
Lumber		7,500		0.00	%**		70,500		800		38,500
Metals		2,112,578		1.50	%		2,431,563		729,575		1,442,484
Softs		1,364,865		0.97	%		1,612,875		374,414		1,224,081

Total	$	13,596,470		9.66	%

*	Average of month-end Values at Risk.

**	Due to rounding.

As of December 31, 2011, Altis Master’s total capital was $144,935,126. The Partnership owned approximately 3.0% of Altis Master. As of December 31, 2011, 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, 2011


						Twelve months ended December 31, 2011
Market Sector	Value at Risk		% of Total Capital			High Value at Risk		Low Value at Risk		Average Value at Risk*
Currencies	$	4,706,034		3.25	%	$	4,735,198	$	646,682	$	2,692,436
Energy		1,077,077		0.74	%		2,954,905		374,821		1,387,930
Grains		1,147,409		0.79	%		1,342,558		294,622		660,686
Indices		1,694,372		1.17	%		4,865,066		470,802		1,611,202
Interest Rates U.S.		659,750		0.46	%		1,007,400		101,249		442,163
Interest Rates Non -U.S.		2,332,739		1.61	%		2,332,739		211,275		1,252,268
Livestock		242,550		0.17	%		244,350		21,625		109,725
Lumber		57,000		0.04	%		70,500		800		22,233
Metals		2,499,389		1.72	%		3,663,593		644,520		1,887,972
Softs		1,438,518		0.99	%		1,748,653		374,414		801,205

Total	$	15,854,838		10.94	%

*	Annual average of month-end Values at Risk.

As of March 31, 2012, Waypoint Master’s total capitalization was $36,801,593. The Partnership owned approximately 56.6% of Waypoint Master. As of March 31, 2012, 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, 2012


						Three months ended March 31, 2012
Market Sector	Value at Risk		% of Total Capitalization			High Value at Risk		Low Value at Risk		Average Value at Risk*
Currencies	$	1,642,979		4.47	%	$	10,064,603	$	1,411,441	$	4,591,861
Energy		44,600		0.12	%		212,200		13,300		96,800
Grains		413,250		1.12	%		413,250		21,000		208,250
Indices		758,486		2.06	%		1,861,926		19,012		1,275,551
Interest Rates U.S.		571,725		1.55	%		910,900		375		382,515
Interest Rates Non-U.S.		1,691,814		4.60	%		1,960,746		207,618		893,184
Softs		111,900		0.30	%		287,600		54,000		180,133

Total	$	5,234,754		14.22	%

*	Average of month-end Values at Risk.

As of December 31, 2011, Waypoint Master’s total capitalization was $39,192,330. The Partnership owned approximately 55.8% of Waypoint Master. As of December 31, 2011, 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, 2011


						Twelve months ended December 31, 2011
Market Sector	Value at Risk		% of Total Capitalization			High Value at Risk		Low Value at Risk		Average Value at Risk*
Currencies	$	1,465,318		3.74	%	$	10,317,436	$	325,222	$	5,419,330
Energy		47,250		0.12	%		195,000		12,250		73,156
Grains		181,500		0.46	%		221,500		15,000		94,143
Indices		84,070		0.21	%		1,861,926		19,012		596,211
Interest Rates U.S.		339,700		0.87	%		591,250		26,000		244,963
Interest Rates Non-U.S.		1,096,807		2.80	%		1,537,795		55,028		713,282
Metals		137,000		0.35	%		245,750		17,000		151,548
Softs		108,000		0.28	%		353,250		14,700		75,763

Total	$	3,459,645		8.83	%

*	Annual average of month-end Value at Risk.

As of March 31, 2012, PGR Master’s total capitalization was $49,845,879. The Partnership owned approximately 69.4% of PGR Master. As of March 31, 2012, 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, 2012


						Three months ended March 31, 2012
Market Sector	Value at Risk		% of Total Capitalization			High Value at Risk		Low Value at Risk		Average Value at Risk*
Currencies	$	709,442		1.42	%	$	837,796	$	125,948	$	740,134
Energy		1,416,976		2.84	%		1,416,976		173,242		1,167,653
Grains		112,818		0.23	%		262,750		52,500		193,389
Indices		2,245,414		4.50	%		2,320,637		372,931		1,952,087
Interest Rates U.S.		668,125		1.34	%		741,975		94,750		631,767
Interest Rates Non -U.S.		2,000,580		4.01	%		2,155,398		107,676		2,018,396
Livestock		24,000		0.05	%		40,800		6,000		34,800
Metals		242,400		0.49	%		518,700		134,516		377,367
Softs		383,239		0.77	%		396,602		70,400		308,082

Total	$	7,802,994		15.65	%

*	Average of month-end Values at Risk.

As of December 31, 2011, PGR Master’s total capitalization was $45,036,946. The Partnership owned approximately 63.9% of PGR Master. As of December 31, 2011, 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, 2011


						Twelve months ended December 31, 2011
Market Sector	Value at Risk		% of Total Capitalization			High Value at Risk		Low Value at Risk		Average Value at Risk*
Currencies	$	694,855		1.54	%	$	694,855	$	100,205	$	258,300
Energy		348,040		0.77	%		541,391		154,095		291,918
Grains		244,450		0.54	%		252,500		37,750		98,122
Indices		1,529,751		3.40	%		1,529,751		236,424		793,620
Interest Rates U.S.		375,000		0.83	%		398,000		94,750		259,088
Interest Rates Non-U.S.		1,821,829		4.05	%		1,821,829		107,676		771,169
Livestock		22,800		0.05	%		25,200		1,200		9,917
Metals		344,450		0.77	%		414,700		77,258		193,290
Softs		201,285		0.45	%		201,285		61,317		113,562

Total	$	5,582,460		12.40	%

*	Annual average of month-end Value at Risk.

As of March 31, 2012, Blackwater Master’s total capitalization was $82,697,504. The Partnership owned approximately 43.9% of Blackwater Master. As of March 31, 2012, 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, 2012


						Three months ended March 31, 2012
Market Sector	Value at Risk		% of Total Capitalization			High Value at Risk		Low Value at Risk		Average Value at Risk*
Currencies	$	1,766,118		2.14	%	$	2,806,298	$	511,332	$	1,981,782
Energy		1,885,950		2.28	%		2,331,250		16,250		1,725,083
Grains		440,567		0.53	%		1,111,250		30,000		554,195
Indices		4,037,833		4.88	%		4,874,671		254,386		3,611,884
Interest Rates U.S.		551,400		0.67	%		1,097,951		52,250		412,567
Interest Rates Non -U.S.		2,027,731		2.45	%		2,960,110		274,865		2,282,452
Metals		1,082,410		1.31	%		1,768,574		86,599		1,216,620

Total	$	11,792,009		14.26	%

*	Average of month-end Values at Risk.

As of December 31, 2011, Blackwater Master’s total capitalization was $82,889,779. The Partnership owned approximately 39.5% of Blackwater Master. As of December 31, 2011, 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, 2011


						Twelve months ended December 31, 2011
Market Sector	Value at Risk		% of Total Capitalization			High Value at Risk		Low Value at Risk		Average Value at Risk*
Currencies	$	2,411,930		2.91	%	$	2,568,118	$	336,921	$	1,115,740
Energy		402,750		0.49	%		1,023,868		16,250		232,145
Grains		764,500		0.92	%		870,250		30,000		240,345
Indices		300,251		0.36	%		1,607,842		247,572		684,419
Interest Rates Non-U.S.		1,542,704		1.86	%		1,552,868		102,339		581,511
Metals		1,292,162		1.56	%		1,292,162		86,599		500,735

Total	$	6,714,297		8.10	%

*	Annual average of month-end Value at Risk.

As of March 31, 2012, JEM Master’s total capitalization was $47,445,636. The Partnership owned approximately 70.6% of JEM Master. As of March 31, 2012, 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, 2012


	Value at Risk		% of Total Capitalization			Three months ended March 31, 2012
Market Sector	Value at Risk		% of Total Capitalization			High Value at Risk		Low Value at Risk		Average Value at Risk*
Energy	$	2,327,350		4.90	%	$	3,179,009	$	181,650	$	1,849,907
Grains		240,900		0.51	%		596,900		25,125		299,833
Livestock		876,200		1.84	%		1,375,800		105,350		861,800
Metals		36,900		0.08	%		63,000		4,350		36,900
Softs		245,200		0.52	%		965,100		13,750		399,650

Total	$	3,726,550		7.85	%

*	Average of month-end Values at Risk.

As of December 31, 2011, JEM Master’s total capitalization was $45,664,676. The Partnership owned approximately 69.9% of JEM Master. As of December 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:

December 31, 2011


	Value at Risk		% of Total Capitalization			Twelve months ended December 31, 2011
Market Sector	Value at Risk		% of Total Capitalization			High Value at Risk		Low Value at Risk		Average Value at Risk*
Energy	$	1,859,447		4.07	%	$	5,686,643	$	181,650	$	1,801,740
Grains		520,100		1.14	%		740,600		8,250		252,410
Livestock		694,200		1.52	%		1,276,200		48,750		531,258
Metals		55,575		0.12	%		213,525		4,350		22,019
Softs		850,000		1.86	%		1,601,400		13,750		469,008

Total	$	3,979,322		8.71	%

*	Annual average of month-end Value at Risk.

As of March 31, 2012, Cirrus Master’s total capitalization was $22,787,529. The Partnership owned approximately 87.5% of Cirrus Master. As of March 31, 2012, Cirrus Master’s Value at Risk for its assets (including the portion of the Partnership’s assets allocated to Cirrus for trading) was as follows:

March 31, 2012


	Value at Risk		% of Total Capitalization			Three Months Ended March 31, 2012
Market Sector	Value at Risk		% of Total Capitalization			High Value at Risk		Low Value at Risk		Average Value at Risk*
Energy	$	576,793		2.53	%	$	1,120,500	$	12,000	$	474,864

Total	$	576,793		2.53	%

*	Average of month-end Values at Risk.

As of March 31, 2012, FL Master’s total capitalization was $30,590,745. The Partnership owned approximately 63.2% of FL Master. As of March 31, 2012, FL Master’s Value at Risk for its assets (including the portion of the Partnership’s assets allocated to Flintlock for trading) was as follows:

March 31, 2012


	Value at Risk		% of Total Capitalization			Three months ended March 31, 2012
Market Sector	Value at Risk		% of Total Capitalization			High Value at Risk		Low Value at Risk		Average Value at Risk*
Energy	$	777,285		2.54	%	$	3,070,006	$	6,504	$	1,406,067
Grains		787,600		2.58	%		812,400		313,950		688,308
Livestock		569,650		1.86	%		569,650		12,000		397,783
Metals		1,180,421		3.86	%		2,841,036		128,250		1,081,740
Softs		821,150		2.68	%		862,100		29,250		538,950

Total	$	4,136,106		13.52	%

*	Average of month-end Values at Risk.

As of December 31, 2011, FL Master’s total capitalization was $22,660,590. The Partnership owned approximately 85.7% of FL Master. As of December 31, 2011, FL Master’s Value at Risk for its assets (including the portion of the Partnership’s assets allocated to Flintlock for trading) was as follows:

December 31, 2011


	Value at Risk		% of Total Capitalization			For the period ended December 31, 2011
Market Sector	Value at Risk		% of Total Capitalization			High Value at Risk		Low Value at Risk		Average Value at Risk*
Energy	$	570,800		2.52	%	$	1,601,607	$	195,250	$	681,872

Total	$	570,800		2.52	%

*	For the period May 1, 2011 (commencement of trading operations) to December 31, 2011 average of month-end Value 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.

The General Partner 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, 2012 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, 2012 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

The following information supplements and amends the discussion set forth under Part I, Item 3. “Legal Proceedings” in the Partnership’s Annual Report on Form 10-K for the fiscal year ended December 31, 2011. There are no material legal proceedings pending against the Partnership and the General Partner.

Subprime Mortgage-Related Litigation and Other Matters

On March 15, 2012, the United States Court of Appeals for the Second Circuit granted a stay of the district court proceedings pending resolution of the appeals in SEC v. CGMI. Additional information relating to this matter is publicly available in court filings under docket numbers 11 Civ. 7387 (S.D.N.Y.) (Rakoff, J.) and 11-5227 (2d Cir.).

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, 2011.

Item 2.

Unregistered Sales of Equity Securities and Use of Proceeds.

For the three months ended March 31, 2012, there were subscriptions of 14,328.4315 Class A Redeemable Units totaling $20,672,951. 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. The Redeemable Units were purchased by accredited investors as defined in Regulation D. In determining the applicability of the exemption, the General Partner relied on the fact that the Redeemable Units were purchased by accredited investors in a private offering.

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

The following chart sets forth the purchases of Redeemable Units by the Partnership.


Period	Class A (a) Total Number of Redeemable Units Purchased*		Class A (b) Average Price Paid per Redeemable Unit**		(c) Total Number of Redeemable Units Purchased as Part of Publicly Announced Plans or Programs		(d) Maximum Number (or Approximate Dollar Value) of Redeemable Units that May Yet Be Purchased Under the Plans or Programs
January 1, 2012- January 31, 2012		1,897.7505	$	1,438.47		N/A		N/A
February 1, 2012- February 29, 2012		1,398.6262	$	1,434.56		N/A		N/A
March 1, 2012- March 31, 2012		2,047.9937	$	1,405.23		N/A		N/A
		5,344.3704	$	1,424.71

Generally, Limited Partners are permitted to redeem their Redeemable Units as of the end 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.

Item 3.

Defaults Upon Senior Securities. None.

Item 4.

Mine Safety Disclosures. None.

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).

(f)		Certificate of Amendment to the Certificate of Limited Partnership as filed in the office of the Secretary of State of the State of New York, dated September 2, 2011 (filed as Exhibit 3.1 to the Form 8-K filed on September 7, 2011 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, 2011 to June 30, 2012 (filed as Exhibit 10.1(b) on Form 10-K filed on March 30, 2012 and incorporated herein by reference).

10.2(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, 2011 to June 30, 2012 (filed as Exhibit 10.3(b) on Form 10-K filed on March 30, 2012 and incorporated herein by reference).

10.3		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).

10.4		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).

10.5		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).



10.6		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).

10.7(a)		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).

(b)		Letter from the General Partner to PGR Capital LLP extending the Management Agreement from June 30, 2011 to June 30, 2012 (filed as Exhibit 10.7(b) on Form 10-K filed on March 30, 2012 and incorporated herein by reference).

10.8(a)		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).

(b)		Letter from the General Partner to Blackwater Capital Management LLC extending the Management Agreement from June 30, 2011 to June 30, 2012 (filed as Exhibit 10.7(b) on Form 10-K filed on March 30, 2012 and incorporated herein by reference).

10.9(a)		Management Agreement among the Partnership, the General Partner and J E Moody & Company LLC (filed as Exhibit 10.14 on Form 8-K filed on January 3, 2011 and incorporated herein by reference)

(b)		Letter from the General Partner to J E Moody & Company LLC extending the Management Agreement from June 30, 2011 to June 30, 2012 (filed as Exhibit 10.7(b) on Form 10-K filed on March 30, 2012 and incorporated herein by reference).

10.10(a)		Management Agreement among the Partnership, the General Partner and Cirrus Capital Management LLC (filed as Exhibit 10.1 on Form 8-K filed on January 3, 2011 and incorporated herein by reference).

(b)		Letter from the General Partner to Cirrus Capital Management LLC extending the Management Agreement from June 30, 2011 to June 30, 2012 (filed as Exhibit 10.7(b) on Form 10-K filed on March 30, 2012 and incorporated herein by reference).

10.11(a)		Management Agreement among the Partnership, the General Partner and Flintlock Capital Asset Management, LLC (filed as Exhibit 10.16 on Form 8-K filed on December 1, 2010 and incorporated herein by reference).

(b)		Letter from the General Partner to Flintlock Capital Asset Management LLC extending the Management Agreement from June 30, 2011 to June 30, 2012 (filed as Exhibit 10.7(b) on Form 10-K filed on March 30, 2012 and incorporated herein by reference).

10.12		Management Agreement among the Partnership, the General Partner and Willowbridge Associates Inc. (filed as Exhibit 10.17 to the Current Report on Form 8-K filed on June 2, 2011 and incorporated herein by reference).

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)

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

32.2 — Section 1350 Certification (Certification of Chief Financial Officer)

101.INS XBRL Instance Document.

101.SCH XBRL Taxonomy Extension Schema Document.

101.CAL XBRL Taxonomy Extension Calculation Linkbase Document.

101.LAB XBRL Taxonomy Extension Label Linkbase Document.

101.PRE XBRL Taxonomy Extension Presentation Linkbase Document.

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 15, 2012



By:		/s/ Brian Centner
		Brian Centner Chief Financial Officer (Principal Accounting Officer)

Date: May 15, 2012

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Emerging Cta Portfolio 10-Q2012 Q1 Quarterly report

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