Emerging Cta Portfolio 10-Q 2012 Q3 Quarterly report

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

WASHINGTON, D.C. 20549

FORM 10-Q

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

OF THE SECURITIES EXCHANGE ACT OF 1934

For the quarterly period ended September 30, 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)

(855) 672-4468

(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 October 31, 2012, 140,254.3942 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 September 30, 2012 (unaudited) and December 31, 2011		3
		Condensed Schedules of Investments at September 30, 2012 (unaudited) and December 31, 2011		4–5
		Statements of Income and Expenses and Changes in Partners’ Capital for the three and nine months ended September  30, 2012 and 2011 (unaudited)		6
		Notes to Financial Statements (unaudited)		7–21
	Item 2.	Management’s Discussion and Analysis of Financial Condition and Results of Operations		22–23
	Item 3.	Quantitative and Qualitative Disclosures about Market Risk		24–29
	Item 4.	Controls and Procedures		30
PART II-Other Information
	Item 1.	Legal Proceedings		31
	Item 1A.	Risk Factors		32
	Item 2.	Unregistered Sales of Equity Securities and Use of Proceeds		33
	Item 5.	Other Information		33
	Item 6.	Exhibits		34

2

PART I

Item 1. Financial Statements

Emerging CTA Portfolio L.P.

Statements of Financial Condition

	(Unaudited) September  30, 2012		December 31, 2011
Assets:
Investment in Funds, at fair value	$	147,597,018	$	159,310,000
Equity in trading account:
Cash		55,043,140		48,192,792
Cash margin		6,167,983		364,015
Net unrealized appreciation on open futures contracts		460,257		0
Net unrealized appreciation on open forward contracts		0		26,212
Options purchased, at fair value (cost $344,688 and $0 at September 30, 2012 and December 31, 2011, respectively)		2,494		0
Total trading equity		209,270,892		207,893,019
Interest receivable		3,155		0
Total assets	$	209,274,047	$	207,893,019
Liabilities and Partners’ Capital:
Liabilities:
Net unrealized depreciation on open futures contracts	$	0	$	1,817
Options premium received, at fair value (premium $676,468 and $0 at September 30, 2012 and December 31, 2011, respectively)		562,188		0
Accrued expenses:
Brokerage fees		608,743		606,200
Management fees		240,967		259,281
Administrative fees		86,656		86,298
Incentive fees		658,568		163,245
Other		129,716		119,104
Redemptions payable		2,447,936		1,705,003
Total liabilities		4,734,774		2,940,948
Partners’ Capital:
General Partner, Class A, 1,655.9756 and 1,438.9316 unit equivalents outstanding at September 30, 2012 and December 31, 2011, respectively		2,267,941		2,086,221
Limited Partners, Class A, 147,692.2402 and 139,922.8594 Redeemable Units outstanding at September 30, 2012 and December 31, 2011, respectively		202,271,332		202,865,850
Total partners’ capital		204,539,273		204,952,071
Total liabilities and partners’ capital	$	209,274,047	$	207,893,019
Net asset value per unit, Class A	$	1,369.55	$	1,449.84

See accompanying notes to financial statements.

3

Emerging CTA Portfolio L.P.

Statements of Financial Condition

Condensed Scheduleof Investments

September 30, 2012

(Unaudited)

	Notional ($)/ Number of Contracts		Fair Value			% of Partners’ Capital
Futures Contracts Purchased
Currencies		109	$	(49,792	)		(0.02	)%
Energy		21		15,060			0.01
Grains		15		(49,218	)		(0.02	)
Indices		202		(82,860	)		(0.04	)
Interest Rates Non-U.S.		1,277		758,726			0.37
Interest Rates U.S.		298		33,519			0.01
Metals		209		681,033			0.33
Softs		9		(22,793	)		(0.01	)
Total futures contracts purchased				1,283,675			0.63
Futures Contracts Sold
Currencies		58		(1,987	)		(0.00	)*
Indices		100		42,103			0.02
Interest Rates Non-U.S.		1,107		(678,120	)		(0.33	)
Interest Rates U.S.		2		(250	)		(0.00	)*
Softs		115		(185,164	)		(0.09	)
Total futures contracts sold				(823,418	)		(0.40	)
Options Purchased
Puts
Currencies		149		931			0.00	*
Interest Rates U.S.		250		1,563			0.00	*
Total options purchased				2,494			0.00	*
Options premium received
Calls
Interest Rates U.S.		115		(244,375	)		(0.12	)
Puts
Interest Rates U.S.		365		(317,813	)		(0.16	)
Total options premium received				(562,188	)		(0.28	)
Investment in Funds
Waypoint Master Fund L.P.				15,925,869			7.79
Blackwater Master Fund L.P.				32,179,400			15.73
PGR Master Fund L.P.				30,312,430			14.82
JEM Master Fund L.P.				30,505,808			14.91
CMF Cirrus Master Fund L.P.				18,836,989			9.21
FL Master Fund L.P.				16,515,872			8.08
Cambridge Master Fund L.P.				3,320,650			1.62
Total investment in Funds				147,597,018			72.16
Net fair value			$	147,497,581			72.11	%

* Due to rounding.

See accompanying notes to financial statements.

4

Emerging CTA Portfolio L.P.

Statements of Financial Condition

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.

5

Emerging CTA Portfolio L.P.

Statements of Income and Expenses and Changes in Partners’ Capital

(Unaudited)

	Three Months Ended September 30,						Nine Months Ended September 30,
	2012			2011			2012			2011
Investment Income:
Interest income	$	8,847		$	2,218		$	20,124		$	18,910
Interest income from investment in Funds		23,873			5,432			64,345			44,627
Total investment income		32,720			7,650			84,469			63,537
Expenses:
Brokerage fees including clearing fees		2,230,265			2,168,169			6,730,942			6,407,881
Management fees		739,823			839,570			2,300,619			2,566,820
Administrative fees		262,495			263,288			800,270			763,993
Incentive fees		658,568			1,996,865			1,067,119			2,273,172
General Partner incentive fees		0			491,255			0			491,255
Other		140,721			107,950			459,524			389,138
Total expenses		4,031,872			5,867,097			11,358,474			12,892,259
Net investment income (loss)		(3,999,152	)		(5,859,447	)		(11,274,005	)		(12,828,722	)
Trading Results:
Net gains (losses) on trading of commodity interests and investment in Funds:
Net realized gains (losses) on closed contracts		3,416,355			4,412,905			6,836,981			8,625,122
Net realized gains (losses) investment in Funds		(1,813,338	)		10,369,281			(7,600,124	)		12,148,685
Change in net unrealized gains (losses) on open contracts		263,811			(339,002	)		207,948			(1,759,242	)
Change in net unrealized gains (losses) on investment in Funds		4,016,591			4,353,973			(415,015	)		1,533,737
Total trading results		5,883,419			18,797,157			(970,210	)		20,548,302
Net income (loss)		1,884,267			12,937,710			(12,244,215	)		7,719,580
Subscriptions — Limited Partners		3,787,329			5,770,385			36,551,656			40,333,869
Subscriptions — General Partner		200,000			0			300,000			200,000
Redemptions — Limited Partners		(8,395,980	)		(8,379,284	)		(25,020,239	)		(23,097,019	)
Net increase (decrease) in Partners’ Capital		(2,524,384	)		10,328,811			(412,798	)		25,156,430
Partners’ Capital, beginning of period		207,063,657			198,353,220			204,952,071			183,525,601
Partners’ Capital, end of period	$	204,539,273		$	208,682,031		$	204,539,273		$	208,682,031
Net asset value per unit (149,348.2158 and 136,085.5457 units outstanding at September 30, 2012 and 2011, respectively)	$	1,369.55		$	1,533.46		$	1,369.55		$	1,533.46
Net income (loss) per unit*	$	12.11		$	93.24		$	(80.29	)	$	53.86
Weighted average units outstanding		152,233.4225			138,554.0858			152,397.7162			137,311.8647

* Based on change in net asset value per unit.

See accompanying notes to financial statements.

6

Emerging CTA Portfolio L.P.

Notes to Financial Statements

September 30, 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, lumber, 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. indirectly owns a minority equity interest in MSSB Holdings. Citigroup Inc. 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 Inc.

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 September 30, 2012, there were no Redeemable Units outstanding in Class D or Class Z.

As of September 30, 2012, all trading decisions are made for the Partnership by its eleven trading advisors (the “Advisors”) either directly, through individually managed accounts, or indirectly, through investments in other collective investment vehicles. Blackwater Capital Management, LLC (“Blackwater”), J E Moody & Company LLC (“J E Moody”), PGR Capital LLP (“PGR Capital”) 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 at any time. 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 September 30, 2012 and December 31, 2011, and the results of its operations and changes in partners’ capital for the three and nine months ended September 30, 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.

7

Emerging CTA Portfolio L.P.

Notes to Financial Statements

September 30, 2012

(Unaudited)

2. Financial Highlights:

Changes in the net asset value per unit for Class A for the three and nine months ended September 30, 2012 and 2011 were as follows:

	Three Months Ended September 30,						Nine Months Ended September 30,
	2012			2011			2012			2011
Net realized and unrealized gains (losses) *	$	23.72		$	119.90		$	(50.52	)	$	100.56
Interest income		0.22			0.05			0.55			0.47
Expenses **		(11.83	)		(26.71	)		(30.32	)		(47.17	)
Increase (decrease) for the period		12.11			93.24			(80.29	)		53.86
Net asset value per unit, beginning of period		1,357.44			1,440.22			1,449.84			1,479.60
Net asset value per unit, end of period	$	1,369.55		$	1,533.46		$	1,369.55		$	1,533.46

* Includes brokerage fees and clearing fees.

** Excludes brokerage fees and clearing fees.

	Three Months Ended September 30,						Nine Months Ended September 30,
	2012			2011***			2012			2011***
Ratios to average net assets:****
Net investment income (loss)		(6.7	)%		(7.8	)%		(7.0	)%		(8.2	)%
Incentive fees		0.3	%		1.2	%		0.5	%		1.4	%
Net investment income (loss) before incentive fees*****		(6.4	)%		(6.6	)%		(6.5	)%		(6.8	)%
Operating expense		6.5	%		6.6	%		6.6	%		6.8	%
Incentive fees		0.3	%		1.2	%		0.5	%		1.4	%
Total expenses		6.8	%		7.8	%		7.1	%		8.2	%
Total return:
Total return before incentive fees		1.2	%		7.7	%		(5.0	)%		5.0	%
Incentive fees		(0.3	)%		(1.2	)%		(0.5	)%		(1.4	)%
Total return after incentive fees		0.9	%		6.5	%		(5.5	)%		3.6	%

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

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

*****     Interest inc ome 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.

8

Emerging CTA Portfolio L.P.

Notes to Financial Statements

September 30, 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 September 30, 2012 and 2011 were 3,447 and 3,094, respectively. The monthly average number of futures contracts traded directly by the Partnership during the nine months ended September 30, 2012 and 2011 were 3,086 and 3,762, respectively. The monthly average number of metals forward contracts traded directly by the Partnership during the three months ended September 30, 2012 and 2011 were 7 and 326, respectively. The monthly average number of metals forward contracts traded directly by the Partnership during the nine months ended September 30, 2012 and 2011 were 9 and 627, respectively. The monthly average number of option contracts held directly by the Partnership during the three months ended September 30, 2012 and 2011 were 774 and 395, respectively. The monthly average number of option contracts held directly by the Partnership during the nine months ended September 30, 2012 and 2011 were 355 and 213, respectively. The monthly average notional value of currency forward contracts held directly by the Partnership during the three months ended September 30, 2012 and 2011 were $0 and $308,247,773, respectively. The monthly average notional value of currency forward contracts held directly by the Partnership during the nine months ended September 30, 2012 and 2011 were $20,870,293 and $348,244,289, 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, forwards and options contracts as separate assets and liabilities as of September 30, 2012 and December 31, 2011.

	September 30, 2012
Assets
Futures Contracts
Currencies	$	20,066
Energy		15,060
Indices		55,641
Interest Rates Non-U.S.		789,548
Interest Rates U.S.		36,238
Metals		725,998
Total unrealized appreciation on open futures contracts	$	1,642,551
Liabilities
Futures Contracts
Currencies	$	(71,846	)
Grains		(49,217	)
Indices		(96,398	)
Interest Rates Non-U.S.		(708,942	)
Interest Rates U.S.		(2,969	)
Metals		(44,965	)
Softs		(207,957	)
Total unrealized depreciation on open futures contracts	$	(1,182,294	)
Net unrealized appreciation on open futures contracts	$	460,257	*

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

	September 30, 2012
Assets
Options purchased
Currencies	$	931
Interest Rates U.S.		1,563
Total options purchased	$	2,494	**
Liabilities
Options premium received
Interest Rates U.S.	$	(562,188	)
Total options premium received	$	(562,188	)***

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

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

9

Emerging CTA Portfolio L.P.

Notes to Financial Statements

September 30, 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.

10

Emerging CTA Portfolio L.P.

Notes to Financial Statements

September 30, 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 and nine months ended September 30, 2012 and 2011.

	Three Months Ended September 30,						Nine Months Ended September 30,
Sector	2012			2011			2012			2011
Currencies	$	(67,198	)	$	174,469		$	663,928		$	(607,096	)
Energy		(162,163	)		(835,256	)		595,103			(589,114	)
Grains		1,714,800			(180,607	)		2,191,069			235,703
Indices		9,972			194,501			(186,608	)		(996,975	)
Interest Rates U.S.		191,748			1,741,773			2,404,891			3,045,928
Interest Rates Non-U.S.		74,726			2,376,468			217,550			1,986,969
Livestock		(1,980	)		181,135			(26,540	)		41,578
Metals		2,210,973			297,348			1,464,966			3,339,769
Softs		(290,712	)		124,072			(279,430	)		409,118
Total	$	3,680,166	****	$	4,073,903	****	$	7,044,929	****	$	6,865,880	****

**** This amount is included 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 the Financial Accounting Standards Board’s (the “FASB”) 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.

11

Emerging CTA Portfolio L.P.

Notes to Financial Statements

September 30, 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 and liabilities (Level 1). The values of non-exchange-traded forwards, swaps and 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 September 30, 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 nine months ended September 30, 2012, there were no transfers of assets or liabilities between Level 1 and Level 2.

	September 30, 2012		Quoted Prices in Active  Markets for Identical Assets and Liabilities (Level 1)			Significant Other Observable  Inputs (Level 2)		Significant Unobservable  Inputs (Level 3)
Assets
Investment in Funds	$	147,597,018	$	0		$	147,597,018	$	0
Futures		1,642,551		1,642,551			0		0
Options purchased		2,494		2,494			0		0
Total assets	$	149,242,063	$	1,645,045		$	147,597,018	$	0
Liabilities
Futures	$	1,182,294	$	1,182,294		$	0	$	0
Options premium received		562,188		562,188			0		0
Total liabilities		1,744,482		1,744,482			0		0
Net fair value	$	147,497,581	$	(99,437	)	$	147,597,018	$	0

	December 31, 2011		Quoted Prices in Active  Markets for Identical Assets and Liabilities (Level 1)		Significant Other Observable  Inputs (Level 2)		Significant Unobservable  Inputs (Level 3)
Assets
Investment in Funds	$	159,310,000	$	—	$	159,310,000	$	0
Futures		16,541		16,541		—		0
Forwards		149,446		149,404		42		0
Total assets	$	159,475,987	$	165,945	$	159,310,042	$	0
Liabilities
Futures	$	18,358	$	18,358	$	—	$	0
Forwards		123,234		122,473		761		0
Total liabilities		141,592		140,831		761		0
Net fair value	$	159,334,395	$	25,114	$	159,309,281	$	0

5. Investment in Funds:

The assets allocated to Willowbridge for trading are invested directly pursuant to Willowbridge’s wPraxis Futures Trading Approach and MStrategy Trading Approach.

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. The Partnership fully redeemed its investment in Altis Master on August 31, 2012 for cash equal to $2,728,991.

12

Emerging CTA Portfolio L.P.

Notes to Financial Statements

September 30, 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). 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.

13

Emerging CTA Portfolio L.P.

Notes to Financial Statements

September 30, 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 Partnership fully redeemed its investment in FL Master on October 31, 2012 for cash equal to $14,864,699.

On September 1, 2012, the assets allocated to Cambridge Strategy (Asset Management) Limited (“Cambridge”) for trading were invested in Cambridge Master Fund L.P. (“Cambridge Master”), a limited partnership organized under the partnership laws of the State of Delaware. The Partnership invested in Cambridge Master with cash equal to $3,000,000. Cambridge Master was formed to permit accounts managed now or in the future by Cambridge using the Asian Markets Alpha Programme, a proprietary, systematic trading program, to invest together in one trading vehicle. The General Partner is also the general partner for Cambridge Master. Individual and pooled accounts currently managed by Cambridge, including the Partnership, are permitted to be limited partners of Cambridge Master. The General Partner and Cambridge 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 September 30, 2012.

Altis Master’s, Waypoint Master’s, Blackwater Master’s, PGR Master’s, JEM Master’s, Cirrus Master’s, FL Master’s and Cambridge Master’s (collectively, the “Funds”) trading of futures, forwards 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 in multiples of the net asset value per unit as of the end of any day (the “Redemption Date”) after a request for redemption has been made to the General Partner at least three 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 September 30, 2012, the Partnership owned approximately 50.8% of Waypoint Master, 73.7% of PGR Master, 45.7% of Blackwater Master, 69.7% of JEM Master, 85.7% of Cirrus Master, 63.5% of FL Master and 100% of Cambridge 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.

14

Emerging CTA Portfolio L.P.

Notes to Financial Statements

September 30, 2012

(Unaudited)

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

	September 30, 2012
	Total Assets		Total Liabilities		Total Capital
Waypoint Master	$	31,382,544	$	52,873	$	31,329,671
Blackwater Master		71,962,614		1,512,696		70,449,918
PGR Master		41,607,425		458,160		41,149,265
JEM Master		43,806,399		57,394		43,749,005
Cirrus Master		22,022,594		40,824		21,981,770
FL Master		32,315,024		6,279,707		26,035,317
Cambridge Master		3,321,995		1,500		3,320,495
Total	$	246,418,595	$	8,403,154	$	238,015,441

	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 September 30, 2012
	Net Investment Income (Loss)			Total Trading Results			Net Income (Loss)
Waypoint Master	$	(33,044	)	$	(451,172	)	$	(484,216	)
Blackwater Master		(21,038	)		1,160,184			1,139,146
PGR Master		(28,037	)		615,526			587,489
JEM Master		(153,098	)		618,984			465,886
Cirrus Master		(28,664	)		64,580			35,916
FL Master		(204,696	)		979,760			775,064
Cambridge Master		(1,345	)		321,995			320,650
Altis Master		(126,559	)		(1,512,299	)		(1,638,858	)
Total	$	(596,481	)	$	1,797,558		$	1,201,077

	For the nine months ended September 30, 2012
	Net Investment Income (Loss)			Total Trading Results			Net Income (Loss)
Waypoint Master	$	(120,412	)	$	2,339,558		$	2,219,146
Blackwater Master		(91,781	)		(10,499,005	)		(10,590,786	)
PGR Master		(97,360	)		(6,275,503	)		(6,372,863	)
JEM Master		(589,076	)		573,871			(15,205	)
Cirrus Master		(87,110	)		1,282,319			1,195,209
FL Master		(446,191	)		(3,294,917	)		(3,741,108	)
Cambridge Master		(1,345	)		321,995			320,650
Altis Master		(290,400	)		(2,677,631	)		(2,958,031	)
Total	$	(1,723,675	)	$	(18,229,313	)	$	(19,942,988	)

15

Emerging CTA Portfolio L.P.

Notes to Financial Statements

September 30, 2012

(Unaudited)

	For the three months ended September 30, 2011
	Net Investment Income (Loss)			Total Trading Results			Net Income (Loss)
Altis Master	$	(70,204	)	$	(5,750,190	)	$	(5,820,394	)
Waypoint Master		(42,646	)		5,476,730			5,434,084
Blackwater Master		(22,526	)		6,416,576			6,394,050
PGR Master		(26,811	)		2,066,599			2,039,788
JEM Master		(223,936	)		3,438,373			3,214,437
Cirrus Master		(29,739	)		454,121			424,382
FL Master		(55,100	)		2,908,310			2,853,210
Total	$	(470,962	)	$	15,010,519		$	14,539,557
	For the nine months ended September 30, 2011
	Net Investment Income (Loss)			Total Trading Results			Net Income (Loss)
Altis Master	$	(210,088	)	$	(25,206,754	)	$	(25,416,842	)
Sasco Master		(707,823	)		1,199,725			491,902
Waypoint Master		(156,111	)		4,716,133			4,560,022
Blackwater Master		(70,260	)		6,933,479			6,863,219
PGR Master		(80,503	)		2,550,365			2,469,862
JEM Master		(530,047	)		4,754,480			4,224,433
Cirrus Master		(72,231	)		1,782,947			1,710,716
FL Master		(100,898	)		1,072,946			972,048
Total	$	(1,927,961	)	$	(2,196,679	)	$	(4,124,640	)

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

	September 30, 2012					For the three months ended September 30, 2012
	% of Partnership’s Net Assets			Fair Value		Income (Loss)			Expenses				Net Income (Loss)			Investment Objective	Redemptions Permitted
Funds									Brokerage Fees		Other
Altis Master		—		$	—	$	119,276		$	1,061	$	273	$	117,942		Commodity Portfolio	Monthly
Waypoint Master		7.79	%		15,925,869		(261,427	)		11,791		8,006		(281,224	)	Commodity Portfolio	Monthly
Blackwater Master		15.73	%		32,179,400		508,739			18,988		10,120		479,631		Commodity Portfolio	Monthly
PGR Master		14.82	%		30,312,430		412,891			18,152		11,167		383,572		Commodity Portfolio	Monthly
JEM Master		14.91	%		30,505,808		440,084			106,732		7,828		325,524		Commodity Portfolio	Monthly
Cirrus Master		9.21	%		18,836,989		59,315			12,457		14,964		31,894		Energy Markets	Monthly
FL Master		8.08	%		16,515,872		626,098			171,965		10,122		444,011		Commodity Portfolio	Monthly
Cambridge Master		1.62	%		3,320,650		322,150			—		1,500		320,650		Commodity Portfolio	Monthly
Total				$	147,597,018	$	2,227,126		$	341,146	$	63,980	$	1,822,000

16

Emerging CTA Portfolio L.P.

Notes to Financial Statements

September 30, 2012

(Unaudited)

	September 30, 2012					For the nine months ended September 30, 2012
	% of Partnership’s Net Assets			Fair Value		Income (Loss)			Expenses				Net Income (Loss)			Investment Objective	Redemptions Permitted
Funds									Brokerage Fees		Other
Altis Master		—		$	—	$	85,145		$	5,520	$	1,650	$	77,975		Commodity Portfolio	Monthly
Waypoint Master		7.79	%		15,925,869		1,317,064			45,994		26,912		1,244,158		Commodity Portfolio	Monthly
Blackwater Master		15.73	%		32,179,400		(4,664,137	)		69,260		38,378		(4,771,775	)	Commodity Portfolio	Monthly
PGR Master		14.82	%		30,312,430		(4,471,684	)		61,668		35,175		(4,568,527	)	Commodity Portfolio	Monthly
JEM Master		14.91	%		30,505,808		422,339			402,102		31,958		(11,721	)	Commodity Portfolio	Monthly
Cirrus Master		9.21	%		18,836,989		1,120,814			42,860		40,076		1,037,878		Energy Markets	Monthly
FL Master		8.08	%		16,515,872		(2,082,485	)		359,350		37,590		(2,479,425	)	Commodity Portfolio	Monthly
Cambridge Master		1.62	%		3,320,650		322,150			—		1,500		320,650		Commodity Portfolio	Monthly
Total				$	147,597,018	$	(7,950,794	)	$	986,754	$	213,239	$	(9,150,787	)

	December 31, 2011					For the three months ended September 30, 2011
	% of Partnership’s Net Assets			Fair Value		Income (Loss)			Expenses				Net Income (Loss)			Investment Objective	Redemption Permitted
Funds									Brokerage Fees		Other
Altis Master		2.15	%	$	4,403,517	$	(202,525	)	$	1,948	$	781	$	(205,254	)	Commodity Portfolio	Monthly
Waypoint Master		10.67	%		21,857,243		2,921,052			15,930		6,841		2,898,281		Commodity Portfolio	Monthly
Blackwater Master		15.96	%		32,714,125		5,254,931			15,698		3,765		5,235,468		Commodity Portfolio	Monthly
PGR Master		14.03	%		28,765,002		1,604,423			8,732		13,097		1,582,594		Commodity Portfolio	Monthly
JEM Master		15.57	%		31,902,038		2,329,951			139,025		13,640		2,177,286		Commodity Portfolio	Monthly
Cirrus Master		9.88	%		20,248,797		399,591			11,522		15,254		372,815		Energy Markets	Monthly
FL Master		9.47	%		19,419,278		2,421,263			35,703		10,920		2,374,640		Commodity Portfolio	Monthly
Total				$	159,310,000	$	14,728,686		$	228,558	$	64,298	$	14,435,830

17

Emerging CTA Portfolio L.P.

Notes to Financial Statements

September 30, 2012

(Unaudited)

	December 31, 2011					For the nine months ended September 30, 2011
	% of Partnership’s Net Assets			Fair Value		Income (Loss)			Expenses				Net Income (Loss)			Investment Objective	Redemption Permitted
Funds									Brokerage Fees		Other
Altis Master		2.15	%	$	4,403,517	$	(2,663,105	)	$	19,627	$	6,774	$	(2,689,506	)	Commodity Portfolio	Monthly
Sasco Master		—			—		443,762			104,912		18,860		319,990		Energy Markets	Monthly
Waypoint Master		10.67	%		21,857,243		2,560,139			59,896		25,730		2,474,513		Commodity Portfolio	Monthly
Blackwater Master		15.96	%		32,714,125		5,651,535			43,495		20,281		5,587,759		Commodity Portfolio	Monthly
PGR Master		14.03	%		28,765,002		1,953,866			21,740		45,117		1,887,009		Commodity Portfolio	Monthly
JEM Master		15.57	%		31,902,038		3,353,326			374,930		38,110		2,940,286		Commodity Portfolio	Monthly
Cirrus Master		9.88	%		20,248,797		1,564,943			39,276		30,977		1,494,690		Energy Markets	Monthly
FL Master		9.47	%		19,419,278		862,583			67,453		18,694		776,436		Commodity Portfolio	Monthly
Total				$	159,310,000	$	13,727,049		$	731,329	$	204,543	$	12,791,177

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 forward and option contracts. OTC contracts are negotiated between contracting parties and include swaps and certain forward and 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 1.1% to 20.4% of the Partnership’s/Fund’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.

18

Emerging CTA Portfolio L.P.

Notes to Financial Statements

September 30, 2012

(Unaudited)

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 bear the risk of unfavorable changes in the price of the contract underlying the option. Written options expose the Partnership/Funds to potentially unlimited liability; for purchased options, the risk of loss is limited to the premiums paid. Certain written put options permit cash settlement and do not require the option holder to own the reference asset. The Partnership/Funds do not consider these contracts to be guarantees.

The General Partner monitors and attempts to control the Partnership’s/Funds’ risk exposure on a daily basis through financial, credit and risk management monitoring systems, and accordingly, believes that it has effective procedures for evaluating and limiting the credit and market risks to which the Partnership/Funds may be subject. These monitoring systems generally allow the General Partner to statistically analyze actual trading results with risk-adjusted performance indicators and correlation statistics. In addition, 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.

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.

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.

19

Emerging CTA Portfolio L.P.

Notes to Financial Statements

September 30, 2012

(Unaudited)

The Partnership and the Funds will separately present purchases, sales, issuances and settlements in their reconciliation of Level 3 fair value measurements (i.e., to present such items on a gross basis rather than on a net basis), and make disclosures regarding the level of disaggregation and the inputs and valuation techniques used to measure fair value for measurements that fall within either Level 2 or Level 3 of the fair value hierarchy as required under GAAP.

The Partnership and the Funds consider prices for exchange-traded commodity futures, forwards and options contracts to be based on unadjusted quoted prices in active markets for identical assets and liabilities (Level 1). The values of non-exchange-traded forwards, swaps and option 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 September 30, 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 nine months ended September 30, 2012, there were no transfers of assets or liabilities between Level 1 and Level 2.

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.

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 upon-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 income (loss) 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.

20

Emerging CTA Portfolio L.P.

Notes to Financial Statements

September 30, 2012

(Unaudited)

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 option 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 2009 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.

Recent Accounting Pronouncements. In October 2011, the 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 the 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, the FASB also proposes that an investment company consolidate another investment company if it holds a controlling financial interest in the entity. In August 2012, the FASB updated the proposed ASU to state that entities regulated under the Investment Company Act of 1940 should qualify to be investment companies within the proposed investment company guidance. The Partnership will evaluate the impact that this proposed update would have on the financial statements once the pronouncement is issued.

In December 2011, the 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 would 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.”

21

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 margin and net unrealized appreciation on open futures contracts and options purchased 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 third 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 nine months ended September 30, 2012, Partnership capital decreased 0.2% from $204,952,071 to $204,539,273. This decrease was attributable to a net loss of $12,244,215 coupled with the redemption of 17,960.0814 Class A Redeemable Units resulting in an outflow of $25,020,239, which was partially offset by subscriptions of 25,729.4622 Class A Redeemable Units totaling $36,551,656 and 217.0440 Class A General Partner unit equivalents totaling $300,000. 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 third quarter of 2012, the net asset value per unit increased 0.9% from $1,357.44 to $1,369.55 as compared to an increase of 6.5% in the third quarter of 2011. The Partnership experienced a net trading gain before brokerage fees and related fees in the third quarter of 2012 of $5,883,419. Gains were primarily attributable to the Partnership/Funds’ trading of commodity futures in currencies, grains, livestock, U.S. and non-U.S. interest rates and metals, and were partially offset by losses in energy, indices and softs. The Partnership experienced a net trading gain before brokerage fees and related fees in the third quarter of 2011 of $18,797,157. Gains were primarily attributable to the Partnership/Funds’ trading of commodity futures in currencies, indices, U.S. and non-U.S. interest rates, livestock, metals and softs, and were partially offset by losses in grains and energy.

During the third quarter, the most significant gains were experienced within the metals sector, primarily during August and September, due to long positions in gold futures as prices advanced to a 6-month high as government data showed that the U.S. added fewer jobs than forecast, spurring speculation that the U.S. Federal Reserve will expand stimulus measures to boost the labor market. Gains were also experienced within the currency sector, primarily during July and September, due to long positions in the British pound, Indian rupee, and Mexican peso versus the U.S. dollar after the U.S. dollar declined amid the U.S. Federal Reserve announcement of bond buying to bolster the economy in a program of quantitative easing that tends to debase the currency. Within the agricultural sector, gains were experienced primarily during July from long positions in corn and soybean futures as corn futures prices advanced to an all-time high and soybean futures prices reached the highest level since July 2008 as a heat wave and drought in the U.S. Midwest threatened to limit output. Within the global interest rate sector, gains were recorded primarily during July from long positions in European and U.S. fixed income futures as prices advanced as a euro-area report showing inflation held at the slowest since February 2011 added to signs the region is headed for a recession. Prices of European and U.S. fixed income futures continued to move higher after Germany’s top court said it will take more than eight weeks to rule on the euro-area’s bailout fund, holding up crisis resolution efforts and boosting demand for the relative “safety” of government debt. A portion of the Partnership’s gains during the quarter was offset by losses incurred within the soft commodities sector, primarily during September, from short positions in coffee futures as prices advanced on speculation that supplies will tighten in South America, the world’s top coffee producing region. Within the energy sector, losses were recorded primarily during July and August from short positions in natural gas futures as prices climbed higher on forecasts of hotter-than-normal weather that may erode a natural gas stockpile surplus. Elsewhere in this sector, losses were incurred from short positions in oil related products as prices advanced on rising concern that instability in the Middle East will disrupt supplies from a region responsible for about one-third of world production. Within the stock indices sector, losses were experienced primarily during July from long positions in Pacific Rim equity index futures as prices declined throughout a majority of the month amid concern Greece may not meet bailout targets and after the International Monetary Fund said China’s economy faces significant downside risks.

During the Partnership’s nine months ended September 30, 2012, the net asset value per unit decreased 5.5% from $1,449.84 to $1,369.55 as compared to an increase of 3.6% in the nine months ended September 30, 2011. The Partnership experienced a net trading loss before brokerage fees and related fees in the nine months ended September 30, 2012 of $970,210. Losses were primarily attributable to the Partnership/Funds’ trading of commodity futures in currencies, grains, indices, livestock, metals and softs, and were partially offset by gains in energy, and U.S. and non-U.S. interest rates. The Partnership experienced a net trading gain before brokerage fees and related fees in the nine months ended September 30, 2011 of $20,548,302. Gains were primarily attributable to the Partnership/Funds’ trading of commodity futures in currencies, energy, U.S. and non-U.S. interest rates, livestock and metals, and were partially offset by losses in indices, grains and softs.

During the nine months ended September 30, 2012, trading results in the metals sector was relatively flat and had no material impact on Fund performance during the first nine months of the year. The most significant losses were incurred within the currency sector primarily during June from short positions in the British pound versus the U.S. dollar as the value of the British pound advanced as European Union leaders eased terms on loans to Spanish banks, taking a step towards resolving the region’s debt crisis. Elsewhere in this sector, losses were incurred from short positions in the Canadian dollar versus the U.S. dollar as the value of the Canadian dollar also advanced. Within the stock index sector, losses were experienced primarily during April and May due to short futures positions in Pacific Rim and European equity index futures as prices rose on speculation the Chinese government will ease monetary policy and global central banks will take action to bolster economies amid Europe’s sovereign debt crisis. Losses were also incurred within the soft commodities markets, primarily during April, from long positions in sugar futures as prices fell to an 11-month low amid prospects for ample supplies from Brazil and India, the world’s biggest producers of sugar. Within the livestock sector, losses were incurred throughout the majority of the second quarter from short positions in lean hog futures as prices advanced on signs that hot weather in the U.S. will curb livestock weights and deter producers from increasing pork supplies. Within the agricultural sector, losses were incurred primarily during January from short positions in wheat futures as prices advanced on speculation cold weather in Europe will hurt winter crops that lack protective snow cover Losses were also incurred in this market sector during June from short positions in corn futures as corn prices climbed higher after inventories tumbled the most in 16 years and on speculation that hot, dry weather will increase stress on crops in the U.S. A portion of the Partnership’s losses during the first nine months of the year was offset by gains achieved within the global interest rate sector, primarily during April and May, from long positions in European, U.S., and Australian fixed-income futures as prices advanced as Greece failed to form a unified government, increasing concern Europe’s debt crisis is worsening and spurring demand for the relative “safety” of government debt. Additional gains were recorded during July from long positions in U.S. and European interest rate futures. Gains were also experienced in the energy sector, primarily during February and March, from short positions in natural gas futures as prices dropped amid ample inventories and mild weather across the U.S.

22

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 a 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 and nine months ended September 30, 2012 increased by $25,070 and $20,932, respectively, as compared to the corresponding periods in 2011. The increase in interest income is due to higher U.S. Treasury bill rates during the three and nine months ended September 30, 2012 as compared to the corresponding periods 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 and nine months ended September 30, 2012 increased by $62,096 and $323,061, respectively, as compared to the corresponding periods in 2011. The increase in brokerage fees is due to higher average net assets during the three and nine months ended September 30, 2012, as compared to the corresponding periods 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 and nine months ended September 30, 2012 decreased by $99,747 and $266,201, respectively, as compared to the corresponding periods 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 and nine months ended September 30, 2012, as compared to corresponding periods 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 September 30, 2012 decreased by $793, as compared to the corresponding period in 2011. The decrease in administrative 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 September 30, 2012, as compared to the corresponding period in 2011. Administrative fees for the nine months ended September 30, 2012 increased by $36,277, as compared to the corresponding period in 2011. The increase in administrative fees is due to higher average net assets during the nine months ended September 30, 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 and nine months ended September 30, 2012 resulted in incentive fees of $658,568 and $1,067,119, respectively. Trading performance for the three and nine months ended September 30, 2011 resulted in incentive fees of $1,996,865 and $2,273,172, respectively.

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 September 30, 2012 and June 30, 2012 the Partnership’s assets were allocated among these Advisors in the following approximate percentages:

Advisor	September 30, 2012			June 30, 2012
Altis Partners (Jersey) Limited		0	%		1	%
Waypoint Capital Management LLC		7	%		9	%
PGR Capital LLP		15	%		16	%
Blackwater Capital Management LLC		16	%		17	%
J E Moody & Company LLC		15	%		16	%
Cirrus Capital Management LLC		9	%		9	%
Flintlock Capital Asset Management LLC		8	%		8	%
Willowbridge Associates Inc.		25	%		24	%
Cambridge Strategy (Asset Management) Limited		1	%		0	%
Rotella Capital Management, Inc.		2	%		0	%
Bleecker Street Capital, LLC		2	%		0	%

23

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. With the exception of Willowbridge, the Advisors currently trade the Partnership’s assets indirectly in master fund managed accounts over which they have been granted limited authority to make trading decisions. Willowbridge directly trades 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 traded by Willowbridge) and indirectly by each Fund separately. There has been no material change in the trading Value at Risk information previously disclosed in the Partnership’s Annual Report on Form 10-K 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 September 30, 2012 and December 31, 2011. As of September 30, 2012, the Partnership’s total capitalization was $204,539,273.

September 30, 2012

Market Sector	Value at Risk		% of Total Capitalization
Currencies	$	8,389,879		4.10	%
Energy		3,956,309		1.93	%
Grains		1,106,764		0.54	%
Indices		4,842,964		2.37	%
Interest Rates U.S.		1,192,871		0.58	%
Interest Rates Non-U.S.		3,942,352		1.93	%
Livestock		691,111		0.34	%
Metals		3,949,379		1.93	%
Softs		829,733		0.41	%
Total	$	28,901,362		14.13	%

* Due to rounding.

24

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 September 30, 2012 and December 31, 2011, the highest, lowest and average values during the three months ended September 30, 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 September 30, 2012, the Partnership’s Value at Risk for the portion of its assets that are traded directly was as follows:

September 30, 2012

						Three months ended September 30, 2012
Market Sector	Value at Risk		% of  Total Capital			High Value at  Risk		Low Value at  Risk		Average Value at Risk*
Currencies	$	299,115		0.15	%	$	409,104	$	4,500	$	231,036
Energy		67,500		0.03	%		67,500		6,600		41,400
Grains		35,250		0.02	%		734,800		27,750		81,250
Indices		754,425		0.37	%		1,171,239		10,500		321,469
Interest Rates U.S.		394,330		0.19	%		501,650		2,000		133,110
Interest Rates Non-U.S.		1,582,868		0.77	%		1,582,868		417,071		891,062
Metals		1,452,891		0.71	%		1,452,891		14,175		1,120,496
Softs		31,800		0.02	%		87,900		7,500		19,500
Total	$	4,618,179		2.26	%

* 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.

25

As of September 30, 2012, Waypoint Master’s total capitalization was $31,329,671. The Partnership owned approximately 50.8% of Waypoint Master. As of September 30, 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:

September 30, 2012

						Three months ended September 30, 2012
Market Sector	Value at Risk		% of Total Capitalization			High Value at  Risk		Low Value at  Risk		Average Value at  Risk*
Currencies	$	9,796,551		31.27	%	$	9,805,183	$	801,893	$	5,059,039
Energy		108,000		0.34	%		108,000		15,277		86,833
Indices		1,095,273		3.50	%		1,111,107		84,388		608,173
Interest Rates U.S.		30,800		0.10	%		537,550		30,800		175,308
Interest Rates Non-U.S.		73,820		0.24	%		961,765		42,234		450,284
Metals		476,500		1.52	%		476,500		16,200		235,333
Softs		44,550		0.14	%		71,500		32,200		61,117
Total	$	11,625,494		37.11	%

* 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.

26

As of September 30, 2012, PGR Master’s total capitalization was $41,149,265. The Partnership owned approximately 73.7% of PGR Master. As of September 30, 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:

September 30, 2012

						Three months ended September 30, 2012
Market Sector	Value at Risk		% of Total Capitalization			High Value at  Risk		Low Value at  Risk		Average Value at  Risk*
Currencies	$	576,840		1.40	%	$	762,065	$	432,268	$	601,058
Energy		961,005		2.34	%		1,196,135		160,426		728,593
Grains		261,062		0.63	%		358,000		237,500		281,271
Indices		2,538,650		6.17	%		2,560,803		1,081,839		1,858,086
Interest Rates U.S.		699,400		1.70	%		769,700		699,400		723,417
Interest Rates Non-U.S.		2,405,375		5.85	%		3,330,100		2,129,042		2,847,649
Livestock		13,200		0.03	%		15,600		1,200		8,800
Metals		188,350		0.46	%		659,250		152,000		395,750
Softs		186,727		0.45	%		220,726		133,869		178,685
Total	$	7,830,609		19.03	%

* 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 September 30, 2012, Blackwater Master’s total capitalization was $70,449,918. The Partnership owned approximately 45.7% of Blackwater Master. As of September 30, 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:

September 30, 2012

						Three months ended September 30, 2012
Market Sector	Value at Risk		% of Total Capitalization			High Value at  Risk		Low Value at  Risk		Average Value at  Risk*
Currencies	$	2,389,248		3.39	%	$	2,804,912	$	1,374,428	$	1,904,294
Energy		124,800		0.18	%		298,200		124,800		138,167
Grains		112,500		0.16	%		112,500		112,500		112,500
Indices		3,634,913		5.16	%		3,673,208		885,672		2,851,435
Interest Rates U.S.		585,200		0.83	%		1,153,475		411,700		662,325
Interest Rates Non -U.S.		1,201,798		1.70	%		2,578,770		993,791		1,313,518
Total	$	8,048,459		11.42	%

* Average of month-end Values at Risk.

27

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 September 30, 2012, JEM Master’s total capitalization was $43,749,005. The Partnership owned approximately 69.7% of JEM Master. As of September 30, 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:

September 30, 2012

	Value at Risk		% of Total Capitalization			Three months ended September 30, 2012
Market Sector						High Value at  Risk		Low Value at  Risk		Average Value at  Risk*
Energy	$	1,516,226		3.46	%	$	1,811,998	$	554,508	$	997,068
Grains		173,725		0.40	%		173,725		6,000		124,542
Livestock		379,400		0.87	%		873,800		129,600		402,133
Metals		44,400		0.10	%		45,900		6,300		44,400
Softs		73,500		0.17	%		411,150		15,400		141,167
Total	$	2,187,251		5.00	%

* 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						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.

28

As of September 30, 2012, Cirrus Master’s total capital was $21,981,770. The Partnership owned approximately 85.7% of Cirrus Master. As of September 30, 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:

September 30, 2012

	Value at Risk		% of Total Capitalization			Three months ended September 30, 2012
Market Sector						High Value at Risk		Low Value at  Risk		Average Value at Risk*
Energy	$	1,871,700		8.51	%	$	2,386,800	$	1,122,000	$	1,703,400
Total	$	1,871,700		8.51	%

* Annual average of month-end Values at Risk.

As of September 30, 2012, FL Master’s total capitalization was $26,035,317. The Partnership owned approximately 63.5% of FL Master. As of September 30, 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:

September 30, 2012

	Value at Risk		% of Total Capitalization			Three months ended September 30, 2012
Market Sector						High Value at  Risk		Low Value at  Risk		Average Value at  Risk*
Energy	$	642,196		2.47	%	$	914,280	$	464	$	461,063
Grains		1,112,775		4.27	%		2,119,875		126		521,919
Livestock		656,600		2.52	%		1,048,350		11,400		667,275
Metals		3,282,938		12.61	%		3,799,792		136,648		2,101,986
Softs		923,550		3.55	%		1,555,000		1,648		588,164
Total	$	6,618,059		25.42	%

* 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						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.

As of September 30, 2012, Cambridge Master’s total capital was $3,320,495. The Partnership owned approximately 100% of Cambridge Master. As of September 30, 2012, Cambridge Master’s Value at Risk for its assets (including the to portion of the Partnership’s assets allocated Cambridge for trading) was as follows:

September 30, 2012

	Value at Risk		% of Total Capitalization			For the period ended September 30, 2012
Market Sector						High Value at Risk		Low Value at Risk		Average Value at Risk*
Currencies	$	1,597,099		48.10	%	$	1,822,106	$	511,540	$	1,597,099
Total	$	1,597,099		48.10	%

* For the period September 1, 2012 (commencement of trading operations) to September 30, 2012 average of month-end Values at Risk.

29

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 (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 President 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 President 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 September 30, 2012 and, based on that evaluation, the General Partner’s President 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 President and CFO to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements in accordance with GAAP. These controls include policies and procedures that:

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

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

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

There were no changes in the Partnership’s internal control over financial reporting process during the fiscal quarter ended September 30, 2012 that materially affected, or are reasonably likely to materially affect, the Partnership’s internal control over financial reporting.

30

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, as updated by the Partnership’s Quarterly Reports on Form 10-Q for the quarters ended March 31, 2012 and June 30, 2012.

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

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

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

RMBS Litigation and Other Matters

On May 4, 2012, the district court in FEDERAL HOUSING FINANCE AGENCY v. UBS AMERICAS, INC., ET AL., a parallel case to FEDERAL HOUSING FINANCE AGENCY v. ALLY FINANCIAL INC., ET AL., FEDERAL HOUSING FINANCE AGENCY v. CITIGROUP INC., ET AL., and FEDERAL HOUSING FINANCE AGENCY v. JPMORGAN CHASE & CO., ET AL., denied defendants’ motion to dismiss plaintiff’s securities law claims and granted defendants’ motion to dismiss plaintiff’s negligent misrepresentation claims. On June 19, 2012, the district court granted defendants’ motion to certify an interlocutory appeal to the United States Court of Appeals for the Second Circuit from the court’s statutes of repose and limitations rulings.

On May 15, 2012, Woori Bank filed a complaint in the United States District Court for the Southern District of New York against Citigroup alleging actionable misstatements and omissions in connection with Woori Bank’s $95 million investment in five collateralized debt obligations.

On May 18, 2012, the Federal Deposit Insurance Corporation filed (“FDIC”) complaints in the United States District Courts for the Southern District of New York and the Central District of California against various defendants, including Citigroup Global Markets Inc., Citicorp Mortgage Securities Inc., and CitiMortgage Inc., in connection with purchases of residential mortgage-backed securities (“RMBS”) by two failed banks for which the FDIC is acting as receiver.

On June 6, 2012, the court granted in part and denied in part defendants’ motions to dismiss in WESTERN & SOUTHERN LIFE INS. CO., ET AL. v. RESIDENTIAL FUNDING CO., LLC, ET AL.

On June 26, 2012, the court overruled defendants’ demurrer to plaintiff’s amended complaint in FEDERAL HOME LOAN BANK OF CHICAGO v. BANC OF AMERICA SECURITIES, LLC, ET AL.

On July 27, 2012, John Hancock Life Insurance Co. and several affiliated entities filed a complaint in the United States District Court for the District of Minnesota against various defendants, including CGM, asserting disclosure claims arising out of purchases of RMBS.

On August 29, 2012, the United States District Court for the Southern District of New York issued an order preliminarily approving the parties’ settlement in IN RE CITIGROUP INC. SECURITIES LITIGATION, pursuant to which Citigroup has agreed to pay $590 million. A fairness hearing is scheduled for January 15, 2013.

On August 30, 2012, Rentokil-Initial Pension Scheme filed a putative class action complaint against Citigroup on behalf of purchasers of 26 Citigroup offerings of medium term Euro Notes issued between October 12, 2005 and February 25, 2009. The complaint asserts claims under Section 90 of the Financial Services and Markets Act 2000 and includes allegations similar to those asserted in IN RE CITIGROUP INC. BOND LITIGATION.

On October 15, 2012, the United States District Court for the Southern District of New York granted lead plaintiffs’ amended motion for class certification in NEW JERSEY CARPENTERS HEALTH FUND v. RESIDENTIAL CAPITAL LLC, ET AL., having previously denied lead plaintiffs’ motion for class certification on January 18, 2011. Plaintiffs in this action allege violations of Sections 11, 12, and 15 of the Securities Act of 1933, as amended, and assert disclosure claims on behalf of a putative class of purchasers of mortgage-backed securities issued by Residential Accredited Loans, Inc. pursuant or traceable to prospectus materials filed on March 3, 2006 and April 3, 2007. CGM is one of the underwriter defendants.

Other Matters

Citigroup and Citibank, N.A., along with other U.S. Dollar (USD) LIBOR panel banks, are defendants in the multidistrict litigation (MDL) proceeding before Judge Buchwald in the United States District Court for the Southern District of New York captioned IN RE LIBOR-BASED FINANCIAL INSTRUMENTS ANTITRUST LITIGATION. Judge Buchwald has appointed interim lead class counsel for, and consolidated amended complaints have been filed on behalf of, three separate putative classes of plaintiffs: (1) OTC purchasers of derivative instruments tied to USD LIBOR; (2) purchasers of exchange-traded derivative instruments tied to USD LIBOR; and (3) indirect OTC purchasers of U.S. debt securities. Each of these putative classes alleges that the panel bank defendants conspired to suppress USD LIBOR in violation of the Sherman Act and/or the Commodity Exchange Act, thereby causing plaintiffs to suffer losses on the instruments they purchased. Also consolidated into the MDL proceeding are individual civil actions commenced by various Charles Schwab entities that allege that the panel bank defendants conspired to suppress the USD LIBOR rates in violation of the Sherman Act, the Racketeer Influenced and Corrupt Organizations Act, and California state law, causing the Schwab entities to suffer losses on USD LIBOR-linked financial instruments that they owned. Plaintiffs in these actions seek compensatory damages and restitution for losses caused by the alleged violations, as well as treble damages under the Sherman Act. The Schwab and OTC plaintiffs also seek injunctive relief.

In the course of its business, CGM, as a major futures commission merchant and broker-dealer, is a party to various civil actions, claims and routine regulatory investigations and proceedings that the General Partner believes do not have a material effect on the business of CGM. GCM may establish reserves from time to time in connections with such actions.

31

Item 1A. Risk Factors

There have been no material changes to the risk factors set forth under Part 1, Item 1A. “Risk Factors” in the Partnership’s Annual Report on Form 10-K for the fiscal year ended December 31, 2011 and under Part II, Item 1A. “Risk Factors” in the Partnership’s Quarterly Reports on Form 10-Q for the quarters ended March 31, 2012 and June 30, 2012, other than as set forth below.

Speculative position and trading limits may reduce profitability.

The CFTC and U.S. exchanges have established speculative position limits on the maximum net long or net short positions which any person may hold or control in particular futures and options on futures. The trading instructions of an advisor may have to be modified, and positions held by the Partnership may have to be liquidated in order to avoid exceeding these limits. Such modification or liquidation could adversely affect the operations and profitability of the Partnership by increasing transaction costs to liquidate positions and foregoing potential profits.

In October 2011, the CFTC adopted new rules governing position limits. In September 2012, these rules were vacated by the United States District Court for the District of Columbia and remanded to the CFTC for further consideration. It is possible, nevertheless, that these rules may take effect in some form via re-promulgation or a successful appeal by the CFTC of the District Court’s ruling. The vacated rules established position limits on certain futures contracts and any economically equivalent futures, options and swaps.

32

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

For the three months ended September 30, 2012, there were subscriptions of 2,768.9519 Class A Redeemable Units totaling $3,787,329. 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, forward 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
July 1, 2012- July 31, 2012		2,206.5230		$1,388.54		N/A		N/A
August 1, 2012- August 31, 2012		2,114.3140		$1,364.13		N/A		N/A
September 1, 2012- September 30, 2012		1,787.4020		$1,369.55		N/A		N/A
		6,108.2390		$1,374.53

* 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.

The registrant does not have a board of directors. The registrant’s general partner, Ceres Managed Futures LLC (“CMF”), is managed by a board of directors.

Effective November 14, 2012, Mr. Damian George was appointed a director of CMF.

Damian George, age 45, has been a Director of the general partner since November 2012. Since June 2012, Mr. George has been the Chief Financial Officer and a principal of the general partner and is an associate member of the National Futures Association. Since August 2009, Mr. George has been employed by Morgan Stanley Smith Barney LLC (“Morgan Stanley Smith Barney”), a financial services firm, where his responsibilities include oversight of budgeting, finance and Sarbanes-Oxley testing for the Alternative Investments–Managed Futures group. Since August 2009, Mr. George has been registered as an associated person of Morgan Stanley Smith Barney. From November 2005 through July 2009, Mr. George was employed by Citi Alternative Investments, a division of Citigroup Inc. (“Citigroup”), a financial services firm, which administered Citigroup’s hedge fund and fund of funds business, where he served as Director and was responsible for budgeting, finance and Sarbanes-Oxley testing for the Hedge Fund Management group. From November 2004 through July 2009, Mr. George was registered as an associated person of Citigroup Global Markets Inc. Mr. George earned his Bachelor of Science degree in Accounting in May 1989 from Fordham University and his Master of Business Administration degree in International Finance in February 1998 from Fordham University. Mr. George is a Certified Public Accountant.

33

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 Morgan Stanley Smith Barney LLC (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 herein).

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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).
10.13	Management Agreement among the Partnership, the General Partner and Rotella Capital Management, Inc. (filed herein).
10.14	Management Agreement among the Partnership, the General Partner and the Cambridge Strategy (Asset Management) Limited (filed herein).
10.15	Management Agreement among the Partnership, the General Partner and Bleecker Street Capital, LLC (filed herein).

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

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

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

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

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.

101.DEF XBRL Taxonomy Extension Definition Document.

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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: November 14, 2012

By:	/s/  Damian George
	Damian George Chief Financial Officer (Principal Accounting Officer and Director)

Date: November 14, 2012

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