Emerging Cta Portfolio 10-Q 2013 Q2 Quarterly report

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

WASHINGTON, D.C. 20549

FORM10-Q

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

OF THE SECURITIES EXCHANGE ACT OF 1934

For the quarterly period ended June 30, 2013

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 RegulationS-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, anon-accelerated filer, or a smaller reporting company. See the definitions of “large accelerated filer,” “accelerated filer” and “smaller reporting company” in Rule12b-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 Rule12b-2 of the Exchange Act).

Yes-  NoX

As of July 31, 2013, 128,476.5342 Limited Partnership Class A Redeemable Units were outstanding.

EMERGING CTA PORTFOLIO L.P.

FORM10-Q

INDEX

			Page Number
PART I-Financial Information:
	Item 1.	Financial Statements:
		Statements of Financial Condition at June 30, 2013 (unaudited) and December 31, 2012		3
		Condensed Schedules of Investments at June 30, 2013 (unaudited) and December 31, 2012		4–5
		Statements of Income and Expenses and Changes in Partners’ Capital for the three and six months ended June  30, 2013 and 2012 (unaudited)		6
		Notes to Financial Statements (unaudited)		7–23
	Item 2.	Management’s Discussion and Analysis of Financial Condition and Results of Operations		24–25
	Item 3.	Quantitative and Qualitative Disclosures about Market Risk		26–32
	Item 4.	Controls and Procedures		33
PART II-Other Information
	Item 1.	Legal Proceedings		34
	Item 1A.	Risk Factors		43
	Item 2.	Unregistered Sales of Equity Securities and Use of Proceeds		44
	Item 5.	Other Information		45
	Item 6.	Exhibits		47–48

2

PART I

Item 1. Financial Statements

Emerging CTA Portfolio L.P.

Statements of Financial Condition

	(Unaudited) June 30, 2013		December 31, 2012
Assets:
Investment in Funds, at fair value	$	164,714,165	$	131,261,488
Equity in trading account:
Cash		21,588,583		62,988,555
Cash margin		2,468,174		3,174,233
Net unrealized appreciation on open futures contracts		57,995		122,799
Options purchased, at fair value (cost $0 and $55,125 at June 30, 2013 and December 31, 2012, respectively)		—		57,300
Total trading equity		188,828,917		197,604,375
Interest receivable		489		3,434
Total assets	$	188,829,406	$	197,607,809
Liabilities and Partners’ Capital:
Liabilities:
Net unrealized depreciation on open forward contracts	$	—	$	32,519
Options premium received, at fair value (premium $0 and $24,375 at June 30, 2013 and December 31, 2012, respectively)		—		22,500
Accrued expenses:
Brokerage fees		550,752		576,196
Management fees		229,056		221,178
Administrative fees		78,378		82,013
Incentive fees		856,949		462,663
Other		171,404		144,405
Redemptions payable		2,239,698		7,914,389
Total liabilities		4,126,237		9,455,863
Partners’ Capital:
General Partner, 1,512.9756 and 1,655.9756 Class A Unit equivalents outstanding at June 30, 2013 and December 31, 2012, respectively		2,135,020		2,251,812
Limited Partners, 129,375.9652 and 136,710.3302 Class A Redeemable Units outstanding at June 30, 2013 and December 31, 2012, respectively		182,568,149		185,900,134
Total partners’ capital		184,703,169		188,151,946
Total liabilities and partners’ capital	$	188,829,406	$	197,607,809
Net asset value per unit, Class A	$	1,411.14	$	1,359.81

See accompanying notes to financial statements.

3

Emerging CTA Portfolio L.P.

Statements of Financial Condition

Condensed Scheduleof Investments

June 30, 2013

(Unaudited)

	Number of Contracts		Fair Value			% of Partners’ Capital
Futures Contracts Purchased
Currencies		71	$	(18,070	)		(0.01	)%
Indices		346		(11,719	)		(0.00	)*
Interest Rates Non-U.S.		99		24,855			0.01
Interest Rates U.S.		146		50,481			0.03
Total futures contracts purchased				45,547			0.03
Futures Contracts Sold
Currencies		105		134,665			0.07
Indices		163		(112,904	)		(0.06	)
Interest Rates Non-U.S.		86		(7,907	)		(0.00	)*
Interest Rates U.S.		12		(1,406	)		(0.00	)*
Total futures contracts sold				12,448			0.01
Investment in Funds
Waypoint Master Fund L.P.				7,187,207			3.89
Blackwater Master Fund L.P.				27,611,323			14.95
PGR Master Fund L.P.				18,774,004			10.17
JEM Master Fund L.P.				31,789,947			17.21
CMF Cirrus Master Fund L.P.				15,086,537			8.17
Cambridge Master Fund L.P.				14,089,315			7.62
CMF Willowbridge Master Fund L.P.				15,522,200			8.40
300 North Capital Master Fund L.P.				18,655,925			10.10
Principle Master Fund L.P.				15,997,707			8.66
Total investment in Funds				164,714,165			89.17
Net fair value			$	164,772,160			89.21	%

* Due to rounding.

See accompanying notes to financial statements.

4

Emerging CTA Portfolio L.P.

Condensed Schedule of Investments

December 31, 2012

	Number  of Contracts		Fair Value			% of Partners’ Capital
Futures Contracts Purchased
Currencies		97	$	(33,875	)		(0.02	)%
Energy		3		480			0.00	*
Grains		9		2,700			0.00	*
Indices		266		94,268			0.05
Interest Rates Non-U.S.		234		84,333			0.05
Interest Rates U.S.		720		(42,250	)		(0.02	)*
Livestock		3		(1,140	)		(0.00	)*
Metals		9		2,370			0.00	*
Softs		3		4,545			0.00	*
Total futures contracts purchased				111,431			0.06
Futures Contracts Sold
Currencies		70		26,979			0.01
Indices		170		2,110			0.00	*
Interest Rates Non-U.S.		140		(31,283	)		(0.01	)
Interest Rates U.S.		22		13,562			0.01
Total futures contracts sold				11,368			0.01
Unrealized Appreciation on Forward Contracts
Metals		6		11,069			0.00	*
Total unrealized appreciation on forward contracts				11,069			0.00	*
Unrealized Depreciation on Forward Contracts
Metals		10		(43,588	)		(0.02	)
Total unrealized depreciation on forward contracts				(43,588	)		(0.02	)
Options Purchased
Puts
Indices		60		57,300			0.03
Total options purchased				57,300			0.03
Options premium received
Puts
Indices		60		(22,500	)		(0.01	)
Total options purchased				(22,500	)		(0.01	)
Investment in Funds
Waypoint Master Fund L.P.				10,138,039			5.39
Blackwater Master Fund L.P.				33,659,106			17.89
PGR Master Fund L.P.				28,960,322			15.39
JEM Master Fund L.P.				33,788,666			17.96
CMF Cirrus Master Fund L.P.				17,294,932			9.19
Cambridge Master Fund L.P.				7,420,423			3.94
Total investment in Funds				131,261,488			69.76
Net fair value			$	131,386,568			69.83	%

* 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 June 30,						Six Months Ended June 30,
	2013			2012			2013			2012
Investment Income:
Interest income	$	1,193		$	6,682		$	5,249		$	11,277
Interest income from investment in Funds		9,973			23,101			34,237			40,472
Total investment income		11,166			29,783			39,486			51,749
Expenses:
Brokerage fees including clearing fees		2,097,305			2,314,248			4,183,147			4,500,677
Management fees		689,744			776,481			1,365,232			1,560,796
Administrative fees		236,432			269,599			471,887			537,775
Incentive fees		773,152			358,490			1,145,571			408,551
Other		284,107			169,789			460,433			318,803
Total expenses		4,080,740			3,888,607			7,626,270			7,326,602
Net investment income (loss)		(4,069,574	)		(3,858,824	)		(7,586,784	)		(7,274,853	)
Trading Results:
Net gains (losses) on trading of commodity interests and investment in Funds:
Net realized gains (losses) on closed contracts		558,128			4,036,120			(522,813	)		3,420,626
Net realized gains (losses) investment in Funds		7,548,615			(627,913	)		21,372,357			(5,786,786	)
Change in net unrealized gains (losses) on open contracts		108,822			(7,622	)		(36,335	)		(55,863	)
Change in net unrealized gains (losses) on investment in Funds		1,435,481			(6,928,511	)		(6,305,992	)		(4,431,606	)
Total trading results		9,651,046			(3,527,926	)		14,507,217			(6,853,629	)
Net income (loss)		5,581,472			(7,386,750	)		6,920,433			(14,128,482	)
Subscriptions — Limited Partners		4,348,476			12,091,376			8,593,636			32,764,327
Subscriptions — General Partner		—			—			—			100,000
Redemptions — Limited Partners		(7,112,086	)		(9,010,087	)		(18,762,147	)		(16,624,259	)
Redemptions — General Partner		(200,699	)		—			(200,699	)		—
Net increase (decrease) in Partners’ Capital		2,617,163			(4,305,461	)		(3,448,777	)		2,111,586
Partners’ Capital, beginning of period		182,086,006			211,369,118			188,151,946			204,952,071
Partners’ Capital, end of period	$	184,703,169		$	207,063,657		$	184,703,169		$	207,063,657
Net asset value per unit, Class A (130,888.9408 and 152,540.1667 Class A units outstanding at June 30, 2013 and 2012, respectively)	$	1,411.14		$	1,357.44		$	1,411.14		$	1,357.44
Net income (loss) per unit*, Class A	$	41.55		$	(47.79	)	$	51.33		$	(92.40	)
Weighted average Class A units outstanding		133,411.6635			154,789.6255			135,472.0927			152,479.8630

* 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

June 30, 2013

(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. andnon-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”). MSSB Holdings is ultimately owned by Morgan Stanley. Morgan Stanley is a publicly held company whose shares are listed on the New York Stock Exchange. Morgan Stanley is engaged in various financial services and other businesses. Prior to June 28, 2013, Morgan Stanley indirectly owned a majority equity interest in MSSB Holdings and Citigroup Inc. indirectly owned a minority equity interest in MSSB Holdings. 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 Wealth Management and its affiliates (and their family members). The Class of units that a limited partner of the Partnership (each a “Limited Partner”) receives upon subscription will generally depend upon the amount invested in the Partnership or the status of the Limited Partner, although the General Partner may determine to offer units to investors at its discretion. As of June 30, 2013, there were no Redeemable Units outstanding in Class D or Class Z.

As of June 30, 2013, all trading decisions were 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. Waypoint Capital Management LLC (“Waypoint”), 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 (i.e. commodity trading advisors intended to be allocated less than 10% of the Partnership’s assets). Information about advisors allocated less than 10% of the Partnership’s assets may not be disclosed. The General Partner may allocate less than 10% of the Partnership’s assets to a new trading advisor or another trading program of a current Advisor. The Advisors are not affiliated with one another, are not affiliated with the General Partner or CGM and are not responsible for the organization or operation of the Partnership.

The accompanying financial statements and accompanying notes are unaudited but, in the opinion of the General Partner, include all adjustments, consisting only of normal recurring adjustments, necessary for a fair statement of the Partnership’s financial condition at June 30, 2013 and December 31, 2012, and the results of its operations and changes in partners’ capital for the three and six months ended June 30, 2013 and 2012. 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 Form10-K filed with the Securities and Exchange Commission (the “SEC”) for the year ended December 31, 2012.

The General Partner and each 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, net of distributions and losses, if any.

        The preparation of financial statements and accompanying notes in conformity with accounting principles generally accepted in the United States of America (“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.

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

June 30, 2013

(Unaudited)

2. Financial Highlights:

Changes in the net asset value per unit for Class A for the three and six months ended June 30, 2013 and 2012 were as follows:

	Three Months Ended June 30,						Six Months Ended June 30,
	2013			2012			2013			2012
Net realized and unrealized gains (losses)*	$	56.35		$	(37.83	)	$	76.55		$	(74.24	)
Interest Income		0.08			0.19			0.29			0.33
Expenses**		(14.88	)		(10.15	)		(25.51	)		(18.49	)
Increase (decrease) for the period		41.55			(47.79	)		51.33			(92.40	)
Net asset value per unit, beginning of period		1,369.59			1,405.23			1,359.81			1,449.84
Net asset value per unit, end of period	$	1,411.14		$	1,357.44		$	1,411.14		$	1,357.44

* Includes brokerage fees and clearing fees.

** Excludes brokerage fees and clearing fees ..

	Three Months Ended June 30,						Six Months Ended June 30,
	2013			2012			2013			2012
Ratios to average net assets:***
Net investment income (loss)		(7.6	)%		(6.8	)%		(7.7	)%		(6.8	)%
Incentive fees		0.4	%		0.2	%		0.6	%		0.2	%
Net investment income (loss) before incentive fees****		(7.2	)%		(6.6	)%		(7.1	)%		(6.6	)%
Operating expense		7.2	%		6.7	%		7.1	%		6.6	%
Incentive fees		0.4	%		0.2	%		0.6	%		0.2	%
Total expenses		7.6	%		6.9	%		7.7	%		6.8	%
Total return:
Total return before incentive fees		3.4	%		(3.2	)%		4.4	%		(6.2	)%
Incentive fees		(0.4	)%		(0.2	)%		(0.6	)%		(0.2	)%
Total return after incentive fees		3.0	%		(3.4	)%		3.8	%		(6.4	)%

*** 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.

During the second quarter of 2013, Waypoint Master Fund L.P. and Cambridge Master Fund L.P. entered into brokerage account agreements with Morgan Stanley & Co. LLC (“MS&Co”). The Partnership, through its investment in the Funds, will pay MS&Co. a service fee equal to $0.70 per round-turn for futures transactions, an equivalent amount for swaps, excluding forward foreign currency transactions, and $0.35 per side for option transactions, excluding foreign exchange options. Waypoint Master Fund L.P. is expected to commence trading during the third quarter of 2013. Subsequent to June 30, 2013, all master funds except Waypoint Master Fund L.P. and Cambridge Master Fund L.P. entered into brokerage account agreements with MS&Co. and expect to commence trading during the third quarter of 2013.

Effective April 12, 2013, Waypoint Master Fund L.P. and Cambridge Master Fund L.P. entered into a foreign exchange brokerage agreement with MS&Co. and commenced trading on or about May 1, 2013. The Partnership, through its investment in the Funds, will pay MS&Co. a foreign exchange prime brokerage fee equal to $4 per $1 million (notional) spot and forward foreign currency contracts transacted each month.

The customer agreements between the Partnership and Citigroup Global Markets Inc. (“CGM”) and the Funds and CGM and/or MS & Co., as applicable 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

June 30, 2013

(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 June 30, 2013 and 2012 were 1,568 and 4,455, respectively. The monthly average number of futures contracts traded directly by the Partnership during the six months ended June 30, 2013 and 2012 were 1,582 and 2,905, respectively. The monthly average number of metals forward contracts traded directly by the Partnership during the three months ended June 30, 2013 and 2012 were 0 and 10, respectively. The monthly average number of metals forward contracts traded directly by the Partnership during the six months ended June 30, 2013 and 2012 were 18 and 11, respectively. The monthly average number of option contracts held directly by the Partnership during the three months ended June 30, 2013 and 2012 were 0 and 269, respectively. The monthly average number of option contracts held directly by the Partnership during the six months ended June 30, 2013 and 2012 were 25 and 145, respectively. The monthly average notional value of currency forward contracts held directly by the Partnership during the three months ended June 30, 2013 and 2012 were $0 and $33,487,217, respectively. The monthly average notional value of currency forward contracts held directly by the Partnership during the six months ended June 30, 2013 and 2012 were $903 and $31,305,439, 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.

On January 1, 2013, the Partnership adopted Accounting Standards Update (“ASU”) 2011-11, “Disclosure about Offsetting Assets and Liabilities” and ASU 2013-01, “Clarifying the Scope of Disclosures about Offsetting Assets and Liabilities”. ASU 2011-11 created a new disclosure requirement about the nature of an entity’s rights to setoff and the related arrangements associated with its financial instruments and derivative instruments, while ASU 2013-01 clarified the types of instruments and transactions that are subject to the offsetting disclosure requirements established by ASU 2011-11. 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 these disclosures is to facilitate comparison between those entities that prepare their financial statements on the basis of U.S. GAAP and those entities that prepare their financial statements on the basis of International Financial Reporting Standards. The new guidance did not have a significant impact on the Partnership’s financial statements.

The following tables summarize the valuation of the Partnership’s investments at June 30, 2013 and December 31, 2012, respectively.

June 30, 2013	Gross Amounts Recognized		Gross Amounts Offset in the Statement of Financial Condition			Net Amounts Presented in  the Statement of Financial Condition
Assets
Futures	$	256,040	$	(210,493	)	$	45,547
Total Assets	$	256,040	$	(210,493	)	$	45,547
Liabilities
Futures	$	193,023	$	(180,575	)	$	12,448
Total Liabilities	$	193,023	$	(180,575	)	$	12,448
Net unrealized appreciation on open futures contracts						$	57,995
Total net unrealized gain (loss) on total contracts						$	57,995

9

Emerging CTA Portfolio L.P.

Notes to Financial Statements

June 30, 2013

(Unaudited)

December 31, 2012	Gross Amounts Recognized		Gross Amounts Offset in the Statement of Financial Condition			Net Amounts Presented in  the Statement of Financial Condition
Assets
Futures	$	268,039	$	(156,608	)	$	111,431
Forwards		0		(39,734	)		(39,734	)
Options purchased		57,300		0			57,300
Total Assets	$	325,339	$	(196,342	)	$	128,997
Liabilities
Futures	$	126,651	$	(115,283	)	$	11,368
Forwards		11,069		(3,854	)		7,215
Options premium received		0		(22,500	)		(22,500	)
Total Liabilities	$	137,720	$	(141,637	)	$	(3,917	)
Net unrealized appreciation on open futures contracts						$	122,799
Net unrealized depreciation on open forward contracts							(32,519	)
Total options purchased							57,300
Total options premium received							(22,500	)
Total net unrealized gain (loss) on total contracts						$	125,080

The following tables indicate the gross fair values of derivative instruments of futures, forwards and options contracts as separate assets and liabilities as of June 30, 2013 and December 31, 2012.

Assets	June 30, 2013
Futures Contracts
Currencies	$	140,564
Indices		191,129
Interest Rates Non-U.S.		56,107
Interest Rates U.S.		61,262
Total unrealized appreciation on open futures contracts	$	449,062
Liabilities
Futures Contracts
Currencies	$	(23,969	)
Indices		(315,752	)
Interest Rates Non-U.S.		(39,159	)
Interest Rates U.S.		(12,187	)
Total unrealized depreciation on open futures contracts	$	(391,067	)
Net unrealized appreciation on open futures contracts	$	57,995	*

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

10

Emerging CTA Portfolio L.P.

Notes to Financial Statements

June 30, 2013

(Unaudited)

	December 31, 2012
Assets
Futures Contracts
Currencies	$	54,740
Energy		480
Grains		2,700
Indices		193,392
Interest Rates Non-U.S.		103,150
Interest Rates U.S.		33,312
Metals		2,370
Softs		4,545
Total unrealized appreciation on open futures contracts	$	394,689
Liabilities
Futures Contracts
Currencies	$	(61,636	)
Indices		(97,014	)
Interest Rates Non-U.S.		(50,100	)
Interest Rates U.S.		(62,000	)
Livestock		(1,140	)
Total unrealized depreciation on open futures contracts	$	(271,890	)
Net unrealized appreciation on open futures contracts	$	122,799	*

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

	December 31, 2012
Assets
Forward Contracts
Metals	$	11,069
Total unrealized appreciation on open forward contracts	$	11,069
Liabilities
Forward Contracts
Metals	$	(43,588	)
Total unrealized depreciation on open forward contracts	$	(43,588	)
Net unrealized depreciation on open forward contracts	$	(32,519	)**

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

	December 31, 2012
Assets
Options purchased
Indices	$	57,300
Total options purchased	$	57,300	***
Liabilities
Options premium received
Indices	$	(22,500	)
Total options premium received	$	(22,500	)****

*** 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.

11

Emerging CTA Portfolio L.P.

Notes to Financial Statements

June 30, 2013

(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 six months ended June 30, 2013 and 2012.

	Three Months Ended June 30,						Six Months Ended June 30,
Sector	2013			2012			2013			2012
Currencies	$	180,715		$	22,363		$	491,446		$	731,128
Energy		—			800,722			114,173			757,266
Grains		—			443,606			(1,670	)		476,269
Indices		394,274			(212,568	)		(77,114	)		(196,580	)
Interest Rates U.S.		158,978			2,537,829			(85,074	)		2,213,142
Interest Rates Non-U.S.		(67,017	)		788,238			(669,237	)		142,824
Livestock		—			(24,560	)		(4,570	)		(24,560	)
Metals		—			(368,805	)		(350,475	)		(746,007	)
Softs		—			41,673			23,373			11,281
Total	$	666,950	*****	$	4,028,498	*****	$	(559,148	)*****	$	3,364,763	*****

***** 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. The General Partner 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. The General Partner 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.

On October 1, 2012, the Financial Accounting Standards Board (the “FASB”) issued ASU 2012-04 “Technical Corrections and Improvements,” which makes minor technical corrections and clarifications to Accounting Standards Codification (“ASC”) 820, “Fair Value Measurements and Disclosures.” When the FASB issued Statement 157 (codified in ASC 820), it conformed the use of the term “fair value” in certain pre-Codification standards but not others. ASU 2012-04 conforms the term’s use throughout the ASC “to fully reflect the fair value measurement and disclosure requirements” of ASC 820. ASU 2012-04 also amends the requirements that must be met for an investment company to qualify for the exemption from presenting a statement of cash flows. Specifically, it eliminates the requirements that substantially all of an entity’s investments be carried at “market value” and that the investments be highly liquid. Instead, it requires substantially all of the entity’s investments to be carried at “fair value” and classified as Level 1 or Level 2 measurements under ASC 820. The amendments are effective for fiscal periods beginning after December 15, 2012. The adoption of this ASU did not have a material impact on the Partnership’s financial statements.

12

Emerging CTA Portfolio L.P.

Notes to Financial Statements

June 30, 2013

(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 ofnon-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 June 30, 2013 and December 31, 2012, 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 six months ended June 30, 2013 and twelve months ended December 31, 2012, there were no transfers of assets or liabilities between Level 1 and Level 2.

	June 30, 2013		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	$	164,714,165	$	0	$	164,714,165	$	0
Futures		449,062		449,062		0		0
Total assets	$	165,163,227	$	449,062	$	164,714,165	$	0
Liabilities
Futures	$	391,067	$	391,067	$	0	$	0
Total liabilities		391,067		391,067		0		0
Net fair value	$	164,772,160	$	57,995	$	164,714,165	$	0

	December 31, 2012		Quoted Prices in Active Market for Identical Assets and Liabilities (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Unobservable  Inputs (Level 3)
Assets
Investment in Funds	$	131,261,488	$	0	$	131,261,488	$	0
Futures		394,689		394,689		0		0
Forwards		11,069		11,069		0		0
Options purchased		57,300		57,300		0		0
Total assets	$	131,724,546	$	463,058	$	131,261,488	$	0
Liabilities
Futures	$	271,890	$	271,890	$	0	$	0
Forwards		43,588		43,588		0		0
Options premium received		22,500		22,500		0		0
Total liabilities		337,978		337,978		0		0
Net fair value	$	131,386,568	$	125,080	$	131,261,488	$	0

5. Investment in Funds:

On November 1, 2005, the assets allocated to Altis Partners (Jersey) Limited (“Altis”) for trading were invested in the CMF Altis Partners Master Fund L.P. (“Altis Master”), a limited partnership organized under the partnership laws of the State of New York. The Partnership purchased 4,898.1251 units of Altis Master with cash equal to $4,196,275 and a contribution of open commodity futures and forward contracts with a fair value of $701,851. The Partnership fully redeemed its investment in Altis Master on August 31, 2012 for cash equal to $2,728,991.

13

Emerging CTA Portfolio L.P.

Notes to Financial Statements

June 30, 2013

(Unaudited)

On March 1, 2010, the assets allocated to Waypoint Capital Management LLC for trading were invested in the Waypoint Master Fund L.P. (“Waypoint Master”), a limited partnership organized under the partnership laws of the State of New York. The Partnership purchased 26,581.6800 units of Waypoint Master with cash equal to $26,581,680. Waypoint Master was formed in order to permit accounts managed 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 invested in PGR Master with cash equal to $14,913,029. PGR Master was formed to permit accounts managed by PGR using the PGR Mayfair Program, a proprietary, systematic trading program, to invest together in one trading vehicle. The General Partner is also the general partner for PGR Master. Individual and pooled accounts currently managed by PGR, including the Partnership, are permitted to be limited partners of PGR Master. The General Partner and PGR believe that trading through this structure should promote efficiency and economy in the trading process. The General Partner and PGR agreed that PGR will trade the Partnership’s assets allocated to PGR at a level that is up to 1.5 times the amount of assets allocated.

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 invested in Blackwater Master with cash equal to $15,674,694. Blackwater Master was formed to permit accounts managed by Blackwater using the Blackwater 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 by J E Moody using the JEM 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. The General Partner and JE Moody agreed that JE Moody will trade the Partnership’s assets allocated to JE Moody at a level that is up to 3 times the amount of assets allocated.

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 by Cirrus using the Cirrus Program, a proprietary, systematic trading program, to invest together in one trading vehicle. The General Partner is also the general partner for Cirrus Master. Individual and pooled accounts currently managed by Cirrus, including the Partnership, are permitted to be limited partners of Cirrus Master. The General Partner and Cirrus believe that trading through this structure should promote efficiency and economy in the trading process. The General Partner and Cirrus agreed that Cirrus will trade the Partnership’s assets allocated to Cirrus at a level that is up to 1.5 times the amount of assets allocated.

14

Emerging CTA Portfolio L.P.

Notes to Financial Statements

June 30, 2013

(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. 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 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 and Cambridge agreed that Cambridge will trade the Partnership’s assets allocated to Cambridge at a level that is up to 2 times the amount of assets allocated.

Effective January 1, 2013, the assets traded directly by Willowbridge using its wPraxis Futures Trading Approach, were invested in CMF Willowbridge Master Fund L.P. (“Willowbridge Master”), a limited partnership organized under the partnership laws of the State of New York. The Partnership purchased 14,103.3175 units of Willowbridge Master with cash equal to $29,484,307. Willowbridge Master was formed to permit accounts managed by Willowbridge using its wPraxis Futures Trading Approach, a proprietary, discretionary trading system, to invest together in one trading vehicle. The General Partner is also the general partner of Willowbridge Master. Individual and pool account currently managed by Willowbridge, including the Partnership, are permitted to be limited partners of Willowbridge Master, The General Partner and Willowbridge believe that trading through this structure should promote efficiency and economy in the trading process. The General Partner and Willowbridge agreed that Willowbridge will trade the Partnership’s assets allocated to Willowbridge at a level that is up to 3 times the amount of assets allocated. Effective February 28, 2013, Willowbridge ceased trading the Partnership’s assets using its MStrategy Trading Approach.

On March 1, 2013, the assets allocated to Principle Capital Management, LLC (“Principle”) for trading were invested in Principle Master Fund L.P. (“Principle Master”), a limited partnership organized under the partnership laws of the State of Delaware. The Partnership invested in Principle Master with cash equal to $6,503,661. Principle Master was formed to permit accounts managed by Principle using the Principle Commodity Futures Program, a proprietary, discretionary trading program, to invest together in one trading vehicle. The General Partner is also the general partner of Principle Master. Individual and pool account currently managed by Principle, including the Partnership, are permitted to be limited partners of Principle Master, The General Partner and Principle believe that trading through this structure should promote effiency and economy in the trading process. The General Partner and Principle agreed that Principle will trade the Partnership’s assets allocated to Principle at a level that is up to 1.5 times the assets allocated.

On March 1, 2013, the assets allocated to 300 North Capital LLC (“300 North Capital”) for trading were invested in 300 North Capital Master Fund L.P. (“300 North Master”), a limited partnership organized under the partnership laws of the State of Delaware. The Partnership invested in 300 North Master with cash equal to $10,000,000. 300 North Master was formed to permit accounts managed by 300 North Capital using the Global Macro Strategy Program, a proprietary, discretionary trading program, to invest together in one trading vehicle. The General Partner is also the general partner of 300 North Master. Individual and pool account currently managed by Principle, including the Partnership, are permitted to be limited partners of 300 North Master, The General Partner and Principle 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 June 30, 2013.

15

Emerging CTA Portfolio L.P.

Notes to Financial Statements

June 30, 2013

(Unaudited)

Waypoint Master’s, Blackwater Master’s, PGR Master’s, JEM Master’s, Cirrus Master’s, Cambridge Master’s, Willowbridge Master’s, 300 North Capital Master’s and Principle Master’s (collectively, the “Funds”) and the Partnership’s 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. Reference to “Funds” included in this report may include, as relevant, Altis Master and FL Master. The Funds engage in such trading through commodity brokerage accounts maintained with CGM and or MS & Co., as applicable.

A limited partner of the Funds may withdraw all or part of their capital contribution and undistributed profits, if any, from the Funds as of the end of any day. 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, service, 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 June 30, 2013, the Partnership had approximately 44.1% of Waypoint Master, 38.0% of Blackwater Master, 64.7% of PGR Master, 71.6% of JEM Master, 87.2% of Cirrus Master, 53.2% of Cambridge Master, 15.1% of Willowbridge Master, 100% of 300 North Master and 100% of Principle Master. At December 31, 2012, the Partnership had approximately 44.9% of Waypoint Master, 41.1% of Blackwater Master, 73.5% of PGR Master, 71.2% of JEM Master, 83.6% of Cirrus Master and 51.8% of Cambridge 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.

16

Emerging CTA Portfolio L.P.

Notes to Financial Statements

June 30, 2013

(Unaudited)

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

	June 30, 2013
	Total Assets		Total Liabilities		Total Capital
Waypoint Master	$	16,299,543	$	20,563	$	16,278,980
Blackwater Master		73,250,044		625,095		72,624,949
PGR Master		29,046,680		41,794		29,004,886
JEM Master		44,416,399		6,663		44,409,736
Cirrus Master		17,306,429		3,807		17,302,622
Cambridge Master		26,523,128		21,154		26,501,974
Willowbridge Master		102,723,073		46,849		102,676,224
300 North Capital Master		18,679,956		24,400		18,655,556
Principle Master		16,279,042		281,668		15,997,374
Total	$	344,524,294	$	1,071,993	$	343,452,301

	December 31, 2012
	Total Assets		Total Liabilities		Total Capital
Waypoint Master	$	22,633,645	$	70,047	$	22,563,598
Blackwater Master		82,996,036		1,069,352		81,926,684
PGR Master		39,466,549		72,252		39,394,297
JEM Master		47,528,791		70,293		47,458,498
Cirrus Master		20,742,891		57,098		20,685,793
Cambridge Master		14,372,049		31,163		14,340,886
Total	$	227,739,961	$	1,370,205	$	226,369,756

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 June 30, 2013
	Net Investment Income (Loss)			Total Trading Results			Net Income (Loss)
Waypoint Master	$	(32,298	)	$	(533,681	)	$	(565,979	)
Blackwater Master		(28,472	)		(2,035,898	)		(2,064,370	)
PGR Master		(54,085	)		2,151,266			2,097,181
JEM Master		(348,433	)		1,773,546			1,425,113
Cirrus Master		(50,395	)		1,994,980			1,944,585
Cambridge Master		(8,654	)		1,880,968			1,872,314
Willowbridge Master		(131,517	)		10,840,412			10,708,895
300 North Capital Master		(30,206	)		1,329,747			1,299,541
Principle Master		(53,564	)		78,568			25,004
Total	$	(737,624	)	$	17,479,908		$	16,742,284
	For the six months ended June 30, 2013
	Net Investment Income (Loss)			Total Trading Results			Net Income (Loss)
Waypoint Master	$	(65,800	)	$	(152,817	)	$	(218,617	)
Blackwater Master		(59,076	)		(83,964	)		(143,040	)
PGR Master		(86,856	)		5,850,232			5,763,376
JEM Master		(691,783	)		828,150			136,367
Cirrus Master		(88,327	)		3,522,440			3,434,113
Cambridge Master		(28,417	)		3,201,019			3,172,602
Willowbridge Master		(240,793	)		12,917,087			12,676,294
300 North Capital Master		(38,395	)		1,867,273			1,828,878
Principle Master		(66,100	)		(96,642	)		(162,742	)
Total	$	(1,365,547	)	$	27,852,778		$	26,487,231

17

Emerging CTA Portfolio L.P.

Notes to Financial Statements

June 30, 2013

(Unaudited)

	For the three months ended June 30, 2012
	Net Investment Income (Loss)			Total Trading Results			Net Income (Loss)
Altis Master	$	(84,220	)	$	516,388		$	432,168
Waypoint Master		(42,354	)		2,954,453			2,912,099
Blackwater Master		(43,832	)		(7,334,291	)		(7,378,123	)
PGR Master		(42,967	)		(4,624,963	)		(4,667,930	)
JEM Master		(198,379	)		(1,370,688	)		(1,569,067	)
Cirrus Master		(31,159	)		1,146,353			1,115,194
FL Master		(183,243	)		(4,093,506	)		(4,276,749	)
Total	$	(626,154	)	$	(12,806,254	)	$	(13,432,408	)

	For the six months ended June 30, 2012
	Net Investment Income (Loss)			Total Trading Results			Net Income (Loss)
Altis Master	$	(163,841	)	$	(1,155,332	)	$	(1,319,173	)
Waypoint Master		(87,368	)		2,790,730			2,703,362
Blackwater Master		(70,743	)		(11,659,189	)		(11,729,932	)
PGR Master		(69,323	)		(6,891,029	)		(6,960,352	)
JEM Master		(435,978	)		(45,113	)		(481,091	)
Cirrus Master		(58,446	)		1,217,739			1,159,293
FL Master		(241,495	)		(4,274,677	)		(4,516,172	)
Total	$	(1,127,194	)	$	(20,016,871	)	$	(21,144,065	)

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

Funds	June 30, 2013					For the three months ended June 30, 2013										Investment Objective	Redemptions Permitted
	% of Partnership’s Net Assets			Fair Value		Income (Loss)			Expenses				Net Income (Loss)
									Brokerage Fees		Other
Waypoint Master		3.89	%	$	7,187,207	$	(234,595	)	$	5,606	$	9,015	$	(249,216	)	Commodity Portfolio	Monthly
Blackwater Master		14.95	%		27,611,323		(773,557	)		13,271		15,605		(802,433	)	Commodity Portfolio	Monthly
PGR Master		10.17	%		18,774,004		1,563,929			16,156		26,732		1,521,041		Commodity Portfolio	Monthly
JEM Master		17.21	%		31,789,947		1,270,966			239,546		11,686		1,019,734		Commodity Portfolio	Monthly
Cambridge Master		7.63	%		14,089,315		1,064,070			—		10,073		1,053,997		Commodity Portfolio	Monthly
Cirrus Master		8.17	%		15,086,537		1,689,927			24,851		18,908		1,646,168		Energy Markets	Monthly
Willowbridge Master		8.40	%		15,522,200		3,003,509			25,617		6,658		2,971,234		Commodity Portfolio	Monthly
300 North Capital Master		10.10	%		18,655,925		1,330,565			12,824		18,200		1,299,541		Commodity Portfolio	Monthly
Principle Master		8.66	%		15,997,707		79,255			36,543		17,708		25,004		Commodity Portfolio	Monthly
Total				$	164,714,165	$	8,994,069		$	374,414	$	134,585	$	8,485,070

Funds	June 30, 2013					For the six months ended June 30, 2013										Investment Objective	Redemptions Permitted
	% of Partnership’s Net Assets			Fair Value		Income (Loss)			Expenses				Net Income (Loss)
									Brokerage Fees		Other
Waypoint Master		3.89	%	$	7,187,207	$	(68,751	)	$	12,649	$	18,101	$	(99,501	)	Commodity Portfolio	Monthly
Blackwater Master		14.95	%		27,611,323		(8,535	)		40,594		25,189		(74,318	)	Commodity Portfolio	Monthly
PGR Master		10.17	%		18,774,004		4,236,141			35,005		39,901		4,161,235		Commodity Portfolio	Monthly
JEM Master		17.21	%		31,789,947		611,151			484,294		23,506		103,351		Commodity Portfolio	Monthly
Cambridge Master		7.63	%		14,089,315		1,775,184			—		32,509		1,742,675		Commodity Portfolio	Monthly
Cirrus Master		8.17	%		15,086,537		2,986,522			44,471		33,780		2,908,271		Energy Markets	Monthly
Willowbridge Master		8.40	%		15,522,200		3,795,615			59,308		17,087		3,719,220		Commodity Portfolio	Monthly
300 North Capital Master		10.10	%		18,655,925		1,868,836			15,558		24,400		1,828,878		Commodity Portfolio	Monthly
Principle Master		8.66	%		15,997,707		(95,561	)		43,274		23,908		(162,743	)	Commodity Portfolio	Monthly
Total				$	164,714,165	$	15,100,602		$	735,153	$	238,381	$	14,127,068

18

Emerging CTA Portfolio L.P.

Notes to Financial Statements

June 30, 2013

(Unaudited)

	December 31, 2012					For the three months ended June 30, 2012
	% of Partnership’s Net Assets			Fair Value		Income (Loss)			Expenses				Net Income (Loss)			Investment Objective	Redemption Permitted
Funds									Brokerage Fees		Other
Altis Master		—	%	$	—	$	16,260		$	2,491	$	559	$	13,210		Commodity Portfolio	Monthly
Waypoint Master		5.39	%		10,138,039		1,686,688			16,339		9,503		1,660,846		Commodity Portfolio	Monthly
Blackwater Master		17.89	%		33,659,106		(3,324,843	)		28,184		19,456		(3,372,483	)	Commodity Portfolio	Monthly
PGR Master		15.39	%		28,960,322		(3,342,941	)		28,230		13,286		(3,384,457	)	Commodity Portfolio	Monthly
JEM Master		17.96	%		33,788,666		(970,816	)		135,722		11,224		(1,117,762	)	Commodity Portfolio	Monthly
Cirrus Master		9.19	%		17,294,932		997,167			17,029		12,640		967,498		Energy Markets	Monthly
FL Master		—	%		—		(2,594,838	)		149,863		11,851		(2,756,552	)	Commodity Portfolio	Monthly
Cambridge Master		3.94	%		7,420,423		—			—		—		—		Commodity Portfolio	Monthly
Total				$	131,261,488	$	(7,533,323	)	$	377,858	$	78,519	$	(7,989,700	)

	December 31, 2012					For the six months ended June 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		—	%	$	—	$	(34,131	)	$	4,459	$	1,377	$	(39,967	)	Commodity Portfolio	Monthly
Waypoint Master		5.39	%		10,138,039		1,578,491			34,203		18,906		1,525,382		Commodity Portfolio	Monthly
Blackwater Master		17.89	%		33,659,106		(5,172,876	)		50,272		28,258		(5,251,406	)	Commodity Portfolio	Monthly
PGR Master		15.39	%		28,960,322		(4,884,575	)		43,516		24,008		(4,952,099	)	Commodity Portfolio	Monthly
JEM Master		17.96	%		33,788,666		(17,745	)		295,370		24,130		(337,245	)	Commodity Portfolio	Monthly
Cirrus Master		9.19	%		17,294,932		1,061,499			30,403		25,112		1,005,984		Energy Markets	Monthly
FL Master		—	%		—		(2,708,583	)		187,385		27,468		(2,923,436	)	Commodity Portfolio	Monthly
Cambridge Master		3.94	%		7,420,423		—			—		—		—		Commodity Portfolio	Monthly
Total				$	131,261,488	$	(10,177,920	)	$	645,608	$	149,259	$	(10,972,787	)

19

Emerging CTA Portfolio L.P.

Notes to Financial Statements

June 30, 2013

(Unaudited)

6. Financial Instrument Risks:

In the normal course of business, the Partnership and the Funds are parties to financial instruments withoff-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 orover-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 certain forwards, swaps and option contracts. Specific market movements of commodities or futures contracts underlying an option cannot accurately be predicted. The purchaser of an option may lose the entire premium paid for the option. The writer or seller of an option has unlimited risk. 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 12.6% to 33.2% 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.

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 and/or MS & Co. or their affiliates are the counterparties or brokers with respect to the Partnership’s/Funds’ assets. Credit risk with respect to exchange-traded instruments is reduced to the extent that, through CGM/MS & Co., 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.

20

Emerging CTA Portfolio L.P.

Notes to Financial Statements

June 30, 2013

(Unaudited)

7. Critical Accounting Policies

Use of Estimates.The preparation of financial statements and accompanying notes in conformity with GAAP requires the General Partner to make estimates and assumptions that affect the reported amounts of assets and liabilities, income and expenses, and related disclosures of contingent assets and liabilities in the financial statements and accompanying notes. As a result, actual results could differ from these estimates.

Partnership’s and the Funds’ Investments.All commodity interests held by the Partnership and the Funds, including derivative financial instruments and derivative commodity instruments, are held for trading purposes. The commodity interests are recorded on the 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. The General Partner 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. The General Partner 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.

21

Emerging CTA Portfolio L.P.

Notes to Financial Statements

June 30, 2013

(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 ofnon-exchange-traded forwards, swaps and certain 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 June 30, 2013 and December 31, 2012, 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). For the six months ended June 30, 2013 and the twelve months ended December 31, 2012, there were no transfers of assets and 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 exchange rates at the dates of entry into the contracts and the forward foreign exchange 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 due to 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.

22

Emerging CTA Portfolio L.P.

Notes to Financial Statements

June 30, 2013

(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 2012 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 issued. The General Partner has assessed the subsequent events through the date of issuance and has determined that, other than that described in Note 3 to the financial statements, there were no subsequent events requiring adjustment of or disclosure in the financial statements.

Recent Accounting Pronouncements. In June 2013, the FASB issued ASU 2013-08, “Financial Services — Investments Companies (Topic 946): Amendments to the Scope, Measurement and Disclosure Requirements”. ASU 2013-08 changes the approach to the investment company assessment, requires non-controlling ownership interests in other investment companies to be measured at fair value, and requires additional disclosures about the investment company’s status as an investment company. The amendments are effective for interim and annual reporting periods beginning after December 15, 2013. The Partnership is currently evaluating the impact this 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.”

23

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 second quarter of 2013.

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 six months ended June 30, 2013, Partnership capital decreased 1.8% from $188,151,946 to $184,703,169. This decrease was attributable to the redemptions of 13,568.6400 Class A Redeemable Units totaling $18,762,147 and 143.0000 Class A General Partner unit equivalents totaling $200,699, which was partially offset by the subscriptions of 6,234.2750 Class A Redeemable Units totaling $8,593,636 coupled with a net income of $6,920,433. 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 the General Partner 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 second quarter of 2013 the net asset value per unit for increased 3.0% from $1,369.59 to $1,411.14, as compared to a decrease of 3.4% in the second quarter of 2012. The Partnership experienced a net trading gain before brokerage fees and related fees in the second quarter 2013 of $9,651,046. Gains were primarily attributable to the Partnership’s/Funds trading of commodity futures in energy, indices, livestock, metals and softs and were partially offset by losses in currencies, grains and U.S. and non-U.S. interest rates. The Partnership experienced a net trading loss before brokerage fees and related fees for second quarter 2012 of $3,527,926. Losses were primarily attributable to the Partnership’s/Funds trading of commodity futures in currencies, energy, grains, indices, livestock, metals and softs and were partially offset by gains in U.S. and non- U.S. interest rates.

        During the second quarter, the most significant gains were recorded within the metals sector during the quarter from short positions in precious and industrial metals futures as prices declined due to several factors including low or falling inflation readings, outflows from related Exchange Traded Products, and signs of slower global economic growth, especially in China. Additional gains were recorded within global stock indices during the quarter from long futures positions in Pacific Rim, European, and U.S. equity index futures as prices were driven higher by an improving U.S. jobs market, a calming of European debt concerns, and a Japanese stimulus package. Within the currency sector, gains were experienced during April and May from short positions in a weakening Japanese Yen as Japan’s government pledged to aggressively tackle deflation. Additional currency gains were recorded from short positions in the Australian and New Zealand dollars, as well as in the Brazilian real and South African rand, as the values of these currencies weakened with a decline in commodity prices. Within the energy complex, gains were experienced primarily in May from short positions in crude oil futures as prices declined on weak U.S. and Chinese manufacturing data. Within the agricultural markets, gains were recorded primarily in May from short positions in cotton futures as prices declined on mounting concern that global supplies will be more than sufficient to meet demand. Smaller gains in this sector were attributed to trading in livestock futures. A portion of the Partnership’s gains during the quarter was offset by losses incurred within the global interest rate sector during May and June from long positions in European and U.S. fixed income futures as prices declined on speculation central banks across Europe, the U.S., and Japan may curtail their asset purchase programs.

        During the Partnership’s six months ended June 30, 2013 the net asset value per unit increased 3.8% from $1,359.81 to $1,411.14 as compared to a decrease of 6.4% during the six months ended June 30, 2012. The Partnership experienced a net trading gain before brokerage fees and related fees for the six months ended June 30, 2013 of $14,507,217. Gains were primarily attributable to the Partnership’s/Funds trading of commodity futures in energy, indices, livestock, metals and softs and were partially offset by losses in currencies, grains and U.S. and non-U.S. interest rates. The Partnership experienced a net trading loss before brokerage fees and related fees for the six months ended June 30, 2012 of $6,853,629. Losses were primarily attributable to the Partnership’s/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.

        During the six months ended 2013, the most significant gains during the first two quarters were within global stock indices from long futures positions in Pacific Rim, European, and U.S. equity index futures as prices rose due to optimism central banks will maintain loose monetary policies to boost economic growth. Stock prices continued to be driven higher by an improving U.S. jobs market, a calming of European debt concerns, and a Japanese stimulus package. Within the metals sector, gains were recorded across the two quarters from short positions in precious and industrial metals futures as prices declined due to several factors including low or falling inflation readings, concern that European central banks will sell gold reserves to help fund bail-out costs, outflows from related Exchange Traded Products, and signs of slower global economic growth, especially in China. Within the currency sector, gains were experienced during January through April from short positions in a weakening Japanese Yen as Japan’s government pledged to aggressively tackle deflation. Additional currency gains were recorded primarily in May from short positions in the Australian and New Zealand dollars, as well as in the Brazilian real and South African rand, as the values of these currencies weakened with a decline in commodity prices. Within the energy complex, long futures positions in crude oil and its related products resulted in gains as prices rose during January amid an unexpected drop in inventories. Further gains were experienced in May from short positions in crude oil futures as prices declined on weak U.S. and Chinese manufacturing data. A portion of the Partnership’s gains for the first half of the year was offset by losses incurred within the global interest rate sector from long positions in European and U.S. fixed income futures. As prices declined amid positive economic data and on speculation central banks across Europe and the U.S. may curtail their asset purchase programs. Within the grains sector, losses primarily in March and April were incurred from short positions in wheat, corn, and soybean futures as prices advanced as frigid weather in the U.S. Midwest raised the risk of damage to crops emerging from dormancy and delays in spring planting.

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

        Interest income is earned on 100% of the Partnership’s average daily equity maintained in cash in its (or the Partnership’s allocable portion of a Fund’s) account during each month at the 30-day U.S. Treasury bill rate determined weekly by CGM based on the average noncompetitive yield on 3-month U.S. Treasury bills maturing in 30 days from the date on which such weekly rate is determined. Interest income for the three and six months ended June 30, 2013 decreased by $18,617 and $12,263, respectively, as compared to the corresponding periods in 2012. The decrease in interest income is due to lower U.S. Treasury bill rates during the three and six months ended June 30, 2013, as compared to the corresponding periods in 2012. 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 as of the end of each month and are affected by trading performance, subscriptions and redemptions. Accordingly, they must be compared in relation to the fluctuations in monthly net asset values. Brokerage fees for the three and six months ended June 30, 2013 decreased by $216,943 and $317,530, respectively, as compared to the corresponding periods in 2012. The decrease in brokerage fees is due to lower average net assets during the three and six months ended June 30, 2013, as compared to the corresponding periods in 2012.

24

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. Accordingly, they must be compared in relation to the fluctuations in monthly net asset values. Management fees for the three and six months ended June 30, 2013 decreased by $86,737, and $195,564, respectively, as compared to the corresponding periods in 2012. 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 six months ended June 30, 2013, as compared to corresponding periods in 2012.

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. Accordingly, they must be compared in relation to the fluctuations in monthly net asset values. Administrative fees for the three and six months ended June 30, 2013 decreased by $33,167 and $65,888, respectively, as compared to the corresponding periods in 2012. The decrease in administrative fees is due to lower average net assets during the three and six months ended June 30, 2013, as compared to the corresponding periods in 2012.

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 six months ended June 30, 2013 resulted in incentive fees of $773,152 and $1,145,571, respectively. Trading performance for the three and six months ended June 30, 2012 resulted in incentive fees of $358,490 and $408,551, 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 June 30, 2013 and March 31, 2013, the Partnership’s assets were allocated among these Advisors in the following approximate percentages:

Advisor	June 30, 2013				March 31, 2013
Waypoint Capital Management LLC	$	4,906,219	3	%	$	7,508,839	4	%
PGR Capital LLP	$	18,793,900	10	%	$	27,144,099	15	%
Blackwater Capital Management LLC	$	27,486,201	15	%	$	28,688,402	16	%
J E Moody & Company LLC	$	31,629,316	17	%	$	31,059,687	17	%
Willowbridge Associates Inc.	$	15,293,545	8	%	$	29,808,476	16	%
Other	$	86,593,988	47	%	$	57,876,503	32	%

25

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 ornon-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 in95%-99% of anyone-day interval. The margin levels are established by dealers and exchanges using historical price studies as well as an assessment of current market volatility (including the implied volatility of the options on a given futures contract) and economic fundamentals to provide a probabilistic estimate of the maximum expected near-term one-day price fluctuation. 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 certain non-major advisors, the Advisors currently trade the Partnership’s assets indirectly in master fund managed accounts established in the name of the master fund over which they have been granted limited authority to make trading decisions. 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 certain non-major advisors, 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 Form10-K for the year ended December 31, 2012.

The following tables indicate the trading Value at Risk associated with the Partnership’s open positions by market category as of June 30, 2013 and December 31, 2012. As of June 30, 2013, the Partnership’s total capitalization was $184,703,169.

June 30, 2013

Market Sector	Value at Risk		% of Total Capitalization
Currencies	$	4,464,201		2.41	%
Interest Rates		595,955		0.32	%
Indices		1,806,228		0.98	%
Commodities		4,924,697		2.67	%
Total	$	11,791,081		6.38	%

26

As of December 31, 2012, the Partnership’s total capitalization was $188,151,946.

December 31, 2012

Market Sector	Value at Risk		% of Total Capitalization
Currencies	$	11,154,011		5.93	%
Energy		2,663,392		1.42	%
Grains		996,230		0.53	%
Indices		5,200,764		2.76	%
Interest Rates U.S.		891,739		0.47	%
Interest Rates Non-U.S.		2,416,220		1.28	%
Livestock		543,496		0.29	%
Metals		856,681		0.46	%
Softs		582,880		0.31	%
Total	$	25,305,413		13.45	%

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 June 30, 2013 and December 31, 2012, the highest, lowest and average values during the three months ended June 30, 2013 and the twelve months ended December 31, 2012. All open contracts trading risk exposures have been included in calculating the figures set forth below.

As of June 30, 2013, the Partnership’s Value at Risk for the portion of its assets that are traded directly was as follows:

June 30, 2013

						Three Months Ended June 30, 2013
Market Sector	Value at Risk		% of Total Capitalization			High Value at Risk		Low Value at Risk		Average Value at Risk*
Currencies	$	136,725		0.07	%	$	173,067	$	32,900	$	102,712
Indices		1,558,476		0.84	%		1,558,476		1,315,464		1,483,299
Interest Rates U.S.		78,500		0.04	%		234,600		1,100		171,615
Interest Rates Non-U.S.		528,310		0.29	%		738,645		64,294		596,957
Total	$	2,302,011		1.24	%

* Average ofmonth-end Values at Risk.

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

December 31, 2012

						Twelve months ended December 31, 2012
Market Sector	Value at Risk		% of  Total Capital			High Value at  Risk		Low Value at  Risk		Average Value at Risk*
Currencies	$	234,064		0.12	%	$	760,446	$	4,500	$	316,276
Energy		15,300		0.01	%		476,550		5,000		128,214
Grains		18,000		0.01	%		734,800		7,000		241,822
Indices		1,593,295		0.85	%		2,451,888		10,500		347,016
Interest Rates U.S.		332,440		0.18	%		1,178,570		1,800		331,615
Interest Rates Non-U.S.		637,674		0.34	%		2,066,835		23,027		774,939
Livestock		3,000		0.00	%**		26,050		1,800		2,000
Metals		60,750		0.03	%		1,641,692		20,250		318,143
Softs		4,500		0.00	%**		694,183		1,450		17,267
Total	$	2,899,023		1.54	%

* Annual average of month-end Values at Risk.

** Due to rounding.

27

As of June 30, 2013, Waypoint Master’s total capitalization was $16,278,980. The Partnership owned approximately 44.1% of Waypoint Master. As of June 30, 2013, 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:

June 30, 2013

						Three Months Ended June 30, 2013
Market Sector	Value at Risk		% of Total Capitalization			High Value at Risk		Low Value at Risk		Average Value at Risk*
Currencies	$	3,727,494		22.90	%	$	5,659,080	$	323,730	$	2,743,557
Interest Rates		474,815		2.91	%		633,133		53,003		370,192
Commodities		56,496		0.35	%		417,980		56,496		126,043
Total	$	4,258,805		26.16	%

* Average ofmonth-end Values at Risk.

As of December 31, 2012, Waypoint Master’s total capitalization was $22,563,598. The Partnership owned approximately 44.9% of Waypoint Master. As of December 31, 2012, Waypoint Master’s Value at Risk for its assets (including the portion of the Partnership’s assets allocated to Waypoint for trading) was as follows:

December 31, 2012

						Twelve Months Ended December 31, 2012
Market Sector	Value at Risk		% of Total Capitalization			High Value at Risk		Low Value at Risk		Average Value at Risk*
Currencies	$	5,181,537		22.96	%	$	9,805,183	$	801,893	$	4,924,577
Energy		53,750		0.24	%		212,200		13,300		67,232
Indices		686,879		3.04	%		1,579,713		84,388		766,988
Interest Rates U.S.		75,075		0.33	%		910,900		375		240,518
Interest Rates Non-U.S.		228,670		1.01	%		1,960,745		42,234		551,129
Metals		80,325		0.36	%		476,500		7,500		112,147
Softs		48,600		0.22	%		287,600		31,200		107,842
Total	$	6,354,836		28.16	%

* Annual average of month-end Value at Risk.

28

As of June 30, 2013, PGR Master’s total capitalization was $29,004,886. The Partnership owned approximately 64.7% of PGR Master. As of June 30, 2013, 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:

June 30, 2013

						Three Months Ended June 30, 2013
Market Sector	Value at Risk		% of Total Capitalization			High Value at Risk		Low Value at Risk		Average Value at Risk*
Currencies	$	282,196		0.97	%	$	569,050	$	171,887	$	380,356
Energy		121,800		0.42	%		514,980		58,419		266,947
Grains		158,430		0.55	%		350,750		94,025		210,833
Indices		1,496,469		5.16	%		3,098,753		1,489,885		2,068,014
Interest Rates U.S.		74,036		0.25	%		474,150		54,992		222,445
Interest Rates Non-U.S.		254,737		0.88	%		1,727,471		248,116		832,935
Livestock		15,000		0.05	%		24,000		13,000		17,000
Metals		1,223,050		4.22	%		1,236,650		533,150		862,277
Softs		201,714		0.70	%		271,422		86,559		150,871
Total	$	3,827,432		13.20	%

* Average ofmonth-end Values at Risk.

As of December 31, 2012, PGR Master’s total capitalization was $39,394,297. The Partnership owned approximately 73.5% of PGR Master. As of December 31, 2012, PGR Master’s Value at Risk for its assets (including the portion of the Partnership’s assets allocated to PGR for trading) was as follows:

December 31, 2012

						Twelve Months Ended December 31, 2012
Market Sector	Value at Risk		% of Total Capitalization			High Value at Risk		Low Value at Risk		Average Value at Risk*
Currencies	$	664,462		1.69	%	$	1,035,798	$	403,280	$	634,175
Energy		201,844		0.51	%		1,418,646		160,426		732,846
Grains		191,500		0.49	%		358,000		45,212		192,878
Indices		2,179,752		5.53	%		2,587,014		1,081,839		1,843,311
Interest Rates U.S.		481,350		1.22	%		1,040,100		481,350		668,688
Interest Rates Non-U.S.		1,676,492		4.26	%		4,045,515		1,676,492		2,339,198
Livestock		10,000		0.03	%		49,200		1,000		18,317
Metals		304,175		0.77	%		1,007,250		63,200		411,946
Softs		213,972		0.54	%		418,734		133,869		243,422
Total	$	5,923,547		15.04	%

* Annual average of month-end Value at Risk.

As of June 30, 2013, Blackwater Master’s total capitalization was $72,624,949. The Partnership owned approximately 38.0% of Blackwater Master. As of June 30, 2013, 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:

June 30, 2013

						Three Months Ended June 30, 2013
Market Sector	Value at Risk		% of Total Capitalization			High Value at Risk		Low Value at  Risk		Average Value at  Risk*
Currencies	$	651,555		0.90	%	$	2,477,876	$	651,555	$	1,352,494
Energy		182,050		0.25	%		828,630		56,625		194,318
Grains		368,000		0.51	%		368,000		194,600		328,533
Indices		1,316,896		1.81	%		4,072,824		1,221,043		2,298,578
Interest Rates U.S.		20,900		0.03	%		563,400		20,900		252,833
Interest Rates Non-U.S.		186,472		0.26	%		1,674,803		186,215		737,306
Livestock		20,000		0.03	%		138,000		20,000		59,333
Metals		802,419		1.10	%		713,880		56,320		669,314
Total	$	3,548,292		4.89	%

* Average ofmonth-end Values at Risk.

29

As of December 31, 2012, Blackwater Master’s total capitalization was $81,926,684. The Partnership owned approximately 41.1% of Blackwater Master. As of December 31, 2012, Blackwater Master’s Value at Risk for its assets (including the portion of the Partnership’s assets allocated to Blackwater for trading) was as follows:

December 31, 2012

						Twelve Months Ended December 31, 2012
Market Sector	Value at Risk		% of Total Capitalization			High Value at Risk		Low Value at Risk		Average Value at Risk*
Currencies	$	4,472,584		5.46	%	$	5,898,476	$	1,374,428	$	2,961,576
Energy		507,112		0.62	%		2,331,250		124,800		762,951
Grains		1,421,500		1.73	%		1,421,500		112,500		368,388
Indices		4,128,815		5.04	%		4,874,671		254,386		3,201,424
Interest Rates U.S.		418,000		0.51	%		1,153,475		299,975		609,827
Interest Rates Non -U.S.		1,079,443		1.32	%		3,185,250		993,791		1,877,689
Metals		1,164,537		1.42	%		2,525,190		391,264		1,196,839
Total	$	13,191,991		16.10	%

* Annual average of month-end Value at Risk.

As of June 30, 2013, JEM Master’s total capitalization was $44,409,736. The Partnership owned approximately 71.6% of JEM Master. As of June 30, 2013, 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:

June 30, 2013

						Three Months Ended June 30, 2013
Market Sector	Value at Risk		% of Total Capitalization			High Value at  Risk		Low Value  at Risk		Average Value at Risk*
Energy	$	1,684,355		3.79	%	$	3,506,178	$	946,918	$	1,365,381
Grains		582,300		1.31	%		724,100		211,050		468,500
Livestock		877,300		1.98	%		1,328,650		514,300		800,025
Metals		58,175		0.13	%		69,550		1,200		49,825
Softs		6,700		0.02	%		471,050		6,700		153,617
Total	$	3,208,830		7.23	%

* Average ofmonth-end Values at Risk.

As of December 31, 2012, JEM Master’s total capitalization was $47,458,498. The Partnership owned approximately 71.2% of JEM Master. As of December 31, 2012, JEM Master’s Value at Risk for its assets (including the portion of the Partnership’s assets allocated to JE Moody for trading) was as follows:

December 31, 2012

						Twelve Months Ended December 31, 2012
Market Sector	Value at Risk		% of Total Capitalization			High Value at Risk		Low Value at Risk		Average Value at Risk*
Energy	$	3,184,242		6.71	%	$	3,184,242	$	554,508	$	1,728,449
Grains		355,675		0.75	%		355,675		6,000		219,760
Livestock		748,800		1.58	%		1,463,000		129,600		697,433
Metals		81,000		0.17	%		81,000		3,825		38,419
Softs		560,800		1.18	%		759,850		14,950		240,054
Total	$	4,930,517		10.39	%

* Annual average of month-end Value at Risk.

30

As of June 30, 2013, Cambridge Master’s total capital was $26,501,974. The Partnership owned approximately 53.2% of Cambridge Master. As of June 30, 2013, 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:

June 30, 2013

						Three Months Ended June 30, 2013
Market Sector	Value at Risk		% of Total Capitalization			High Value at Risk		Low Value at Risk		Average Value at Risk*
Currencies	$	3,957,766		14.93	%	$	14,491,659	$	3,957,766	$	9,020,552
Total	$	3,957,766		14.93	%

* Average of month-end Values at Risk.

As of December 31, 2012, Cambridge Master’s total capitalization was $14,340,886. The Partnership owned approximately 51.8% of Cambridge Master. As of December 31, 2012, Cambridge Master’s Value at Risk for its assets (including the portion of the Partnership’s assets allocated to Cambridge for trading) was as follows:

December 31, 2012

						Twelve Months Ended December 31, 2012
Market Sector	Value at Risk		% of Total Capitalization			High Value at Risk		Low Value at Risk		Average Value at Risk*
Energy	$	1,597,099		11.14	%	$	1,822,106	$	511,540	$	1,597,099
Total	$	1,597,099		11.14	%

* For the period September 1, 2012 (commencement of trading operations) to December 31, 2012 average of month-end Value at Risk.

As of June 30, 2013, Willowbridge Master’s total capitalization was $102,676,224. The Partnership owned approximately 15.1% of Willowbridge Master. As of June 30, 2013, Willowbridge Master’s Value at Risk for its assets (including the portion of the Partnership’s assets allocated to Willowbridge for trading) was as follows:

June 30, 2013

						Three Months Ended June 30, 2013
Market Sector	Value at Risk		% of Total Capitalization			High Value at Risk		Low Value at Risk		Average Value at Risk*
Currencies	$	2,933,864		2.86	%	$	4,689,300	$	262,600	$	1,876,885
Energy		645,150		0.63	%		1,496,900		606,300		632,600
Grains		678,000		0.66	%		724,800		678,000		682,067
Interest Rates U.S.		236,700		0.23	%		1,628,676		8,280		544,834
Interest Rates Non-U.S.		4,265		0.00	%**		1,008,316		4,265		385,984
Livestock		206,000		0.20	%		206,000		184,200		193,850
Metals		1,308,845		1.28	%		1,409,895		556,200		1,325,445
Softs		702,225		0.68	%		897,050		651,550		719,189
Total	$	6,715,049		6.54	%

* Average of month-end Values at Risk.

** Due to rounding.

31

As of June 30, 2013, 300 North Master’s total capitalization was $18,655,556. The Partnership owned approximately 100% of 300 North Master. As of June 30, 2013, 300 North Capital Master’s Value at Risk for its assets (including the portion of the Partnership’s assets allocated to 300 North Capital for trading) was as follows:

June 30, 2013

						Three Months Ended June 30, 2013
Market Sector	Value at Risk		% of Total Capitalization			High Value at Risk		Low Value at Risk		Average Value at Risk*
Currencies	$	76,370		0.41	%	$	194,000	$	12,600	$	58,040
Energy		98,800		0.53	%		261,200		31,800		106,567
Indices		573,320		3.07	%		2,804,223		96,735		978,258
Interest Rates U.S.		22,500		0.12	%		45,000		5,000		25,000
Interest Rates Non-U.S.		35,684		0.19	%		96,541		14,506		59,526
Metals		209,250		1.12	%		278,400		6,200		117,583
Total	$	1,015,924		5.44	%

* Average of month-end Values at Risk.

As of June 30, 2013, Principle Master’s total capitalization was $15,997,374. The Partnership owned approximately 100% of Principle Master. As of June 30, 2013, Principle Master’s Value at Risk for its assets (including the portion of the Partnership’s assets allocated to Principle for trading) was as follows:

June 30, 2013

						Three Months Ended June 30, 2013
Market Sector	Value at Risk		% of Total Capitalization			High Value at Risk		Low Value at Risk		Average Value at Risk*
Energy	$	334,456		2.09	%	$	334,456	$	146,091	$	277,730
Total	$	334,456		2.09	%

* Average of month-end Values at Risk.

32

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 Rules13a-15(e) and15d-15(e) under the Exchange Act) as of June 30, 2013 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 and correction 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 June 30, 2013 that materially affected, or are reasonably likely to materially affect, the Partnership’s internal control over financial reporting.

33

PART II. OTHER INFORMATION

Item 1. Legal Proceedings

There are no material legal proceedings pending against the Partnership nor the General Partner.

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, 2012, as updated by the Partnership’s Quarterly Report on Form 10-Q for the quarter ended March 31, 2013.

Citigroup Global Markets Inc.

Subprime Mortgage–Related Litigation and Other Matters

Securities Actions:

On May 31, 2013, the United States District Court for the Southern District of New York entered an order dismissing with prejudice the consolidated action INTERNATIONAL FUND MANAGEMENT S.A., ET AL. v. CITIGROUP INC., ET AL. and the individual action SWISSCANTO ASSET MANAGEMENT AG, ET AL. v. CITIGROUP INC., ET AL. pursuant to settlement agreements reached by the parties.

RMBS Litigation and Other Matters

Beginning in July 2010, Citigroup and Related Parties have been named as defendants in complaints filed by purchasers of mortgage-backed securities (“MBS”) and collateralized debt obligations (“CDOs”) sold or underwritten by Citigroup and certain of its subsidiaries. The MBS-related complaints generally assert that the defendants made material misrepresentations and omissions about the credit quality of the mortgage loans underlying the securities, such as the underwriting standards to which the loans conformed, the loan-to-value ratio of the loans, and the extent to which the mortgaged properties were owner-occupied, and typically assert claims under Section 11 of the Securities Act of 1933, state blue sky laws, and/or common-law misrepresentation-based causes of action. The CDO-related complaints further allege that the defendants adversely selected or permitted the adverse selection of CDO collateral without full disclosure to investors. The plaintiffs in these actions generally seek rescission of their investments, recovery of their investment losses, or other damages. Other purchasers of MBS and CDOs sold or underwritten by Citigroup have threatened to file additional suits, for some of which Citigroup has agreed to toll (extend) the statute of limitations.

The filed actions generally are in the early stages of proceedings, and certain of the actions or threatened actions have been resolved through settlement or otherwise. The aggregate original purchase amount of the purchases at issue in the pending RMBS and CDO investor suits, including claims that have been dismissed but are still subject to appeal or otherwise not fully resolved, is approximately $8 billion, and the aggregate original purchase amount of the purchases covered by tolling agreements with RMBS and CDO investors threatening litigation is approximately $6 billion.

On May 29, 2013, the United States District Court for the Southern District of New York so-ordered the parties’ stipulation of voluntary dismissal with prejudice in FEDERAL HOUSING FINANCE AGENCY v. CITIGROUP INC., ET AL. On June 24, 2013, the court entered orders of voluntary dismissal with prejudice and bar orders in FEDERAL HOUSING

34

FINANCE AGENCY v. JPMORGAN CHASE & CO., ET AL. and FEDERAL HOUSING FINANCE AGENCY v. ALLY FINANCIAL INC., ET AL., dismissing with prejudice all claims against Citigroup in those actions.

On April 30, 2013, the United States District Court for the Southern District of New York issued an order reinstating certain RMBS claims on behalf of a putative class of purchasers of mortgage-backed securities issued by Residential Accredit Loans, Inc. in NEW JERSEY CARPENTERS HEALTH FUND v. RESIDENTIAL CAPITAL LLC, ET AL. Citigroup Global Markets Inc. is named as an underwriter defendant, along with several other underwriter defendants, in plaintiffs’ consolidated third amended complaint, served on May 10, 2013.

Terra Firma Litigation

On September 15, 2010, the district court issued an order granting in part and denying in part Citigroup’s motion for summary judgment. Plaintiffs’ claims for negligent misrepresentation and tortious interference were dismissed. On October 18, 2010, a jury trial commenced on Plaintiffs’ remaining claims for fraudulent misrepresentation and fraudulent concealment. The court dismissed the fraudulent concealment claim before sending the case to the jury. On November 4, 2010, the jury returned a verdict on the fraudulent misrepresentation claim in favor of Citi. Judgment dismissing the complaint was entered on December 9, 2010. Plaintiffs have appealed the judgment as to the negligent misrepresentation claim, the fraudulent concealment claim and the fraudulent misrepresentation claim to the United States Court of Appeals for the Second Circuit. Argument was held on October 4, 2012. On May 31, 2013, the United States Court of Appeals for the Second Circuit vacated the November 2010 jury verdict in favor of Citigroup and ordered that the case be retried. The action was remanded to the United States District Court for the Southern District of New York, and retrial is scheduled to begin on October 7, 2013.

Other Matters

On May 6, 2013, Citibank, N.A. filed a complaint in the United States District Court for the Southern District of New York against Barclays Bank, PLC, seeking payment under a contractual indemnity for losses suffered as a result of foreign exchange trading by Lehman Brothers Inc. in September 2008.

Credit Default Swaps Information Market Matters

In April 2011, the European Commission (DG Competition) (the “EC”) opened an investigation (Case No COMP/39.745) concerning the market for pricing information concerning credit default swaps (“CDS”). On July 2, 2013, the EC served on Citigroup and Related Parties, as well as a dozen other CDS dealers, a Statement of Objections alleging that Citigroup and the other dealers colluded to prevent exchanges from entering the credit derivatives business. The Statement of Objections sets forth the EC case team’s preliminary conclusions prior to hearing the dealers’ defenses.

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In July 2009 and September 2011, the Antitrust Division of the U.S. Department of Justice served Civil Investigative Demands (“CIDs”) on Citigroup concerning its role in Markit, a financial information services firm that collects and disseminates valuation and other data relating to credit default swaps. Citigroup has responded to the CIDs and is cooperating with the investigation.

Interbank Offered Rates-Related litigation and Other Matters

On June 14, 2013, the Monetary Authority of Singapore (“MAS”) announced the results of its review of the submissions processes from 2007 to 2011 of twenty banks, including Citibank, N.A. Singapore Branch, for benchmarks set in Singapore, including the Singapore Interbank Offered Rates (“SIBOR”), Swap Offered Rates, and foreign exchange benchmarks used to settle non-deliverable forward FX contracts. All of the banks, including Citibank, N.A. Singapore Branch, were found to have deficiencies in governance, risk management, internal controls, and surveillance systems relating to benchmark submissions, and all were required, among other things, to adopt certain corrective measures, to make quarterly reports to the MAS, and (with one exception) to deposit additional statutory reserves with the MAS for a period of one year.

On June 11, 2013, the plaintiff in 7 W. 57TH ST. REALTY V. CITIGROUP, INC., ET AL., filed a First Amended Complaint. The plaintiff alleges that defendants, including Citigroup and Citibank, N.A., manipulated USD LIBOR in violation of federal and state antitrust law and the Racketeer Influenced and Corrupt Organizations Act, and seeks compensatory damages and, where authorized by statute, treble damages.

On May 20, 2013, an individual action was brought against Citigroup and Citibank, N.A., as well as other USD LIBOR panel banks on behalf of certain hedge funds that were parties to interest rate swap transactions. Based on allegations that the panel bank defendants manipulated USD LIBOR, plaintiffs assert claims for breach of contract, breach of the implied covenant of good faith and fair dealing, fraud, tortious interference with contract, civil conspiracy, and unjust enrichment, and seek compensatory damages.

On June 25 and 28, 2013, three additional individual actions were brought against Citigroup and Citibank, N.A., as well as other USD LIBOR panel banks by various California counties and related public entities. Plaintiffs in each of these actions allege that the panel bank defendants manipulated USD LIBOR in violation of federal and state antitrust law. Plaintiffs also assert claims for fraud, negligent misrepresentation, interference with economic advantage, breach of the implied covenant of good faith and fair dealing, and unjust enrichment, and seek compensatory damages and, where authorized by statute, treble damages and injunctive relief.

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Morgan Stanley & Co. LLC

On June 1, 2011, Morgan Stanley & Co. Incorporated converted from a Delaware corporation to a Delaware limited liability company. As a result of that conversion, Morgan Stanley & Co. Incorporated is now named Morgan Stanley & Co. LLC (“MS&Co.” or the “Company”).

MS&Co. is a wholly-owned, indirect subsidiary of Morgan Stanley (“MS”), a Delaware holding company. MS files periodic reports with the Securities and Exchange Commission as required by the Securities Exchange Act of 1934, which include current descriptions of material litigation and material proceedings and investigations, if any, by governmental and/or regulatory agencies or self-regulatory organizations concerning MS and its subsidiaries, including MS&Co. As a consolidated subsidiary of MS, MS&Co. does not file its own periodic reports with the SEC that contain descriptions of material litigation, proceedings and investigations. As a result, we refer you to the “Legal Proceedings” section of MS’s SEC 10-K filings for 2012, 2011, 2010, 2009, and 2008.

In addition to the matters described in those filings, in the normal course of business, each of MS and MS&Co. has been named, from time to time, as a defendant in various legal actions, including arbitrations, class actions, and other litigation, arising in connection with its activities as a global diversified financial services institution. Certain of the legal actions include claims for substantial compensatory and/or punitive damages or claims for indeterminate amounts of damages. Each of MS and MS&Co. is also involved, from time to time, in investigations and proceedings by governmental and/or regulatory agencies or self-regulatory organizations, certain of which may result in adverse judgments, fines or penalties. The number of these investigations and proceedings has increased in recent years with regard to many financial services institutions, including MS and MS&Co.

MS&Co. is a Delaware limited liability company with its main business office located at 1585 Broadway, New York, New York 10036. Among other registrations and memberships, MS&Co. is registered as a futures commission merchant and is a member of the National Futures Association.

During the preceding five years, the following administrative, civil, or criminal actions pending, on appeal or concluded against MS&Co. or any of its principals are material within the meaning of CFTC Rule 4.24(l)(2) or 4.34(k)(2):

On June 2, 2009, MS executed a final settlement with the Office of the New York State Attorney General (“NYAG”) in connection with its investigation relating to the sale of auction-rate securities (“ARS”). MS agreed, among other things to: (1) repurchase at par illiquid ARS that were purchased by certain retail clients prior to February 13, 2008; (2) pay certain retail clients that sold ARS below par the difference between par and the price at which the clients sold the securities; (3) arbitrate, under special procedures, claims for consequential damages by certain retail clients; (4) refund refinancing fees to certain municipal issuers of ARS; and (5) pay a total penalty of $35 million. On August 13, 2008, MS reached an agreement in principle on substantially the same terms with the Office of the Illinois Secretary of State, Securities Department (on behalf of a task force of other states under the auspices of the North American Securities Administrators Association) that would settle their investigations into the same matters.

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On June 5, 2012, the Company consented to and became the subject of an Order Instituting Proceedings Pursuant to Sections 6(c) and 6(d) of the Commodity Exchange Act, as amended, Making Findings and Imposing Remedial Sanctions by The Commodity Futures Trading Commission (“CFTC”) to resolve allegations related to the failure of a salesperson to comply with exchange rules that prohibit off-exchange futures transactions unless there is an Exchange for Related Position (“EFRP”). Specifically, the CFTC found that from April 2008 through October 2009, the Company violated Section 4c(a) of the Commodity Exchange Act and Commission Regulation 1.38 by executing, processing and reporting numerous off-exchange futures trades to the Chicago Mercantile Exchange (“CME”) and Chicago Board of Trade (“CBOT”) as EFRPs in violation of CME and CBOT rules because those trades lacked the corresponding and related cash, OTC swap, OTC option, or other OTC derivative position. In addition, the CFTC found that the Company violated CFTC Regulation 166.3 by failing to supervise the handling of the trades at issue and failing to have adequate policies and procedures designed to detect and deter the violations of the Act and Regulations. Without admitting or denying the underlying allegations and without adjudication of any issue of law or fact, the Company accepted and consented to entry of findings and the imposition of a cease and desist order, a fine of $5,000,000, and undertakings related to public statements, cooperation and payment of the fine. The Company entered into corresponding and related settlements with the CME and CBOT in which the CME found that the Company violated CME Rules 432.Q and 538 and fined the Company $750,000 and CBOT found that the Company violated CBOT Rules 432.Q and 538 and fined the Company $1,000,000.

On March 15, 2010, the Federal Home Loan Bank of San Francisco filed two complaints against the Company and other defendants in the Superior Court of the State of California. These actions are styledFederal Home Loan Bank of San Francisco v. Credit Suisse Securities (USA) LLC, et al., andFederal Home Loan Bank of San Francisco v. Deutsche Bank Securities Inc. et al., respectively. Amended complaints filed on June 10, 2010 allege that defendants made untrue statements and material omissions in connection with the sale to plaintiff of a number of mortgage pass-through certificates backed by securitization trusts containing residential mortgage loans. The amount of certificates allegedly sold to plaintiff by the Company in these cases was approximately $704 million and $276 million, respectively. The complaints raise claims under both the federal securities laws and California law and seek, among other things, to rescind the plaintiff’s purchase of such certificates. On July 29, 2011 and September 8, 2011, the court presiding over both actions sustained defendants’ demurrers with respect to claims brought under the Securities Act of 1933, as amended, and overruled defendants’ demurrers with respect to all other claims. At June 25, 2013, the current unpaid balance of the mortgage pass-through certificates at issue in these cases was approximately $345 million, and the certificates had incurred actual losses of approximately $2.8 million. Based on currently available information, the Company believes it could incur a loss for this action up to the difference between the $345 million unpaid balance of these certificates (plus any losses incurred) and their fair market value at the time of a judgment against the Company, plus pre- and post-judgment interest, fees and costs. The Company may be entitled to be indemnified for some of these losses and to an offset for interest received by the plaintiff prior to a judgment.

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On July 9, 2010 and February 11, 2011, Cambridge Place Investment Management Inc. filed two separate complaints against the Company and other defendants in the Superior Court of the Commonwealth of Massachusetts, both styledCambridge Place Investment Management Inc. v. Morgan Stanley & Co., Inc., et al.The complaints assert claims on behalf of certain clients of plaintiff’s affiliates and allege that defendants made untrue statements and material omissions in the sale of a number of mortgage pass-through certificates backed by securitization trusts containing residential mortgage loans. The total amount of certificates allegedly issued by the Company or sold to plaintiff’s affiliates’ clients by the Company in the two matters was approximately $263 million. Plaintiff filed amended complaints on October 14, 2011, which raise claims under the Massachusetts Uniform Securities Act and seek, among other things, to rescind the plaintiff’s purchase of such certificates. On November 22, 2011, defendants filed a motion to dismiss the amended complaints. On March 12, 2012, the court denied defendants’ motion to dismiss with respect to plaintiff’s standing to bring suit. Defendants sought interlocutory appeal from that decision on April 11, 2012. On April 26, 2012, defendants filed a second motion to dismiss for failure to state a claim upon which relief can be granted, which the court denied, in substantial part, on October 2, 2012. At June 25, 2013, the current unpaid balance of the mortgage pass-through certificates at issue in these cases was approximately $216 million, and the certificates had incurred actual losses of approximately $109 million. Based on currently available information, the Company believes it could incur a loss for these actions of up to the difference between the $216 million unpaid balance of these certificates (plus any losses incurred) and their fair market value at the time of a judgment against the Company, plus pre- and post-judgment interest, fees and costs. The Company may be entitled to be indemnified for some of these losses and to an offset for interest received by the plaintiff prior to a judgment.

On July 15, 2010, China Development Industrial Bank (“CDIB”) filed a complaint against the Company, which is styled China Development Industrial Bank v. Morgan Stanley & Co. Incorporated et al. and is pending in the Supreme Court of the State of New York, New York County (“Supreme Court of NY, NY County”). The complaint relates to a $275 million credit default swap referencing the super senior portion of the STACK 2006-1 CDO. The complaint asserts claims for common law fraud, fraudulent inducement and fraudulent concealment and alleges that the Company misrepresented the risks of the STACK 2006-1 CDO to CDIB, and that the Company knew that the assets backing the CDO were of poor quality when it entered into the credit default swap with CDIB. The complaint seeks compensatory damages related to the approximately $228 million that CDIB alleges it has already lost under the credit default swap, rescission of CDIB’s obligation to pay an additional $12 million, punitive damages, equitable relief, fees and costs. On February 28, 2011, the court presiding over this action denied the Company’s motion to dismiss the complaint and on March 21, 2011, the Company appealed that order. On July 7, 2011, the appellate court affirmed the lower court’s decision denying the motion to dismiss. Based on currently available information, the Company believes it could incur a loss of up to approximately $240 million plus pre- and post-judgment interest, fees and costs.

On October 15, 2010, the Federal Home Loan Bank of Chicago filed a complaint against the Company and other defendants in the Circuit Court of the State of Illinois styledFederal Home Loan Bank of Chicago v. Bank of America Funding Corporation et al.The complaint alleges that defendants made untrue statements and material omissions in the sale to plaintiff of a number of mortgage pass-through certificates backed by securitization trusts containing residential mortgage loans. The total amount of certificates allegedly sold to plaintiff by the Company in

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this action was approximately $203 million. The complaint raises claims under Illinois law and seeks, among other things, to rescind the plaintiff’s purchase of such certificates. On March 24, 2011, the court granted plaintiff leave to file an amended complaint. The defendants’ motion to dismiss the amended complaint was denied on September 19, 2012. The Company filed its answer on December 21, 2012. At June 25, 2013, the current unpaid balance of the mortgage pass-through certificates at issue in this action was approximately $100 million and certain certificates had incurred actual losses of approximately $1 million. Based on currently available information, the Company believes it could incur a loss in this action up to the difference between the $100 million unpaid balance of these certificates (plus any losses incurred) and their fair market value at the time of a judgment against the Company, plus pre- and post-judgment interest, fees and costs. The Company may be entitled to be indemnified for some of these losses and to an offset for interest received by the plaintiff prior to a judgment.

On July 18, 2011, the Western and Southern Life Insurance Company and certain affiliated companies filed a complaint against the Company and other defendants in the Court of Common Pleas in Ohio, styledWestern and Southern Life Insurance Company, et al. v. Morgan Stanley Mortgage Capital Inc., et al.An amended complaint was filed on April 2, 2012 and alleges that defendants made untrue statements and material omissions in the sale to plaintiffs of certain mortgage pass-through certificates backed by securitization trusts containing residential mortgage loans. The amount of the certificates allegedly sold to plaintiffs by the Company was approximately $153 million. The amended complaint raises claims under the Ohio Securities Act, federal securities laws, and common law and seeks, among other things, to rescind the plaintiffs’ purchases of such certificates. On May 21, 2012, the Company filed a motion to dismiss the amended complaint, which motion was denied on August 3, 2012. The court has set a trial date in May 2015. At June 25, 2013, the current unpaid balance of the mortgage pass-through certificates at issue in this action was approximately $121 million, and the certificates had incurred actual losses of approximately $1 million. Based on currently available information, the Company believes it could incur a loss in this action up to the difference between the $121 million unpaid balance of these certificates (plus any losses incurred) and their fair market value at the time of a judgment against the Company, plus post-judgment interest, fees and costs. The Company may be entitled to an offset for interest received by the plaintiff prior to a judgment.

On September 2, 2011, the Federal Housing Finance Agency (“FHFA”), as conservator for Fannie Mae and Freddie Mac, filed 17 complaints against numerous financial services companies, including the Company. A complaint against the Company and other defendants was filed in the Supreme Court of NY, styledFederal Housing Finance Agency, as Conservator v. Morgan Stanley et al.The complaint alleges that defendants made untrue statements and material omissions in connection with the sale to Fannie Mae and Freddie Mac of residential mortgage pass-through certificates with an original unpaid balance of approximately $11 billion. The complaint raises claims under federal and state securities laws and common law and seeks, among other things, rescission and compensatory and punitive damages. On September 26, 2011, defendants removed the action to the United States District Court for the Southern District of New York. On July 13, 2012, the Company filed a motion to dismiss the complaint, which motion was denied in large part on November 19, 2012. Trial is currently scheduled to begin in January 2015. At June 25, 2013, the current unpaid balance of the mortgage pass-through certificates at issue in this action was approximately $2.86 billion, and the certificates had incurred actual losses of approximately $59 million. Based on currently available information,

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the Company believes it could incur a loss in this action up to the difference between the $2.86 billion unpaid balance of these certificates (plus any losses incurred) and their fair market value at the time of a judgment against the Company, plus pre- and post-judgment interest, fees and costs. The Company may be entitled to be indemnified for some of these losses and to an offset for interest received by the plaintiff prior to a judgment.

On April 25, 2012, Metropolitan Life Insurance Company and certain affiliates filed a complaint against the Company and certain affiliates in the Supreme Court of NY styledMetropolitan Life Insurance Company, et al. v. Morgan Stanley, et al.An amended complaint was filed on June 29, 2012 and alleges that defendants made untrue statements and material omissions in the sale to plaintiffs of certain mortgage pass-through certificates backed by securitization trusts containing residential mortgage loans. The total amount of certificates allegedly sponsored, underwritten and/or sold by the Company was approximately $758 million. The amended complaint raises common law claims of fraud, fraudulent inducement, and aiding and abetting fraud and seeks, among other things, rescission, compensatory and/or rescissionary damages, as well as punitive damages, associated with plaintiffs’ purchases of such certificates. On September 21, 2012, the Company filed a motion to dismiss the amended complaint, which was granted in part and denied in part on July 16, 2013. Following that decision, the total amount of certificates allegedly sponsored, underwritten and/or sold by the Company was approximately $656 million. At June 25, 2013, the current unpaid balance of the mortgage pass-through certificates remaining at issue in this case was approximately $369 million, and the certificates incurred actual losses of approximately $28.3 million. Based on currently available information, the Company believes it could incur a loss up to the difference between the $369 million unpaid balance of these certificates (plus any losses incurred) and their fair market value at the time of a judgment against the Company, plus pre- and post-judgment interest, fees and costs. The Company may be entitled to be indemnified for some of these losses and to an offset for interest received by the plaintiff prior to a judgment.

On April 25, 2012, The Prudential Insurance Company of America and certain affiliates filed a complaint against the Company and certain affiliates in the Superior Court of the State of New Jersey styledThe Prudential Insurance Company of America, et al. v. Morgan Stanley, et al.The complaint alleges that defendants made untrue statements and material omissions in connection with the sale to plaintiffs of certain mortgage pass-through certificates backed by securitization trusts containing residential mortgage loans. The total amount of certificates allegedly sponsored, underwritten and/or sold by the Company is approximately $1 billion. The complaint raises claims under the New Jersey Uniform Securities Law, as well as common law claims of negligent misrepresentation, fraud and tortious interference with contract and seeks, among other things, compensatory damages, punitive damages, rescission and rescissionary damages associated with plaintiffs’ purchases of such certificates. On October 16, 2012, plaintiffs filed an amended complaint which, among other things, increases the total amount of the certificates at issue by approximately $80 million, adds causes of action for fraudulent inducement, equitable fraud, aiding and abetting fraud, and violations of the New Jersey RICO statute, and includes a claim for treble damages. On March 15, 2013, defendants’ motion to dismiss was denied. At June 25, 2013, the current unpaid balance of the mortgage pass-through certificates at issue in this action was approximately $674 million, and the certificates had not yet incurred actual losses. Based on currently available information, the Company believes it could incur a loss in this action up to the difference between the $674 million unpaid balance of these certificates

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(plus any losses incurred) and their fair market value at the time of a judgment against the Company, plus pre- and post-judgment interest, fees and costs. The Company may be entitled to be indemnified for some of these losses and to an offset for interest received by the plaintiff prior to a judgment.

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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, 2012, as updated by the Partnership’s Quarterly Report on Form 10-Q for the quarter ended March 31, 2013.

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

For the three months ended June 30, 2013, there were subscriptions of 3,117.6860 Class A Redeemable Units totaling $4,348,476. The Redeemable Units were issued in reliance upon applicable exemptions from registration under Section 4(a)(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
April 1, 2013- April 30, 2013		1,320.8280	$	1,403.49		N/A		N/A
May 1, 2013- May 31, 2013		2,127.3010	$	1,418.99		N/A		N/A
June 1, 2013- June 30, 2013		1,587.1550	$	1,411.14		N/A		N/A
		5,035.2840	$	1,412.45

* 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. No fee will be charged for redemptions.

Item 3. Defaults Upon Senior Securities. None.

Item 4. Mine Safety Disclosures. Not Applicable.

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Item 5. Other Information.

Effective August 1, 2013, the Partnership allocated a portion of its assets to SECOR Capital Advisors, LP, which was invested in SECOR Master Fund L.P. with cash equal to $10,000,000.

The General Partner is in the process of transferring the brokerage accounts of the Partnership and/or the Funds from CGM to MS & Co., a registered futures commission merchant. It is anticipated that eventually all of the assets of the Partnership and the Funds will be deposited in accounts at MS & Co. MS & Co. is owned by Morgan Stanley, which is also the ultimate parent company of Morgan Stanley Smith Barney LLC, currently doing business as Morgan Stanley Wealth Management (“MSWM”), and the General Partner. Morgan Stanley is a worldwide financial services firm with offices throughout the United States and foreign countries.

In connection with this transition, (i) the Partnership will cease paying a brokerage fee to CGM, (ii) CGM will no longer act as a selling agent for the Partnership, (iii) the Partnership will begin paying an ongoing selling agent fee to MSWM and (iv) the Partnership will begin indirectly paying service and transaction fees to MS & Co. through its investment in the Funds.

The Partnership does not have officers or a board of directors. The general partner of the Partnership, Ceres Managed Futures LLC (the “General Partner”), is managed by officers and a board of directors.

Effective August 8, 2013, Walter Davis resigned his position as President and Chairman of the Board of Directors of the General Partner. Effective August 8, 2013, Alper Daglioglu was appointed President of the General Partner and Jeremy Beal was appointed Chairman of the Board of Directors of the General Partner. Also effective August 8, 2013, Douglas Ketterer resigned his position as Director of the General Partner.

Effective September 13, 2013, Damian George will be resigning his position as Chief Financial Officer and Director of the General Partner. Effective September 13, 2013, Alice Ng will be appointed Chief Financial Officer of the General Partner.

Business background descriptions for the newly appointed officers and director are included below.

Alper Daglioglu, age 36, has been a Director, and listed as a principal, of the General Partner since December 2010. He was appointed President of the General Partner in August 2013. Mr. Daglioglu was also appointed Deputy Chief Investment Officer for the Alternative Investments Group at Morgan Stanley Smith Barney LLC, a financial services firm, in August 2013. Since December 2010, Mr. Daglioglu has been employed by Morgan Stanley Smith Barney LLC where his responsibilities include serving as Executive Director and Chief Investment Officer for Morgan Stanley Smith Barney Managed Futures and serving on the Alternative Investments Product Review Committee of Morgan Stanley Smith Barney LLC’s Alternative Investments Group. From June 2009 through December 2010, Mr. Daglioglu was employed by Morgan Stanley Smith Barney LLC, where his responsibilities included serving as a Senior Analyst in the Product Origination Group. From December 2003 through June 2009, Mr. Daglioglu was employed by Morgan Stanley, a financial services firm, where his responsibilities included serving as a Senior Analyst in the Product Origination Group, and serving as the lead investment analyst for Global Macro and Managed Futures strategies within Morgan Stanley Graystone Research Group from February 2007 through June 2009. Mr. Daglioglu earned his Bachelor of Science degree in Industrial Engineering in June 2000 from Galatasaray University and his Master of Business Administration degree in Finance in May 2003 from the University of Massachusetts-Amherst’s Isenberg School of Management. Mr. Daglioglu was awarded a full merit scholarship and research assistantship at the Center for International Securities and Derivatives Markets during his graduate studies. In this capacity, he worked with various major financial institutions in performance monitoring, asset allocation and statistical analysis projects and specialized on alternative approaches to risk assessment for hedge funds and managed futures. Mr. Daglioglu wrote and published numerous research papers on alternative investments. Mr. Daglioglu is a Chartered Alternative Investment Analyst charter holder.

Jeremy Beal, age 38, has been Chairman of the Board of Directors of the General Partner since August 2013. Since May 2013, Mr. Beal has been employed by Morgan Stanley, a financial services firm, where his responsibilities include serving as the Head of Product Strategy and Development, Global Alternative Investments. Mr. Beal has been a Vice President and Director since June 2013, and listed as a principal since July 2013, of Morgan Stanley GWM Feeder Strategies LLC, which acts as a general partner to multiple alternative investment entities. Mr. Beal has also been a Vice President and Director since June 2013, and listed as a principal (pending) since July 2013, of Morgan Stanley HedgePremier GP LLC, which acts as a general partner and administrative agent to numerous hedge fund feeder funds. Since January 2013, each of Morgan Stanley GWM Feeder Strategies LLC and Morgan Stanley HedgePremier GP LLC has been registered as a commodity pool operator with the CFTC.

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Mr. Beal is responsible for general management and oversight with respect to such entities. Mr. Beal has also been employed by Morgan Stanley Smith Barney Private Management LLC, Morgan Stanley Smith Barney Private Management II LLC, and Morgan Stanley Smith Barney Venture Services LLC, each an investment management company, since June 2013, where his responsibilities include acting as Vice President and Director. From October 2012 through May 2013, he was employed by JE Moody & Company LLC (“JE Moody”), a hedge fund and commodity trading advisor, where his responsibilities included acting as the Chief Operating Officer. Prior to joining JE Moody, Mr. Beal was employed by Morgan Stanley Smith Barney LLC, where his responsibilities included serving as Chief Operating Officer, Global Alternative Investments from July 2009 through September 2012, and acting as Head of Product Development and Management, Alternative Investments for Morgan Stanley from May 2007 through July 2009. From March 2002 through May 2007, Mr. Beal was employed by Morgan Stanley, where his responsibilities included acting as Head of Product Development, Managed Futures for Morgan Stanley from May 2005 through May 2007, and acting as Senior Associate, Managed Futures from March 2002 through May 2005. Mr. Beal earned his Bachelor of Science degree in Business Administration in May 1997 from Pacific University and his Juris Doctor and Master of Business Administration degree in May 2001 from Willamette University.

Alice Ng, age 30, has been employed by Morgan Stanley Smith Barney LLC, a financial services firm, since July 2009, where her responsibilities have included serving as Vice President and managing the accounting, financial reporting and regulatory reporting of managed futures funds. Before joining Morgan Stanley Smith Barney LLC, Ms. Ng was employed by Citigroup Alternative Investments, a financial services firm, from September 2005 through July 2009, where her responsibilities included serving as Vice President responsible for the accounting, financial reporting and regulatory reporting of Citigroup Alternative Investments’ managed futures funds. From August 2004 through September 2005, Ms. Ng was employed by The Bank of New York, a financial services firm, where her responsibilities included performing mutual fund administration for financial services firms. Ms. Ng earned her Bachelor of Science in Finance in 2004 from the State University of New York at Binghamton.

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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).
(g)	Certificate of Amendment to the Certificate of Limited Partnership dated August 7, 2013 (filed here with).
3.2	Fourth Amended and Restated Limited Partnership Agreement (filed as Exhibit 3.2 to the Current Report on Form 10-K filed on March 27, 2013 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, 2012 to June 30, 2013 (filed as Exhibit 10.1(b) on Form 10-K filed on March 27, 2013 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, 2012 to June 30, 2013 (filed as Exhibit 10.1(b) on Form 10-K filed on March 27, 2013 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 as Exhibit 10.5 to the Quarterly Report on Form 10-Q filed on November 14, 2012 and incorporated herein by reference).

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10.6	Joinder Agreement among the Partnership, the General Partner, CGM and Morgan Stanley Smith Barney LLC (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, 2012 to June 30, 2013 (filed as Exhibit 10.6(b) on Form 10-K filed on March 27, 2013 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, 2012 to June 30, 2013 (filed as Exhibit 10.7(b) on Form 10-K filed on March 27, 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, 2012 to June 30, 2013 (filed as Exhibit 10.8(b) on Form 10-K filed on March 27, 2013 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, 2012 to June 30, 2013 (filed as Exhibit 10.9(b) on Form 10-K filed on March 27, 2013 and incorporated herein by reference).
10.11(a)	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).
(b)	Amendment to the Management Agreement among the Partnership, the General Partner and Willowbridge Associates, Inc. (filed as Exhibit 10.1 to the Current Report on Form 8-K filed on January 7, 2013 and incorporated herein by reference).
10.12	Management Agreement among the Partnership, the General Partner and Rotella Capital Management, Inc. (filed as Exhibit 10.13 to the Quarterly Report on Form 10-Q for the quarterly period September 30, 2012 filed on November 14, 2012 and incorporated herein by reference).
10.13	Management Agreement among the Partnership, the General Partner and Cambridge Strategy (Asset Management) Limited (filed as Exhibit 10.14 to the Quarterly Report on Form 10-Q for the quarterly period September 30, 2012 filed on November 14, 2012 and incorporated herein by reference).
10.14	Management Agreement among the Partnership, the General Partner and Bleecker Street Capital, LLC (filed as Exhibit 10.15 to the Quarterly Report on Form 10-Q for the quarterly period September 30, 2012 filed on November 14, 2012 and incorporated herein by reference).

10.14(a)	Escrow Agreement among Ceres Managed Futures LLC, Morgan Stanley Smith Barney LLC and The Bank of New York (filed as Exhibit 10.14(a) on Form 10-K filed on March 27, 2013 and incorporated herein by reference).
(b)	Amendment No. 5 to Escrow Agreement among Ceres Managed Futures LLC, Morgan Stanley Smith Barney LLC and The Bank of New York (filed as Exhibit 10.14(b) on Form 10-K filed on March 27, 2013 and incorporated herein by reference).
10.16	Management Agreement among the Partnership, the General Partner and SECOR Capital Advisors, LP (filed as Exhibit 10.1 to the Form 8-K filed on August 6, 2013 and incorporated herein by reference).

31.1 — Rule13a-14(a)/15d-14(a) Certification (Certification of President and Director) (filed herewith)

31.2 — Rule13a-14(a)/15d-14(a) Certification (Certification of Chief Financial Officer and Director) (filed herewith)

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

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

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/  Alper Daglioglu
	Alper Daglioglu President and Director

Date: August 14, 2013

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

Date: August 14, 2013

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