AlphaMetrix Managed Futures 10-Q 2011 Q3 Quarterly report

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM 10-Q

(Mark One)
x	QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934
	For the quarterly period ended September 30, 2011
or
o	TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934
	For the transition period from _______ to
Commission file number:000-52192
ALPHAMETRIX MANAGED FUTURES LLC
(Exact name of registrant as specified in its charter)

Delaware	03-0607985
(State or other jurisdiction	(I.R.S. Employer
of incorporation or organization)	Identification Number)
c/o ALPHAMETRIX, LLC 181 West Madison 34th Floor Chicago, Illinois 60602 (Address of principal executive offices)
(312)267-8400 (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  Noo

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

Yesx Noo

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

Large accelerated filero	Accelerated filero
Non-accelerated filer   o   (Do not check if a smaller reporting company)		Smaller reporting companyx
Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Exchange Act).
	Yeso  Nox

ii

ALPHAMETRIX MANAGED FUTURES LLC

QUARTERLY REPORT FOR PERIOD ENDED SEPTEMBER 30, 2011 ON FORM 10-Q

Table of Contents

		Page
PART I – FINANCIAL INFORMATION
Item 1.	FINANCIAL STATEMENTS	1
	Condensed Statements of Financial Condition (unaudited)
	Condensed Statements of Operations (unaudited)
	Condensed Statements of Changes in Members’ Capital (unaudited)
	Notes to Condensed Financial Statements (unaudited)
Item 2.	MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS OF OPERATIONS	24
Item 3.	QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET RISK	35
Item 4.	CONTROLS AND PROCEDURES	35
PART II – OTHER INFORMATION
Item 1.	LEGAL PROCEEDINGS	36
Item 1A.	RISK FACTORS	36
Item 2.	UNREGISTERED SALES OF EQUITY SECURITIES AND USE OF PROCEEDS	36
Item 3.	DEFAULTS UPON SENIOR SECURITIES	36
Item 4.	(REMOVED AND RESERVED)	36
Item 5.	OTHER INFORMATION	36
Item 6.	EXHIBITS	37
SIGNATURES		38

iii

PART I – FINANCIAL INFORMATION

Item 1:Financial Statements

	ALPHAMETRIX MANAGED FUTURES LLC (A Delaware Series Limited Liability Company) Condensed Statements of Financial Condition As of September 30, 2011 (Unaudited) and December 31, 2010
	AlphaMetrix Managed Futures LLC (Aspect Series) September 30, 2011		AlphaMetrix Managed Futures LLC September 30, 2011		AlphaMetrix Managed Futures LLC (Aspect Series) December 31, 2010		AlphaMetrix Managed Futures LLC December 31, 2010
ASSETS
Investment in AlphaMetrix Aspect Fund - MT0001, at fair value	$	66,180,955	$	66,180,955	$	59,446,550	$	59,446,550
Cash at bank		11,374,888		11,374,888		9,455,470		9,455,470
Prepaid assets		—		—		4,271		4,271
Total Assets	$	77,555,843	$	77,555,843	$	68,906,291	$	68,906,291
LIABILITIES
REDEMPTIONS PAYABLE	$	105,386	$	105,386	$	3,245,432	$	3,245,432
SUBSCRIPTIONS RECEIVED IN ADVANCE		1,971,737		1,971,737		1,427,344		1,427,344
PAYABLES:
Accrued sales commission		125,736		125,736		112,192		112,192
Accrued sponsor’s fee		31,434		31,434		28,048		28,048
Accrued operating costs and administrative fee		172,768		172,768		243,153		243,153
Total Liabilities		2,407,061		2,407,061		5,056,169		5,056,169
MEMBERS’ CAPITAL
Members (56,977.28 and 50,277.92 units outstanding at September 30, 2011 and December 31, 2010, respectively, unlimited units authorized)		75,138,075		75,138,075		63,839,812		63,839,812
Sponsor (8.12 units outstanding at September 30, 2011 and December 31, 2010, respectively, unlimited units authorized)		10,707		10,707		10,310		10,310
Total Members’ Capital		75,148,782		75,148,782		63,850,122		63,850,122
Total Liabilities and Members’ Capital	$	77,555,843	$	77,555,843	$	68,906,291	$	68,906,291
NET ASSET VALUE PER UNIT
Members	$	1,318.738	$	1,318.738	$	1,269.739	$	1,269.739
Sponsor		1,318.738		1,318.738		1,269.739		1,269.739

See notes to financial statements and the financial statements of AlphaMetrix Aspect Fund - MT0001, attached as exhibit 99.1.

- 1 -

	ALPHAMETRIX MANAGED FUTURES LLC (A Delaware Series Limited Liability Company) Condensed Statements of Operations
	For the three and nine months ended September 30, 2011 and 2010 (Unaudited)
	2011
	Aspect Series July 1, 2011 through September 30, 2011			AlphaMetrix Managed Futures LLC July 1, 2011 through September 30, 2011			Aspect Series January 1, 2011 through September 30, 2011			AlphaMetrix Managed Futures LLC January 1, 2011 through September 30, 2011
NET INVESTMENT INCOME ALLOCATED FROM ALPHAMETRIX ASPECT FUND - MT0001:
Interest income	$	6,701		$	6,701		$	6,701		$	6,701
Trading costs		(24,603	)		(24,603	)		(79,256	)		(79,256	)
Interest expense		(890	)		(890	)		(15,338	)		(15,338	)
Bank fees		—			—			(103	)		(103	)
Net investment income allocated from AlphaMetrix Aspect Fund - MT0001		(18,792	)		(18,792	)		(87,996	)		(87,996	)
SERIES NET INVESTMENT INCOME/(LOSS):
Operating expenses		(107,516	)		(107,516	)		(315,424	)		(315,424	)
Management fee		(381,413	)		(381,413	)		(1,091,975	)		(1,091,975	)
Performance fee		(1,080,526	)		(1,080,526	)		(1,151,168	)		(1,151,168	)
Sales commissions		(378,977	)		(378,977	)		(1,088,237	)		(1,088,237	)
Sponsor fee		(94,744	)		(94,744	)		(272,059	)		(272,059	)
Net investment loss		(2,043,176	)		(2,043,176	)		(3,918,863	)		(3,918,863	)
Total net investment loss		(2,061,968	)		(2,061,968	)		(4,006,859	)		(4,006,859	)
REALIZED AND UNREALIZED GAIN (LOSS) ALLOCATED FROM ALPHAMETRIX ASPECT FUND - MT0001
Net realized gain/(loss)		6,692,839			6,692,839			8,648,628			8,648,628
Net increase/(decrease) in unrealized appreciation/(depreciation)		1,346,245			1,346,245			(1,767,584	)		(1,767,584	)
Total realized and unrealized gain/(loss) allocated from AlphaMetrix Aspect Fund - MT0001		8,039,084			8,039,084			6,881,044			6,881,044
Net increase/(decrease) in net assets resulting from operations	$	5,977,116		$	5,977,116		$	2,874,185		$	2,874,185
Weighted average number of units outstanding		56,851			56,851			55,250			55,250
Net income/(loss) per weighted average unit	$	105.14		$	105.14		$	52.02		$	52.02
										(Continued)
See notes to financial statements and the financial statements of AlphaMetrix Aspect Fund - MT0001, attached as exhibit 99.1.

- 2 -

	ALPHAMETRIX MANAGED FUTURES LLC (A Delaware Series Limited Liability Company) Condensed Statements of Operations For the three and nine months ended September 30, 2011 and 2010 (Unaudited)
	2010
	Aspect Series July 1, 2010 through September 30, 2010			AlphaMetrix Managed Futures LLC July 1, 2010 through September 30, 2010			Aspect Series January 1, 2010 through September 30, 2010			AlphaMetrix Managed Futures LLC January 1, 2010 through September 30, 2010
NET INVESTMENT INCOME ALLOCATED FROM ALPHAMETRIX ASPECT FUND - MT0001:
Interest income	$	—		$	—		$	200		$	200
Trading costs		(26,398	)		(26,398	)		(82,856	)		(82,856	)
Interest expense		(4,715	)		(4,715	)		(13,452	)		(13,452	)
Bank fees		—			—			(138	)		(138	)
Net investment income allocated from AlphaMetrix Aspect Fund - MT0001		(31,113	)		(31,113	)		(96,246	)		(96,246	)
SERIES NET INVESTMENT INCOME/(LOSS):
Interest income		2,645			2,645			6,910			6,910
Operating expenses		(103,620	)		(103,620	)		(310,428	)		(310,428	)
Management fee		(306,710	)		(306,710	)		(916,193	)		(916,193	)
Performance fee		(185,499	)		(185,499	)		(185,499	)		(185,499	)
Sales commissions		(305,890	)		(305,890	)		(914,350	)		(914,350	)
Sponsor fee		(76,472	)		(76,472	)		(228,587	)		(228,587	)
Net investment loss		(975,546	)		(975,546	)		(2,548,147	)		(2,548,147	)
Total net investment loss		(1,006,659	)		(1,006,659	)		(2,644,393	)		(2,644,393	)
REALIZED AND UNREALIZED GAIN (LOSS) ALLOCATED FROM ALPHAMETRIX ASPECT FUND - MT0001
Net realized gain/(loss)		2,587,498			2,587,498			3,532,518			3,532,518
Net increase/(decrease) in unrealized appreciation/(depreciation)		1,740,268			1,740,268			3,597,819			3,597,819
Total realized and unrealized gain/(loss) allocated from AlphaMetrix Aspect Fund - MT0001		4,327,766			4,327,766			7,130,337			7,130,337
Net increase/(decrease) in net assets resulting from operations	$	3,321,107		$	3,321,107		$	4,485,944		$	4,485,944
Weighted average number of units outstanding		51,105			51,105			52,186			52,186
Net income/(loss) per weighted average unit	$	64.99		$	64.99		$	85.96		$	85.96
											(Concluded)
See notes to financial statements and the financial statements of AlphaMetrix Aspect Fund - MT0001, attached as exhibit 99.1.

- 3 -

	ALPHAMETRIX MANAGED FUTURES LLC (A Delaware Series Limited Liability Company) Condensed Statements of Changes in Members’ Capital For the nine months ended September 30, 2011 and 2010 (Unaudited)
For the nine months ended September 30, 2011	AlphaMetrix Managed Futures LLC (Aspect Series)
																		AlphaMetrix Managed
	Members						Sponsor					Total						Futures LLC
	Amount			Units			Amount			Units		Amount			Units			Amount			Units
Members’ capital at January 1, 2011	$	63,839,812			50,277.92		$	10,310			8.12	$	63,850,122			50,286.04		$	63,850,122			50,286.04
Members’ subscriptions		16,673,179			13,150.24			—			—		16,673,179			13,150.24			16,673,179			13,150.24
Members’ redemptions		(8,248,704	)		(6,450.88	)		—			—		(8,248,704	)		(6,450.88	)		(8,248,704	)		(6,450.88	)
Net investment income/(loss)		(4,006,286	)		—			(573	)		—		(4,006,859	)		—			(4,006,859	)		—
Net realized and unrealized gain/(loss) allocated from AlphaMetrix Aspect Fund - MT0001		6,880,074			—			970			—		6,881,044			—			6,881,044			—
Members’ capital at September 30, 2011	$	75,138,075			56,977.28		$	10,707			8.12	$	75,148,782			56,985.40		$	75,148,782			56,985.40
Net asset value per unit at January 1, 2011	$	1,269.739					$	1,269.739
Change in net asset value per unit		48.999						48.999
Net asset value per unit at September 30, 2011	$	1,318.738					$	1,318.738
For the nine months ended September 30, 2010	AlphaMetrix Managed Futures LLC (Aspect Series)
																		AlphaMetrix Managed
	Members						Sponsor					Total						Futures LLC
	Amount			Units			Amount			Units		Amount			Units			Amount			Units
Members’ capital at January 1, 2010	$	59,498,830			52,347.66		$	9,231			8.12	$	59,508,061			52,355.78		$	59,508,061			52,355.78
Members’ subscriptions		4,847,469			4,206.07			—			—		4,847,469			4,206.07			4,847,469			4,206.07
Members’ redemptions		(6,072,441	)		(5,217.35	)		—			—		(6,072,441	)		(5,217.35	)		(6,072,441	)		(5,217.35	)
Net investment income/(loss)		(2,643,980	)		—			(413	)		—		(2,644,393	)		—			(2,644,393	)		—
Net realized and unrealized gain/(loss) allocated from AlphaMetrix Aspect Fund - MT0001		7,129,228			—			1,109			—		7,130,337			—			7,130,337			—
Members’ capital at September 30, 2010	$	62,759,106			51,336.38		$	9,927			8.12	$	62,769,033			51,344.50		$	62,769,033			51,344.50
Net asset value per unit at January 1, 2010	$	1,136.609					$	1,136.609
Change in net asset value per unit		85.898						85.898
Net asset value per unit at September 30, 2010	$	1,222.507					$	1,222.507

See notes to financial statements and the financial statements of AlphaMetrix Aspect Fund - MT0001, attached as exhibit 99.1.

- 4 -

ALPHAMETRIX MANAGED FUTURES LLC

(A Delaware Series Limited Liability Company)

NOTES TO CONDENSED FINANCIAL STATEMENTS

AS OF AND FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2011 AND 2010 (UNAUDITED)

(1) Organization

As of November 1, 2008, AlphaMetrix, LLC (the “Sponsor” or “AlphaMetrix”) is the sponsor of AlphaMetrix Managed Futures LLC (the “Platform” or the “Fund”). The Sponsor is registered with the U.S. Commodity Futures Trading Commission (“CFTC”) as a commodity pool operator and commodity trading advisor, with the U.S. Securities and Exchange Commission (“SEC”) as a Registered Investment Advisor (“RIA”) and Registered Transfer Agent (“RTA”), and is a member of the National Futures Association (“NFA”). The Platform was formed on July 25, 2006 as a Delaware series limited liability company pursuant to the Delaware Limited Liability Company Act. AlphaMetrix Managed Futures LLC (Aspect Series) (the “Aspect Series” or “Series”) is the only “segregated series” of the Platform. Since the Aspect Series is the Platform’s only segregated series, references to the Aspect Series also include the Platform unless otherwise noted. On November 1, 2008, the Sponsor was assigned sponsorship in the Platform and managerial interest in the Aspect Series from the former sponsor of the Platform, UBS Managed Fund Services, Inc. (“UBS MFS” or the “former sponsor”) and the name of the Platform and Aspect Series were changed from UBS Managed Futures LLC and UBS Managed Futures LLC (Aspect Series) to AlphaMetrix Managed Futures LLC and AlphaMetrix Managed Futures LLC (Aspect Series), respectively. The Platform and Aspect Series are governed in accordance with the Confidential Disclosure Document dated January 31, 2011 (the “Confidential Disclosure Document”). All capitalized terms used but not defined herein are defined in the Confidential Disclosure Document.

The Aspect Series invests substantially all of its assets in AlphaMetrix Managed Futures (Aspect) LLC, previously UBS Managed Futures (Aspect) LLC (the “Trading Fund”). The Trading Fund then invests a substantial portion of its assets in AlphaMetrix Aspect Fund – MT0001 (the “Master Fund”) which is advised by Aspect Capital Limited (the “Trading Advisor”). On August 30, 2009, the Trading Fund ceased operations and as of September 1, 2009, the Aspect Series invested directly into the Master Fund. Prior to December 31, 2010, the Aspect Series and the Master Fund were consolidated in accordance with Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) 810,Consolidation(“ASC 810”). As of December 1, 2009, another fund operated by the Sponsor invested in the Master Fund. As of the year ended December 31, 2010, the Aspect Series and Master Fund are no longer consolidated. As of September 30, 2011 and 2010, the Aspect Series held an interest in the Master Fund of approximately 87% and 97%, respectively.

The Master Fund engages in the speculative trading of bonds, currencies, interest rates, equities, equity indices, debt securities and selected physical commodities and derivatives. Until October 1, 2009, UBS Securities LLC was the Series’ futures clearing broker (the “Clearing Broker”) and until October 13, 2009, UBS AG was the foreign exchange clearing broker of the Master Fund, although the Master Fund may execute foreign exchange trades through other foreign exchange clearing brokers at any time. On and after October 1, 2009 for general futures clearing brokerage, excluding foreign currency, and on and after October 13, 2009 including foreign currency, Credit Suisse Securities (USA) LLC acts as the Master Fund’s clearing broker (reference to the “Clearing Broker” shall be UBS Securities LLC if involving matters prior to October 1, 2009 and to Credit Suisse Securities (USA) LLC for matters on or after October 1, 2009). The Sponsor, over time, intends to offer investors a selection of different trading advisors, each managing a different segregated series of the Platform. There can be no assurance, however, that any series other than the Series will be offered or that the Series will continue to be offered. The Series was organized on October 26, 2006 and commenced trading on March 16, 2007. The Series filed a Form 10, under the Securities Exchange Act of 1934, as amended, with the SEC to register the units of limited liability company interest (“Units”), which registration became effective October 17, 2006.

The accompanying unaudited condensed financial statements, in the opinion of management, include all adjustments necessary for a fair presentation of the Series’ financial condition as of September 30, 2011 (unaudited) and December 31, 2010 and the results of its operations and its changes in members’ capital for the three and nine months ended September 30, 2011 and 2010 (unaudited). These condensed financial statements present the results of interim periods and do not include all disclosures normally provided in annual financial statements. It is suggested

- 5 -

that these unaudited condensed financial statements be read in conjunction with the audited financial statements and notes included in the Series’ annual report on Form 10-K filed with the SEC for the year ended December 31, 2010. The December 31, 2010 information has been derived from the audited financial statements as of December 31, 2010.

On March 16, 2007, the Series issued 5,000.00 Units to the Trading Advisor for $5,000,000 (the “Trading Advisor Investment”) and issued 2,760.62 Units for $2,760,620 to third parties. On April 1, 2007, the Series issued 9.94 Units to the former sponsor, UBS MFS, for $10,000. On December 31, 2007, the Trading Advisor redeemed the full value of the Trading Advisor Investment. On October 31, 2008, UBS MFS redeemed the full value of their Units in conjunction with the assignment of the Sponsor and on November 1, 2008, the Series issued 8.12 Units to the Sponsor for $10,000.

At the sole discretion of the Sponsor, the Series may terminate for any reason (for the avoidance of doubt, the Sponsor shall be entitled, without any violation of any contractual or fiduciary obligation to any investor in the Series (a “Member”), to dissolve the Series at any time).

Change in Accounting Methodology

Prior to December 31, 2010, the Aspect Series consolidated the Master Fund for financial reporting purposes. During the fourth quarter of 2010, the Sponsor concluded that a change in accounting principle was appropriate. Pursuant to this change, the Aspect Series no longer consolidates the non-wholly-owned Master Fund over which it has a controlling financial interest. Rather, Aspect Series applies investment company master-feeder financial statement presentation, as described in FASB ASC 946,Financial Services – Investment Companies (“ASC 946”), to its interest in the Master Fund, the only non-wholly-owned Master Fund over which it currently has a controlling financial interest.

The Sponsor acquired the Aspect Series on November 1, 2008. Prior to the Aspect Series’ acquisition by the Sponsor, the Aspect Series was the sole Feeder Fund (and thus the sole owner) of the Master Fund, and there was no expectation by the former sponsor to have any other investors in the Master Fund. The Aspect Series did not hold any investments other than its investment in the Master Fund. On December 1, 2009, subsequent to acquiring the Aspect Series, the Sponsor established a second fund to serve as a feeder to the Master Fund. Furthermore, the Sponsor believes that the establishment of additional segregated series (feeder funds) for the Platform was likely. Although the Aspect Series continues to maintain a significant controlling financial interest in the Master Fund, and thus consolidation of the Master Fund remains appropriate, the Sponsor believes the presentation for a Master fund-Feeder fund structure described in ASC 946 is preferable to such consolidated presentation. Specifically, the Sponsor observes that it is industry practice to follow the presentation prescribed for a Master Fund-Feeder fund structure in ASC 946 in instances in which a Master Fund is owned by more than one Feeder Fund and that such presentation provides users of the Aspect Series with a clearer depiction of its investment in the Master Fund. Furthermore, such presentation is consistent with the presentation method used by the Sponsor for all other Master fund-Feeder fund structures in which a Master Fund is not wholly owned by the Feeder Fund and for which it is the Sponsor.

While for the financial statements as of and for the year ended December 31, 2010, the Aspect Series did not consolidate the Master Fund, the Aspect Series did consolidate the Master Fund for the unaudited financial statements as of and for the nine months ended September 30, 2010. Consistent with the requirements of ASC 250,Accounting Changes and Error Corrections, for the unaudited financial statements as of and for the nine months ended September 30, 2010, to be comparable to the unaudited financial statements as of and for the nine months ended September 30, 2011 this change in accounting principle is being applied retrospectively as of January 1, 2010. Thus, the unaudited financial statements as of and for the nine months ended September 30, 2010 have been restated and are presented under a Master fund-Feeder fund presentation. The impact of this change in accounting principle is described in the following paragraphs.

- 6 -

The effects of the changes upon the unaudited Statements of Financial Condition are as follows:

	September 30, 2010
	As Originally Stated		As Adjusted		Effect of Change
ASSETS
Equity in commodity trading account at clearing broker
Cash	$	58,761,716	$	—	$	(58,761,716	)
Investments representing unrealized appreciation/(depreciation) on open contracts, net		3,563,985		—		(3,563,985	)
Investment in AlphaMetrix Aspect Fund - MT0001, at fair value		—		57,974,425		57,974,425
Cash at bank		8,020,563		7,103,356		(917,207	)
Total Assets	$	70,346,264	$	65,077,781	$	(5,268,483	)
LIABILITIES
REDEMPTIONS PAYABLE	$	68,896	$	68,896	$	—
SUBSCRIPTIONS RECEIVED IN ADVANCE		1,880,964		1,880,964		—
PAYABLES:
Accrued brokerage commissions		5,006		5,006		—
Accrued sales commission		105,108		105,108		—
Accrued sponsor’s fee		26,277		26,277		—
Accrued management fee		105,498		—		(105,498	)
Accrued incentive fee		185,499		—		(185,499	)
Accrued operating costs		222,497		222,497		—
Interest payable, net		2,596		—		(2,596	)
Total Liabilities		2,602,341		2,308,748		(293,593	)
MEMBERS’ CAPITAL
Members		62,759,106		62,759,106		—
Sponsor		9,927		9,927		—
Total Aspect Series members’ capital		62,769,033		62,769,033		—
Noncontrolling interest		4,974,890		—		(4,974,890	)
Total Members’ Capital		67,743,923		62,769,033		(4,974,890	)
Total Liabilities and Members’ Capital	$	70,346,264	$	65,077,781	$	(5,268,483	)

- 7 -

	September 30, 2011
	As Reported		As If Consolidated		Effect of Change
ASSETS
Equity in commodity trading account at clearing broker
Cash	$	—	$	72,696,440	$	72,696,440
Investments representing unrealized appreciation/(depreciation) on open contracts, net		—		1,622,769		1,622,769
Investment in AlphaMetrix Aspect Fund - MT0001, at fair value		66,180,955		—		(66,180,955	)
Cash at bank		11,374,888		14,442,877		3,067,989
Receivable from feeder fund		—		41,000		41,000
Accrued interest receivable		—		1,640		1,640
Total Assets	$	77,555,843	$	88,804,726	$	11,248,883
LIABILITIES
REDEMPTIONS PAYABLE	$	105,386	$	105,386	$	—
SUBSCRIPTIONS RECEIVED IN ADVANCE		1,971,737		1,971,737		—
PAYABLES:
Accrued sales commission		125,736		125,736		—
Accrued sponsor’s fee		31,434		31,434		—
Accrued operating costs		172,768		172,768		—
Payable to trading advisor		—		1,347,339		1,347,339
Total Liabilities		2,407,061		3,754,400		1,347,339
MEMBERS’ CAPITAL
Members		75,138,075		75,138,075		—
Sponsor		10,707		10,707		—
Total Aspect Series members’ capital		75,148,782		75,148,782		—
Noncontrolling interest		—		9,901,544		9,901,544
Total Members’ Capital		75,148,782		85,050,326		9,901,544
Total Liabilities and Members’ Capital	$	77,555,843	$	88,804,726	$	11,248,883

- 8 -

An unaudited Condensed Schedule of Investments was included in the financial statements prior to the restatement. However, subsequent to the change in accounting policy, an unaudited Condensed Schedule of Investments is not required as the investments are held by the Master Fund. The effects of the changes upon the unaudited Schedules of Investments are as follows:

	As Originally Reported						September 30, 2010 As Adjusted					Effect of Change
	% of Members’ Capital		Number of Contracts	Net Unrealized Appreciation / (Depreciation) on Open Contracts			% of Members’ Capital		Number of Contracts	Net Unrealized Appreciation / (Depreciation) on Open Contracts		% of Members’ Capital		Number of Contracts		Net Unrealized Appreciation / (Depreciation) on Open Contracts
FUTURES CONTRACTS:
Long contracts
Domestic
Agriculture	0.95	%	508	$	638,535		0.00	%	—	$	—	(0.95	)%	(508	)	$	(638,535	)
Interest Rates	1.00		834		679,186		0.00		—		—	(1.00	)	(834	)		(679,186	)
Metals	1.11		99		754,352		0.00		—		—	(1.11	)	(99	)		(754,352	)
Indices	0.12		136		82,692		0.00		—		—	(0.12	)	(136	)		(82,692	)
Currency	0.00		2		1,762		0.00		—		—	0.00		(2	)		(1,762	)
Foreign
Agriculture	0.04		98		25,021		0.00		—		—	(0.04	)	(98	)		(25,021	)
Indices	(0.03	)	223		(17,995	)	0.00		—		—	0.03		(223	)		17,995
Interest Rates	0.88		1,667		596,451		0.00		—		—	(0.88	)	(1,667	)		(596,451	)
Metals	0.32		62		213,302		0.00		—		—	(0.32	)	(62	)		(213,302	)
	4.39				2,973,306		0.00				—	(4.39	)				(2,973,306	)
Short contracts
Domestic
Agriculture	(0.04	)	43		(28,565	)	0.00		—		—	0.04		(43	)		28,565
Energy	(0.49	)	194		(340,103	)	0.00		—		—	0.49		(194	)		340,103
Indices	(0.01	)	4		(5,400	)	0.00		—		—	0.01		(4	)		5,400
Foreign
Agriculture	(0.01	)	35		(6,471	)	0.00		—		—	0.01		(35	)		6,471
Indices	(0.08	)	32		(53,183	)	0.00		—		—	0.08		(32	)		53,183
Interest Rates	(0.02	)	208		(11,382	)	0.00		—		—	0.02		(208	)		11,382
Metals	(0.02	)	2		(11,563	)	0.00		—		—	0.02		(2	)		11,563
	(0.67	)			(456,667	)	0.00				—	0.67					456,667
Total futures contracts	3.72				2,516,639		0.00				—	(3.72	)				(2,516,639	)
FORWARD CURRENCY CONTRACTS:
Total forward currency contracts long	0.99				671,070		0.00				—	(0.99	)				(671,070	)
Total forward currency contracts short	0.55				376,276		0.00				—	(0.55	)				(376,276	)
Total forward currency contracts	1.54				1,047,346		0.00				—	(1.54	)				(1,047,346	)
Net unrealized appreciation/(depreciation) on open contracts	5.26	%		$	3,563,985		0.00	%		$	—	(5.26	)%			$	(3,563,985	)

- 9 -

	As Reported					September 30, 2011 As if Consolidated						Effect of Change
	% of Members’ Capital		Number of Contracts	Net Unrealized Appreciation / (Depreciation) on Open Contracts		% of Members’ Capital		Number of Contracts	Net Unrealized Appreciation / (Depreciation) on Open Contracts			% of Members’ Capital		Number of Contracts	Net Unrealized Appreciation / (Depreciation) on Open Contracts
FUTURES CONTRACTS:
Long contracts
Domestic
Futures Contracts
Agriculture	0.00	%	—	$	—	(0.51	)%	67	$	(429,831	)	(0.51	)%	67	$	(429,831	)
Currency	0.00		—		—	(0.01	)	5		(12,171	)	(0.01	)	5		(12,171	)
Indices	0.00		—		—	(0.10	)	35		(84,998	)	(0.10	)	35		(84,998	)
Interest Rates	0.00		—		—	0.43		673		363,461		0.43		673		363,461
Metals	0.00		—		—	(0.31	)	20		(260,195	)	(0.31	)	20		(260,195	)
Foreign
Futures Contracts
Interest Rates	0.00		—		—	0.88		2,753		748,707		0.88		2,753		748,707
Metals	0.00		—		—	(0.42	)	35		(360,403	)	(0.42	)	35		(360,403	)
	0.00				—	(0.04	)			(35,430	)	(0.04	)			(35,430	)
Short contracts
Domestic
Futures Contracts
Agriculture	0.00		—		—	0.19		95		161,617		0.19		95		161,617
Currency	0.00		—		—	0.00		1		263		0.00		1		263
Energy	0.00		—		—	0.89		181		765,191		0.89		181		765,191
Indices	0.00		—		—	0.02		87		15,528		0.02		87		15,528
Metals	0.00		—		—	0.10		5		84,563		0.10		5		84,563
Foreign
Futures Contracts
Agriculture	0.00		—		—	0.05		35		40,720		0.05		35		40,720
Indices	0.00		—		—	(0.12	)	141		(103,852	)	(0.12	)	141		(103,852	)
Metals	0.00		—		—	0.69		69		588,054		0.69		69		588,054
	0.00				—	1.82				1,552,084		1.82				1,552,084
Total futures contracts	0.00				—	1.78				1,516,654		1.78				1,516,654
FORWARD CURRENCY CONTRACTS:
Total forward currency contracts long	0.00				—	0.09				74,605		0.09				74,605
Total forward currency contracts short	0.00				—	0.04				31,510		0.04				31,510
Total forward currency contracts	0.00				—	0.13				106,115		0.13				106,115
Net unrealized appreciation/(depreciation) on open contracts	0.00	%		$	—	1.91	%		$	1,622,769		1.91	%		$	1,622,769

- 10 -

The effects of the changes upon the unaudited Statements of Operations are as follows:

	Three Months Ended September 30, 2010
	As Originally Reported			As Adjusted			Effect of Change
NET INVESTMENT INCOME ALLOCATED FROM ALPHAMETRIX ASPECT FUND - MT0001:
Trading costs	$	—		$	(26,398	)	$	(26,398	)
Interest expense		—			(4,715	)		(4,715	)
Net investment income allocated from AlphaMetrix Aspect Fund - MT0001		—			(31,113	)		(31,113	)
Trading gains (losses):
Net realized gain (loss)		2,814,111			—			(2,814,111	)
Net change in unrealized appreciation (depreciation) on open contracts		1,890,189			—			(1,890,189	)
Brokerage commission		(28,652	)		—			28,652
Net trading gains (losses)		4,675,648			—			(4,675,648	)
SERIES NET INVESTMENT INCOME/(LOSS):
Interest income		2,645			2,645			—
Operating costs		(103,620	)		(103,620	)		—
Management fee		(306,710	)		(306,710	)		—
Performance fee		(185,499	)		(185,499	)		—
Sales commission		(305,890	)		(305,890	)		—
Sponsor’s fee		(76,472	)		(76,472	)		—
Interest expense		(5,115	)		—			5,115
Net investment income (loss)		(980,661	)		(975,546	)		5,115
REALIZED AND UNREALIZED GAIN (LOSS) ALLOCATED FROM ALPHAMETRIX ASPECT FUND - MT0001
Net realized gain/(loss)		—			2,587,498			2,587,498
Net increase/(decrease) in unrealized appreciation/(depreciation)		—			1,740,268			1,740,268
Total realized and unrealized gain/(loss) allocated from AlphaMetrix Aspect Fund - MT0001		—			4,327,766			4,327,766
		3,694,987			—			(3,694,987	)
Less: Net income (loss) attributable to noncontrolling interest		373,880			—			(373,880	)
Net income (loss) attributable to Aspect Series	$	3,321,107		$	—		$	(3,321,107	)
Net increase/(decrease) in net assets resulting from operations	$	—		$	3,321,107		$	3,321,107

- 11 -

	Nine Months Ended September 30, 2010
	As Originally Reported			As Adjusted			Effect of Change
NET INVESTMENT INCOME ALLOCATED FROM ALPHAMETRIX ASPECT FUND - MT0001:
Interest income	$	—		$	200		$	200
Trading costs		—			(82,856	)		(82,856	)
Interest expense		—			(13,452	)		(13,452	)
Bank fees		—			(138	)		(138	)
Net investment income allocated from AlphaMetrix Aspect Fund - MT0001		—			(96,246	)		(96,246	)
Trading gains (losses):
Net realized gain (loss)		3,820,837			—			(3,820,837	)
Net change in unrealized appreciation (depreciation) on open contracts		3,848,529			—			(3,848,529	)
Brokerage commission		(88,440	)		—			88,440
Net trading gains (losses)		7,580,926			—			(7,580,926	)
SERIES NET INVESTMENT INCOME/(LOSS):
Interest income		5,502			6,910			1,408
Operating costs		(310,574	)		(310,428	)		146
Management fee		(916,193	)		(916,193	)		—
Performance fee		(185,499	)		(185,499	)
Sales commission		(914,350	)		(914,350	)		—
Sponsor’s fee		(228,587	)		(228,587	)		—
Interest expense		(12,735	)		—			12,735
Net investment income (loss)		(2,562,436	)		(2,548,147	)		14,289
REALIZED AND UNREALIZED GAIN (LOSS) ALLOCATED FROM ALPHAMETRIX ASPECT FUND - MT0001
Net realized gain/(loss)		—			3,532,518			3,532,518
Net increase/(decrease) in unrealized appreciation/(depreciation)		—			3,597,819			3,597,819
Total realized and unrealized gain/(loss) allocated from AlphaMetrix Aspect Fund - MT0001		—			7,130,337			7,130,337
		5,018,490			—			(5,018,490	)
Less: Net income (loss) attributable to noncontrolling interest		532,546			—			(532,546	)
Net income (loss) attributable to Aspect Series	$	4,485,944		$	—		$	(4,485,944	)
Net increase/(decrease) in net assets resulting from operations	$	—		$	4,485,944		$	4,485,944

- 12 -

	Three Months Ended September 30, 2011
	As Reported			As if Consolidated			Effect of Change
NET INVESTMENT INCOME ALLOCATED FROM ALPHAMETRIX ASPECT FUND - MT0001:
Interest income	$	6,701		$	—		$	(6,701	)
Trading costs		(24,603	)		—			24,603
Interest expense		(890	)		—			890
Bank fees		—			—			—
Net investment income allocated from AlphaMetrix Aspect Fund - MT0001		(18,792	)		—			18,792
Trading gains (losses):
Net realized gain (loss)		—			7,685,474			7,685,474
Net change in unrealized appreciation (depreciation) on open contracts		—			1,513,727			1,513,727
Brokerage commission		—			(28,229	)		(28,229	)
Net trading gains (losses)		—			9,170,972			9,170,972
SERIES NET INVESTMENT INCOME/(LOSS)
Interest income		—			7,700			7,700
Operating costs		(107,516	)		(107,516	)		—
Management fee		(381,413	)		(381,413	)		—
Performance fee		(1,080,526	)		(1,080,526	)		—
Sales commission		(378,977	)		(378,977	)		—
Sponsor’s fee		(94,744	)		(94,744	)		—
Interest expense		—			(1,018	)		(1,018	)
Net investment income (loss)		(2,043,176	)		(2,036,494	)		6,682
REALIZED AND UNREALIZED GAIN (LOSS) ALLOCATED FROM ALPHAMETRIX ASPECT FUND - MT0001
Net realized gain/(loss)		6,692,839			—			(6,692,839	)
Net increase/(decrease) in unrealized appreciation/(depreciation)		1,346,245			—			(1,346,245	)
Total realized and unrealized gain/(loss) allocated from AlphaMetrix Aspect Fund - MT0001		8,039,084			—			(8,039,084	)
		—			7,134,478			7,134,478
Less: Net income (loss) attributable to noncontrolling interest		—			1,157,362			1,157,362
Net income (loss) attributable to Aspect Series	$	—		$	5,977,116		$	5,977,116
Net increase/(decrease) in net assets resulting from operations	$	5,977,116		$	—		$	(5,977,116	)

- 13 -

	Nine Months Ended September 30, 2011
	As Reported			As if Consolidated			Effect of Change
NET INVESTMENT INCOME ALLOCATED FROM ALPHAMETRIX ASPECT FUND - MT0001:
Interest income	$	6,701		$	—		$	(6,701	)
Trading costs		(79,256	)		—			79,256
Interest expense		(15,338	)		—			15,338
Bank fees		(103	)		—			103
Net investment income allocated from AlphaMetrix Aspect Fund - MT0001		(87,996	)		—			87,996
Trading gains (losses):
Net realized gain (loss)		—			9,906,659			9,906,659
Net change in unrealized appreciation (depreciation) on open contracts		—			(2,035,856	)		(2,035,856	)
Brokerage commission		—			(90,636	)		(90,636	)
Net trading gains (losses)		—			7,780,167			7,780,167
SERIES NET INVESTMENT INCOME/(LOSS)
Interest income		—			7,700			7,700
Operating costs		(315,424	)		(315,541	)		(117	)
Management fee		(1,091,975	)		(1,091,975	)		—
Performance fee		(1,151,168	)		(1,151,168	)		—
Sales commission		(1,088,237	)		(1,088,237	)		—
Sponsor’s fee		(272,059	)		(272,059	)		—
Interest expense		—			(17,512	)		(17,512	)
Net investment income (loss)		(3,918,863	)		(3,928,792	)		(9,929	)
REALIZED AND UNREALIZED GAIN (LOSS) ALLOCATED FROM ALPHAMETRIX ASPECT FUND - MT0001
Net realized gain/(loss)		8,648,628			—			(8,648,628	)
Net increase/(decrease) in unrealized appreciation/(depreciation)		(1,767,584	)		—			1,767,584
Total realized and unrealized gain/(loss) allocated from AlphaMetrix Aspect Fund - MT0001		6,881,044			—			(6,881,044	)
		—			3,851,375			3,851,375
Less: Net income (loss) attributable to noncontrolling interest		—			977,190			977,190
Net income (loss) attributable to Aspect Series	$	—		$	2,874,185		$	2,874,185
Net increase/(decrease) in net assets resulting from operations	$	2,874,185		$	—		$	(2,874,185	)

- 14 -

The effects of the changes upon the unaudited Statements of Changes in Members’ Capital are as follows:

	Nine Months Ended September 30, 2010 As Originally Reported
	AlphaMetrix Managed Futures LLC (Aspect Series)
																				AlphaMetrix Managed Futures LLC
	Members						Sponsor				Noncontrolling interest			Total
	Amount			Units			Amount		Units		Amount		Units	Amount			Units			Amount			Units
Members capital at January 1, 2010	$	59,498,830			52,347.66		$	9,231		8.12	$	1,896,908	n/a	$	61,404,969			52,355.78		$	61,404,969			52,355.78
Members’ subscriptions		4,847,469			4,206.07			—		—		—	n/a		4,847,469			4,206.07			4,847,469			4,206.07
Members’ redemptions		(6,072,441	)		(5,217.35	)		—		—		—	n/a		(6,072,441	)		(5,217.35	)		(6,072,441	)		(5,217.35	)
Noncontrolling interest		—			—			—		—		2,545,436	n/a		2,545,436			—			2,545,436			—
Net income/(loss)		4,485,248			—			696		—		532,546	n/a		5,018,490			—			5,018,490			—
Members’ capital at September 30, 2010	$	62,759,106			51,336.38		$	9,927		8.12	$	4,974,890	n/a	$	67,743,923			51,344.50		$	67,743,923			51,344.50
Net asset value per unit at January 1, 2010	$	1,136.609					$	1,136.609
Change in net asset value per unit		85.898						85.898
Net asset value per unit at September 30, 2010	$	1,222.507					$	1,222.507

	As Adjusted
	AlphaMetrix Managed Futures LLC (Aspect Series)
																	AlphaMetrix Managed Futures LLC
	Members						Sponsor					Total
	Amount			Units			Amount			Units		Amount			Units		Amount			Units
Members capital at January 1, 2010	$	59,498,830			52,347.66		$	9,231			8.12	$	59,508,061		52,355.78		$	59,508,061			52,355.78
Members’ subscriptions		4,847,469			4,206.07			—			—		4,847,469		4,206.07			4,847,469			4,206.07
Members’ redemptions		(6,072,441	)		(5,217.35	)		—			—		(6,072,441	)	(5,217.35	)		(6,072,441	)		(5,217.35	)
Net investment income/(loss)		(2,643,980	)		—			(413	)		—		(2,644,393	)	—			(2,644,393	)		—
Net realized and unrealized gain/(loss) allocated from AlphaMetrix Aspect Fund - MT0001		7,129,228			—			1,109			—		7,130,337		—			7,130,337			—
Members’ capital at September 30, 2010	$	62,759,106			51,336.38		$	9,927			8.12	$	62,769,033		51,344.50		$	62,769,033			51,344.50
Net asset value per unit at January 1, 2010	$	1,136.609					$	1,136.609
Change in net asset value per unit		85.898						85.898
Net asset value per unit at September 30, 2010	$	1,222.507					$	1,222.507

	Effect of Change
	AlphaMetrix Managed Futures LLC (Aspect Series)
																				AlphaMetrix Managed Futures LLC
	Members					Sponsor					Noncontrolling interest				Total
	Amount			Units		Amount			Units		Amount			Units	Amount			Units		Amount			Units
Members capital at January 1, 2010		—			—	$	—			—	$	(1,896,908	)	n/a	$	(1,896,908	)		—	$	(1,896,908	)		—
Members’ subscriptions		—			—		—			—		—		n/a		—			—		—			—
Members’ redemptions		—			—		—			—		—		n/a		—			—		—			—
Noncontrolling interest		—			—		—			—		(2,545,436	)	n/a		(2,545,436	)		—		(2,545,436	)		—
Net investment income/(loss)		(2,643,980	)		—		(413	)		—		—		n/a		(2,644,393	)		—		(2,644,393	)		—
Net realized and unrealized gain/(loss) allocated from AlphaMetrix Aspect Fund - MT0001		7,129,228			—		1,109			—		—		n/a		7,130,337			—		7,130,337			—
Net income/(loss)		(4,485,248	)		—		(696	)		—		(532,546	)	n/a		(5,018,490	)		—		(5,018,490	)		—
Members’ capital at September 30, 2010	$	—			—	$	—			—	$	(4,974,890	)	n/a	$	(4,974,890	)		—	$	(4,974,890	)		—
Net asset value per unit at January 1, 2010	$	—				$	—
Change in net asset value per unit		—					—
Net asset value per unit at September 30, 2010	$	—				$	—

- 15 -

	Nine Months Ended September 30, 2011 As Reported
	AlphaMetrix Managed Futures LLC (Aspect Series)
																	AlphaMetrix Managed Futures LLC
	Members						Sponsor					Total
	Amount			Units			Amount			Units		Amount			Units		Amount			Units
Members capital at January 1, 2011	$	63,839,812			50,277.92		$	10,310			8.12	$	63,850,122		50,286.04		$	63,850,122			50,286.04
Members’ subscriptions		16,673,179			13,150.24			—			—		16,673,179		13,150.24			16,673,179			13,150.24
Members’ redemptions		(8,248,704	)		(6,450.88	)		—			—		(8,248,704	)	(6,450.88	)		(8,248,704	)		(6,450.88	)
Noncontrolling interest		—			—			—			—		—		—			—			—
Net investment income/(loss)		(4,006,286	)		—			(573	)		—		(4,006,859	)	—			(4,006,859	)		—
Net realized and unrealized gain/(loss) allocated from AlphaMetrix Aspect Fund - MT0001		6,880,074			—			970			—		6,881,044		—			6,881,044			—
Members’ capital at September 30, 2011	$	75,138,075			56,977.27		$	10,707			8.12	$	75,148,782		56,985.39		$	75,148,782			56,985.39
Net asset value per unit at January 1, 2011	$	1,269.739					$	1,269.739
Change in net asset value per unit		48.999						48.999
Net asset value per unit at September 30, 2011	$	1,318.738					$	1,318.738

	As if Consolidated
	AlphaMetrix Managed Futures LLC (Aspect Series)
																						AlphaMetrix Managed Futures LLC
	Members						Sponsor					Noncontrolling interest				Total
	Amount			Units			Amount			Units		Amount			Units	Amount			Units			Amount			Units
Members capital at January 1, 2011	$	63,839,812			50,277.92		$	10,310			8.12	$	8,236,721		n/a	$	72,086,843			50,286.04		$	72,086,843			50,286.04
Members’ subscriptions		16,673,179			13,150.24			—			—		—		n/a		16,673,179			13,150.24			16,673,179			13,150.24
Members’ redemptions		(8,248,704	)		(6,450.88	)		—			—		—		n/a		(8,248,704	)		(6,450.88	)		(8,248,704	)		(6,450.88	)
Noncontrolling interest		—			—			—			—		687,633		n/a		687,633			—			687,633			—
Net investment income/(loss)		(4,006,286	)		—			(573	)		—		(12,568	)	n/a		(4,019,427	)		—			(4,019,427	)		—
Net realized and unrealized gain/(loss) allocated from AlphaMetrix Aspect Fund - MT0001		6,880,074			—			970			—		989,758		n/a		7,870,802			—			7,870,802			—
Members’ capital at September 30, 2011	$	75,138,075			56,977.28		$	10,707			8.12	$	9,901,544		n/a	$	85,050,326			56,985.40		$	85,050,326			56,985.40
Net asset value per unit at January 1, 2011	$	1,269.739					$	1,269.739
Change in net asset value per unit		48.999						48.999
Net asset value per unit at September 30, 2011	$	1,318.738					$	1,318.738
	Effect of Change
	AlphaMetrix Managed Futures LLC (Aspect Series)
																						AlphaMetrix Managed Futures LLC
	Members						Sponsor					Noncontrolling interest				Total
	Amount			Units			Amount			Units		Amount			Units	Amount			Units			Amount			Units
Members capital at January 1, 2011	$	—			—		$	—			—	$	8,236,721		n/a	$	8,236,721			—		$	8,236,721			—
Members’ subscriptions		—			—			—			—		—		n/a		—			—			—			—
Members’ redemptions		—			—			—			—		—		n/a		—			—			—			—
Noncontrolling interest		—			—			—			—		687,633		n/a		687,633			—			687,633			—
Net investment income/(loss)		—			—			—			—		(12,568	)	n/a		(12,568	)		—			(12,568	)		—
Net realized and unrealized gain/(loss) allocated from AlphaMetrix Aspect Fund - MT0001		—			—			—			—		989,758		n/a		989,758			—			989,758			—
Members’ capital at September 30, 2011	$	—			—		$	—			—	$	9,901,544		n/a	$	9,901,544			—		$	9,901,544			—
Net asset value per unit at January 1, 2011	$	—					$	—
Change in net asset value per unit		—						—
Net asset value per unit at September 30, 2011	$	—					$	—

- 16 -

(2) Summary of Significant Accounting Policies

The accounting records for the Platform and Series are maintained in accordance with accounting principles generally accepted in the United States of America (“GAAP”). Following is a summary of significant accounting policies consistently followed in the preparation of the financial statements. The Platform includes the accounts of the Aspect Series.

Investment

The Series invests substantially all of its assets in the Master Fund. The Series’ investment in the Master Fund is carried at fair value and represents the Series’ pro rata interest in the net assets of the Master Fund as of the close of business on the relevant valuation date. The Master Fund’s assets are carried at fair value. At each valuation date, the Master Fund’s income, expenses, net realized gain/(loss) and net increase/(decrease) in unrealized appreciation/(depreciation) are allocated to the Series based on the Series’ pro rata interest in the net assets of the Master Fund, and recorded in the Series’ Statements of Operations. The Master Fund provides the Series with daily estimated net asset valuations. The unaudited financial statements of the Master Fund are attached to this report as Exhibit 99.1 and should be read in conjunction with the Series’ financial statements.

Basis of Presentation

Pursuant to rules and regulations of the SEC, financial statements are presented for the Platform as a whole and for the Aspect Series. The accompanying financial statements and notes thereto include financial statements and footnote totals for the Fund as a whole. For the avoidance of doubt, the debts, liabilities, obligations and expenses incurred, contracted for or otherwise existing with respect to a particular segregated series shall be enforceable only against the assets of such series and not against the assets of the Platform generally or any other segregated series. Accordingly, the assets of one segregated series of the Platform include only those funds and other assets that are paid to, held by or distributed to the Platform on account of and for the benefit of that segregated series, including, without limitation, funds delivered to the Platform for the purchase of Units in that segregated series. As of September 30, 2011 and 2010, and December 31, 2010, the Aspect Series exists as the only segregated series on the Platform.

The Series is a feeder fund to the Master Fund and other funds sponsored by the Sponsor invest in the Master Fund. At September 30, 2011, the Series’ investment in the Master Fund was $66,180,955, approximately 87% of the Master Fund’s net assets. In accordance with Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) 946Financial Services – Investment Companies, the Series and the Master Fund are not consolidated.

Receivable from the Master Fund

Represents amounts due from the Master Fund for redemptions effective September 30, 2011 and December 31, 2010 but paid subsequent to that date. There were no such amounts receivable at September 30, 2011 or December 31, 2010.

Cash

Cash is maintained in the custody of commercial banks.

Prepaid assets

Prepaid assets represent insurance contracts that are maintained by the Series. Premiums paid are capitalized and expensed over the term of the contract.

Subscriptions received in advance

Subscriptions received in advance are subscriptions for Units effective subsequent to period end.

- 17 -

Redemptions payable

Redemptions payable are Unit redemptions effective September 30, 2011 and December 31, 2010 but paid subsequent to that date.

Income Taxes

The Platform follows the provisions of FASB ASC Topic 740,Income Taxes (“ASC 740”), related to accounting for uncertainty in income taxes. ASC 740 prescribes the minimum recognition threshold a tax position must meet in connection with accounting for uncertainties in income tax positions taken or expected to be taken by an entity before being measured and recognized in the financial statements. ASC 740 requires the evaluation of tax positions taken in the course of preparing the tax returns to determine whether the tax positions are “more-likely-than-not” of being sustained by the applicable tax authority. Tax benefits of positions not deemed to meet the more-likely-than-not threshold would be recorded as a tax expense in the current period. As of September 30, 2011 and 2010, no liability was recognized in connection with ASC 740. The Platform is subject to income tax examinations by tax authorities for all tax years since its inception date.

No provision has been made in the accompanying financial statements for U.S. federal or state income taxes. As the Series is a partnership for tax purposes, the Series’ Members are individually responsible for reporting income or loss based on such Investor’s share of the Series’ income and expenses as reported for income tax purposes.

Use of Estimates

The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates.

Interest Income/Expense

Interest income and expense is recognized on an accrual basis. Interest income or expense may include (1) the allocation from the Master Fund of the Master Fund’s interest income/expense from its broker, or (2) interest income from the Series’ bank account.

Fair Value Measurements and Disclosures

FASB ASC 820,Fair Value Measurements and Disclosures (“ASC 820”) defines fair value, establishes a framework for measuring fair value and expands disclosures about fair value measurements. ASC 820 also emphasizes that fair value is a market-based measurement, not an entity-specific measurement, and sets out a fair value hierarchy with the highest priority being quoted prices in active market. Under ASC 820, fair value measurements are disclosed by level within that hierarchy, as follows:

Level 1 — Values for investments classified as Level 1 are based on unadjusted quoted prices for identical investments in an active market. Since valuations are based on quoted prices that are readily accessible at the measurement date, valuation of these investments does not entail a significant degree of judgment.

Level 2 — Values for investments classified as Level 2 are based on quoted prices for similar investments in active or non-active markets for which all significant inputs are observable either directly or indirectly. Level 2 inputs may also include discounts related to restrictions on the investments.

Level 3 — Values for investments categorized as Level 3 are based on prices or valuation techniques that require inputs that are both significant to the fair value and unobservable, including valuations by the Sponsor or custodian in the absence of readily ascertainable market values.

The Series invests its assets in the Master Fund. The classification of the Master Fund’s investments in accordance with ASC 820 is discussed in the notes to the financial statements of the Master Fund.

- 18 -

Derivative Instruments

FASB ASC 815,Derivatives and Hedging (“ASC 815”) requires qualitative disclosure about objectives and strategies for using derivatives, quantitative disclosures about fair value amounts of and gains and losses on derivative instruments and disclosures about credit-risk-related contingent features in derivative agreements. The Series invests substantially all of its assets in its Master Fund which engages in the speculative trading of U.S. and foreign futures contracts, options on futures contracts, and forward currency contracts (collectively “derivatives”). The disclosures required by ASC 815 for the Master Fund are discussed in the notes to the financial statements of the Master Fund. The Series does not directly trade derivatives.

Distributions

The Sponsor does not intend to make any distributions. Consequently, in order to pay the taxes attributable to their investment in the Series, Members must either redeem Units or pay such taxes from other sources.

Subscriptions

Units are purchased generally at the beginning of each calendar month based on the net asset value per Unit for all other purposes (see Note 3) calculated for the prior month-end.

Completed Subscription Agreements relative to each series must be received by the appropriate Selling Agent no later than seven calendar days prior to the first day of any month in which a Member intends to invest. Members are initially issued units at $1,000 per unit as of the date of the commencement of operations and at the current Net Asset Value (“NAV”) for all dates thereafter.

Existing Members may make an additional investment by completing, and submitting to the Selling Agents, a short-form Subscription Agreement, as provided by the Sponsor.

The Sponsor, in its sole discretion and for any reason, may decline to accept the subscription of any prospective Member.

Redemptions

Units may be redeemed as of the end of any calendar month (each, a “Redemption Date”) at the Net Asset Value per Unit at such Redemption Date. Redemption requests must be received by the 15th day of the calendar month of such Redemption Date or the following business day if the 15th is not a business day. The Sponsor may permit redemptions at other times and on shorter notice.

The Net Asset Value of redeemed Units is determined as of the Redemption Date for purposes of determining the redemption proceeds due to Members. Members will remain subject to fluctuations in such Net Asset Value during the period between submission of their redemption requests and the applicable Redemption Date. The Net Asset Value of Units on the designated Redemption Date may differ materially from the Net Asset Value of such Units as of the date on which an irrevocable redemption request must be submitted.

When Units are redeemed (or exchanged), any accrued fees (including performance fees) and expenses reduce the redemption proceeds paid to members.

Indemnifications

In the normal course of business, the Series enters into contracts and agreements that contain a variety of representations and warranties and which would provide general indemnifications. The maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Series that have not yet occurred. The Series expects the risk of any future obligation under these indemnifications to be remote.

- 19 -

(3) Related Party Transactions

2011

Each Member or Member-related account is subject to an upfront, waivable placement fee of 0%-2% of the subscription price of the Units, which will be paid once by the relevant Member (not by the Series or by the Sponsor) on each of such Member’s subscriptions to the Series to UBS Financial Services Inc. (“UBS FS”), an affiliate of the Clearing Broker and former sponsor (see Note 1). The placement fee payable on such initial subscription is deducted from the subscription amount by UBS FS. Upfront placement fees of $30,132 and $134,378 and $16,362 and $29,966 for the three and nine months ended September 30, 2011 and 2010, respectively, were deducted from proceeds received from the Members.

Members are subject to an ongoing sales commission paid to UBS FS and Credit Suisse Securities LLC, equal to 2% per annum of the month-end net asset value for all other purposes (see below). The Series incurred sales commissions of $1,088,237 and $914,350 for the nine months ended September 30, 2011 and 2010, respectively, and accrued $125,736 and $105,108 owed to UBS FS and Credit Suisse Securities LLC at September 30, 2011 and 2010, respectively. UBS FS or Credit Suisse Securities LLC, in consultation with the Sponsor, may waive or reduce the sales commission for certain Members without entitling any other Member to such waiver or reduction.

Additionally, effective January 1, 2008, 0.50% of the 2.0% management fee is shared by the Trading Advisor with UBS FS (refer to Note (4) for further details on the management fee).

The Sponsor receives a monthly sponsor fee of 0.04166 of 1% (a 0.50% annual rate) of the Series’ month-end net asset value for all other purposes, including interest income, of a Member’s investment in the Series for such month. The Sponsor reserves the right to waive or reduce the fee at its sole discretion. The Series incurred Sponsor’s fees of $94,744 and $272,059 and $76,472 and $228,587 for the three and nine months ended September 30, 2011 and 2010, respectively, and accrued $31,434 and $26,277 payable to the Sponsor at September 30, 2011 and 2010, respectively.

The former sponsor paid all expenses incurred in connection with the organizational and initial offering of the Units at the Series level. As described in the Series’ current Confidential Disclosure Document, the Series reimbursed the former sponsor for these costs. For financial reporting purposes in conformity with GAAP, the Series expensed the total organizational costs of $208,820 when incurred and deducted the initial offering costs of $119,732 from Members’ capital as of March 16, 2007 (the date of commencement of operations of the Series) (“net asset value for financial reporting” or the “net asset value per Unit for financial reporting”). For all other purposes, including determining the net asset value per Unit for subscription and redemption purposes, the Series amortizes organizational and initial offering costs over a 60 month period (“net asset value for all other purposes” or the “net asset value per Unit for all other purposes”).

Aspect Series Net Asset Values

The quarterly net asset value and net asset value per Unit since commencement of operations are as follows:

- 20 -

	Net Asset Value						Net Asset Value per Unit
	All Other Purposes		Financial Reporting		Number of Units		All Other Purposes			Financial Reporting
Price at Commencement*							$	1,000.00		$	1,000.00
March 31, 2007	$	7,805,411	$	7,479,686		7,760.62		1,005.772			963.801
June 30, 2007		13,409,546		13,100,248		11,988.08		1,118.573			1,092.773
September 30, 2007		18,932,687		18,639,817		18,241.85		1,037.871			1,021.816
December 31, 2007		16,034,264		15,757,821		14,700.02		1,090.765			1,071.959
March 31, 2008		20,507,363		20,247,348		17,025.49		1,204.509			1,189.237
June 30, 2008		50,168,558		49,924,971		40,063.82		1,252.216			1,246.136
September 30, 2008		59,013,279		58,786,119		52,463.77		1,124.839			1,120.509
December 31, 2008		71,216,262		71,005,529		53,002.45		1,343.641			1,339.665
March 31, 2009		66,062,490		65,868,185		50,663.64		1,303.950			1,300.108
June 30, 2009		48,597,098		48,419,221		43,344.52		1,121.182			1,117.074
September 30, 2009		65,446,804		65,285,354		55,797.55		1,172.933			1,170.040
December 31, 2009		59,653,082		59,508,061		52,355.78		1,139.379			1,136.609
March 31, 2010		61,712,630		61,584,035		52,710.17		1,170.792			1,168.352
June 30, 2010		58,685,934		58,573,769		50,598.99		1,159.824			1,157.607
September 30, 2010		62,864,771		62,769,033		51,344.51		1,224.372			1,222.507
December 31, 2010		63,929,433		63,850,122		50,286.04		1,271.316			1,269.739
March 31, 2011		69,735,670		69,672,788		55,107.50		1,265.448			1,264.307
June 30, 2011		70,137,681		70,091,226		57,603.59		1,217.592			1,216.786
September 30, 2011		75,178,811		75,148,782		56,985.40		1,319.265			1,318.738
Total return after performance fee, from the commencement of operations through the period ended September 30, 2011								31.93	%		31.87	%

* Commencement of operations of the Series was March 16, 2007

(4) Advisory Agreement

The Series will pay its own operating costs plus its proportionate share of the Master Fund’s expenses, including, without limitation: ongoing offering expenses; trading costs (including execution and clearing brokerage commissions); forward and other over-the-counter trading spreads; administrative, transfer, exchange and redemption processing, legal, regulatory, reporting, filing, tax, audit, escrow, accounting and printing fees and expenses, as well as extraordinary expenses. Such operating costs are allocated pro rata among the Units based on their respective net asset values for all other purposes. These expenses are paid in addition to the other expenses described below.

The Sponsor has retained outside service providers to supply certain services, including, without limitation, tax reporting, accounting, legal, and escrow services. Operating costs include the Series’ allocable share of the fees and expenses of such outside service providers.

Under signed agreement, the Trading Advisor for the Series receives a monthly Management Fee at the rate of 0.167% (a 2% annual rate) of the Series’ month-end net asset value for all other purposes (see Note 3) calculated before reduction for any Management Fees, Performance Fees, Sponsor’s Fees, Sales Commission or extraordinary fees accrued (including Performance Fees accrued in a prior month) as of such month-end and before giving effect to any capital contributions made as of the beginning of the month immediately following such month-end and

- 21 -

before any distributions or redemptions accrued during or as of such month-end, but after all expenses as of such month-end. The Series incurred Management Fees of $1,091,975 and $916,193 for the nine months ended September 30, 2011 and 2010, respectively, and accrued $0 owed to the Trading Advisor at September 30, 2011 and 2010, respectively.

Also, under signed agreement, the Trading Advisor receives a quarterly Performance Fee equal to 20% of the new net trading profits, if any, of the Series calculated before deducting the Administrative Fee, the Sponsor’s Fee and Sales Commission but after deducting the Management Fee. The Series incurred Performance Fees of $1,151,168 and $185,499 during the nine months ended September 30, 2011 and 2010, respectively, no amounts were accrued and owed to the Trading Advisor at September 30, 2011 and 2010, respectively.

As the Management and Performance Fees are paid out of the Master Fund, via a redemption by the Series from the Master Fund, the amounts of Management and Performance Fees owed to the Trading Advisor as of September 30, 2011 and 2010 are reflected on the Master Fund’s Statements of Financial Condition as Payable to Trading Advisor.

(5) Trading Activities and Related Market and Credit Risk

Through its investment in the Master Fund, the Series engages in the speculative trading of U.S. and foreign futures contracts and forward contracts. This includes both financial and non-financial contracts held as part of a diversified trading strategy. The Series is exposed to both market risk and credit risk through its investment in the Master Fund. Derivative financial instruments speculatively traded by the Master Fund can include U.S. and foreign futures and options on futures contracts, exchange for physical transactions, forward currency contracts and swap contracts (collectively, “derivatives”) whose values are based upon an underlying asset, indices, or reference rates, and generally represent future commitments to exchange cash flows, or to purchase or sell other financial instruments at specified future dates. A derivative contract may be traded on an exchange or over the counter (“OTC”). Exchange-traded derivatives are standardized and include futures and option on futures contracts. OTC derivative contracts are negotiated between contracting parties and include forwards, swaps, and certain options. Derivatives are subject to various risks similar to those related to the underlying financial instruments including market and credit risks.

Market risk is the potential for changes in the value of derivatives due to market changes, including interest and foreign exchange rate movements and fluctuations in commodity and security prices. Market risk is directly impacted by the volatility and liquidity in the markets in which the related underlying assets are traded. The market risk is managed by the Master Fund Trading Advisor according to its trading program. The Master Fund is exposed to a market risk equal to the notional contract value of the derivatives 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. Credit risk due to exchange traded financial instruments is significantly reduced by the regulatory requirements of the individual exchanges on which the instruments are traded. At any point in time, the credit risk for OTC derivatives is limited to the net unrealized gain as reported in the Master Fund’s Condensed Statements of Financial Condition for each counterparty for which a netting agreement exists, if any. In a similar fashion, liabilities represent net amounts owed to counterparties. This netting basis is executed across products and cash collateral when these provisions are specified in the netting agreement.

Purchase and sale of futures contracts requires margin deposits with the Clearing Broker. Additional deposits may be necessary for any loss on contract value. The Commodity Exchange Act requires a broker to segregate all customer transactions and assets from such broker’s proprietary activities. A customer’s cash and other property (for example, U.S. Treasury bills) deposited with a broker are considered commingled with all other customer funds subject to the broker’s segregation requirements. In the event of a broker’s insolvency, recovery may be limited to a pro rata share of segregated funds available. It is possible that the recovered amount could be less than total cash and other property deposited.

The Master Fund trades forward currency contracts in unregulated markets between principals and assumes the risk of loss from counterparty nonperformance. Accordingly, the risks associated with forward currency contracts are generally greater than those associated with exchange traded contracts because of the greater risk of counterparty default. Additionally, the trading of forward currency contracts typically involves delayed cash settlement.

- 22 -

The Master Fund has a substantial portion of its assets on deposit with a counterparty. In the event of the counterparty’s insolvency, recovery of the Master Fund’s assets on deposit may be limited to account insurance or other protection afforded such deposits.

To evaluate and monitor counterparty risk of the Clearing Broker for each counterparty, the AlphaMetrix Risk Department initially evaluates the credit ratings from the major agencies: Moody’s, Standard & Poor’s and Fitch Ratings. Credit ratings and outlooks are monitored daily for downgrades whereby an investigation is initiated upon an adverse occurrence. Further, any large decline in the daily stock price also triggers an investigation. Lastly, quarterly reports on earnings and future outlooks from counterparties are reviewed and analyzed for unfavorable results by the Risk Department.

(6) Financial Highlights

The following financial highlights show the Series’ financial performance for the nine months ended September 30, 2011 and 2010, respectively, in the table below. All performance returns noted are calculated based on the net asset value per Unit for financial reporting, with organizational costs incurred prior to issuance of Units being expensed at the commencement of the operations of the Series. Total return is calculated as the change in a theoretical Member’s investment over the entire period-a percentage change in the Member’s capital value for the period. The information has been derived from information presented in the condensed financial statements.

     Regarding the information shown in the table below:

• Per Unit operating performance is computed based upon the weighted-average net Units for the periods ended September 30, 2011 and 2010. Total return is calculated as the change in the net asset value per Unit for the nine months ended September 30, 2011 and 2010 and is not annualized.

• The net investment loss and total expense ratios are computed based upon the weighted average net assets for the nine months ended September 30, 2011 and 2010. Weighted average net assets include the performance fee and are computed using month-end net assets. Net investment loss and expenses include the Series proportionate share of the Master Fund’s investment income (loss) and expenses, respectively. Such ratios have been annualized, with the exception of the performance fee.

An individual member’s total return and ratios may vary from those below based on the timing of capital transactions.

- 23 -

	Nine Months Ended September 30, 2011			Nine Months Ended September 30, 2010
Members’ capital per Unit at beginning of period	$	1,269.739		$	1,136.609
Per Unit data (for a unit outstanding throughout the period)
Net investment loss		(72.523	)		(50.671	)
Net realized and unrealized gain on investments		121.522			136.569
Total from investment operations		48.999			85.898
Members’ capital per Unit at end of period	$	1,318.738		$	1,222.507
Total return:
Total return before performance fee		5.50	%		7.87	%
Performance fee		(1.64	)%		(0.31	)%
Total return after performance fee		3.86	%		7.56	%
Ratios to average Members’ capital
Net investment loss		(7.02	)%		(5.71	)%
Expenses:
Expenses		5.40	%		5.42	%
Performance fee		1.63	%		0.31	%
Total expenses		7.03	%		5.73	%

(7) Subsequent Events

In accordance with FASB ASC 855,Subsequent Events, the Series has evaluated and disclosed all subsequent events through the date the financial statements are issued. Except for the matters discussed in the following paragraph, there are no material events that would require disclosure in or adjustment to the Series’ financial statements through this date.

Member Subscriptions and Redemptions

Subsequent to September 30, 2011, Members subscribed approximately $3,500,468 (of which $1,971,737 represents subscriptions received in advance as of September 30, 2011) and redeemed approximately $472,633 (of which $105,386 represents redemptions payable at September 30, 2011) through the issue date of the financial statements on November 14, 2011.

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

Reference is made to Item 1 “Financial Statements.” The information contained therein is essential to, and should be read in connection with, the following analysis.

All figures and performance returns noted in this Item 2 are based on the net asset value and/or the net asset value per Unit for all other purposes, which complies with GAAP, except with respect to estimated organizational and initial offering costs (which are being amortized over 60 months) as described in the “Notes to Financial Statements

- 24 -

– (3) Related Party Transactions.” All figures and performance returns communicated to investors are based on the net asset value and/or the net asset value per Unit for all other purposes.

In order to satisfy the Sponsor’s obligations under applicable anti-money laundering laws and regulations, investors will be required to make certain representations, warranties and covenants in the AlphaMetrix Managed Futures LLC Subscription Agreement concerning the nature of the investor, its investment in the Series and certain other related matters. In addition, the Sponsor reserves the right to request such additional information from investors as the Sponsor, in its sole discretion, requires in order to satisfy its anti-money laundering obligations. By subscribing for Units, each Member agrees to provide such information to the Sponsor upon its request.

Operational Overview

This performance summary describes the manner in which the Series has performed in the past and is not an indication of future performance. While certain market movements are attributable to various market factors, such factors may or may not have caused such movements but they may have simply occurred at or about the same time.

The Series is unlikely to be profitable in markets in which trends do not occur. Static or erratic prices are likely to result in losses. Similarly, sharp trend reversals, which can be caused by many unexpected events, can lead to major short-term losses, as well as gains.

While there is no assurance the Series will profit in any market condition, markets having substantial and sustainable price movements offer the best profit potential for the Series.

Liquidity

Virtually all of the Series’ capital is held in cash at a bank or invested in the Master Fund. The Series’ investment in the Master Fund is held as cash or investment at the Master Fund’s Clearing Broker and used to margin the futures and forward currency positions and is withdrawn, as necessary, to pay redemptions and expenses. The Series does not maintain any sources of financing other than that made available by the Master Fund’s Clearing Broker to fund foreign currency settlements for those instruments transacted and settled in foreign currencies. The Master Fund pays prevailing market rates for such borrowings.

A portion of the assets maintained at the Master Fund’s Clearing Broker is restricted cash required to meet maintenance margin requirements. Included in cash deposits with the Clearing Brokers as of September 30, 2011 and 2010 was restricted cash for margin requirements of $9,469,237 and $6,231,112, respectively. This cash becomes unrestricted if the underlying positions it supports are liquidated.

Other than potential market-imposed limitations on liquidity, due, for example, to limited open interest in certain futures markets or to daily price fluctuation limits, which are inherent in the Master Fund’s futures and forward currency trading, the Master Fund’s and the Series’ assets are highly liquid and are expected to remain so. Because the Master Fund’s assets are held in cash, it expects to be able to liquidate all of its open positions or holdings quickly and at prevailing market prices, except in unusual circumstances. This generally permits the Trading Advisor to enter and exit markets, leverage and deleverage in accordance with its strategy. From its commencement of operations on March 16, 2007 through September 30, 2011, the Master Fund experienced no meaningful periods of illiquidity in any of the markets in which it traded.

The Series processed redemptions on a monthly basis. The Series incurred redemptions of $8,248,704 (6,450.88 units) and $6,072,441 (5,217.35 units) for the nine months ended September 30, 2011 and 2010, respectively, of which $105,386 remained unpaid and is included in redemptions payable to investors in the Series at September 30, 2011.

Capital Resources

The Series’ Units may be offered for sale as of the beginning, and may be redeemed as of the end, of each month.

The amount of capital raised for the Series is not expected to have a significant impact on its operations, as the Series has no significant capital expenditure or working capital requirements other than for investment in the Master

- 25 -

Fund and Member redemptions. The amount of capital invested in the Master Fund is not expected to have a significant impact on the Master Fund’s operations, as the Master Fund has no significant capital expenditure or working capital requirements other than for monies to pay trading losses, trading costs and expenses. Within broad ranges of capitalization, the Master Fund’s trading positions should increase or decrease in approximate proportion to the size of the Series’ investment in the Master Fund.

The Series raises additional capital only through the sale of Units and capital is increased through trading profits (if any). The Series does not maintain any sources of financing other than that made available by the Clearing Broker to fund foreign currency settlements for those instruments transacted and settled in foreign currencies.

The Series raises additional capital only through the sale of Units and capital is increased through the Series’ pro rata share of the Master Fund’s trading profits (if any). The Series does not maintain any sources of financing. The Master Fund does not maintain any sources of financing other than that made available by the Clearing Brokers to fund foreign currency settlements for those instruments transacted and settled in foreign currencies.

The Master Fund may trade a variety of futures-related instruments, including (but not limited to) instruments related to bonds, currencies, interest rates, equities, equity indices, debt securities and selected physical commodities and derivatives. Risk arises from changes in the value of these contracts (market risk) and the potential inability of counterparties or brokers to perform under the terms of their contracts (credit risk). Market risk is generally to be measured by the face amount of the futures positions acquired and the volatility of the markets traded. The credit risk from counterparty non-performance associated with these instruments is the net unrealized gain, if any, on these positions plus the value of the margin or collateral held by the counterparty. The risks associated with exchange-traded contracts are generally perceived to be less than those associated with over-the-counter transactions (“OTC”), because exchanges typically (but not universally) provide clearinghouse arrangements in which the collective credit (in some cases limited in amount, in some cases not) of the members of the exchange is pledged to support the financial integrity of the exchange. In over-the-counter transactions, on the other hand, traders must rely solely on the credit of their respective individual counterparties. Margins that may be subject to loss in the event of a default are generally required in exchange trading, and counterparties may require margin or collateral in the OTC markets.

The Master Fund’s Trading Advisor attempts to control risk in all aspects of the investment process, although there can be no assurance that it will, in fact, succeed in doing so. The Master Fund is designed to take market risk on a systematic basis across a broad portfolio of liquid markets and to monitor and minimize exposure to all other risks, such as credit and liquidity risks. The trading systems used include various proprietary systems that are designed to control the risk taken at the individual position level as well as at the overall portfolio level. The Trading Advisor monitors and seeks to control market risk within limits at both sector and portfolio levels.

The financial instruments traded by the Master Fund contain varying degrees of off-balance sheet risk whereby changes in the fair market values of the futures and forward contracts or the satisfaction of the obligations may exceed the amount recognized in the Master Fund’s Condensed Statement of Financial Condition, however, the Series exposure to such risk is limited to its investment in the Master Fund.

Due to the nature of the Series’ business, a substantial portion of the Series’ assets are represented by cash except for that portion of the Series’ assets invested in the Master Fund, while the Series maintains its market exposure, via its investment in the Master Fund, through open futures and forward contract positions.

Futures contracts are settled by offset and are generally cleared by the exchange clearinghouse function. Open futures positions are marked to market each trading day and the Master Fund’s trading accounts are debited or credited accordingly. Spot and forward currency transactions conducted in the interbank market are settled by netting offsetting positions or payment obligations and by cash payments.

The value of the Master Fund’s cash and financial instruments is not materially affected by inflation. Changes in interest rates, which are often associated with inflation, could cause the value of certain debt securities to decline, but only to a limited extent. More importantly, changes in interest rates could cause periods of strong up or down market price trends, during which the Series’ profit potential generally increases. However, inflation can also give rise to markets which have numerous short price trends followed by rapid reversals, in which the Series is likely to suffer losses.

- 26 -

Results of Operations

General

The Trading Advisor manages the assets of the Series pursuant to its Aspect Diversified Program (the “Program”). The Program is a broadly diversified global trading system that deploys multiple trading strategies that seeks to identify and exploit directional moves in market behavior of a broad range of global financial instruments on a variety of underlying interests including but not limited to bonds, currencies, interest rates, equities, equity indices, debt securities and selected physical commodities and derivatives. By maintaining comparatively small exposure to any individual market, the aim is to achieve real diversification. The Program seeks to maintain positions in a variety of markets. Market concentration varies according to the strength of signals, volatility and liquidity, among other factors.

The Program employs a fully automated system to collect, process and analyze market data (including current and historical price data) and identify and exploit directional moves, or “trends”, in market behavior, trading across a variety of frequencies to exploit trends over a range of timescales. Positions are taken according to the aggregate signal and are adjusted to control risk.

The investment objective of the Program is to generate significant medium term capital growth independent of overall movements in traditional stock and bond markets within a rigorous risk management framework. This investment objective is intended to be achieved via the investment policy for the Program, which is to trade relevant asset classes applying the Program.

The core objectives of the Program are:

(i)            to produce strong medium-term capital appreciation (“medium-term” generally referring to a three- to five-year time period);

(ii)           to seek and exploit profit opportunities in both rising and falling markets using a disciplined quantitative investment process;

(iii)          to seek non-correlation with the broad bond and stock markets and thereby play a valuable role in enhancing the risk/return profile of traditional investment portfolios; and

(iv)          to minimize risk by operating in a diverse range of markets and sectors using a consistent investment process that adheres to pre-defined and monitored risk limits and determines market exposure in accordance with factors including (but not limited to) market correlation, volatility, liquidity and the cost of market access.

The Master Fund’s account traded pursuant to the Program may experience returns that differ from other Trading Advisor accounts traded pursuant to the same Program due to, among other factors: (a) regulatory constraints on the ability of the Series to have exposure to certain contracts; (b) the Series’ selection of the Clearing Broker, which affects access to markets; (c) the effect of intra-month adjustments to the trading level of the account; (d) the manner in which the account’s cash reserves are invested; (e) the size of the Series’ account; (f) the Series’ functional currency, the U.S. Dollars (“USD”); and (g) the particular futures contracts traded by the Series’ account. Additionally, certain markets may not be liquid enough to be traded for the Series’ account.

The investment approach that underpins the Program is proprietary. The Trading Advisor’s investment philosophy has remained consistent and involves a scientific approach to investment driven by the Trading Advisor’s belief that market behavior is not random but rather contains statistically measurable and predictable price movements and anomalies which, through sophisticated quantitative research and a disciplined approach, can be successfully identified and exploited for profit.

The Program is proprietary and highly confidential to the Trading Advisor. Accordingly, the description of the Program as contained herein is general only and is not intended to be exhaustive or absolute.

- 27 -

The Trading Advisor was established in 1997 by Anthony Todd, Dr. Eugene Lambert, Martin Lueck and Michael Adam, all of whom were involved in the development of Adam, Harding and Lueck Limited (“AHL”), now part of Man Group plc, where they advanced the application of systematic quantitative techniques in managed futures investment. The Trading Advisor has grown to a team of over 131 employees and manages approximately $5.9 billion as of September, 2011. The Trading Advisor is a limited liability company registered in England and Wales, which is regulated in the United Kingdom by the Financial Services Authority. Since October 1999, the Trading Advisor has been a member of NFA and has been registered with the CFTC as a commodity trading advisor and commodity pool operator. The Trading Advisor has also been registered with NFA as a principal of its commodity trading advisor subsidiary Aspect Capital Inc. since August 2004. The Trading Advisor has also been registered with the SEC as an investment adviser since October 2003.

The Series commenced trading activities March 16, 2007 with an initial capitalization of $7,760,620, of which $5,000,000 was contributed by the Trading Advisor as seed capital. On December 31, 2007 the Trading Advisor redeemed the full value of its seed capital. As of September 30, 2011, the Series had a capitalization of $75,178,811 based on the net asset value for all other purposes, as defined.

Performance Summary

Quarter ended September 30, 2011

This performance description is a brief summary of how the Series performed during the quarter ended September 30, 2011, and not necessarily an indication of how it will perform in the future. In addition, the general causes to which certain price movements are attributed may or may not in fact have caused such movements, but simply may have occurred at or about the same time. The Series’ past results are not necessarily indicative of future results.

The Series ended September 30, 2011 with a year-to-date gain of 3.77%, based on the net asset value for all other purposes (see “Notes to Condensed Financial Statements – (3) Related Party Transactions”).

July 1, 2011 to September 30, 2011

The Series posted a (0.09%) loss for the month ended September 30, 2011, a gain of 8.35% and 3.77% for the three and nine months ended September 30, 2011 and an overall gain of 31.93% for the Series from the inception of trading on March 16, 2007 through September 30, 2011 (not annualized and based on net asset value per unit for all other purposes).

The Series posted a (.09%) loss in September. Gains were made from the Series’ long positions in fixed income and from its net short exposure to energies and stock indices. The price action in these broad asset classes reflected ongoing widespread concern over both weakening global growth and the European sovereign debt crisis. Following a downbeat assessment of the risks to the US economy, the Federal Reserve launched ‘Operation Twist’. Subsequently, equity and commodity markets sold off while fixed income prices rallied. By contrast, the Series suffered losses in the currencies sector, driven by a strengthening US Dollar. However the positioning responded and switched to a net long towards the end of the month. In commodities, both oils and natural gas prices fell, making the energies sector a positive contributor. However, gold and silver prices reversed sharply to the detriment of the Series’ positions, making them the worst contributors for the month. Finally, the poor return from the agricultural sector was driven by falls in coffee and grains prices following particularly strong harvest yields.

The Series posted a 1.43% gain for the month ended August 31, 2011, a 3.86% gain for the year to date as of August 31, 2011 and an overall gain of 32.04% for the Series from the inception of trading on March 16, 2007 to August 31, 2011 (not annualized).

The Series returned 1.43% in August. Bearish sentiment gripped markets for most of the month driven by a succession of bad news reports. Following S&P’s downgrade of the United States’ sovereign credit rating from AAA to AA+, data pointed to poor growth, employment and confidence in the US and markets remained concerned about the European sovereign crisis. Despite the downgrade, investors sought the safety of US Treasuries, which rallied, benefiting the Series’ long positions in fixed income. Following central bank interventions in the Yen and Swiss Franc, safe haven demand saw the US Dollar strengthen and commodity currencies sell off against the Series’

- 28 -

positions. Gold reached new records, making it the Series’ second best performer. Lastly, stock indices, oils and industrial metals sold off for most of the month. Following the downgrade, the Fed announced that it would keep interest rates at their current low levels for another two years. However, Bernanke’s Jackson Hole speech late in the month did boost stock markets and commodities as he reiterated the Fed’s focus on maintaining the economy on a growth trajectory. This resulted in some performance give-back on the Series’ growing short stock index positions.

The Series posted a 6.92% gain for the month ended July 31, 2011, a 2.40% gain for the year to date as of July 31, 2011 and an overall gain of 30.19% for the Series from the inception of trading on March 16, 2007 to July 31, 2011 (not annualized).

The Series returned 6.92% in July. Investor sentiment in the month was dominated by sovereign debt concerns, both in the Eurozone and the US. A poor US non-farm payrolls number at the beginning of July and a surprisingly weak US GDP report at the end of the month added to the deteriorating outlook. Even as the market weighed up the possibility of a US debt downgrade, fixed income markets rose around the globe in a flight to safety. The Series made strong gains from its long positions in both short term interest rates and bonds, with UK fixed income and German 10-year government bonds being the strongest markets overall. Returns from commodities were also positive with profits from long positions in oils and metals offsetting small losses in the agriculturals markets. Notably, the Series profited from its long position in gold, which reached an all-time high at the end of the month. Lastly, gains were made in the currencies sector. The Series benefited from its net short exposure to the US Dollar despite losses from a long Euro position as the Japanese Yen and New Zealand Dollar strengthened against the US Dollar and the Swiss Franc rose to record levels.

Quarter ended June 30, 2011

This performance description is a brief summary of how the Series performed during the quarter ended June 30, 2011, and not necessarily an indication of how it will perform in the future. In addition, the general causes to which certain price movements are attributed may or may not in fact have caused such movements, but simply may have occurred at or about the same time. The Series’ past results are not necessarily indicative of future results.

The Series ended June 30, 2011 with a year-to-date loss of (4.23%), based on the net asset value for all other purposes (see “Notes to Condensed Financial Statements – (3) Related Party Transactions”).

April 1, 2011 to June 30, 2011

The Series posted a (3.12%) loss for the month ended June 30, 2011, a loss of (3.78%) and (4.23%) for the three and six months ended June 30, 2011 and an overall gain of 21.76% for the Series from the inception of trading on March 16, 2007 through June 30, 2011 (not annualized and based on net asset value per unit for all other purposes).

The Series lost 3.12% in June. Greek sovereign debt concerns combined with the US Federal Reserve’s downward revision of growth forecasts led to broad risk aversion towards the middle of the month. Disappointing European and Chinese data further added to bearish market sentiment. Against this backdrop the Series made losses as stock markets and commodities declined and the US Dollar strengthened. The losses were partly offset by gains from the Series’ long positions in fixed income markets, particularly German, US and Japanese government bonds, as prices rallied. In the UK, the most recent minutes of the Monetary Policy Committee reinforced the Bank of England’s commitment to a low interest rate environment. Consequently, Sterling fell against the US Dollar while Short Sterling rallied. The International Energy Agency’s decision to release strategic oil reserves added to the downward pressure on oil prices. In agriculturals, the worst performer was corn as prices fell following reports of an unexpectedly large planting season in the US. Towards the end of the month, the Series gave back some of its gains from its long fixed income positions as optimism returned to the markets following the avoidance of default by Greece and the release of strong economic data from the US and Asia.

The Series posted a (4.52%) loss for the month ended May 31, 2011, a (1.14%) loss for the year to date as of May 31, 2011 and an overall gain of 25.68% for the Series from the inception of trading on March 16, 2007 to May 31, 2011 (not annualized).

- 29 -

The Series lost 4.52% in May. Key themes for the month were sell-offs in the commodity markets and continued concerns surrounding Eurozone sovereign debt and global growth. The Series made losses from its long positions in risk-seeking assets with gains coming from the fixed income sectors. Oil prices fell from their recent highs following the release of bearish inventory statistics at the start of the month and moves by investors to take profits in the commodity sector. Agriculturals and metals markets also retraced from their previous highs. Global equities meanwhile declined amid poor global growth data, to the detriment of the Series’ long positions. Risk aversion boosted demand for the US Dollar, to the detriment of the Series’ net short exposure. The Euro fell due to the Eurozone worries, resulting in losses from the Series’ long EUR/USD position. In fixed income, global bond and interest rate futures rose due to safe-haven appeal, to the benefit of the Series’ growing long bond positions. Positive performance from the interest rates sector was driven by profits from the Series’ long Eurodollar position.

The Series posted a 4.02% return for the month ended April 30, 2011, a 3.54% gain for the year to date as of April 30, 2011 and an overall gain of 31.63% for the Series from the inception of trading on March 16, 2007 to April 30, 2011 (not annualized).

The Series returned 4.02% in April, driven by a combination of US Dollar weakness and robust performance from energies and precious metals. The US Dollar fell against major currencies, benefiting the Series’ net short positioning, amid continued expectations that the US Federal Reserve will keep interest rates low. Long positions in oil and its products made gains at the start of the month as military action in Libya and the civil unrest in the wider region continued. Events on both sides of the Atlantic prompted investors to switch to safe haven assets. Standard & Poor’s cut its outlook on US sovereign debt from stable to negative, driving investors to precious metals, which rallied as a result. Concerns about peripheral European debt boosted the prices of core European fixed income, resulting in losses from the Series’ short positions in Euro Bund and Euribor. Towards the end of the month a series of positive US earnings announcements and successful European government bond auctions helped increase risk appetite. As a result the Series made strong gains from risky assets despite a temporary mid-month energy price correction. Performance from agriculturals was mixed. Cotton futures fell amid uncertainty over demand, while the Series made gains from its long position in coffee as the cost of Arabica rose to a 34-year high following increased demand from developing countries.

Quarter ended March 31, 2011

This performance description is a brief summary of how the Series performed during the quarter ended March 31, 2011, and not necessarily an indication of how it will perform in the future. In addition, the general causes to which certain price movements are attributed may or may not in fact have caused such movements, but simply may have occurred at or about the same time. The Series’ past results are not necessarily indicative of future results.

The Series ended March 31, 2011 with a year-to-date loss of (0.46%), based on the net asset value for all other purposes (see “Notes to Condensed Financial Statements – (3) Related Party Transactions”).

January 1, 2011 to March 31, 2011

The Series posted a (1.15%) loss for the month ending March 31, 2011, a loss of (0.46%) for the three months ended March 31, 2011 and an overall gain of 26.54% for the Series from the inception of trading on March 16, 2007 through March 31, 2011 (not annualized and based on net asset value per unit for all other purposes).

The Series returned (1.15%) in March. The month began positively with long positions in oil and the products making gains as the Libyan turmoil continued. However, sentiment turned bearish following European sovereign downgrades and weak Chinese trade and inflation data. On March 11, 2011, the worst earthquake and tsunami in Japanese history devastated the country. Japanese equities sold off sharply, resulting in the Series’ long positions in the Nikkei and Topix being the month’s worst performers. The sell-off in equities spread across the globe on worries about the implications for global growth. In response to these events, positions in the portfolio were systematically reduced. Agricultural markets also sold off to the detriment of the Series’ long positions. Signs that the political turmoil in Ivory Coast may be easing caused the cocoa price to tumble from near 33-year highs. Strong US economic data released later in the month enabled the Series to recoup some of its earlier losses from stock indices and commodities. Expectations of an interest rate increase by the European Central Bank resulted in the Euro strengthening against the USD, to the benefit of the Series. These expectations also resulted in gains from the Series’

- 30 -

short position in Euribor, which were partly offset by losses from long exposure to Eurodollar after the US Federal Reserve announced that they would begin unwinding some stimulus measures.

The Series posted a 2.28% return for the month ending February 28, 2011, a 0.70% gain for the year to date as of February 28, 2011 and an overall gain of 28.02% for the Series from the inception of trading on March 16, 2007 to February 28, 2011 (not annualized).

The Series returned 2.28% in February. Following robust economic and earnings data, global stock markets rose at the start of the month with the S&P 500 pushing above the 1,300 level and doubling the low achieved in March 2009. However, tension in North Africa and the Middle East increased towards the end of the month, causing the oil price to soar. The Series made gains from its long positions in oil and its products, making energies the top sector for the month. In response to the geopolitical concerns, stock markets sold off and the Series gave back some of its earlier profits from stock indices. Metals prices generally increased during the month. Some industrial metals rose due to supply concerns and rising global demand, while precious metals rose as safe-haven appeal returned to the market, with silver hitting a 30-year high. Gains were partly offset by losses from the fixed income sectors. Bonds rallied amid the flight to safety, to the detriment of the Series’ short positions in the sector. Commodity-linked currencies found support as the political turmoil boosted raw materials prices. Profits were also seen from the Series’ net short exposure to the USD as it lost ground against several currencies including Sterling, which was supported by speculation that the Bank of England may raise interest rates earlier than the US Federal Reserve.

The Series posted a (1.55%) loss for the month of January 2011 and an overall gain of 25.16% for the Series from the inception of trading on March 16, 2007 to January 31, 2011 (not annualized).

The Series returned (1.55%) in January. There were two main themes that drove markets during the month: civil unrest in North Africa and increased concerns about inflation. The People’s Bank of China raised its reserve ratio requirement for the fourth time in two months in an effort to prevent its economy from overheating. Meanwhile, in Europe, ECB President Jean-Claude Trichet signaled a potential for interest rate increases in the Eurozone after inflation data exceeded forecasts. The Series incurred losses from its long Euribor and Schatz holdings but benefited from a weaker Euro. In addition, the bonds sector saw losses from the short positions in Australian instruments as the severe flooding saw prices rally on safe haven demand. In commodities, the main losses came from silver and gold which were both affected by profit-taking after silver hit multi-decade highs and gold reached all-time highs, reinforced by some stronger economic news during the month. By contrast, the energies sector was the month’s best performer. Concerns about the Egyptian crisis drove Brent crude, gas oil and heating oil higher, to the benefit of the Series’ long positions across the oils complex. In agriculturals, the Series’ long positions continued to generate positive performance as prices in grains and softs moved upwards, further fuelling the inflation debate.

Quarter ended September 30, 2010

This performance description is a brief summary of how the Series performed during the quarter ending September 30, 2010, and not necessarily an indication of how it will perform in the future. In addition, the general causes to which certain price movements are attributed may or may not in fact have caused such movements, but simply may have occurred at or about the same time. The Series’ past results are not necessarily indicative of future results.

The Series ended September 30, 2010 with a year-to-date return of 7.46%, based on the net asset value for all other purposes (see “Notes to Consolidated Financial Statements – (3) Related Party Transactions”).

July 1, 2010 to September 30, 2010

The Series posted a 0.56% return for the month ending September 30, 2010, a gain (loss) of 5.57% and 7.46% for the three and nine months ended September 30, 2010 and an overall gain of 22.44% for the Series from the inception of trading on March 16, 2007 (not annualized and based on net asset value per unit for all other purposes).

The Program returned 0.56% in September. The month started with investor optimism following strong manufacturing numbers out of China and the US. Consequently, fixed income markets sold off, to the detriment of the Program’s long positions, while equity markets rallied. However, the prices of US bonds recovered following the US Federal Reserve’s comments towards the end of the month about the possibility of a further round of quantitative

- 31 -

easing. Similarly, Japanese Government bond prices also recovered following the Bank of Japan’s mid-month market action in an effort to weaken the Yen. Against this backdrop, the US Dollar declined to the benefit of the Program’s net short positioning, particularly against commodity currencies and the Swiss Franc. Long positions in emerging market currencies also contributed positively. Performance in commodities was mixed. Strong performance in agriculturals was driven by gains on long positions in cotton, the soy complex, sugar and corn. Grain prices rallied after delays in the US harvest and poor crop yields; cotton reached 15-year highs as poor weather in China and floods in Pakistan damaged crops. In energies, oil prices gained on the back of a weaker US Dollar and an unexpected drop in inventories towards the end of the month, to the detriment of the Program’s short positioning. Lastly, performance in metals was largely driven by gains from gold and silver, whose prices rallied on the back of safe-haven buying.

The Series posted a 6.67% gain for the month ending August 31, 2010, a 6.86% return for the year to date as of August 31, 2010 and an overall gain of 21.76% for the Series from the inception of trading on March 16, 2007 to August 31, 2010 (not annualized).

The Series had a strong August and returned 6.67%. Performance was largely driven by the long positions held by the Series in fixed income, particularly bonds. August was characterised by risk-aversion in markets, which was fuelled by poor economic data out of the US and dovish comments by the Federal Reserve’s Chairman early in the month. The UK, Europe and Japan also released weak data. Consequently, the majority of global stock markets sold off and posted losses for the month. Against this backdrop, fixed income markets rallied worldwide and the US Dollar strengthened. Losses on the Program’s net short exposure to the US Dollar were partially offset by gains on long exposures to other safe-haven currencies, namely, the Swiss Franc and the Japanese Yen. The Yen hit 15-year highs in August and the Bank of Japan met several times to discuss the Yen’s strength. In energies, gains on short positions in crude oil and natural gas were reduced by variable exposures to gas oil and reformulated gasoline. Crude oil and natural gas prices declined as a result of the weaker growth outlook and risk aversion. Natural gas was further affected by bearish inventory data. Performance in agriculturals was largely driven by losses on long positions in Robusta coffee. After rangebound behaviour for most of the month, prices pulled back sharply on the 24th following strong export numbers out of Vietnam.

The Series posted a 1.59% loss for the month ending July 31, 2010, a 0.18% return for the year to date as of July 31, 2010 and an overall gain of 14.14% for the Series from the inception of trading on March 16, 2007 to July 31, 2010 (not annualized).

The Series finished July with a return of (1.59%). In a similar pattern to recent months, positive performance was seen in currency markets and from long positions in fixed income despite volatility towards the end of the month. However, short exposures in equities and commodities experienced losses as these sectors generally rallied, reversing the downward trends of previous months. The fixed income performance was driven by the US and UK markets. In the US, weaker than expected economic data released in the middle of the month pushed both government bonds and short term interest rate futures higher. In the UK, the trend was briefly derailed by unexpectedly strong GDP figures but prices recovered following the Bank of England statement playing down the significance of this on the outlook for interest rates. Global equity markets rallied sharply, helped by strong earnings results and economic data in Europe and the UK, as well as the relatively benign impact of the EU banks’ stress testing results. Energy and base metal markets also joined in this rally, hurting the Series’ short exposures, especially in Zinc. By contrast, the Gold price fell back in July as economic worries waned, causing some giveback of recent profits. Finally, agriculturals produced mixed results. The short position in wheat suffered as the market saw its biggest monthly gain since 1973 driven by supply concerns over droughts in Russia and Ukraine. However, long exposure in coffee profited as prices reached a 12-year high.

Quarter ended June 30, 2010

This performance description is a brief summary of how the Series performed during the quarter ended June 30, 2010, and not necessarily an indication of how it will perform in the future. In addition, the general causes to which certain price movements are attributed may or may not in fact have caused such movements, but simply may have occurred at or about the same time. The Series’ past results are not necessarily indicative of future results.

- 32 -

The Series ended June 30, 2010 with a year-to-date return of 1.79%, based on the net asset value for all other purposes (see “Notes to Consolidated Financial Statements – (3) Related Party Transactions”).

April 1, 2010 to June 30, 2010

The Series posted a 0.75% return for the month ending June 30, 2010, a gain (loss) of (0.94%) and 1.79% for the three and six months ended June 30, 2010 and an overall gain of 15.98% for the Series from the inception of trading on March 16, 2007 (not annualized and based on net asset value per unit for all other purposes).

The Series returned 0.75% in June. Performance was driven by gains on long positions in fixed income markets. Fixed income prices rallied, particularly towards the end of the month as investors questioned the sustainability of global growth given the poor economic data out of the US, Japan, China and concerns about the creditworthiness of European banks and governments. The commitment of central banks to keep rates at current levels also helped boost the price of interest rate futures. The currencies sector was the worst performer as losses on the short Swiss Franc and Sterling exposures offset small gains on the short Euro exposure. The Swiss National Bank decided that deflationary risks were no longer a threat and stopped limiting the Swiss Franc’s strength, whilst in the United Kingdom the emergency budget and commentary surrounding it caused Sterling to strengthen against the US Dollar. In agriculturals, NYMEX front-month coffee futures rallied 22% over the course of June, to the detriment of the Fund’s short positioning. Price action was driven by concerns about global supply. In energies, natural gas prices rallied in the first half of the month due to a combination of short covering and bullish inventory data.

The Series posted a (3.23%) loss for the month ending May 31, 2010, a 1.04% return for the year to date as of May 31, 2010 and an overall gain of 15.12% for the Series from the inception of trading on March 16, 2007 to May 31, 2010 (not annualized).

The Series finished May with a return of (3.23%). The bulk of the negative performance arose in the first week of the month when a sell-off in risky assets such as stock indices and commodities hurt the Series’ generally long exposures in these sectors. Fears of contagion in the European debt crisis drove stock markets downwards, helped by the intraday volatility seen in US indices on the 6th of May caused by an alleged trading irregularity. Energy markets also fell back sharply during this period and these two sectors finished as the Series’ worst performers for the month. Their performance impact for the remainder of the month was relatively muted as smaller position sizes mitigated the impact of the continued volatility. Performance in industrial metals followed a similar pattern, but was partly offset by profits in Gold which made new highs mid-month. Fixed Income markets also saw positive performance throughout the month as the general risk aversion saw these markets rally strongly. The best performances came from long positions in European and UK markets at both ends of the curve. Significant dispersion was seen from currency trading. The strengthening US Dollar yielded good profits for long positions against the major European currencies but these were offset by losses elsewhere in the sector, most notably against the Australian Dollar.

The Series posted a 1.61% return for the month ending April 30, 2010, a 4.41% return for the year to date as of April 30, 2010 and an overall gain of 18.96% for the Series from the inception of trading on March 16, 2007 to April 30, 2010 (not annualized).

The Series returned 1.61% in April. The month was characterized by competing drivers of returns. Strong economic data and positive earnings announcements aided long stock positions in the early part of the month but these gains were largely given back as sentiment reversed following the announcement of SEC charges against Goldman Sachs and sovereign credit downgrades in Europe. The latter events however provided good opportunities for the Series’ long fixed income positions, notably in Europe and Japan. Positive returns in currency markets were driven by a weakening Euro and emerging market exposure. Performance in commodities was mixed. The Series benefited from continuing rises in oil markets but incurred modest losses in the other commodity sectors Agricultural markets painted a mixed picture with gains on short positions in sugar being offset by losses on short grains’ exposures. Base metals declined following more bearish economic sentiment towards the end of the month resulting in small losses on long positions in aluminum and copper.

- 33 -

Quarter ended March 31, 2010

This performance description is a brief summary of how the Series performed during the quarter ended March 31, 2010, and not necessarily an indication of how it will perform in the future. In addition, the general causes to which certain price movements are attributed may or may not in fact have caused such movements, but simply may have occurred at or about the same time. The Series’ past results are not necessarily indicative of future results.

The Series ended March 31, 2010 with a year-to-date return of 2.76%, based on the net asset value for all other purposes (see “Notes to Condensed Financial Statements – (3) Related Party Transactions”).

January 1, 2010 to March 31, 2010

The Series posted a 3.47% return for the month ending March 31, 2010, a gain of 2.76% for the three months ended March 31, 2010 and an overall gain of 17.08% for the Series from the inception of trading on March 16, 2007 through March 31, 2010 (not annualized and based on net asset value per unit for all other purposes).

The Series finished March with a net return of 3.47%. Data releases pointing to economic recovery drove the prices of risky assets higher, despite some continued concerns about European sovereign debt mid-month. Consequently, global stock markets rallied, producing good profits for the Series, and bond markets sold off. Japanese Government Bonds were the Series’ worst performer. In currencies, emerging market and commodity currencies strengthened against the USD to the benefit of the Series’ positions, while European interest rate markets were buoyed by concerns over Greece and poor economic data out of the United Kingdom. Commodities markets generally followed the direction of stock markets and finished the month higher. In energies, this resulted in positive performance on long positions in the oil complex, but the Series also profited on the short side from the decline in the natural gas price following milder weather in the United States and a build-up in inventories. In agricultural commodities, positive performance on short positions in corn and wheat was more than offset by losses in sugar and coffee. The sugar losses were incurred early in the month when prices fell to 11-week lows as the supply outlook improved. Good profits were seen in industrial metals, especially nickel which reached 22-month highs.

The Series posted a 2.27% return for the month ending February 28, 2010, a (0.69%) loss for the year to date as of February 28, 2010 and an overall gain of 13.15% for the Series from the inception of trading on March 16, 2007 to February 28, 2010 (not annualized).

The Series finished February with a positive return of 2.27%. The month of February was, to a large degree, dominated by news-flow relating to the debt crisis within the Euro-zone. The prevailing macroeconomic sentiment oscillated between risk aversion and inflationary concerns with the former being marginally dominant over the calendar month. As a result the Series saw profits from the long positions in both short-term interest rate futures contracts and some bond markets. Positive performance was also seen in other sectors with the long positions in energy contracts benefiting from the further upward move in prices during the middle of the month and the weakness of the Euro and British Pound providing opportunity for profits in the currencies sector. Smaller positive contributions were seen from the small long exposures in both stock indices and metals; the price action in each of these sectors were similar as a sell-off at the beginning of the month was followed by a recovery during the remainder of the month as risk aversion fears dominated. The largest negative performance was seen in agricultural commodities. The longer-term bull market in sugar reversed sharply from multi-year highs as output in both Brazil and India rose.

The Series posted a (2.89%) loss for the month of January 2010 and an overall gain of 10.64% for the Series from the inception of trading on March 16, 2007 to January 31, 2010 (not annualized).

The Series finished January with a loss of (2.89%). After positive performance in the first two weeks of the year, a reversal in investor risk appetite was the primary factor resulting in a loss for the calendar month. The change in sentiment was driven, in part, by disappointing earnings announcements and fears over potential monetary tightening in China as the People’s Bank of China increased banks’ reserve requirements and introduced measures aimed at curbing lending.

- 34 -

As a result the Series’ long positions in stock indices and the net short exposure to the USD saw losses. Long positions in fixed income markets benefited from the move toward risk aversion, some U.K. data and comments by both the Bank of England and the European Central Bank. In addition, the strengthening USD and poorer growth outlook also resulted in many commodities markets selling off. This was particularly detrimental to the Series’ long positioning in the oil complex and industrial metals. Oil prices faced additional downward pressure due to an increase in inventories and milder weather in the Unites States. In agriculturals, gains on the long exposure to sugar markets, whose price rallied due to supply concerns, more than offset losses on long positions in the soy complex and cotton.

Variables Affecting Performance

The principal variables that determine the net performance of the Series are gross profitability from the Series’ trading activity through its investment in the Master Fund and interest income.

The Series’ assets that are invested in the Master Fund are maintained at the Clearing Broker. On assets held in USD, the Clearing Broker credits the Series with interest at the prevailing Federal Funds Rate less 50 basis points per annum. In the case of non-USD instruments, the Clearing Broker lends to the Series all required non-U.S. currencies at a local short-term interest rate plus a spread of up to 100 basis points per annum (at current rates). For deposits held in non-U.S. currencies, the Clearing Broker credits the local short-term interest rate less a spread of up to 200 basis points per annum (at current rates).

The Series’ management, Sponsor’s and administrative fees and the sales commissions are a constant percentage of the Series’ net asset value for all other purposes. Brokerage commissions represent the Series’ proportionate share of the Master Fund’s Brokerage commissions. Master Fund Brokerage commissions are based on the volume of trades executed and cleared on behalf of the Master Fund. The performance fees payable to the Trading Advisor are based on the new net trading profits, if any, calculated at the Series level, excluding interest income and after reduction for brokerage commissions and certain other fees and expenses.

Most of the instruments traded by the Master Fund are highly liquid and can generally be closed out immediately, so that unrealized profits can generally be realized quickly if the relevant positions are closed out.

Off-balance Sheet Arrangements

The Series has no applicable off-balance sheet arrangements or tabular disclosure of contractual obligations of the type described in Items 303(a)(4) and 303(a)(5) of Regulation S-K.

Item 3:Quantitative and Qualitative Disclosures About Market Risk

Not applicable; the Series is a smaller reporting company.

Item 4:Controls and Procedures

The Sponsor, with the participation of the Sponsor’s principal executive officer and principal financial officer, has evaluated the effectiveness of the design and operation of its disclosure controls and procedures (as defined in Rule 13a-15(e) or Rule 15d-15(e) under the Securities Exchange Act of 1934) with respect to the Platform and the Series as of the end of the fiscal quarter for which this Quarterly Report on Form 10-Q is being filed, and, based on their evaluation, have concluded that these disclosure controls and procedures are effective. No change in internal control over financial reporting (in connection with the evaluation required by paragraph (d) of Rule 13a-15 or Rule 15d-15 under the Securities Exchange Act of 1934) occurred during the quarter ended September 30, 2011 that has materially affected, or is reasonably likely to materially affect, the Platform’s and the Series’ internal control over financial reporting.

- 35 -

PART II – OTHER INFORMATION

Item 1:Legal Proceedings

The Sponsor is not aware of any pending legal proceedings to which the Series is a party or to which any of its assets are subject.

Item 1A:Risk Factors

Not required.

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

(a)	Not applicable; previously filed on Forms 8-K
(b)	Not applicable.
(c)	Pursuant to the Platform’s Limited Liability Company Agreement and the Series’ Separate Series Agreement, Members may redeem their Units at the end of each calendar month at the then current month-end net asset value per Unit for all other purposes (i.e. including the amortization of organizational and initial offering costs). The redemption of Units has no impact on the value of Units that remain outstanding, and Units are not reissued once redeemed. The following table summarizes the redemptions by Members during the third quarter of 2011:

Month	Units Redeemed		Redemption Date Net Asset Value per Unit for All Other Purposes
July 31, 2011		2,746.71	$	1,301.854
August 31, 2011		183.52	$	1,320.417
September 30, 2011		79.88	$	1,319.265
Total		3,010.11

Item 3:Defaults Upon Senior Securities

(a)	None.
(b)	None.

Item 4: (Removed and Reserved)

Item 5:Other Information

(a)	None.
(b)	Not applicable.

- 36 -

Item 6:Exhibits

The following exhibits are included herewith.

Exhibit Number	Description of Document
31.1	Certification of Principal Executive Officer pursuant to Rule 13a-14(a) under the Securities Exchange Act of 1934.
31. 2	Certification of Principal Financial Officer pursuant to Rule 13a-14(a) under the Securities Exchange Act of 1934.
32.1	Certification of Principal Executive Officer pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002.
32.2	Certification of Principal Financial Officer pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002.
99.1	Financial Statements of AlphaMetrix Aspect Fund – MT0001 (Master Fund) for the three and nine months ended September 30, 2011 (unaudited) and December 31, 2010.
101	Interactive data file pursuant to Rule 405 of Regulation S-T: (i) the Condensed Statements of Financial Condition as of September 30, 2011 (unaudited) and December 31, 2010, (ii) the Unaudited Condensed Statements of Operations for the three and nine months ended September 30, 2011 and 2010, (iii) the Unaudited Condensed Statements of Changes in Members’ Capital for the nine months ended September 30, 2011 and 2010, and (iv) Notes to Unaudited Financial Statements.

- 37 -

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on behalf of AlphaMetrix Managed Futures LLC on behalf of itself and its series, Aspect Series, by the undersigned thereunto duly authorized.

Dated: November 14, 2011

ALPHAMETRIX MANAGED FUTURES LLC

By: AlphaMetrix, LLC
Sponsor

By: /s/ Aleks Kins

Name: Aleks Kins

Title: President and Chief Executive Officer

- 38 -