Nestor Partners 10-Q 2007 Q3 Quarterly report

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM 10-Q

x Quarterly Report Pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934

For the Quarterly Period Ended: September 30, 2007

or

o Transition Report Pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934

Commission File Number: 000-50725

NESTOR PARTNERS

(Exact name of registrant as specified in its charter)

NEW JERSEY	22-2149317
(State or other jurisdiction of	(I.R.S. Employer
incorporation or organization)	Identification No.)

c/o MILLBURN RIDGEFIELD CORPORATION

411 West Putnam Avenue

Greenwich, Connecticut 06830

(Address of principal executive offices)

Registrant's telephone number, including area code: (203) 625-7554

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

Yes x No o

Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, or a non-accelerated filer. See definition of “accelerated filer and large accelerated filer” in Rule 12b-2 of the Exchange Act. (Check one):

Large accelerated filer o   Accelerated filer o   Non-accelerated filer x

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

Yes o No x

Nestor Partners

Financial statements

For the three and nine months ended September 30, 2007 and 2006 (unaudited)

Statements of Financial Condition (a)	1
Condensed Schedules of Investments (a)	2
Statements of Operations (b)	6
Statements of Changes in Partners' Capital (c)	8
Statements of Financial Highlights (b)	10
Notes to the Financial Statements (unaudited)	11

(a)   At September 30, 2007 (unaudited) and December 31, 2006

(b)   For the three and nine months ended September 30, 2007 and 2006 (unaudited)

(c)   For the nine months ended September 30, 2007 and 2006 (unaudited)

PART 1. FINANANCIAL INFORMATION

ITEM 1. FINANCIAL STATEMENTS

Nestor Partners

Statements of Financial Condition

	September 30
	2007		December 31
	(UNAUDITED)		2006
ASSETS
Equity in trading accounts:
Investments in U.S. Treasury notes−at market value (amortized cost $52,459,535 and $45,775,054)	$	52,673,395	$	45,761,875
Net unrealized appreciation on open futures and forward currency contracts		9,426,784		9,240,848
Due from brokers		389,568		6,847,054
Cash denominated in foreign currencies (cost $1,480,020 and $3,216,906)		1,525,957		3,222,378
Total equity in trading accounts		64,015,704		65,072,155
INVESTMENTS IN U.S. TREASURY NOTES−at market value (amortized cost $83,963,271 and $92,232,843)		84,191,694		92,198,954
CASH AND CASH EQUIVALENTS		5,418,075		5,105,014
ACCRUED INTEREST RECEIVABLE		1,008,526		936,128
TOTAL	$	154,633,999	$	163,312,251
LIABILITIES AND PARTNERS' CAPITAL
LIABILITIES:
Capital contributions received in advance	$	200,000	$	725,000
Accrued brokerage fees		289,011		325,946
Accrued expenses		275,373		387,775
Capital withdrawals payable		5,934,960		14,171,689
Total liabilities		6,699,344		15,610,410
PARTNERS' CAPITAL		147,934,655		147,701,841
TOTAL	$	154,633,999	$	163,312,251

See notes to financial statements

1

Nestor Partners

Condensed Schedule of Investments

September 30, 2007 (UNAUDITED)

Futures and Forward Currency Contracts	% of Partners' Capital			Net Unrealized Appreciation/ (Depreciation)
FUTURES CONTRACTS:
Long futures contracts:
Energies		0.20	%	$	292,551
Grains		1.98			2,922,859
Interest rates		(0.01	)		(19,289	)
Metals		0.95			1,401,772
Softs		(0.01	)		(13,071	)
Stock indices		1.06			1,577,007
Total long futures contracts		4.17			6,161,829
Short futures contracts:
Energies		(0.01	)		(17,285	)
Interest rates		0.33			489,638
Livestock		0.08			119,470
Metals		(0.19	)		(278,553	)
Softs		(0.10	)		(153,537	)
Stock indices		(0.54	)		(797,490	)
Total short futures contracts		(0.43	)		(637,757	)
TOTAL INVESTMENTS IN FUTURES CONTRACTS-Net		3.74			5,524,072
FORWARD CURRENCY CONTRACTS:
Total long forward currency contracts		2.64			3,912,593
Total short forward currency contracts		(0.01	)		(9,881	)
TOTAL INVESTMENTS IN FORWARD CURRENCY CONTRACTS-Net		2.63			3,902,712
TOTAL		6.37	%	$	9,426,784

(Continued)

2

Nestor Partners

Condensed Schedule of Investments

September 30, 2007 (UNAUDITED)

U.S. Treasury Notes

Face Amount	Description	% of Partners' Capital			Value
$ 34,640,000	U.S. Treasury notes, 3.000%, 11/15/2007		23.39	%	$	34,602,113
34,640,000	U.S. Treasury notes, 3.000%, 02/15/2008		23.32			34,504,688
34,640,000	U.S. Treasury notes, 2.625%, 05/15/2008		23.20			34,320,663
33,685,000	U.S. Treasury notes, 3.250%, 08/15/2008		22.61			33,437,625
	Total investments in U.S. Treasury notes(amortized cost $136,422,806)		92.52	%	$	136,865,089

See notes to financial statements

(Concluded)

3

Nestor Partners

Condensed Schedule of Investments

December 31, 2006

Futures and Forward Currency Contracts	% of Partners' Capital			Net Unrealized Appreciation/ (Depreciation)
FUTURES CONTRACTS:
Long futures contracts:
Grains		0.22	%	$	321,754
Interest rates		(0.76	)		(1,123,031	)
Metals		(0.09	)		(131,262	)
Softs		-			6,188
Stock indices		1.44			2,120,454
Total long futures contracts		0.81			1,194,103
Short futures contracts:
Energies		0.57			840,877
Interest rates		1.63			2,403,088
Livestock		-			2,430
Metals		-			(2,950	)
Softs		(0.16	)		(226,786	)
Total short futures contracts		2.04			3,016,659
TOTAL INVESTMENTS IN FUTURES CONTRACTS-Net		2.85			4,210,762
FORWARD CURRENCY CONTRACTS:
Total long forward currency contracts		2.67			3,933,503
Total short forward currency contracts		0.74			1,096,583
TOTAL INVESTMENTS IN FORWARD CURRENCY
CONTRACTS-Net		3.41			5,030,086
TOTAL		6.26	%	$	9,240,848

(Continued)

4

Nestor Partners

Condensed Schedule of Investments

December 31, 2006

U.S. Treasury Notes

Face Amount	Description	% of Partners' Capital			Value
$ 35,205,000	U.S. Treasury notes, 2.250%, 02/15/2007		23.76	%	$	35,089,484
34,730,000	U.S. Treasury notes, 3.125%, 05/15/2007		23.35			34,485,805
34,730,000	U.S. Treasury notes, 2.750%, 08/15/2007		23.19			34,247,036
34,730,000	U.S. Treasury notes, 3.000%, 11/15/2007		23.11			34,138,504
	Total investments in U.S. Treasury notes (amortized cost $138,007,897)		93.41	%	$	137,960,829

See notes to financial statements

(Concluded)

5

Nestor Partners

Statements of Operations (UNAUDITED)

	For the three months ended
	September 30			September 30
	2007			2006
INVESTMENT INCOME:
Interest income	$	1,960,789		$	2,180,864
EXPENSES:
Brokerage fees		846,601			1,039,070
Administrative expenses		94,272			112,735
Custody fees		6,515			6,276
Total expenses		947,388			1,158,081
NET INVESTMENT INCOME		1,013,401			1,022,783
NET REALIZED AND UNREALIZED GAINS (LOSSES):
Net realized gains (losses) on closed positions:
Futures and forward currency contracts		(20,577,716	)		(7,942,393	)
Foreign exchange translation		29,246			58,841
Net change in unrealized:
Futures and forward currency contracts		1,608,965			(2,162,241	)
Foreign exchange translation		41,630			(25,155	)
Net gains from U.S. Treasury notes:
Net change in unrealized		436,461			409,866
Total net realized and unrealized losses		(18,461,414	)		(9,661,082	)
NET LOSS		(17,448,013	)		(8,638,299	)
LESS PROFIT SHARE TO GENERAL PARTNER		(2,431,439	)		(957,306	)
NET LOSS AFTER PROFIT SHARE TO
GENERAL PARTNER	$	(15,016,574	)	$	(7,680,993	)

(Continued)

6

Nestor Partners

Statements of Operations (UNAUDITED)

	For the nine months ended
	September 30		September 30
	2007		2006
INVESTMENT INCOME:
Interest income	$	5,556,686	$	6,135,597
EXPENSES:
Brokerage fees		2,660,089		3,372,106
Administrative expenses		288,548		347,999
Custody fees		17,386		19,337
Total expenses		2,966,023		3,739,442
NET INVESTMENT INCOME		2,590,663		2,396,155
NET REALIZED AND UNREALIZED GAINS (LOSSES):
Net realized gains (losses) on closed positions:
Futures and forward currency contracts		13,549,280		(7,817,227	)
Foreign exchange translation		23,752		(158,811	)
Net change in unrealized:
Futures and forward currency contracts		185,936		4,798,737
Foreign exchange translation		40,465		6,296
Net gains from U.S. Treasury notes:
Net change in unrealized		489,351		243,695
Total net realized and unrealized gains (losses)		14,288,784		(2,927,310	)
NET INCOME (LOSS)		16,879,447		(531,155	)
LESS PROFIT SHARE TO GENERAL PARTNER		2,019,981		131,718
NET INCOME (LOSS) AFTER PROFIT SHARE TO GENERAL PARTNER	$	14,859,466	$	(662,873	)

See notes to financial statements

(Concluded)

7

Nestor Partners

Statements of Changes in Partners' Capital (UNAUDITED)

For the nine months ended September 30, 2007:

	Limited Partners			Special  Limited Partners			New Profit Memo Account			General Partner		Total
PARTNERS' CAPITAL-January 1, 2007	$	93,445,531		$	50,222,014		$	-		$	4,034,296	$	147,701,841
Contributions		2,106,500			107,810			-			-		2,214,310
Withdrawals		(17,953,468	)		(907,475	)		-			-		(18,860,943	)
Net income (loss)		9,729,838			6,609,194			(5,159	)		545,574		16,879,447
General Partner's allocation:
New Profit-Accrued		(1,920,598	)		(99,383	)		2,019,981			-		-
Transfer of New Profit Memo Account to General Partner		-			-			-			-		-
PARTNERS' CAPITAL-September 30, 2007	$	85,407,803		$	55,932,160		$	2,014,822		$	4,579,870	$	147,934,655
For the nine months ended September 30, 2006:
		Limited Partners			Special Limited Partners			New Profit Memo Account			General Partner		Total
PARTNERS' CAPITAL-January 1, 2006	$	125,586,609		$	41,827,860		$	-		$	3,537,452	$	170,951,921
Contributions		15,931,682			3,095,508			-			-		19,027,190
Withdrawals		(30,967,846	)		(120,000	)		-			-		(31,087,846	)
Net income (loss)		(963,006	)		391,774			(13,161	)		53,238		(531,155	)
General Partner's allocation:
New Profit-Accrued		(131,718	)		-			131,718			-		-
Transfer of New Profit Memo Account to General Partner		-			-			-			-		-
PARTNERS' CAPITAL-September 30, 2006	$	109,455,721		$	45,195,142		$	118,557		$	3,590,690	$	158,360,110

See notes to financial statements

8

Nestor Partners

Statements of Financial Highlights (UNAUDITED)

For the three months ended September 30, 2007	Limited Partners			Special Limited Partners
Ratios to average capital:
Net investment income (a)		1.57	%		4.33	%
Total expenses (a)		3.65	%		0.80	%
Profit share allocation (b)		(2.36	)%		(0.51	)%
Total expenses and profit share allocation		1.29	%		0.29	%
Total return before profit share allocation (b)		(10.41	)%		(9.79	)%
Profit share allocation (b)		1.73	%		0.40	%
Total return after profit share allocation		(8.68	)%		(9.39	)%
For the three months ended September 30, 2006		Limited Partners			Special Limited Partners
Ratios to average capital:
Net investment income (a)		1.62	%		3.98	%
Total expenses (a)		3.22	%		0.84	%
Profit share allocation (b)		(0.73	)%		-	%
Total expenses and profit share allocation		2.49	%		0.84	%
Total return before profit share allocation (b)		(4.72	)%		(4.15	)%
Profit share allocation (b)		0.67	%		-	%
Total return after profit share allocation		(4.05	)%		(4.15	)%

(a) annualized
(b) not annualized	(Continued)

9

Nestor Partners

Statements of Financial Highlights (UNAUDITED)

For the nine months ended September 30, 2007	Limited Partners			Special Limited Partners
Ratios to average capital:
Net investment income (a)		1.17	%		3.92	%
Total expenses (a)		3.69	%		0.86	%
Profit share allocation (b)		2.05	%		0.18	%
Total expenses and profit share allocation		5.74	%		1.04	%
Total return before profit share allocation (b)		10.88	%		13.20	%
Profit share allocation (b)		(2.14	)%		(0.19	)%
Total return after profit share allocation		8.74	%		13.01	%
For the nine months ended September 30, 2006		Limited Partners			Special Limited Partners
Ratios to average capital:
Net investment income (a)		1.07	%		3.50	%
Total expenses (a)		3.36	%		0.88	%
Profit share allocation (b)		0.10	%		-	%
Total expenses and profit share allocation		3.46	%		0.88	%
Total return before profit share allocation (b)		(0.63	)%		1.20	%
Profit share allocation (b)		(0.11	)%		-	%
Total return after profit share allocation		(0.74	)%		1.20	%

(a) annualized
(b) not annualized
See notes to financial statements	(Concluded)

10

NOTES TO FINANCIAL STATEMENTS (UNAUDITED)

The accompanying unaudited financial statements, in the opinion of management, include all adjustments (consisting only of normal recurring adjustments) necessary for a fair presentation of Nestor Partners’ (the “Partnership”) financial condition at September 30, 2007 (unaudited) and December 31, 2006 and the results of its operations for the three and nine months ended September 30, 2007 and 2006 (unaudited). These financial statements present the results of interim periods and do not include all disclosures normally provided in annual financial statements. It is suggested that these financial statements be read in conjunction with the audited financial statements and notes included in the Partnership's annual report on Form 10-K filed with the Securities and Exchange Commission for the year ended December 31, 2006. The December 31, 2006 information has been derived from the audited financial statements as of December 31, 2006.

The Partnership pays administrative expenses for legal, audit and accounting services, up to 0.25 of 1% per annum of the Partnership's average month-end net assets. A portion of such expenses are paid to an affiliate of Millburn Ridgefield Corporation (the “General Partner”), The Millburn Corporation (“TMC”), for providing accounting services to the Partnership. The Partnership incurred administrative expenses of $94,272 and $288,548, during the three and nine months ended September 30, 2007, respectively, of which $61,797 and $180,059, relates to legal and accounting services provided to the Partnership by TMC. The General Partner pays all administrative expenses in excess of 0.25 of 1% per annum of the Partnership's average month-end net assets.

Interests sold through Selling Agents engaged by the General Partner are generally subject to a 2.5% redemption charge for redemptions made prior to the end of the twelfth month following their sale. All redemption charges will be paid to the General Partner. There were no charges due to the General Partner at September 30, 2007.

Recently Issued Pronouncements

In July 2006, the Financial Accounting Standards Board ("FASB") issued FASB Interpretation No. 48, Accounting for Uncertainty in Income Taxes - an interpretation of FASB Statement No. 109 ("FIN 48"), which clarifies the accounting for uncertainty in tax positions. FIN 48 requires that the Partnership recognize in its financial statements, the impact of a tax position, and if that position is more likely than not of being sustained on audit, based on the technical merits of the position. The provisions of FIN 48 are effective for fiscal years beginning after December 15, 2006, with the cumulative effect of the change in accounting principle recorded as an adjustment to opening retained earnings. The General Partner of the Partnership has evaluated the impact of adopting FIN 48 on the Partnership's financial statements. In the General Partner's opinion, the adoption of FIN 48 has no impact on the Partnership. The Partnership's tax position, as it is treated as a partnership for federal income tax purposes, is based on established tax precedent for tax treatment of investment partnerships as flow-through entities.

In September 2006, the FASB issued SFAS No. 157, Fair Value Measurements, which defines fair value, establishes a framework for measuring fair value, and expands disclosures about fair value measurements. The provisions of SFAS No. 157 are effective for fiscal years beginning after November 15, 2007. The Partnership is currently evaluating the impact of adopting SFAS No. 157 on its financial statements. At this time, the impact to the Partnership's financial statements has not been determined.

11

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.

OPERATIONAL OVERVIEW

Due to the nature of the Partnership's business, its results of operations depend on the General Partner's ability to recognize and capitalize on trends and other profit opportunities in different sectors of the global capital and commodity markets. The General Partner's trading methods are confidential, so that substantially the only information that can be furnished regarding the Partnership's results of operations is contained in the performance record of its trading. Unlike operating businesses, general economic or seasonal conditions do not directly affect the profit potential of the Partnership, and its past performance is not necessarily indicative of future results. The General Partner believes, however, that there are certain market conditions, for example, markets with strong price trends, in which the Partnership has a better likelihood of being profitable than in others.

LIQUIDITY AND CAPITAL RESOURCES

The Partnership raises additional capital only through the sale of Interests. Partnership capital may also be increased by trading profits, if any. The Partnership does not engage in borrowing. Interests may be offered for sale as of the beginning of each month.

The Partnership trades futures and forward contracts on interest rates, commodities, currencies, metals, energies, livestock and stock indices. Due to the nature of the Partnership's business, substantially all its assets are represented by cash and United States government obligations, while the Partnership maintains its market exposure through open futures and forward contract positions.

The Partnership's assets are generally held as cash, cash equivalents or U.S. Government obligations which are used to margin or collateralize the Partnership's futures and forward positions and are withdrawn, as necessary, to pay redemptions and expenses. Other than potential market-imposed limitations on liquidity, due, for example, to daily price fluctuation limits, which are inherent in the Partnership's futures and forward trading, the Partnership's assets are highly liquid and are expected to remain so.

There have been no material changes with respect to the Partnership's critical accounting policies, off-balance sheet arrangements or disclosure of contractual obligations as reported in the Partnership's Annual Report on Form 10-K for fiscal year 2006.

PROFIT SHARE

The following table indicates the total profit share earned and accrued during the three and nine months ended September 30, 2007 and 2006. Profit share earned (from Limited Partners’ redemptions) is credited to the New Profit memo account as defined in the Partnership’s Partnership Agreement.

12

	Three months ended:
	Sep 30, 2007			Sep 30, 2006
Profit share earned	$	23,146		$	7,978
Reversal of profit share (1)		(4,307,329	)		(965,284	)
Profit share accrued (2)		1,852,744			0
Total profit share	$	(2,431,439	)	$	(957,306	)
	Nine months ended:
		Sep 30, 2007			Sep 30, 2006
Profit share earned	$	167,237		$	131,718
Profit share accrued (2)		1,852,744			0
Total profit share	$	2,019,981		$	131,718

(1) At July 1

(2) At September 30

RESULTS OF OPERATIONS

During its operations for the three and nine months ending September 30, 2007, the Partnership experienced no meaningful periods of illiquidity in any of the numerous markets traded by the General Partner.

Due to the nature of the Partnership’s trading, the results of operations for the interim period presented should not be considered indicative of the results that may be expected for the entire year.

Periods ended September 30, 2007

Month Ending:	Total Partners' Capital
September 30, 2007	$	147,934,655
June 30, 2007		170,516,023
December 31, 2006		147,701,841

	Three Months			Nine Months
Change in Partners' Capital	$	(22,581,368	)	$	232,814
Percent Change		-13.24	%		0.16	%

13

THREE MONTHS ENDED SEPTEMBER 30, 2007

The decrease in the Partnership’s net assets of $22,581,368 was attributable to net loss (before profit share) of $17,448,013 and withdrawals of $6,290,979, which was partially offset by subscriptions of $1,157,624.

Brokerage fees are calculated on the net asset value on the last day of each month and are affected by trading performance, subscriptions and redemptions. Brokerage fees for the three months ended September 30, 2007 decreased $192,469 relative to the corresponding period in 2006.

The Partnership pays administrative expenses for legal, audit and accounting services, up to 0.25 of 1% per annum of the Partnership's average month-end net assets. Administrative expenses for the three months ended September 30, 2007 decreased $18,463 relative to the corresponding period in 2006. The decrease was due mainly to a decrease in the Partnership's average net assets during the three months ended September 30, 2007, relative to the corresponding period in 2006.

Interest income is derived from cash and U.S. Treasury instruments held at the Partnership's brokers and custodian. Interest income for the three months ended September 30, 2007 decreased $220,075 relative to the corresponding period in 2006. This decrease was due mainly to a decrease in average net assets during the period, which was partially offset by an increase in short-term Treasury yields.

During the three months ended September 30, 2007, the Partnership experienced net realized and unrealized losses of $18,461,414 from its trading operations (including foreign exchange translations and U.S. Treasury notes). Brokerage fees of $846,601, administrative expenses of $94,272 and custody fees of $6,515 were incurred. Interest income of $1,960,789 and a reversal of accrued profit share to General Partner of $2,431,439 offset the Partnership's expenses resulting in a net loss after profit share to General Partner of $15,016,574. An analysis of the trading gain (loss) by sector is as follows:

Sector	% Gain/ (Loss)
Currencies		-3.65	%
Energies		0.29	%
Grains		2.72	%
Interest Rates		-6.79	%
Livestock		0.01	%
Metals		0.33	%
Softs		-1.06	%
Stock Indices		-3.24	%
Trading Gain/(Loss)		-11.39	%

NINE MONTHS ENDED SEPTEMBER 30, 2007

The increase in the Partnership’s net assets of $232,814 was attributable to net income (before profit share) of $16,879,447 and contributions of $2,214,310, which was partially offset by withdrawals of $18,860,943.

Brokerage fees are calculated on the net asset value on the last day of each month and are affected by trading performance, subscriptions and redemptions. Brokerage fees for the nine months ended September 30, 2007 decreased $712,017 relative to the corresponding period in 2006.

The Partnership pays administrative expenses for legal, audit and accounting services, up to 0.25 of 1% per annum of the Partnership's average month-end net assets. Administrative expenses for the nine months ended September 30, 2007 decreased $59,451 relative to the corresponding period in 2006. The decrease was due mainly to a decrease in the Partnership's average net assets during the nine months ended September 30, 2007, relative to the corresponding period in 2006.

Interest income is derived from cash and U.S. Treasury instruments held at the Partnership's brokers and custodian. Interest income for the nine months ended September 30, 2007 decreased $578,911 relative to the corresponding period in 2006. This decrease was due mainly to a decrease in average net assets during the period, which was partially offset by an increase in short-term Treasury yields.

14

During the nine months ended September 30, 2007, the Partnership experienced net realized and unrealized gains of $14,288,784 from its trading operations (including foreign exchange translations and U.S. Treasury notes). Brokerage fees of $2,660,089, administrative expenses of $288,548, custody fees of $17,386 and accrued profit share to General Partner of $2,019,981 were incurred. Interest income of $5,556,686 offset the Partnership's expenses resulting in a net gain after profit share to General Partner of $14,859,466. An analysis of the trading gain (loss) by sector is as follows:

Sector	% Gain/ (Loss)
Currencies		3.75	%
Energies		-0.96	%
Grains		2.46	%
Interest Rates		0.41	%
Livestock		-0.11	%
Metals		1.20	%
Softs		-0.44	%
Stock Indices		2.98	%
Trading Gain/(Loss)		9.29	%

MANAGEMENT DISCUSSION - 2007

Three months ended September 30, 2007

For the three-month period ended September 30, 2007, the Partnership's Limited Partners and Special Limited Partners had negative returns, net of all fees, of 8.68% and 9.39%, respectively. Over half of the loss was in trading interest rate futures with the balance of the decline split rather evenly between currency forward and stock index futures trading. Grain trading was positive and to a lesser extent so was trading of energy and metal futures.

The Partnership’s positions at the beginning of the three months ended September 30, 2007 reflected several well established themes: solid global growth, high worldwide liquidity, a gradual tightening of monetary policies worldwide, and a diminution of the dollar’s role in world trade and reserve management. Our technical models were short interest rate futures on government and short-term debt reflecting rising interest rates; short the dollar, except against low interest rate currencies like the yen and Swiss franc; long high interest rate currencies and short lower interest rate currencies (the carry trade); long global equity indices; long precious and industrial metals; moderately long energy markets except short natural gas; and long grains and mixed in other agricultural markets.

During July and August fallout from the blowup of the U.S. subprime mortgage market spread around the world and triggered a sharp and widespread drying up of liquidity, a broad based contraction of “risk oriented” trades, and a flight to quality and liquidity in the debt markets. In particular, government and short-term interest rate instruments were bought, global equities were sold; the dollar was in demand; carry trades in non-U.S. currencies were unwound; and concerns that global growth would slow resulted in metal and energy prices declining. These actions took place almost simultaneously and produced countertrend movements in most markets in the portfolio. The diversification normally provided from trading 120 markets in nine sectors was ineffective as the markets became almost universally correlated and the Partnership experienced losses in both July and August.

While the Federal Reserve was reticent to act initially, the Fed did cut the fed funds and discount rates aggressively, and this action along with massive injections of liquidity by the Fed and the European and Japanese central banks helped to stabilize world financial markets so that many of the trends, which had been disrupted in July and August, reasserted themselves in September and the Partnership was profitable for the month of September. Hence, in September short dollar positions, long stock index positions, long energy positions, and long precious and industrial metals positions were profitable. In addition, in September a profitable bull market in grains accelerated as drought conditions in Australia and the Ukraine and strong global demand sent wheat to all time highs above $9 per bushel, and other grains rallied as well. Interest rate trading, on the other hand, remained unprofitable.

15

Three months ended June 30, 2007

For the three-month period ended June 30, 2007, the Partnership's Limited Partners and Special Limited Partners had positive returns, net of all fees, of 17.34% and 21.65%, respectively. Significant profits were registered from trading of interest rate and stock index futures and currency forwards. Trading of non-financial markets did not have a material impact on the quarterly return.

Robust worldwide economic growth, abundant worldwide liquidity, and corporate buyouts and buybacks supported global equity markets. Consequently, long positions in European, Asian, U.S., Australian, Canadian and South African equity futures were profitable.

Global interest rates moved higher throughout the quarter. Strong growth, inflation concerns, reserve diversification away from government securities by sovereign wealth funds, and tighter monetary policies—for example, in China, India, Europe, and the United Kingdom—contributed to upward pressure on interest rates. Short positions in European, Australian, Canadian and U.S. interest rates futures were profitable.

In the currency sector, the so-called carry trade, where high yielding currencies are purchased and low yielding currencies are sold produced gains. Also, strong international economic growth relative to weakening U.S. growth contributed to a dollar decline, bringing good returns on short dollar positions.

Energy prices were volatile reflecting geopolitical uncertainties involving Iran, Nigeria and Saudi Arabia and ongoing refinery worries. Therefore, the Partnership was lightly positioned and results were marginally profitable during the period.

Metal trading was flat, as gains from a long lead position offset losses elsewhere in the sector.

Finally, trading of grains was fractionally unprofitable, while soft commodities trading was fractionally profitable, due to a short sugar trade.

Three months ended March 31, 2007

For the three-month period ended March 31, 2007, the Partnership's Limited Partners and Special Limited Partners had positive returns, net of all fees, of 1.47% and 2.52%, respectively. Trading of interest rate, currency and metals futures was profitable, and to a lesser extent soft commodity futures. On the other hand, losses were sustained in trading energy, grain, stock indices and livestock futures. Prices were quite volatile during the period, and the Partnership posted gains in January and March, but suffered a loss in February.

Profits from currency trading derived primarily from shorting the U.S. dollar against currencies with higher interest rates, such as the Brazilian real, the Indian rupee, and the Turkish lira. Long British sterling positions against the low yielding Swiss and Swedish currencies, and a short euro trade versus the Hungarian forint were also profitable.

Market interest rates rose during the quarter as Central Banks worldwide, including England, Japan, China, India, the ECB, Norway and Switzerland, used official interest rate increases and quantitative measures to tighten monetary policy. Consequently, solid profits were generated by short positions in British, German, Australian, and Swiss notes and bonds, and from a short position in British short rates. With inflation still virtually nonexistent in Japan, a long position in Japanese government bonds was also profitable.

Continuing strong worldwide demand for base metals pushed prices higher, producing profits on long nickel, lead and tin positions. Nickel prices were also boosted by labor unrest at Canadian mines that produce a significant amount of the world's supply at a time when inventories are at multi-year lows. On the other hand, a long zinc trade was unprofitable.

Stock markets worldwide were highly volatile throughout the January-March period. The Partnership maintained long positions in its U.S., European, Asian, and South African stock indices, and there was a marginal loss for the quarter. Strong worldwide growth, attractive corporate profits, and heavy and high profile merger and acquisition activity underpinned equity index prices. However, there were significant, albeit short-lived, stock sell-offs late in February and again late in March. The first occurred when reports, which were later denied, surfaced that Chinese officials were considering new taxes on capital gains and new restrictions on the use of borrowed funds for stock investing. The second happened due to protectionism concerns when the U.S. Commerce Department imposed tariffs on Chinese glossy paper.

16

Energy prices were extremely volatile during the quarter. For example, crude prices briefly fell below $50 per barrel in January before recovering to end the month near $58 per barrel. Thereafter, crude vacillated in a range between $56 and $63 per barrel. On balance, short positions across the energy complex resulted in losses.

Trading in grains, soft commodities and livestock in the aggregate produced minimal profit/loss impact during the quarter.

Periods ended September 30, 2006

MONTH ENDING:	TOTAL PARTNERS' CAPITAL
September 30, 2006	$	158,360,110
June 30, 2006		182,935,681
December 31, 2005		170,951,921

	THREE MONTHS			NINE MONTHS
Change in Partners' Capital	$	(24,575,571	)	$	(12,591,811	)
Percent Change		-13.43	%		-7.37	%

THREE MONTHS ENDED SEPTEMBER 30, 2006

The decrease in the Partnership's net assets of $24,575,571 was attributable to withdrawals of $22,734,820 and net loss (before profit share) of $8,638,299, which was partially offset by contributions of $6,797,548.

Brokerage fees are calculated on the net asset value on the last day of each month and are affected by trading performance, subscriptions and redemptions. Brokerage fees for the three months ended September 30, 2006 decreased $94,925 relative to the corresponding period in 2005.

The Partnership pays administrative expenses for legal, audit and accounting services, up to 0.25 of 1% per annum of the Partnership's average month-end net assets. Administrative expenses for the three months ended September 30, 2006 increased $8,779 relative to the corresponding period in 2005. The increase was due mainly to an increase in the Partnership's average net assets during the three months ended September 30, 2006, relative to the corresponding period in 2005.

Interest income is derived from cash and U.S. Treasury instruments held at the Partnership's brokers and custodian. Interest income for the three months ended September 30, 2006 increased $940,180 relative to the corresponding period in 2005. This increase was due mainly to an increase in short-term Treasury yields.

17

During the three months ended September 30, 2006, the Partnership experienced net realized and unrealized losses of $9,661,082 from its trading operations (including foreign exchange translations and U.S. Treasury notes). Brokerage fees of $1,039,070, administrative expenses of $112,735 and custody fees of $6,276 were incurred. Interest income of $2,180,864 and a reversal of accrued profit share of $957,306 offset the Partnership's expenses resulting in a net loss after profit share to General Partner of $7,680,993. An analysis of the trading gain (loss) by sector is as follows:

SECTOR	GAIN LOSS)
Currencies		-2.12	%
Energies		-0.62	%
Grains		0.17	%
Interest Rates		-4.74	%
Livestock		-0.08	%
Metals		0.60	%
Softs		-0.11	%
Stock Indices		1.56	%
TRADING GAIN/(LOSS)		-5.34	%

NINE MONTHS ENDED SEPTEMBER 30, 2006

The decrease in the Partnership's net assets of $12,591,811 was attributable to withdrawals of $31,087,846 and net loss (before profit share) of $531,155, which was partially offset by contributions of $19,027,190.

Brokerage fees are calculated on the net asset value on the last day of each month and are affected by trading performance, subscriptions and redemptions. Brokerage fees for the nine months ended September 30, 2006 decreased $375,849 relative to the corresponding period in 2005.

The Partnership pays administrative expenses for legal, audit and accounting services, up to 0.25 of 1% per annum of the Partnership's average month-end net assets. Administrative expenses for the nine months ended September 30, 2006 increased $21,555 relative to the corresponding period in 2005. The increase was due mainly to an increase in the Partnership's average net assets during the nine months ended September 30, 2006, relative to the corresponding period in 2005.

Interest income is derived from cash and U.S. Treasury instruments held at the Partnership's brokers and custodian. Interest income for the nine months ended September 30, 2006 increased $2,733,523 relative to the corresponding period in 2005. This increase was due mainly to an increase in short-term Treasury yields.

During the nine months ended September 30, 2006, the Partnership experienced net realized and unrealized losses of $2,927,310 from its trading operations (including foreign exchange translations and U.S. Treasury notes). Brokerage fees of $3,372,106, administrative expenses of $347,999, custody fees of $19,337 and accrued profit share of $131,718 were incurred. Interest income of $6,135,597 offset the Partnership's expenses resulting in net loss after profit share to General Partner of $662,873. An analysis of the trading gain (loss) by sector is as follows:

18

	GAIN
SECTOR	(LOSS)
Currencies		-8.83	%
Energies		-0.72	%
Grains		-1.07	%
Interest Rates		1.07	%
Livestock		-0.54	%
Metals		7.08	%
Softs		0.29	%
Stock Indices		1.25	%
TRADING GAIN/(LOSS)		-1.47	%

MANAGEMENT DISCUSSION - 2006

Three months ended September 30, 2006

For the three-month period ended September 30, 2006, the Partnership's Limited Partners and Special Limited Partners had negative returns, net of all fees, of 4.05% and 4.15%, respectively. Losses from interest rate and currency trading accounted for the bulk of the decline, although trading of energy, soft commodities and livestock also was unprofitable. Profits from equity, metals and grain trading did provide a minor positive offset.

Evidence of slower growth in the U.S. during the second and third quarters, uncertainties about the strength of Asian and European growth in the future, and persistent talk by central bankers about the need to be vigilant against inflation generated a fall in interest rates across the globe. As a result, short positions in U.S., Canadian, European, Australian and Japanese interest rate futures produced losses.

Currency trading was also unprofitable in the third quarter. Once again, the ebb and flow of geopolitical uncertainties involving Israel, Lebanon, Iran, Iraq and Korea, together with the worldwide concerns about future growth and inflation kept market participants from sustaining any persistent trends. In this environment, most dollar positions remained small and the minor overall loss was widely distributed. In non-dollar cross rate trading, losses were sustained when the euro fell against a number of higher yielding currencies.

Energy prices after being driven to record highs in early August due to weather related events, the Iran sanctions imbroglio, the Israeli-Lebanese conflict, and the London terror threat, plunged precipitously thereafter as each of these factors was resolved satisfactorily. Consequently, long positions in crude oil and petroleum products generated modest losses before being reversed to short positions by the end of the quarter. Meanwhile, a short natural gas trade was fractionally profitable.

Trading of soft commodities and livestock produced marginal losses.

Somewhat surprisingly, equity markets worldwide climbed the wall of worry during the third quarter. As a result, long positions in European and South African equity futures were profitable, while trading in U.S., Canadian, and Japanese equity futures were essentially unchanged.

Long positions in industrial metals benefited from price gains due to continued strong demand and relatively tight warehouse supplies. Precious metals prices, on the other hand, fell in response to a lessening of geopolitical tensions, some reduction in inflation worries, and a stable to firmer dollar, and long positions were unprofitable.

19

Grain trading was profitable because short positions in the soybean complex benefited from strong crop estimates out of the U.S. Department of Agriculture that drove prices lower.

Three months ended June 30, 2006

For the three-month period ended June 30, 2006, the Partnership's Limited Partners and Special Limited Partners had negative returns, net of all fees, of 3.60% and 3.74%, respectively. Trading of equity futures and dollar foreign exchange positions were particularly unprofitable, and to a lesser extent so was trading of agricultural commodities. Gains from trading interest rate and metal futures partially offset losses in these sectors.

Long positions in equity futures worldwide were profitable during April. However, an abrupt change in market dynamics occurred in early May. Worries about the impacts of Central Bank tightening around the globe and of high commodity prices on global growth triggered a broad based equities sell off. As a result 17 of the 19 equity futures traded in the portfolio generated losses during the second quarter and the remaining two equity futures were essentially flat. Equity futures for the U.S., Europe, and the Far East produced negative results. The swift attitude reversal was aggravated by a generalized effort on the part of investors and speculators to take profits and reduce risk positions as Central Banks worldwide increasingly restricted liquidity. Hence, by the end of the quarter, most long equity positions had been closed, reduced significantly or reversed to short positions.

Currency trading was unprofitable again in the second quarter. Tightening of monetary policies around the globe, uncertainty about growth prospects, especially for the U.S., and China, the ebb and flow of worries about global inflation; and escalating tensions in the Middle East and Korea kept market participants from setting persistent trends for the major currencies. Non-dollar cross rates also failed to display sustained trends. At the start of April, the Fund was generally long the dollar versus Europe and Japan, and short the dollar against a variety of high yielding developing country currencies. By the end of the quarter, most of those positions had produced losses and had been reduced, closed, or reversed.

The rising interest rate environment did produce gains from interest rate futures trading. Short positions in long term and short term interest rate futures for the U.S., Canada, Europe, the United Kingdom and Australia were profitable.

For most of the quarter, industrial metals prices were underpinned by solid, though perhaps slowing, worldwide growth. Moreover, tight supply situations were highlighted by declining London Metal Exchange inventories and various production disruptions. Precious metals prices gained as Middle Eastern and Korean tensions encouraged safe haven buying. A weaker dollar and persistent inflation worries also underpinned speculative buying of both precious and industrial metals.

In the energy complex, prices of crude and products were volatile at high levels and rose somewhat on balance, producing small gains from long positions. Trading of natural gas, on the other hand, was somewhat unprofitable.

Prices of agricultural commodities were volatile, and fractional losses were registered in trading of grains, livestock and softs.

20

Three Months Ended March 31, 2006

For the three-month period ended March 31, 2006, the Partnership's Limited Partners and Special Limited Partners had positive returns, net of all fees, of 7.32% and 9.69%, respectively. Strong economic conditions worldwide supported gains from trading futures in stock indices, metals, and interest rates. Among soft commodities, trading of sugar futures was profitable. On the other hand, currency, grain and energy trading were not profitable.

Long positions in U.S., European, Asian, and South African stock index futures were profitable. Broad-based growth, encompassing the emerging markets—led by China and India—the U.S., Europe, and even Japan encouraged investors worldwide.

This buoyant economic environment was supportive of industrial and precious metals prices also. Precious metals were underpinned as well by persistent and widespread money supply growth, political uncertainties (for example, the Iranian situation), reports that a silver exchange-traded fund was about to begin trading, and rising demand from countries such as India and China where wealth is often held via gold hoarding. As a result long positions in gold, silver, platinum, copper, aluminum, lead and zinc registered profits.

Favorable economic reports from the U.S., Europe, and Asia, concerns about the potential for an up tick in inflation and expectations that additional official interest rate increases were still in the offing contributed to a global rise in interest rates across the yield curve. Hence, profits were recorded on short positions in U.S., German and Japanese notes and bonds. Short positions in dollar, euro and sterling short-term interest rate futures were also profitable.

A long sugar position benefited from a strong sugar price gain early in the quarter that resulted from weather related crop shortages in Brazil and Asia.

Currency trading was unprofitable as exchange rates displayed non-directional volatility during the quarter. In general, long dollar positions lost money and carry trades—borrowing and selling low interest rate currencies to buy and invest in high interest rate currencies—which had been quite profitable, were unwound suddenly and substantially, also producing losses.

Energy trading was fractionally unprofitable. Energy prices were volatile, with crude prices edging up somewhat on balance, while product prices and natural gas declined. A loss on unleaded gasoline trading was larger than small gains from a short natural gas position and long crude oil positions.

Trading of grains was fractionally unprofitable, and trading of livestock was marginally profitable.

ITEM 3. QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET RISK

Value at Risk is a measure of the maximum amount which the Partnership could reasonably be expected to lose in a given market sector. However, the inherent uncertainty of the Partnership's speculative trading and the occurrence in the markets traded by the Partnership of market movements far exceeding expectations could result in actual trading or non-trading losses far beyond the indicated or the Partnership's experience to date (i.e., "risk of ruin"). In light of the foregoing as well as the risks and uncertainties intrinsic to all future projections, the inclusion of the quantification included in this section should not be considered to constitute any assurance or representation that the Partnership's losses in any market sector will be limited to Value at Risk or by the Partnership's attempts to manage its market risk.

21

Materiality, as used in this section "Quantitative and Qualitative Disclosures About Market Risk," is based on an assessment of reasonably possible market movements and the potential losses caused by such movements, taking into account the leverage, optionality and multiplier features of the Partnership's market sensitive instruments.

Quantifying the Partnership's Trading Value at Risk

Quantitative Forward-Looking Statements

The following quantitative disclosures regarding the Partnership's market risk exposures contain "forward-looking statements" within the meaning of the safe harbor from civil liability provided for such statements by the Private Securities Litigation Reform Act of 1995 (set forth in Section 27A of the Securities Act and Section 21E of the Securities Exchange Act of 1934). All quantitative disclosures in this section are deemed to be forward-looking statements for purposes of the safe harbor, except for statements of historical fact.

The Partnership's risk exposure in the various market sectors traded by the General Partner is quantified below in terms of Value at Risk. Due to the Partnership's mark-to-market accounting, any loss in the fair value of the Partnership's open positions is directly reflected in the Partnership's earnings (realized or unrealized) and cash flow (at least in the case of exchange-traded contracts in which profits and losses on open positions are settled daily through variation margin).

Exchange maintenance margin requirements for equivalent or similar futures positions have been used by the Partnership as the measure of its Value at Risk. Maintenance margin requirements are set by exchanges to equal or exceed 95-99% of the maximum one-day losses in the fair value of any given contract incurred during the time period over which historical price fluctuations are researched for purposes of establishing margin levels. The maintenance margin levels are established by dealers and exchanges using historical price studies as well as an assessment of current market volatility (including the implied volatility of the options on a given futures contract) and economic fundamentals to provide a probabilistic estimate of the maximum expected near-term one-day price fluctuation.

The fair value of the Partnership's futures and forward positions does not have any optionality component. However, the General Partner may also trade commodity options on behalf of the Partnership. The Value at Risk associated with options would be reflected in the margin requirement attributable to the instrument underlying each option.

In quantifying the Partnership's Value at Risk, 100% positive correlation in the different positions held in each market risk category has been assumed. Consequently, the margin requirements applicable to the open contracts have simply been aggregated to determine each trading category's aggregate Value at Risk. The diversification effects resulting from the fact that the Partnership's positions are rarely, if ever, 100% positively correlated have not been reflected.

In the case of contracts denominated in foreign currencies, the Value at Risk figures include foreign margin amounts converted into U.S. Dollars.

22

The Partnership's Trading Value at Risk in Different Market Sectors

The following table indicates the average, highest and lowest amounts of trading Value at Risk associated with the Partnership's open positions by market category for each quarter-end during the period ended September 30, 2007. During the nine months ended September 30, 2007, the Partnership's average total capitalization was approximately $153,372,000. 

Market Sector	Average Value at Risk		% of Average Capitalization			Highest Value at Risk		Lowest Value at Risk
Currencies	$	5.6		3.6	%	$	7.3	$	4.2
Energies		1.3		0.9	%		1.8		1.0
Grains		0.6		0.4	%		0.7		0.5
Interest rates		3.9		2.5	%		5.9		2.2
Livestock		0.1		0.1	%		0.2		0.1
Metals		2.0		1.3	%		2.2		1.7
Softs		0.9		0.6	%		1.1		0.7
Stock indices		5.4		3.5	%		7.2		3.3
Total	$	19.8		12.9	%

Average, highest and lowest Value at Risk amounts relate to the quarter-end amounts for the nine months ended September 30, 2007. Average capitalization is the average of the Partnership's capitalization at the end of each of the nine months ended September 30, 2007. Dollar amounts represent millions of dollars. 

ITEM 4. CONTROLS AND PROCEDURES

Millburn Ridgefield Corporation, the General Partner of the Partnership, with the participation of the General Partner's Co-Chief Executive Officers and Chief Financial Officer, has evaluated the effectiveness of the design and operation of its disclosure controls and procedures with respect to the Partnership as of the end of the period covered by this quarterly report, and, based on their evaluation, have concluded that these disclosure controls and procedures are effective. There were no significant changes in the General Partner's internal controls with respect to the Partnership or in other factors applicable to the Partnership that could materially affect these controls subsequent to the date of their evaluation.

PART II. OTHER INFORMATION

ITEM 1. Legal Proceedings - None

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

(a) Pursuant to the Partnership's Declaration of Partnership and Partnership Agreement, the Partnership may sell Limited Partnership Interests ("Interests") at the beginning of each calendar month. On July 1, 2007, August 1, 2007 and September 1, 2007, the Partnership sold Interests to existing and new limited partners in the amount of $1,066,000, $5,000 and $75,000, respectively. On July 1, 2007 and September 1, 2007 the Partnership sold Interests to an existing special limited partner in the amount of $5,114 and $6,510, respectively. There were no underwriting discounts or commissions in connection with the sales of the Interests described above.

(c) Pursuant to the Partnership's Declaration of Partnership and Partnership Agreement, investors may redeem their Interests at the end of each calendar month at the then current month-end Net Asset Value. The redemption of Interests has no impact on the value of Interests that remain outstanding, and Interests are not reissued once redeemed.

23

The following table summarizes Interests redeemed during the three months ended September 30, 2007:

Date of Withdrawal	Limited Partners			Special Limited Partners			Total
July 31, 2007	$	(66,873	)	$	(36,161	)	$	(103,034	)
August 31, 2007		(242,306	)		(10,680	)		(252,986	)
September 30, 2007		(5,919,959	)		(15,000	)		(5,934,959	)
Total	$	(6,229,138	)	$	(61,841	)	$	(6,290,979	)

ITEM 3. Defaults Upon Senior Securities - None

ITEM 4. Submission of Matters to a Vote of Security Holders - None

ITEM 5. Other Information - None

ITEM 6. (a) Exhibits -

The following exhibits are incorporated by reference from the exhibit of the same number and description filed with the Partnership's Registration Statement (file # 000-50725) filed on April 29, 2005 on Form 10 under the Securities Act of 1934 and declared effective June 28, 2005.

3.01 Amended and Restated Certificate of Limited Partnership of Nestor Partners

3.02 Amended and Restated Agreement of Limited Partnership of Nestor Partners

10.01 Acknowledgement of Separate Risk Disclosure Statements and Customer Agreement between Merrill Lynch Futures Inc. and Nestor Partners

10.02 Customer Agreement between Warburg Dillon Reed LLC and Nestor Partners

10.03 Futures and Options Agreement for Institutional Customers between Deutsche Morgan Grenfell Inc. and Nestor Partners

10.04 Form of Selling Agreement

The following exhibits are included herewith:

31.01	Rule 13(a)-14(a)/15(d)-14(a) Certification of Co-Chief Executive Officer
31.02	Rule 13(a)-14(a)/15(d)-14(a) Certification of Co-Chief Executive Officer
31.03	Rule 13(a)-14(a)/15(d)-14(a) Certification of Chief Financial Officer
32.01	Section 1350 Certification of Co-Chief Executive Officer
32.02	Section 1350 Certification of Co-Chief Executive Officer
32.03	Section 1350 Certification of Chief Financial Officer

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934, the Registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

By:	Millburn Ridgefield Corporation,
	General Partner
Date:	November 13, 2007
		/s/	Tod A. Tanis
			Tod A. Tanis
			Vice-President
			(principal accounting officer)

24