Investment in Funds

3 Months Ended

Mar. 31, 2013

5. Investment in Funds:

On November 1, 2004, the assets allocated to Winton for trading were invested in CMF Winton Master L.P. (“Winton Master”), a limited partnership organized under the partnership laws of the State of New York. The Partnership purchased 15,054.1946 units of Winton Master with cash equal to $14,251,586, and a contribution of open commodity futures and forward contracts with a fair value of $802,609. Winton Master was formed in order to permit accounts managed by Winton using its Diversified Program, a proprietary, systematic trading system, to invest together in one trading vehicle. The General Partner is also the general partner of Winton Master. Individual and pooled accounts currently managed by Winton, including the Partnership, are permitted to be limited partners of Winton Master. The General Partner and Winton believe that trading through this structure should promote efficiency and economy in the trading process. The General Partner and Winton agree that Winton will trade the Partnership’s assets allocated to Winton at a level that is up to 1.5 times the assets allocated.

On July 1, 2005, the assets allocated to Willowbridge for trading were invested in CMF Willowbridge Master Fund L.P. (formerly CMF Willowbridge Argo Master Fund L.P.) (“Willowbridge Master”), a limited partnership organized under the partnership laws of the State of New York. The Partnership purchased 12,259.3490 units of Willowbridge Master with cash equal to $11,118,119, and a contribution of open commodity futures and forward contracts with a fair value of $1,141,230. Willowbridge Master was formed in order to permit accounts managed by Willowbridge using its wPraxis Futures Trading Approach, a proprietary, discretionary trading system, to invest together in one trading vehicle. The General Partner is also the general partner of Willowbridge Master. Individual and pooled accounts currently managed by Willowbridge, including the Partnership, are permitted to be limited partners of Willowbridge Master. The General Partner and Willowbridge believe that trading through this structure should promote efficiency and economy in the trading process. The General Partner and Willowbridge agreed that Willowbridge will trade the Partnership’s assets allocated to Willowbridge at a level that is up to 3 times the amount of assets allocated. Prior to January 1, 2013, Willowbridge traded the Partnership’s assets pursuant to its Argo Trading System.

On April 1, 2006, the assets allocated to Graham for trading were invested in CMF Graham Capital Master Fund L.P. (“Graham Master”), a limited partnership organized under the partnership laws of the State of New York. The Partnership purchased 14,741.1555 units of Graham Master with cash equal to $14,741,156. Graham Master was formed in order to permit accounts managed by Graham using its K4D-15V Program, a proprietary, systematic trading system, to invest together in one trading vehicle. The General Partner is also the general partner of Graham Master. Individual and pooled accounts currently managed by Graham, including the Partnership, are permitted to be limited partners of Graham Master. The General Partner and Graham believe that trading through this structure promotes efficiency and economy in the trading process. The General Partner and Graham agreed that Graham will trade the Partnership’s assets allocated to Graham at a level that is up to 1.5 times the amount of assets allocated.

On April 1, 2008, the assets allocated to Eckhardt for trading were invested in CMF Eckhardt Master Fund L.P. (“Eckhardt Master”), a limited partnership organized under the partnership laws of the State of New York. The Partnership purchased 7,000.0000 units of Eckhardt Master with cash equal to $7,000,000. Eckhardt Master was formed in order to permit accounts managed by Eckhardt using its Standard Program-Higher Leveraged, a proprietary, systematic trading system, to invest together in one trading vehicle. The General Partner is also the general partner of Eckhardt Master. Individual and pooled accounts currently managed by Eckhardt, including the Partnership, are permitted to be limited partners of Eckhardt Master. The General Partner and Eckhardt believe that trading through this structure should promote efficiency and economy in the trading process.

On June 1, 2009, the assets allocated to SandRidge Capital L.P. (“SandRidge”) for trading were invested in CMF SandRidge Master Fund L.P. (“SandRidge Master”), a limited partnership organized under the partnership laws of the State of New York. The Partnership purchased 1,370.9885 units of SandRidge Master with cash equal to $2,818,836. Effective January 31, 2013, the Partnership fully redeemed its investment from CMF SandRidge Master Fund L.P. for cash equal to $2,145,240.

The General Partner of the Funds is not aware of any material changes to any of the trading programs discussed above during the fiscal quarter ended March 31, 2013.

Winton Master’s, Willowbridge Master’s, Graham Master’s and Eckhardt Master’s (collectively, the “Funds”), trading of futures, forwards, swaps and options contracts, if applicable, on commodities is done primarily on U.S. commodity exchanges and foreign commodity exchanges. References to “Funds” included in this report may also include, as relevant, reference to SandRidge Master. The Funds engage in such trading through commodity brokerage accounts maintained with CGM.

A limited partner of the Funds may withdraw all or part of its capital contribution and undistributed profits, if any, from the Funds in multiples of the net asset value per unit as of the end of any day (the “Redemption Date”) after a request for redemption has been made to the general partner at least three business days in advance of the Redemption Date. The units are classified as a liability when the limited partner elects to redeem and informs the Funds.

Management and incentive fees are charged at the Partnership level. All exchange, clearing, service, user, give-up, floor brokerage and National Futures Association fees (collectively, the “clearing fees”) are borne by the Funds. All other fees including CGM’s direct brokerage fees are charged at the Partnership level.

As of March 31, 2013, the Partnership owned approximately 0.6%, 6.7%, 5.0% and 25.7% of Winton Master, Willowbridge Master, Graham Master and Eckhardt Master, respectively. As of December 31, 2012, the Partnership owned approximately 0.7%, 9.9%, 4.9%, 31.6% and 0.3% of Winton Master, Willowbridge Master, Graham Master, Eckhardt Master and SandRidge Master, respectively. It is the Partnership’s intention to continue to invest in the Funds. The performance of the Partnership is directly affected by the performance of the Funds. Expenses to investors as a result of the investment in the Funds are approximately the same and redemption rights are not affected.

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


	March 31, 2013
	Total Assets		Total Liabilities		Total Capital
Winton Master	$	766,935,027	$	1,839,190	$	765,095,837
Willowbridge Master		86,930,324		642,455		86,287,869
Graham Master		73,666,854		960,766		72,706,088
Eckhardt Master		21,891,929		957,900		20,934,029

Total	$	949,424,134	$	4,400,311	$	945,023,823


	December 31, 2012
	Total Assets		Total Liabilities		Total Capital
Winton Master	$	762,738,367	$	2,827,854	$	759,910,513
Willowbridge Master		39,742,467		485,385		39,257,082
Graham Master		85,313,676		377,625		84,936,051
Eckhardt Master		18,542,577		112,971		18,429,606
SandRidge Master		294,670,281		2,521,288		292,148,993

Total	$	1,201,007,368	$	6,325,123	$	1,194,682,245

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


	For the three months ended March 31, 2013
	Net Investment Income (Loss)			Total Trading Results			Net Income (Loss)
Winton Master	$	(182,407	)	$	50,494,992		$	50,312,585
Willowbridge Master		(109,276	)		2,076,675			1,967,399
Graham Master		(72,893	)		7,535,558			7,462,665
Eckhardt Master		(42,912	)		614,370			571,458
SandRidge Master		(68,488	)		129,650			61,162

Total	$	(475,976	)	$	60,851,245		$	60,375,269

	For the three months ended March 31, 2012
	Net Investment Income (Loss)			Total Trading Results			Net Income (Loss)
Winton Master	$	(150,144	)	$	(6,587,082	)	$	(6,737,226	)
Willowbridge Master		(24,293	)		(2,080,068	)		(2,104,361	)
Graham Master		(154,873	)		3,061,669			2,906,796
Eckhardt Master		(50,920	)		245,610			194,690
SandRidge Master		(232,244	)		49,569,214			49,336,970

Total	$	(612,474	)	$	44,209,343		$	43,596,869

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


	March 31, 2013					For the three months ended March 31, 2013
	% of Partnership’s Capital								Expenses				Net Income (Loss)
Investment	% of Partnership’s Capital			Fair Value		Income (Loss)			Commissions		Other		Net Income (Loss)			Investment Objective	Redemptions Permitted
Winton Master		25.19	%	$	4,780,257	$	310,153		$	1,457	$	326	$	308,370		Commodity Portfolio		Monthly
Willowbridge Master		30.27	%		5,746,251		106,873			5,694		1,738		99,441		Commodity Portfolio		Monthly
Graham Master		19.12	%		3,628,147		371,754			2,967		1,047		367,740		Commodity Portfolio		Monthly
Eckhardt Master		28.31	%		5,373,817		179,179			7,056		5,158		166,965		Commodity Portfolio		Monthly
SandRidge Master		0.00	%		—		1,088			118		489		481		Energy Portfolio		Monthly

Total				$	19,528,472	$	969,047		$	17,292	$	8,758	$	942,997


	December 31, 2012					For the three months ended March 31, 2012
	% of Partnership’s Capital								Expenses				Net Income (Loss)
Investment	% of Partnership’s Capital			Fair Value		Income (Loss)			Commissions		Other		Net Income (Loss)			Investment Objective	Redemptions Permitted
Winton Master		27.42	%	$	5,262,282	$	(43,904	)	$	1,639	$	187	$	(45,730	)	Commodity Portfolio		Monthly
Willowbridge Master		20.16	%		3,869,402		(196,310	)		902		1,635		(198,847	)	Commodity Portfolio		Monthly
Graham Master		21.90	%		4,202,468		129,682			6,399		644		122,639		Commodity Portfolio		Monthly
Eckhardt Master		30.38	%		5,830,081		84,082			11,179		5,808		67,095		Commodity Portfolio		Monthly
SandRidge Master		4.16	%		798,592		116,738			360		142		116,236		Energy Portfolio		Monthly

Total				$	19,962,825	$	90,288		$	20,479	$	8,416	$	61,393

DIVERSIFIED MULTI-ADVISOR FUTURES FUND L.P. 10-Q