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 March 31, 2011
  OR ( )
    TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d)
    OF THE SECURITIES EXCHANGE ACT OF 1934
  For the
    transition period from
    to.
  Commission
    File Number 0-50272
   AAA CAPITAL ENERGY FUND L.P. II
    New York

03-0407557(State or other jurisdiction of
    incorporation or organization)

(I.R.S. Employer
    Identification No.)    c/o Ceres
    Managed Futures LLC
 522 Fifth Avenue

 -
14th Floor
 New York, New York 10036
    (212) 296-1999
       Yes X     No
    Yes     No
    Large accelerated filer 
         Accelerated filer 
           Non-accelerated filer  X
         Smaller  reporting company
  Rule 12b-2
  Yes     No X




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##### 



AAA CAPITAL ENERGY FUND L.P. II
  FORM 10-Q
  INDEX
  PageNumberPART I - Financial Information:Item 1.

Financial Statements:Statements of Financial Condition at
March 31, 2011 (unaudited) and
    December 31, 2010

3Statements of Income and Expenses and Changes in Partners Capital for
    the three months ended March 31, 2011 and 2010     (unaudited)

4Notes to Financial Statements, including the Financial
    Statements of  AAA Master Fund LLC (unaudited)

5  18Item 2.

Management s Discussion and Analysis of Financial Condition
    and Results of Operations

19  21Item 3.

Quantitative and Qualitative Disclosures about Market Risk

22Item 4.

Controls and Procedures

23PART  II - Other Information

24  27Exhibits           2




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##### 



PART I Item 1.
    Financial Statements  AAA Capital Energy Fund L.P. IIStatements of Financial Condition
  (Unaudited)March 31,
    
    
    December 31,2011
    
    
    2010Assets:Investment in Master, at fair value
    
    $
    382,564,251
    
    
    $
    409,326,894Cash
    
    
    352,448
    
    
    
    339,975Total assets
    
    $
    382,916,699
    
    
    $
    409,666,869Liabilities and Partners Capital:Liabilities:Accrued expenses:Brokerage commissions
    
    $
    1,713,675
    
    
    $
    1,942,511Management fees
    
    
    634,834
    
    
    
    679,115Administrative fees
    
    
    158,709
    
    
    
    169,779Other
    
    
    302,351
    
    
    
    255,364Redemptions payable
    
    
    8,042,771
    
    
    
    14,177,765Total liabilities
    
    
    10,852,340
    
    
    
    17,224,534Partners Capital:General Partner, 966.9309 and 1,064.1285 unit equivalents outstanding at
March 31, 2011 and December 31, 2010, respectively
    
    
    3,979,240
    
    
    
    4,316,829Special Limited Partner, 464.0795 Redeemable
Units  outstanding
at March 31, 2011 and December 31, 2010
    
    
    1,909,840
    
    
    
    1,882,622Limited Partners, 88,978.3347 and 95,211.6367 Redeemable
Units  outstanding at March 31,
2011 and
December 31, 2010, respectively
    
    
    366,175,279
    
    
    
    386,242,884Total partners capital
    
    
    372,064,359
    
    
    
    392,442,335Total liabilities and partners capital
    
    $
    382,916,699
    
    
    $
    409,666,869Net asset value per unit
    
    $
    4,115.33
    
    
    $
    4,056.68    3




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##### 



AAA Capital Energy Fund L.P. IIStatements of Income and Expenses and Changes in Partners Capital
    (Unaudited)
  Three Months EndedMarch 31,2011
    
    
    2010Investment income:Interest income allocated from Master
    
    $
    65,495
    
    
    $
    40,578Expenses:Expenses allocated from Master
    
    
    322,789
    
    
    
    484,323Brokerage commissions
    
    
    1,172,909
    
    
    
    2,031,309Management fees
    
    
    1,944,398
    
    
    
    2,401,816Administrative fees
    
    
    486,100
    
    
    
    600,455Other
    
    
    100,198
    
    
    
    118,173Total expenses
    
    
    4,026,394
    
    
    
    5,636,076Net investment income (loss)
    
    
    (3,960,899
    )
    
    
    (5,595,498
    )Trading Results:Net realized gains on closed contracts allocated from Master
    
    
    16,519,954
    
    
    
    (25,456,268
    )Change in net unrealized gains (losses) on open
contracts allocated from Master
    
    
    (6,939,734
    )
    
    
    11,085,842Total trading results allocated from Master
    
    
    9,580,220
    
    
    
    (14,370,426
    )Net income (loss)
    
    
    5,619,321
    
    
    
    (19,965,924
    )Subscriptions  Limited Partners
    
    
    401,165
    
    
    
    13,350,000Redemptions  Limited Partners
    
    
    (25,998,462
    )
    
    
    (17,116,893
    )Redemptions  General Partner
    
    
    (400,000
    )
    
    
    (200,000
    )Net increase (decrease) in Partners Capital
    
    
    (20,377,976
    )
    
    
    (23,932,817
    )Partners Capital, beginning of period
    
    
    392,442,335
    
    
    
    486,960,493Partners Capital, end of period
    
    $
    372,064,359
    
    
    $
    463,027,676Net asset value per unit
(90,409.3451 and 109,445.1263 units outstanding
at March 31, 2011 and 2010, respectively)
    
    $
    4,115.33
    
    
    $
    4,230.68Net income (loss) per unit *
    
    $
    58.65
    
    
    $
    (176.50
    )Weighted average units outstanding
    
    
    94,478.1982
    
    
    
    112,067.1398
 
 *
    
    Based on change in net asset value per unit.  4




---



##### 



AAA Capital Energy Fund L.P. IINotes to Financial Statements
    March 31, 2011
    (Unaudited)
  1.
    General:             Form 10-K
     5




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##### 



AAA Capital Energy Fund L.P. II
    Notes to Financial Statements
    March 31, 2011
    (Unaudited)
    AAA
    Master  Fund LLC
    Statements of Financial Condition
  (Unaudited)March 31,
    
    
    December 31,2011
    
    
    2010Assets:Equity in trading account:Cash
    
    $
    748,382,168
    
    
    $
    786,204,916Cash margin
    
    
    71,302,831
    
    
    
    84,669,985Options
purchased, at fair value (cost $582,150,814 and $561,437,849, respectively)
    
    
    479,086,813
    
    
    
    363,802,239Total assets
    
    $
    1,298,771,812
    
    
    $
    1,234,677,140Liabilities and Members Capital:Liabilities:Net
unrealized depreciation on open futures and exchange-cleared swap contracts
    
    $
    10,056,440
    
    
    $
    6,571,110Options
premium received, at fair value (premium $307,521,650 and $354,410,825, respectively)
    
    
    301,344,837
    
    
    
    239,504,355Accrued expenses:Professional fees
    
    
    309,863
    
    
    
    290,824Redemptions payable
    
    
    
    
    
    
    7,941,213Total liabilities
    
    
    311,711,140
    
    
    
    254,307,502Members Capital:Members Capital, 101,499.2392 and 103,223.2146 units
outstanding at March 31, 2011 and December 31, 2010, respectively
    
    
    987,060,672
    
    
    
    980,369,638Total liabilities and members capital
    
    $
    1,298,771,812
    
    
    $
    1,234,677,140Net asset value per unit
    
    $
    9,724.81
    
    
    $
    9,497.57
  6




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##### 



AAA Capital Energy Fund L.P. II
    Notes to Financial Statements
    March 31, 2011
    (Unaudited)
  AAA
    Master Fund LLC
 Condensed Schedule of Investments
 March 31, 2011
 (Unaudited)
 Number of
    
    
    
    
    
    
    % of MembersContracts
    
    
    Fair Value
    
    
    CapitalFutures and Exchange-Cleared Swap Contracts PurchasedEnergy
    
    
    50,012
    
    
    $
    23,424,602
    
    
    
    2.37
    %Lumber
    
    
    36
    
    
    
    (4,061
    )
    
    
    (0.00)
    *Total futures and exchange-cleared swap contracts purchased
    
    
    
    
    
    
    23,420,541
    
    
    
    2.37Futures and Exchange-Cleared Swap Contracts SoldEnergyNYMEX HH Swap Nov 11 - Dec 14
    
    
    14,725
    
    
    
    53,414,388
    
    
    
    5.41Other
    
    
    29,013
    
    
    
    (86,941,498
    )
    
    
    (8.81
    )Lumber
    
    
    17
    
    
    
    50,129
    
    
    
    0.01Total futures and exchange-cleared swap contracts sold
    
    
    
    
    
    
    (33,476,981
    )
    
    
    (3.39
    )Options PurchasedEnergyCallNYMEX Crude Oil E Jun 11 - Dec 12
    
    
    3,098
    
    
    
    79,136,630
    
    
    
    8.02NYMEX LT Crude Oil May 11 - Dec 14
    
    
    15,150
    
    
    
    192,345,240
    
    
    
    19.49Other
    
    
    14,664
    
    
    
    49,489,554
    
    
    
    5.01Call options purchased
    
    
    
    
    
    
    320,971,424
    
    
    
    32.52PutNYMEX LT Crude Oil May 11 - Dec 14
    
    
    14,909
    
    
    
    63,564,620
    
    
    
    6.44NYMEX Natural Gas E May 11 - May 14
    
    
    11,373
    
    
    
    56,069,130
    
    
    
    5.68Other
    
    
    9,408
    
    
    
    38,481,639
    
    
    
    3.90Put options purchased
    
    
    
    
    
    
    158,115,389
    
    
    
    16.02Total options purchased
    
    
    
    
    
    
    479,086,813
    
    
    
    48.54Options Premium ReceivedEnergyCallNYMEX LT Crude Oil May 11 - Dec 16
    
    
    12,048
    
    
    
    (102,994,650
    )
    
    
    (10.43
    )Other
    
    
    21,448
    
    
    
    (118,197,586
    )
    
    
    (11.98
    )Call options premium received
    
    
    
    
    
    
    (221,192,236
    )
    
    
    (22.41
    )PutOther
    
    
    26,606
    
    
    
    (80,152,601
    )
    
    
    (8.12
    )Put options premium received
    
    
    
    
    
    
    (80,152,601
    )
    
    
    (8.12
    )Total options premium received
    
    
    
    
    
    
    (301,344,837
    )
    
    
    (30.53
    )Net fair value
    
    
    
    
    
    $
    167,685,536
    
    
    
    16.99
    %
  *
    
    Due to rounding. 7




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##### 



AAA Capital Energy Fund L.P. II
    Notes to Financial Statements
    March 31, 2011
    (Unaudited)
  AAA
    Master Fund LLC
   Condensed Schedule of Investments
    December 31, 2010
  Number of





% of MembersContracts


Fair Value


CapitalFutures and Exchange-Cleared Swap Contracts PurchasedEnergy


49,880


$
(76,588,395
)


(7.75
)%Total futures and exchange-cleared swap contracts purchased






(76,588,395
)


(7.75
)Futures and Exchange-Cleared Swap Contracts SoldEnergyNYMEX HH Swap Feb 11  Dec 14


24,098



119,170,628



12.06Other


27,946



(49,185,903
)


(4.98
)Lumber


72



32,560



0.00
*Total futures and exchange-cleared swap contracts sold






70,017,285



7.08Options PurchasedEnergyCallNYMEX Crude Oil E Jun 11  Dec 12


3,098



50,475,970



5.11NYMEX LT Crude Oil Feb 11  Dec 13


9,371



97,741,150



9.89Other


17,005



46,219,048



4.67Call options purchased






194,436,168



19.67PutNYMEX Natural Gas E Feb 11  May 14


17,363



82,281,218



8.33Other


20,468



87,084,853



8.81Put options purchased






169,366,071



17.14Total options purchased






363,802,239



36.81Options Premium ReceivedEnergyCallNYMEX Heating Oil Feb 11  Jun 11


5,580



(64,361,900
)


(6.51
)NYMEX LT Crude Oil Feb 11  Dec 16


9,485



(62,747,240
)


(6.35
)Other


21,649



(52,266,589
)


(5.29
)Call options premium received






(179,375,729
)


(18.15
)PutOther


21,624



(60,128,626
)


(6.08
)Put options premium received






(60,128,626
)


(6.08
)Total options premium received






(239,504,355
)


(24.23
)Net fair value





$
117,726,774



11.91
%   *
    
    Due to rounding. 8




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##### 



AAA Capital Energy Fund L.P. II
    Notes to Financial Statements
    March 31, 2011
    (Unaudited)
  AAA
    Master Fund LLC
    Statements of Income and Expenses and Changes in Members Capital
    (Unaudited)
  Three Months EndedMarch 31,2011
    
    
    2010Investment income:Interest income
    
    $
    178,367
    
    
    $
    100,242Expenses:Clearing fees
    
    
    642,017
    
    
    
    945,322Professional fees
    
    
    171,605
    
    
    
    175,354Total expenses
    
    
    813,622
    
    
    
    1,120,676Net investment income (loss)
    
    
    (635,255
    )
    
    
    (1,020,434
    )Trading results:Net gains (losses) on trading of commodity interests:Net realized gains (losses) on closed contracts
    
    
    41,580,310
    
    
    
    (61,447,730
    )Change in net unrealized gains (losses) on open contracts
    
    
    (17,643,378
    )
    
    
    28,610,693Total
trading results
    
    
    23,936,932
    
    
    
    (32,837,037
    )Net income (loss)
    
    
    23,301,677
    
    
    
    (33,857,471
    )Subscriptions
    
    
    52,476,738
    
    
    
    14,687,953Redemptions
    
    
    (68,909,014
    )
    
    
    (130,590,487
    )Distribution
of interest income to feeder funds
    
    
    (178,367
    )
    
    
    (100,242
    )Net increase
(decrease) in Members Capital
    
    
    6,691,034
    
    
    
    (149,860,247
    )Members Capital, beginning of period
    
    
    980,369,638
    
    
    
    1,229,195,192Members Capital, end of period
    
    $
    987,060,672
    
    
    $
    1,079,334,945Net asset value per unit (101,499.2392 and 111,949.4266 Units outstanding in March 31, 2011 and 2010, respectively)
    
    $
    9,724.81
    
    
    $
    9,641.27Net income (loss) per unit*
    
    $
    228.99
    
    
    $
    (293.89
    )Weighted average units outstanding
    
    
    104,045.6041
    
    
    
    119,501.6077
 
 *
    
    Based on change in net asset value per unit. 9




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##### 



AAA Capital Energy Fund L.P. II
    Notes to Financial Statements
    March 31, 2011
    (Unaudited)
  2.
    Financial
    Highlights:   Three Months EndedMarch 31,2011
    
    
    2010Net realized
and unrealized gains (losses)*
    
    $
    85.47
    
    
    $
    (148.33
    )Interest income
    
    
    0.70
    
    
    
    0.36Expenses and allocation to Special Limited Partner**

    
    (27.52
    )
    
    
    (28.53
    )Increase
(decrease) for the period

    
    58.65
    
    
    
    (176.50
    )Net asset value per unit, beginning of period

    
    4,056.68
    
    
    
    4,407.18Net asset value per unit, end of period

    $
    4,115.33
    
    
    $
    4,230.68
   *
    
    Includes brokerage commissions and clearing fees allocated from the
    Master.**
    
    Excludes brokerage commissions and clearing fees allocated from the
    Master and includes allocation to Special Limited Partner
    in 2011 and 2010.  Three Months EndedMarch
31,2011
    

2010Ratios to
Average Net Assets:***Net investment income (loss) before allocation to Special Limited Partner****

    
    (4.2)
    %
    
    
    (4.8
    )%Operating expenses

    
    4.3
    %
    
    
    4.8
    %Allocation to Special Limited Partner
 
    
    
    %
    
    
    
    %Total expenses and allocation to Special Limited Partner
 
    
    4.3
    %
    
    
    4.8
    %Total return:Total return before allocation to Special Limited Partner

    
    1.4
    %
    
    
    (4.0
    )%Allocation to Special Limited Partner
 
    
    
    %
    
    
    
    %Total return after allocation to Special Limited Partner

    
    1.4
    %
    
    
    (4.0
    )%
   ***
    
    Annualized (except for allocation to Special Limited Partner, if
applicable).****
    
    Interest income allocated from Master less total expenses
(exclusive of allocation to Special Limited Partner, if applicable).   10




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##### 



AAA
Capital Energy Fund L.P. II
    Notes to Financial Statements
   March 31, 2010
    (Unaudited)
   Three Months EndedMarch 31,2011
    
    
    2010Net realized and unrealized gains (losses)*
    
    $
    228.93
    
    
    $
    (293.26
    )Interest income
    
    
    1.75
    
    
    
    0.89Expenses **
    
    
    (1.69
    )
    
    
    (1.52
    )Increase (decrease) for the period
    
    
    228.99
    
    
    
    (293.89
    )Distribution of interest income to feeder funds
    
    
    (1.75
    )
    
    
    (0.89
    )Net asset value per unit, beginning of period
    
    
    9,497.57
    
    
    
    9,936.05Net asset value per unit, end of period
    
    $
    9,724.81
    
    
    $
    9,641.27
   *
    
    Includes clearing fees.**
    
    Excludes clearing fees. Three Months EndedMarch 31,2011
    
    
    2010Ratios to average net assets:***Net
investment income (loss)****
    
    
    (0.3
    )%
    
    
    (0.4
    )%Operating expenses
    
    
    0.3
    %
    
    
    0.4
    %Total return
    
    
    2.4
    %
    
    
    (3.0
    )%
  ***
    
    Annualized.****
    
    Interest income less total expenses.   3.
    Trading Activities:     11




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##### 



AAA Capital Energy Fund L.P. II
    Notes to Financial Statements
    March 31, 2011
    (Unaudited)
      March
31, 2011AssetsFutures
and Exchange-Cleared Swap ContractsEnergy
    
    $
    236,264,448Lumber
    
    
    58,093Total unrealized appreciation on open futures and exchange-cleared swap contracts
    
    $
    236,322,541LiabilitiesFutures
and Exchange-Cleared Swap ContractsEnergy
    
    $
    (246,366,956
    )Lumber
    
    
    (12,025
    )Total unrealized depreciation on open futures and exchange-cleared swap contracts
    
    $
    (246,378,981
    )Net
unrealized depreciation on open futures and exchange-cleared swap contracts
    
    $
    (10,056,440
    )*AssetsOptions
PurchasedEnergy
    
    $
    479,086,813Total options purchased
    
    $
    479,086,813
    **LiabilitiesOptions
Premium ReceivedEnergy
    
    $
    (301,344,837
    )Total options premium received
    
    $
    (301,344,837
    )***
 
 *
    
    This amount is in Net unrealized depreciation on open
futures and exchange-cleared swap contracts on the Masters Statements of Financial Condition.**
    
    This amount is in Options purchased, at fair value on the Masters Statements of Financial Condition.***
    
    This amount is in Options premium received, at fair
value on the Masters Statements of Financial Condition. 12




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##### 



AAA Capital Energy Fund L.P. II
Notes to Financial Statements
March 31, 2011
(Unaudited)
 December 31, 2010AssetsFutures and Exchange-Cleared Swap ContractsEnergy

$
253,480,029Lumber


38,390Total unrealized appreciation on open futures and
    exchange-cleared swap contracts

$
253,518,419LiabilitiesFutures and Exchange-Cleared Swap ContractsEnergy

$
(260,083,699
)Lumber


(5,830
)Total unrealized depreciation on open futures and
    exchange-cleared swap contracts

$
(260,089,529
)Net unrealized depreciation on open futures and exchange-cleared
    swap contracts

$
(6,571,110
)*AssetsOptions PurchasedEnergy

$
363,802,239Options purchased

$
363,802,239
**LiabilitiesOptions Premium ReceivedEnergy

$
(239,504,355
)Options premium received

$
(239,504,355
)*** 
 *
    
    This amount is in Net unrealized depreciation on open
    futures and exchange-cleared swap contracts on the Masters
    Statements of Financial Condition.**
    
    This amount is in Options purchased, at fair value on
    the Masters Statements of Financial Condition.***
    
    This amount is in Options premium received, at fair value on
    the Masters Statements of Financial Condition.  Three Months Ended
    
    
    Three Months EndedMarch 31, 2011
    
    
    March 31, 2010Sector
    
    Gain (loss) from trading
    
    
    Gain (loss) from tradingEnergy
    
    $
    23,835,329
    
    
    $
    (32,821,199)Lumber
    
    
    101,603
    
    
    
    (15,838)Total
    
    $
    23,936,932
    ****
    
    $
    (32,837,037)
    ****
 
 ****
    
    This amount is in Total trading results on the Masters Statements of Income and
Expenses and Changes in Members Capital. 13




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##### 



AAA Capital Energy Fund L.P. II
Notes to Financial Statements
March 31, 2011
(Unaudited)
  4.
    Fair
    Value Measurements:  Partnerships Investments.
  Partnerships Fair Value Measurements
      Quoted Prices inActive Markets for


Significant Other


SignificantIdentical Assets


Observable Inputs


Unobservable Inputs3/31/2011


(Level 1)


(Level 2)


(Level 3)AssetsInvestment in Master

$
382,564,251


$



$
382,564,251


$
Net fair value

$
382,564,251


$



$
382,564,251


$
Quoted Prices inActive Markets for


Significant Other


SignificantIdentical Assets


Observable Inputs


Unobservable Inputs12/31/2010


(Level 1)


(Level 2)


(Level 3)AssetsInvestment in Master
    
    $
    409,326,894
    
    
    $
    
    
    
    $
    409,326,894
    
    
    $
    Net fair value
    
    $
    409,326,894
    
    
    $
    
    
    
    $
    409,326,894
    
    
    $
       Masters Investments.
  Masters Fair Value Measurements.
 14




---



##### 



AAA Capital Energy Fund L.P. II
    Notes to Financial Statements
   March 31, 2011
    (Unaudited)
       Quoted Prices inActive Markets for
    
    
    
    
    
    
    SignificantIdentical Assets
    
    
    Significant Other Observable
    
    
    Unobservable3/31/2011
    
    
    (Level 1)
    
    
    Inputs (Level 2)
    
    
    Inputs (Level 3)AssetsFutures and
Exchange-Cleared Swaps
    
    $
    236,322,541
    
    
    $
    236,322,541
    
    
    $
    
    
    
    $
    Options purchased
    
    
    479,086,813
    
    
    
    479,086,813
    
    
    
    
    
    
    
    Total assets
    
    
    715,409,354
    
    
    
    715,409,354
    
    
    
    
    
    
    
    LiabilitiesFutures and
Exchange-Cleared Swaps
    
    $
    246,378,981
    
    
    $
    246,378,981
    
    
    $
    
    
    
    $
    Options premium received
    
    
    301,344,837
    
    
    
    301,344,837
    
    
    
    
    
    
    
    Total liabilities
    
    
    547,723,818
    
    
    
    547,723,818
    
    
    
    
    
    
    
    Net fair value
    
    $
    167,685,536
    
    
    $
    167,685,536
    
    
    $
    
    
    
    $
    
 Quoted Prices inActive Markets for
    
    
    
    
    
    
    SignificantIdentical Assets
    
    
    Significant Other Observable
    
    
    Unobservable12/31/2010*
    
    
    (Level 1)
    
    
    Inputs (Level 2)
    
    
    Inputs (Level 3)AssetsFutures and
Exchange-Cleared Swaps
    
    $
    253,518,419
    
    
    $
    253,518,419
    
    
    $
    
    
    
    $
    Options
purchased
    
    
    363,802,239
    
    
    
    363,802,239
    
    
    
    
    
    
    
    Total assets
    
    
    617,320,658
    
    
    
    617,320,658
    
    
    
    
    
    
    
    LiabilitiesFutures and
Exchange-Cleared Swaps
    
    $
    260,089,529
    
    
    $
    260,089,529
    
    
    $
    
    
    
    $
    Options premium received
    
    
    239,504,355
    
    
    
    239,504,355
    
    
    
    
    
    
    
    Total liabilities
    
    
    499,593,884
    
    
    
    499,593,884
    
    
    
    
    
    
    
    Net fair value
    
    $
    117,726,774
    
    
    $
    117,726,774
    
    
    $
    
    
    
    $
    
  
 15




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##### 



AAA Capital Energy
 Fund L.P. II
    Notes to Financial Statements
    March 31, 2011
    (Unaudited)
    5.
    Financial
    Instrument Risks:         16




---



##### 



AAA Capital Energy
 Fund L.P. II
    Notes to Financial Statements
    March 31, 2011
    (Unaudited)
 6. Critical Accounting Policies:
 Use of Estimates.
 Partnerships Investments.
 Partnerships and the
Masters Fair Value Measurements.
     17




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##### 



AAA Capital Energy
 Fund L.P. II
    Notes to Financial Statements
    March 31, 2011
    (Unaudited)
 Futures
Contracts.
 Options.
 Brokerage Commissions.
 Income Taxes.
    Subsequent
Events.
 Net
Income (Loss) per unit.
 18




---



##### 



Item 2.
    Managements
    Discussion and Analysis of Financial Condition and Results of
    Operations.  Liquidity and Capital Resources
           Critical Accounting Policies
    19




---



##### 



Results of Operations
       20




---



##### 



30-day 3-month
         21




---



##### 



Item 3.
    Quantitative
    and Qualitative Disclosures about Market Risk            one-day
    March 31, 2011Three Months Ended March 31, 2011% of Total
    
    
    High
    
    
    Low
    
    
    AverageMarket Sector
    
    Value at Risk
    
    
    Capitalization
    
    
    Value at Risk
    
    
    Value at Risk
    
    
    Value at Risk*Energy
    
    $
    57,475,118
    
    
    
    5.82
    %
    
    $
    57,475,118
    
    
    $
    26,234,892
    
    
    $
    49,405,096Lumber
    
    
    42,100
    
    
    
    0.01
    %
    
    
    93,600
    
    
    
    1,600
    
    
    
    20,167Total
    
    $
    57,517,218
    
    
    
    5.83
    %
 
 *
    
    Average monthly Values at Risk.  December 31, 2010
 Twelve Months Ended December 31, 2010% of Total
    
    High
    
    Low
    
    AverageMarket Sector
    
    Value at Risk
    
    Capitalization
    
    Value at Risk
    
    Value at Risk
    
    Value at Risk*Energy
    
    $
    51,518,525
    
    
    
    5.26
    %
    
    $
    143,609,109
    
    
    $
    51,518,525
    
    
    $
    94,568,057Lumber
    
    
    93,600
    
    
    
    0.01
    
    
    
    126,800
    
    
    
    22,200
    
    
    
    57,792Total
    
    $
    51,612,125
    
    
    
    5.27
    %
 
 *
    
    Annual average of month-end Values at Risk 22




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##### 



Item 4.
    Controls
    and Procedures      Rules 13a-15(e) 15d-15(e)
  internal control over financial
    reporting
  
    pertain to the maintenance of records that in reasonable detail
    accurately and fairly reflect the transactions and dispositions
    of the assets of the Partnership;
    provide reasonable assurance that (i) transactions are
    recorded as necessary to permit preparation of financial
    statements in accordance with GAAP, and (ii) the Partnerships
    receipts are handled and expenditures are made only pursuant to
    authorizations of the General Partner; and
    provide reasonable assurance regarding prevention or timely
    detection of unauthorized acquisition, use or disposition of the
    Partnerships assets that could have a material effect on
    the financial statements.   23




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##### 



PART II. OTHER INFORMATION  Item 1.
    Legal
    Proceedings     Mutual Funds
    FINRA Settlement
  Auction Rate Securities
   Subprime Mortgage-Related Actions
    Credit Crisis Related Matters
    24




---



##### 



Item 1A.
    Risk
    Factors   25




---



##### 



Item 2.
    Unregistered
    Sales of Equity Securities and Use of Proceeds        (d) Maximum Number(or Approximate(c) Total Number



Dollar Value) ofof Redeemable Units



Redeemable Units(a) Total Number



(b) Average



Purchased as Part



that May Yet Beof Redeemable



Price Paid per



of Publicly Announced



Purchased Under thePeriod


Units Purchased*



Redeemable Unit**



Plans or Programs



Plans or ProgramsJanuary 1, 2011 January 31, 2011



2,506.7841



$
4,093.52




N/A




N/AFebruary 1, 2011 
February 28, 2011



1,967.3714



$
4,114.18




N/A




N/AMarch 1, 2011  
March 31, 2011






1,857.1465



$
4,115.33




N/A




N/A6,331.3020



$
4,106.34




N/A




N/A       Item 3.
    Defaults
    Upon Senior Securities  None  Item 4.
    [Removed and Reserved]  Item 5.
    Other
    Information 
    None  26




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##### 



Item 6.
    Exhibits 3.1
    
    Certificate of Limited Partnership of the Partnership as filed in the Office
of the Secretary of State of the State of New York, dated March 21, 2002 (filed as
Exhibit 3.1 to the general form for registration of securities on Form 10 filed on May
1, 2003 and incorporated herein by reference).
 (a)
    
    Certificate of Amendment to the Certificate of Limited Partnership as
filed in the Office of the Secretary of State of the State of New York, dated May
21, 2003 (filed as Exhibit 3.1(a) to the Form 10-Q filed on November 16, 2009 and incorporated herein by reference).(b)
    
    Certificate of Amendment to the Certificate of Limited Partnership as
filed in the Office of the Secretary of State of the State of New York, dated
September 21, 2005 (filed as Exhibit 3.1(b) to the Form 10-Q filed on November 16, 2009 and incorporated herein by reference).(c)
    
    Certificate of Amendment to the Certificate of Limited Partnership as
filed in the Office of the Secretary of State of the State of New York, dated
September 19, 2008 (filed as Exhibit 3.1(c) to the Form 10-Q filed on November 16, 2009 and incorporated herein by reference).(d)
    
    Certificate of Amendment to the Certificate of Limited Partnership as
filed in the Office of the Secretary of State of the State of New York, dated
August 27, 2008 (filed as Exhibit 99.1 to the Current Report on Form 8-K filed on
September 2, 2008 and incorporated herein by reference).(e)
    
    Certificate of Amendment to the Certificate of Limited Partnership as
filed in the Office of the Secretary of State of the State of New York, dated
September 28, 2009 (filed as Exhibit 99.1 to the Current Report on Form 8-K filed
on September 30, 2009 and incorporated herein by reference).(f)
    
    Certificate of Amendment to the Certificate of Limited Partnership as filed in the Office of the Secretary of State of the State of New York, dated June 30, 2010
(filed as Exhibit 3.1(f) to the Current Report on Form 8-K filed on
July 2, 2010 and incorporated herein by reference).
 3.2
    
    Third Amended and Restated Limited Partnership Agreement, dated May 19, 2010
(filed as Exhibit 3.2 to the Current Report on Form 8-K filed on May 24, 2010 and
incorporated herein by reference).10.1(a)
    
    Customer Agreement between the Master and Salomon Smith Barney Inc., dated
August 23, 2001 (filed as Exhibit 10 to the general form for registration of
securities on Form 10 filed on May 1, 2003 and incorporated herein by reference).10.1(b)
    
    Customer Agreement among the Partnership and Salomon Smith Barney Inc., and for
limited purposes Smith Barney AAA Master Fund LLC, dated May 31, 2002 (filed as
Exhibit 10 to the general form for registration of securities on Form 10 filed on May
1, 2003 and incorporated herein by reference).10.2
    
    Form of Subscription Agreement  (filed as Exhibit 10.2 to the Form 10-Q filed on November 16, 2009 and incorporated herein by reference).10.3
    
    Advisory Agreement among the Partnership, the General Partner and
AAA Capital Management Advisors, Ltd., dated April 3, 2006 (filed as Exhibit 10.3 to the Form 10-Q filed on November 16, 2009 and incorporated herein by reference).
 (a)
    
    Letter from the General Partner extending Management Agreement for
2010, dated June 1, 2010 (filed as Exhibit 10.3(a) to the Annual Report on Form 10-K
filed on March 31, 2011 and incorporated herein by reference).
 10.4
    
    Amended and Restated Agency Agreement among the Partnership, the General Partner, Morgan Stanley Smith Barney LLC, and CGM, dated
November 11, 2009 (filed as Exhibit 10.4 to the Form 10-Q
filed on November 16, 2009 and incorporated herein by reference).31.1
    
     Rule 13a-14(a)/15d-14(a) Certification (Certification of President and
Director)31.2
    
     Rule 13a-14(a)/15d-14(a) Certification (Certification of Chief Financial
Officer and Director)32.1
    
     Section 1350 Certification (Certification of President and Director)32.2
    
     Section 1350 Certification (Certification of Chief Financial Officer and Director)
 27




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##### 



SIGNATURES
     AAA CAPITAL ENERGY FUND L.P. II
  By:

Ceres Managed Futures LLC(General Partner)By:

/s/  Walter DavisWalter Davis 
    President and DirectorDate:

May 16, 2011By:

/s/  Jennifer
    MagroJennifer Magro
    Chief Financial Officer and 
    Director
(Principal Accounting Officer)Date:

May 16, 2011  28