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
  
  000-54284
  BHM DISCRETIONARY FUTURES FUND L.P.
    Delaware

27-3371689(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
  12b-2
  Large
    accelerated filer

    Accelerated filer

    Non-accelerated
    filer X

    Smaller reporting company    Yes   No X




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##### 



BHM DISCRETIONARY FUTURES FUND L.P.
 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(unaudited)
    
    
    4Notes to Financial Statements, including the Financial Statements of BHM I, LLC (unaudited)
    
    
    5-19Item 2. Managements Discussion and Analysis of Financial Condition and Results of Operations
    
    
    20-21Item 3.Quantitative and Qualitative Disclosures about Market Risk
    
    
    22-23Item 4. Controls and Procedures
    
    
    24PART II  Other Information
    
    
    25-26ExhibitsExhibit 31.1 CertificationExhibit 31.2 CertificationExhibit 32.1 CertificationExhibit 32.2 Certification
  2




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##### 



PART I
 
 Item 1. Financial Statements
 BHM Discretionary Futures Fund L.P.
 
 Statements of Financial Condition
 (Unaudited)March 31,
    
    
    December 31,2011
    
    
    2010Assets:Investment in Trading Company, at fair value
    
    $
    135,982,810
    
    
    $
    57,170,009Subscriptions receivable
    
    
    
    
    
    
    32,140,809Total assets
    
    $
    135,982,810
    
    
    $
    89,310,818Liabilities and Partners CapitalLiabilities:Payable to Trading Company
    
    $
    
    
    
    $
    31,929,508Accrued expenses:Organizational costs due to MS&Co.
    
    
    56,528
    
    
    
    80,756Redemptions payable
    
    
    186,324
    
    
    
    Total liabilities
    
    
    242,852
    
    
    
    32,010,264Partners Capital:General Partner, Class A, (1,281.298 and 562.789 units at March 31, 2011
and December 31, 2010, respectively)
    
    
    1,392,976
    
    
    
    606,777General Partner, Class D, (0 units at March 31, 2011 and December 31, 2010)
    
    
    
    
    
    
    Limited Partners, Class A, (117,122.581 and 52,488.504 units at March 31,
2011 and December 31, 2010, respectively)
    
    
    127,330,510
    
    
    
    56,693,777Limited Partners, Class D, (7,127.494 and 0 units at March 31, 2011 and
December 31, 2010, respectively)
    
    
    7,016,472
    
    
    
    Total Partners Capital
    
    
    135,739,958
    
    
    
    57,300,554Total liabilities and Partners Capital
    
    $
    135,982,810
    
    
    $
    89,310,818Class A, net asset value per redeemable unit
    
    $
    1,087.16
    
    
    $
    1,078.16Class D, net asset value per redeemable unit
    
    $
    983.71
    
    
    $
    
  3




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##### 



BHM Discretionary Futures Fund L.P.
 
 Statement of Income and Expenses and Changes in Partners Capital
 (Unaudited)
 Three Months EndedMarch 31, 2011Investment income:Interest income allocated from Trading Company
    
    $
    383Expenses:Expenses allocated from Trading Company
    
    
    548,614Ongoing placement agent fees
    
    
    708,119Administrative fees
    
    
    244,990Other
    
    
    61,247Total expenses
    
    
    1,562,970Net investment income (loss)
    
    
    (1,562,587
    )Trading Results:Net realized gains on closed contracts allocated from Trading Company
    
    
    8,002,590Change in net unrealized gains (losses) on open contracts allocated
from Trading Company
    
    
    (7,924,007
    )Total trading results allocated from Trading Company
    
    
    78,583Net income (loss)
    
    
    (1,484,004
    )Net income (loss) allocation from Trading CompanyClass A
    
    $
    (1,372,982
    )Class D
    
    $
    (111,022
    )Net asset value per redeemable unitClass A
    
    $
    1,087.16Class D
    
    $
    983.71Net income (loss) per redeemable unit*Class A
    
    $
    9.00Class D
    
    $
    (16.29
    )Weighted average units outstandingClass A
    
    
    84,197.378Class D
    
    
    7,127.494
 
 *
    
    Based on change in net asset value per unit. Class A
    
    
    Class D
    
    
    TotalPartners Capital, December 31, 2010
    
    $
    57,300,554
    
    
    $
    
    
    
    $
    57,300,554Subscriptions  General Partner
    
    
    800,000
    
    
    
    
    
    
    
    800,000Subscriptions  Limited Partners
    
    
    77,371,910
    
    
    
    7,127,494
    
    
    
    84,499,404Net income (loss)
    
    
    (1,372,982
    )
    
    
    (111,022
    )
    
    
    (1,484,004
    )Redemptions  Limited Partners
    
    
    (5,375,996
    )
    
    
    
    
    
    
    (5,375,996
    )Partners Capital, March 31, 2011
    
    $
    128,723,486
    
    
    $
    7,016,472
    
    
    $
    135,739,958
  4




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##### 



BHM Discretionary Futures Fund L.P.
 
 Notes to Financial Statements  March 31, 2011  (Unaudited)
 1. General:
          5




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##### 



BHM Discretionary Futures Fund L.P.
 Notes to Financial Statements  March 31, 2011  (Unaudited)
    6




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##### 



BHM Discretionary Futures Fund L.P.
 Notes to Financial Statements  March 31, 2011  (Unaudited)
  BHM I, LLC
Statements of Financial Condition
 (Unaudited)March 31,
    
    
    December 31,2011
    
    
    2010Assets:Equity in trading account:Unrestricted cash
    
    $
    262,755,553
    
    
    $
    158,507,875Restricted cash
    
    
    22,757,394
    
    
    
    1,734,854Total cash
    
    
    285,512,947
    
    
    
    160,242,729Net unrealized gain on open contracts (MS&Co.)
    
    
    1,103,345
    
    
    
    15,322,971Net unrealized gain (loss) on open contracts (MSIP)
    
    
    (710,708
    )
    
    
    3,077,405Total net unrealized gain on open contracts
    
    
    392,637
    
    
    
    18,400,376Options purchased, (premiums paid $9,310,823 and $4,623,417, respectively)
    
    
    7,627,963
    
    
    
    6,144,949Total trading equity
    
    
    293,533,547
    
    
    
    184,788,054Expense reimbursements
    
    
    18,338
    
    
    
    13,347Interest receivable (MSSB)
    
    
    413
    
    
    
    365Contributions receivable
    
    
    
    
    
    
    31,929,508Total assets
    
    $
    293,552,298
    
    
    $
    216,731,274Liabilities and Members Capital:Liabilities:Options written (premiums received $6,264,549 and $3,883,588, respectively)
    
    $
    3,965,070
    
    
    $
    3,209,454Accrued management fees
    
    
    341,350
    
    
    
    132,313Accrued incentive fees
    
    
    245,858
    
    
    
    2,684,680Accrued administrative fees
    
    
    19,141
    
    
    
    16,453Withdrawals payable
    
    
    
    
    
    
    2,035,496Total liabilities
    
    
    4,571,419
    
    
    
    8,078,396Members Capital:Non-Managing Members
    
    
    288,980,879
    
    
    
    208,652,878Total members capital
    
    
    288,980,879
    
    
    
    208,652,878Total liabilities and members capital
    
    $
    293,552,298
    
    
    $
    216,731,274
 7




---



##### 



BHM Discretionary Futures Fund L.P.
 Notes to Financial Statements  March 31, 2011  (Unaudited)
 BHM I, LLC
Condensed Schedule of Investments
March 31, 2011
(Unaudited)
 % ofFair Value
    
    
    Members CapitalFutures and Forward Contracts PurchasedCommodity
    
    $
    4,226,427
    
    
    
    1.46
    %Equity
    
    
    9,025
    
    
    
    Foreign currency
    
    
    353,359
    
    
    
    0.12Interest rate
    
    
    20,704
    
    
    
    0.01Total futures and forward contracts
purchased
    
    
    4,609,515
    
    
    
    1.59Futures and Forward Contracts SoldCommodity
    
    
    (3,049,546
    )
    
    
    (1.05
    )Foreign currency
    
    
    (59,063
    )
    
    
    (0.02
    )Interest rate
    
    
    (373,284
    )
    
    
    (0.13
    )Total futures and forward contracts sold
    
    
    (3,481,893
    )
    
    
    (1.20
    )Unrealized currency loss
    
    
    (734,985
    )
    
    
    (0.25
    )Net fair value
    
    $
    392,637
    
    
    
    0.14
    %Options ContractsOptions purchased on Futures Contracts
    
    $
    7,627,963
    
    
    
    2.64
    %Options written on Futures Contracts
    
    $
    (3,965,070
    )
    
    
    (1.37
    )%
 8




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##### 



BHM Discretionary Futures Fund L.P.
 Notes to Financial Statements  March 31, 2011  (Unaudited)
 BHM I, LLC
Condensed Schedule of Investments
December 31, 2010
 % ofFair Value
    
    
    Members CapitalFutures and Forward Contracts PurchasedCommodity
    
    $
    22,721,930
    
    
    
    10.89
    %*Equity
    
    
    3,128
    
    
    
    Foreign currency
    
    
    374,853
    
    
    
    0.18Interest rate
    
    
    185,208
    
    
    
    0.09Total futures and forward contracts
purchased
    
    
    23,285,119
    
    
    
    11.16Futures and Forward Contracts SoldCommodity
    
    
    (4,367,221
    )
    
    
    (2.10
    )Foreign currency
    
    
    (148,064
    )
    
    
    (0.07
    )Interest rate
    
    
    368,241
    
    
    
    0.18Total futures and forward contracts sold
    
    
    (4,147,044
    )
    
    
    (1.99
    )Unrealized currency loss
    
    
    (737,699
    )
    
    
    (0.35
    )Net fair value
    
    $
    18,400,376
    
    
    
    8.82
    %Options ContractsOptions purchased on Futures Contracts
    
    $
    6,144,949
    
    
    
    2.95
    %Options written on Futures Contracts
    
    $
    (3,209,454
    )
    
    
    (1.54
    )%
 
 *
    
    No single contracts value exceeds 5% of the Members Capital. 9




---



##### 



BHM Discretionary Futures Fund L.P.
 Notes to Financial Statements  March 31, 2011  (Unaudited)
 BHM I, LLC
Statements of Income and Expenses and Changes in Members Capital
(Unaudited)
 Three Months EndedMarch 31,2011
    
    
    2010Investment income:Interest income (MSSB and MS&Co.)
    
    $
    649
    
    
    $
    (2,788
    )Expenses:Management fees
    
    
    804,979
    
    
    
    218,694Incentive fees
    
    
    245,858
    
    
    
    Brokerage, clearing and transaction fees
    
    
    158,189
    
    
    
    98,963Administrative fees
    
    
    55,420
    
    
    
    38,271Total expenses
    
    
    1,264,446
    
    
    
    355,928Expense reimbursements
    
    
    (57,623
    )
    
    
    (68,675
    )Net expenses
    
    
    1,206,823
    
    
    
    287,253Net investment income (loss)
    
    
    (1,206,174
    )
    
    
    (290,041
    )Trading resultsTrading profit (loss) :Realized
    
    
    23,799,553
    
    
    
    11,099,424Net change in unrealized
    
    
    (19,586,786
    )
    
    
    (15,786,805
    )Total trading results
    
    $
    4,212,767
    
    
    $
    (4,687,381
    )Net income (loss)
    
    $
    3,006,593
    
    
    $
    (4,977,422
    )Net income (loss) allocationNon-managing members
    
    $
    3,006,593
    
    
    $
    (4,977,422
    )
 Managing
    
    
    Non-ManagingMember
    
    
    Members
    
    
    TotalMembers Capital, December 31, 2010
    
    $
    
    
    
    $
    208,652,878
    
    
    $
    208,652,878Capital contributions
    
    
    
    
    
    
    81,583,299
    
    
    
    81,583,299Net income
    
    
    
    
    
    
    3,006,593
    
    
    
    3,006,593Capital withdrawals
    
    
    
    
    
    
    (4,261,891
    )
    
    
    (4,261,891
    )Members Capital, March 31, 2011
    
    
    
    
    
    
    288,980,879
    
    
    
    288,980,879Members Capital, December 31, 2009
    
    
    
    
    
    
    154,003,687
    
    
    
    154,003,687Capital contributions
    
    
    
    
    
    
    1,221,298
    
    
    
    1,221,298Net loss
    
    
    
    
    
    
    (4,977,422
    )
    
    
    (4,977,422
    )Capital withdrawals
    
    
    
    
    
    
    (21,459,490
    )
    
    
    (21,459,490
    )Members Capital, March 31, 2010
    
    $
    
    
    
    $
    128,788,073
    
    
    $
    128,788,073
 10




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##### 



BHM Discretionary Futures Fund L.P.
Notes to Financial Statements
March 31, 2011
(Unaudited)
 2. Financial Highlights:
  Three MonthsEnded
    
    
    For the period
February 1, 2011
(commencement
of operations) toMarch 31, 2011
    
    
    March 31, 2011Class A
    
    
    Class DNet realized and unrealized gains(losses)*
    
    $
    20.72
    
    
    $
    (12.36
    )Expenses**
    
    
    (11.72
    )
    
    
    (3.93
    )Increase (decrease) for the period
    
    
    9.00
    
    
    
    (16.29
    )Net asset value per Unit, beginning of period
    
    
    1,078.16
    
    
    
    1,000.00Net asset value per Unit, end of period
    
    $
    1,087.16
    
    
    $
    983.71Redemption/subscription value per Unit, end of period***
    
    $
    1,087.64
    
    
    $
    984.28
 
 *
    
    Includes brokerage fees.**
    
    Excludes brokerage fees.***
    
    GAAP net asset value per unit adjusted for the remaining accrued
liability for reimbursement of organizational costs (Note 3). Class A
    
    
    Class DRatios to average net assets:****Net investment income (loss)*****
    
    
    (7.4
    )%
    
    
    (4.4
    )%Operating expenses
    
    
    7.4
    %
    
    
    4.4
    %Incentive fees
    
    
    
    %******
    
    
    (0.2
    )%Total expenses
    
    
    7.4
    %
    
    
    4.2
    %Total return:Total return before incentive fees
    
    
    0.8
    %
    
    
    (1.8
    )%Incentive fees
    
    
    
    %******
    
    
    0.2
    %Total return after incentive fees
    
    
    0.8
    %
    
    
    (1.6
    )%
 
 ****
    
    Annualized.*****
    
    Interest income less operating expenses which exclude incentive fees allocated from the Trading Company.******
    
    Due to rounding.  11




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##### 



BHM Discretionary Futures Fund L.P.
Notes to Financial Statements
March 31, 2011
(Unaudited)
  Three Months EndedMarch 31,2011
    
    
    2010Ratios to average members capital:(1)Net investment loss(2)
    
    
    (1.64
    )%
    
    
    (0.82
    )%Expenses before incentive fees(2)
    
    
    1.54
    %
    
    
    0.81
    %Expenses after incentive fees(2)
    
    
    1.64
    %
    
    
    0.81
    %Net income (loss)
    
    
    1.73
    %
    
    
    (3.47
    )%Total return before incentive fees
    
    
    2.12
    %
    
    
    (3.15
    )%Total return after incentive fees
    
    
    2.33
    %
    
    
    (3.15
    )%
 
 (1)
    
    The calculation is based on non-managing Members allocated income and
expenses and average non-managing Members Capital.(2)
    
    Annualized except for incentive fees. 3. Organizational Costs:
   12




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##### 



BHM Discretionary Futures Fund L.P.
Notes to Financial Statements
March 31, 2011
(Unaudited)
 4. Trading Activities:
 pro rata
   March 31, 2011
 Averagenumber ofcontractsoutstandingfor theLong
    
    
    Long
    
    
    Short
    
    
    Short
    
    
    Net
    
    
    quarterUnrealized
    
    
    Unrealized
    
    
    Unrealized
    
    
    Unrealized
    
    
    Unrealized
    
    
    (absoluteFutures and Forward Contracts
    
    Gain
    
    
    Loss
    
    
    Gain
    
    
    Loss
    
    
    Gain/(Loss)
    
    
    quantity)Commodity
    
    $
    12,629,206
    
    
    $
    (8,402,779
    )
    
    $
    3,763,775
    
    
    $
    (6,813,321
    )
    
    $
    1,176,881
    
    
    
    4,662Equity
    
    
    9,025
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    9,025
    
    
    
    20Foreign currency
    
    
    354,065
    
    
    
    (706
    )
    
    
    
    
    
    
    (59,063
    )
    
    
    294,296
    
    
    
    1,960Interest rate
    
    
    35,918
    
    
    
    (15,214
    )
    
    
    226,360
    
    
    
    (599,644
    )
    
    
    (352,580
    )
    
    
    2,462Total
    
    $
    13,028,214
    
    
    $
    (8,418,699
    )
    
    $
    3,990,135
    
    
    $
    (7,472,028
    )
    
    $
    1,127,622Unrealized currency
loss
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    (734,985
    )Total net unrealized
gain on open contracts
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    $
    392,637
    *
 Average number ofcontracts outstandingfor the quarter(absolute quantity)Option Contracts at Fair ValueOptions purchased
    
    $
    7,627,963
    **
    
    
    2,146Options written
    
    $
    (3,965,070)
    ***
    
    
    1,736
 
 *
    
    This amount is in Net unrealized gain on open contracts on the Trading Companys Statements
of Financial Condition.**
    
    This amount is in Options purchased, on the Trading Companys Statements of
Financial Condition.***
    
    This amount is in Options written, on the Trading Companys Statements of
Financial Condition. 13




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##### 



BHM Discretionary Futures Fund L.P.
Notes to Financial Statements
March 31, 2011
(Unaudited)
 December 31, 2010
 Average number ofcontractsShort
    
    
    
    
    
    
    Net
    
    
    outstanding for theLong Unrealized
    
    
    Long Unrealized
    
    
    Unrealized
    
    
    Short Unrealized
    
    
    Unrealized
    
    
    year (absoluteFutures and Forward Contracts
    
    Gain
    
    
    Loss
    
    
    Gain
    
    
    Loss
    
    
    Gain/(Loss)
    
    
    quantity)Commodity
    
    $
    27,015,590
    
    
    $
    (4,293,660
    )
    
    $
    2,332,149
    
    
    $
    (6,699,370
    )
    
    $
    18,354,709
    
    
    
    2,653Equity
    
    
    3,128
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    3,128
    
    
    
    25Foreign currency
    
    
    380,069
    
    
    
    (5,216
    )
    
    
    
    
    
    
    (148,064
    )
    
    
    226,789
    
    
    
    446Interest rate
    
    
    206,346
    
    
    
    (21,138
    )
    
    
    697,388
    
    
    
    (329,147
    )
    
    
    553,449
    
    
    
    1,112Total
    
    $
    27,605,133
    
    
    $
    (4,320,014
    )
    
    $
    3,029,537
    
    
    $
    (7,176,581
    )
    
    $
    19,138,075Unrealized currency
loss
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    (737,699
    )Total net unrealized
gain on open contracts
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    18,400,376
    *
 Average number ofcontractsoutstanding for theyear (absoluteOption Contracts at Fair Value
    
    
    
    
    

quantity)Options purchased
    
    $
    6,144,949
    **
    
    
    1,791Options written
    
    $
    (3,209,454)
    ***
    
    
    1,275
 
 *
    
    This amount is in Net unrealized gain on open contracts on the Trading Companys Statements
of Financial Condition.**
    
    This amount is in Options purchased, on the Trading Companys Statements of
Financial Condition.***
    
    This amount is in Options written, on the Trading Companys Statements of
Financial Condition.  Three Months Ended
    
    
    Three Months EndedMarch 31, 2011
    
    
    March 31, 2010Sector
    
    Gain (loss) from trading
    
    
    Gain (loss) from tradingCommodity
    
    $
    5,084,378
    
    
    $
    (2,199,894
    )Equity
    
    
    27,274
    
    
    
    8,211Foreign currency
    
    
    2,200,956
    
    
    
    923,158Interest rate
    
    
    (3,102,555
    )
    
    
    (2,320,663
    )Unrealized currency gain
    
    
    2,714
    
    
    
    (1,098,193
    )Total
    
    $
    4,212,767
    ****
    
    $
    (4,687,381)
    ****
 
 ****
    
    This amount is in Total trading results on the Trading Companys Statements of Income and
Expenses and Changes in Members Capital. 14




---



##### 



BHM Discretionary Futures Fund L.P.
Notes to Financial Statements
March 31, 2011
(Unaudited)
 5. Fair Value Measurements:
 Partnerships Investments.
 Partnerships Fair Value Measurements.
    Quoted Prices inActive Markets for
    
    
    Significant Other
    
    
    SignificantIdentical Assets
    
    
    Observable Inputs
    
    
    Unobservable InputsMarch 31, 2011
    
    
    (Level 1)
    
    
    (Level 2)
    
    
    (Level 3)AssetsInvestment in Trading Company
    
    $
    135,982,810
    
    
    $
    
    
    
    $
    135,982,810
    
    
    $
    Net fair value
    
    $
    135,982,810
    
    
    $
    
    
    
    $
    135,982,810
    
    
    $
    
 Quoted Prices inActive Markets for
    
    
    Significant Other
    
    
    SignificantIdentical Assets
    
    
    Observable Inputs
    
    
    Unobservable InputsDecember 31, 2010
    
    
    (Level 1)
    
    
    (Level 2)
    
    
    (Level 3)AssetsInvestment in Trading Company
    
    $
    57,170,009
    
    
    $
    
    
    
    $
    57,170,009
    
    
    $
    Net fair value
    
    $
    57,170,009
    
    
    $
    
    
    
    $
    57,170,009
    
    
    $
    
 Trading Companys Investments.
 Trading Companys Fair Value Measurements.
 15




---



##### 



BHM Discretionary Futures Fund L.P.
Notes to Financial Statements
March 31, 2011
(Unaudited)
     Quoted Prices in
    
    
    Significant Other
    
    
    SignificantActive Markets for
    
    
    Observable
    
    
    UnobservableIdentical Assets
    
    
    Inputs
    
    
    Inputs(Level 1)
    
    
    (Level 2)
    
    
    (Level 3)
    
    
    March 31, 2011AssetsFutures
    
    $
    16,682,425
    
    
    $
    
    
    
    
    n/a
    
    
    $
    16,682,425Forwards
    
    
    
    
    
    
    335,908
    
    
    
    n/a
    
    
    
    335,908Options purchased
    
    
    7,627,963
    
    
    
    
    
    
    
    n/a
    
    
    
    7,627,963Total assets
    
    $
    24,310,388
    
    
    $
    335,908
    
    
    
    n/a
    
    
    $
    24,646,296LiabilitiesFutures
    
    $
    15,850,152
    
    
    $
    
    
    
    
    n/a
    
    
    $
    15,850,152Forwards
    
    
    
    
    
    
    40,559
    
    
    
    n/a
    
    
    
    40,559Options written
    
    
    3,965,070
    
    
    
    
    
    
    
    n/a
    
    
    
    3,965,070Total liabilities
    
    $
    19,815,222
    
    
    $
    40,559
    
    
    
    n/a
    
    
    $
    19,855,781Unrealized currency loss
    
    
    
    
    
    
    
    
    
    
    
    
    
    $
    (734,985
    )*Net fair value
    
    $
    4,495,166
    
    
    $
    295,349
    
    
    
    n/a
    
    
    $
    4,055,530
 Quoted Prices in
    
    
    Significant Other
    
    
    SignificantActive Markets for
    
    
    Observable
    
    
    UnobservableIdentical Assets
    
    
    Inputs
    
    
    Inputs(Level 1)
    
    
    (Level 2)
    
    
    (Level 3)
    
    
    December 31, 2010AssetsFutures
    
    $
    30,296,863
    
    
    $
    
    
    
    
    n/a
    
    
    $
    30,296,863Forwards
    
    
    
    
    
    
    337,807
    
    
    
    n/a
    
    
    
    337,807Options purchased
    
    
    6,144,949
    
    
    
    
    
    
    
    n/a
    
    
    
    6,144,949Total assets
    
    $
    36,441,812
    
    
    $
    337,807
    
    
    
    n/a
    
    
    $
    36,779,619LiabilitiesFutures
    
    $
    11,373,915
    
    
    $
    
    
    
    
    n/a
    
    
    $
    11,373,915Forwards
    
    
    
    
    
    
    122,680
    
    
    
    n/a
    
    
    
    122,680Options written
    
    
    3,209,454
    
    
    
    
    
    
    
    n/a
    
    
    
    3,209,454Total liabilities
    
    $
    14,583,369
    
    
    $
    122,680
    
    
    
    n/a
    
    
    $
    14,706,049Unrealized currency loss
    
    
    
    
    
    
    
    
    
    
    
    
    
    $
    (737,699
    )*Net fair value
    
    $
    21,858,443
    
    
    $
    215,127
    
    
    
    n/a
    
    
    $
    21,335,871
 
 *
    
    This amount comprises of the net unrealized gain (loss) on open contracts, options purchased
and options written on the Statement of Financial Condition. 16




---



##### 



BHM Discretionary Futures Fund L.P.
Notes to Financial Statements
March 31, 2011
(Unaudited)
 6. Financial Instrument Risks:
        17




---



##### 



BHM Discretionary Futures Fund L.P.
Notes to Financial Statements
March 31, 2011
(Unaudited)
 7. Critical Accounting Policies:
 Use of Estimates.
 Partnerships Investments.
 Partnerships and the Trading Companys Fair Value Measurements.
     Futures Contracts.
 Forward Foreign Currency Contracts.
  Options.
 Income Taxes.
  18




---



##### 



BHM Discretionary Futures Fund L.P.
Notes to Financial Statements
March 31, 2011
(Unaudited)
  Subsequent Events
 Net Income (Loss) per Redeemable Unit.
 19




---



##### 



Item 2. Managements Discussion and Analysis of Financial Condition and Results of Operations.
 Liquidity and Capital Resources
      Critical Accounting Policies
   Results of Operations
   20




---



##### 



Off-Balance
Sheet Arrangements and Contractual Obligations
  21




---



##### 



Item 3.
    
    Quantitative and Qualitative Disclosures about Market Risk
     Limitations on Value at Risk as an Assessment of Market Risk
  
    
    past changes in market risk factors will not always result in accurate predictions of
the distributions and correlations of future market movements;
    
    changes in portfolio value caused by market movements may differ from those of the Value
at Risk model;
    
    Value at Risk results reflect past market fluctuations applied to current trading
positions while future risk depends on future positions;
    
    Value at Risk using a one-day time horizon does not fully capture the market risk of
positions that cannot be liquidated or hedged within one day; and
    
    the historical market risk factor data used for Value at Risk estimation may provide
only limited insight into losses that could be incurred under certain unusual market
movements.
         Primary Market
    
    March 31, 2011
    
    
    December 31, 2010Risk Category
    
    Value at Risk
    
    
    Value at RiskInterest Rate
    
    
    (0.55
    )%
    
    
    (0.39
    )%Currency
    
    
    (0.08
    )
    
    
    (0.08
    )Commodity
    
    
    (3.33
    )
    
    
    (3.79
    )Aggregate Value at Risk
    
    
    (3.61
    )%
    
    
    (4.02
    )%
 22




---



##### 



March 31, 2011
 Primary Market Risk Category
    
    High
    
    
    Low
    
    
    AverageInterest Rate
    
    
    (0.55
    )%
    
    
    (0.16
    )%
    
    
    (0.36
    )%Currency
    
    
    (0.37
    )
    
    
    (0.06
    )
    
    
    (0.15
    )Commodity
    
    
    (3.90
    )
    
    
    (2.52
    )
    
    
    (3.39
    )Aggregate Value at Risk
    
    
    (4.45
    )%
    
    
    (2.41
    )%
    
    
    (3.62
    )%
 December 31, 2010
 Primary Market Risk Category
    
    High
    
    
    Low
    
    
    AverageInterest Rate
    
    
    (0.78
    )%
    
    
    (0.16
    )%
    
    
    (0.42
    )%Currency
    
    
    (0.37
    )
    
    
    (0.06
    )
    
    
    (0.22
    )Commodity
    
    
    (3.90
    )
    
    
    (2.52
    )
    
    
    (3.33
    )Aggregate Value at Risk
    
    
    (4.45
    )%
    
    
    (2.41
    )%
    
    
    (3.65
    )%
 23




---



##### 



Item 4.
    
    Controls and Procedures
    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.
  Limitations
on the Effectiveness of Controls
  24




---



##### 



PART II. OTHER INFORMATION
 Item 1A.
    
    Risk Factors
  Item 2.
    
    Unregistered Sales of Equity Securities and Use of Proceeds
    (d) Maximum Number(or Approximate(c) Total Number



Dollar Value) ofClass A



Class A



of Units



Units that(a) Total Number



(b) Average



Purchased as Part



May Yet Beof Units



Price Paid per



of Publicly Announced



Purchased Under thePeriod


Purchased*



Unit**



Plans or Programs



Plans or ProgramsJanuary 1, 2011 -January 31, 2011



4,622.696



$
1,109.20




N/A




N/AFebruary 1, 2011-February 28, 2011



55.652



$
1,117.26




N/A




N/AMarch 1, 2011 -March 31, 2011



171.310



$
1,087.64




N/A




N/A4,849.658



$
1,108.53




N/A




N/A
 
 *
    
    Generally, limited partners are permitted to redeem their Units as of the end of
each month on three business days notice to the General Partner. Under certain circumstances,
the General Partner may compel redemption but to date the General Partner has not exercised
this right. Purchases of Units by the Partnership reflected in the chart above were
made in the ordinary course of the Partnerships business in connection with effecting
redemptions for limited partners.**
    
    Redemptions of Units are effected as of the last day of each month at the net
asset value per Unit as of that day. 25




---



##### 



Item 6.
    
    Exhibits
 
      26




---



##### 



SIGNATURES
  BHM Discretionary Futures Fund L.P.
By: Ceres Managed Futures LLC
      (General Partner)By:
    /s/  Walter DavisWalter DavisPresident and DirectorDate: May 16, 2011By:
    /s/  Jennifer MagroJennifer MagroChief Financial Officer and
Director
(Principal Accounting Officer)Date: May 16, 2011 27