UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
 WASHINGTON, D.C. 20549
 FORM 10-K
 þ
    
    ANNUAL REPORT PURSUANT TO SECTION 13 OR 15(d)
OF THE SECURITIES EXCHANGE ACT OF 1934
 For the fiscal year ended December 31, 2010
 OR
 o
    
    TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d)
OF THE SECURITIES EXCHANGE ACT OF 1934
 For the transition period fromto.
 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
 
 None
 Redeemable Units of Limited
Partnership Interest
   Yes o No þ
  Yes o No þ
  Yes þ No o
  Yes o No o
 þ
  Large accelerated filer o
    
    Accelerated filer o
    
    Non-accelerated filer þ
    
    Smaller reporting company o
  Yes o No þ




---



##### 



PART I
 Item 1. Business.
 General Development of Business
 Financial Statements
and Supplementary Data
  Managements Discussion and Analysis of Financial
Condition and Results of Operations
    2




---



##### 



Financial Information about Segments Selected Financial
Data
 Narrative Description of Business
   3




---



##### 



Financial Information About Geographic Areas
 Available Information
 Reports to Security Holders
 Enforceability of Civil Liabilities Against Foreign Persons
 Smaller Reporting Companies
 Item 1A. Risk Factors.
 As a result of leverage, small changes in the price of the Partnerships positions may result
in major losses.
  An investor may lose all of their investment.
  The Partnership will pay substantial fees and expenses regardless of profitability.
  An investors ability to redeem or transfer units is limited.
  Conflicts of interest exist.
  1.
    
    The General Partner and the Partnerships/Masters commodity broker are affiliates;2.
    
    The Advisor, the Partnerships/Masters commodity broker and their principals and affiliates may trade in
commodity interests for their own accounts; and3.
    
    An investors financial advisor will receive ongoing compensation for providing services
to the investors account.
 Investing in units might not provide the desired diversification of an investors overall
portfolio.
  Past performance is no assurance of future results.
 4




---



##### 



An investors tax liability may exceed cash distributions.
  Regulatory changes could restrict the Partnerships operations.
  Speculative position and trading limits may reduce profitability.
  Item 2. Properties.
  Item 3. Legal Proceedings.
    Credit-Crisis-Related Litigation and Other Matters
  Subprime Mortgage-Related Litigation and Other Matters
      Item 4. [Removed and Reserved]
 5




---



##### 



PART II
 Item 5.
    
    Market for Registrants Common Equity, Related Stockholder Matters and Issuer
Purchases of Equity Securities.
 (a)
    
    Market Information. The Partnership has issued no stock. There is no public
market for the Redeemable Units.(b)
    
    Holders. The number of holders of Redeemable Units as of December 31, 2010 was
1,703.(c)
    
    Dividends. The Partnership did not declare a distribution in 2010 or 2009.
The Partnership does not intend to declare distributions in the foreseeable future.(d)
    
    Securities Authorized for Issuance Under Equity Compensation Plans. None.(e)
    
    Performance Graph. Not applicable.(f)
    
    Recent Sales of Unregistered Securities; Use of Proceeds
from Registered Securities. For the twelve months ended
December 31, 2010, there were additional subscriptions of 3,105.2445 Redeemable Units
totaling $13,668,000. For the twelve months ended December 31, 2009, there were
additional subscriptions of 5,150.1739 Redeemable Units totaling $22,864,876 and an allocation
of 1,929.0046 Redeemable Units of Special Limited Partner Interest totaling an allocation of
$8,428,390. For the twelve months ended December 31, 2008, there were additional
subscriptions of 3,559.1112 Redeemable Units totaling $11,920,000 and an allocation of
11,935.1626 Redeemable Units of Special Limited Partner Interest totaling an allocation of
$43,509,814. The Redeemable Units were issued in reliance upon applicable exemptions from
registration under Section 4(2) of the Securities Exchange Act of 1933, as amended, and
Section 506 of Regulation D promulagated thereunder. The Redeemable Units were purchased by
accredited investors as described in Regulation D, as well as to a small number of persons
who are non-accredited investors.(g)
    
    Purchases of Equity Securities by the Issuer and Affiliated Purchasers.
  (d) Maximum Number(or Approximate(c) Total Number
    
    Dollar Value) ofof Redeemable Units
    
    Redeemable Units that(a) Total Number
    
    (b) Average
    
    Purchased as Part
    
    May Yet Beof Redeemable
    
    Price Paid per
    
    of Publicly Announced
    
    Purchased Under thePeriod
    
    Units Purchased*
    
    Redeemable Unit**
    
    Plans or Programs
    
    Plans or ProgramsOctober 1, 2010  October 31, 2010
    
    
    3,033.0910
    
    
    $
    4,120.26
    
    
    
    N/A
    
    
    
    N/ANovember 1, 2010  November 30, 2010
    
    
    1,899.5697
    
    
    $
    4,140.13
    
    
    
    N/A
    
    
    
    N/ADecember 1, 2010  December 31, 2010
    
    
    3,494.9182
    
    
    $
    4,056.68
    
    
    
    N/A
    
    
    
    N/A8,427.5789
    
    
    $
    4,098.37
    
    
    
    N/A
    
    
    
    N/A
 
 *
    
    Generally, limited partners are permitted to redeem their Redeemable Units as of the end of
each month on three business days notice to the General Partner. Under certain circumstances,
the General Partner can compel redemption, although to date the General Partner has not
exercised this right. Purchases of Redeemable 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 Redeemable Units are effected as of the last day of each month at the net
asset value per Redeemable Unit as of that day. 6




---



##### 



Item 6.
    
    Selected Financial Data.
  2010
    
    
    2009
    
    
    2008
    
    
    2007
    
    
    2006Net realized and unrealized
trading gains (losses) net of
expenses allocated from Master and
brokerage commissions (including
clearing fees) of $5,720,555,
$5,628,251, $7,235,699, $5,665,061 and $6,827,872, respectively
    
    $
    (26,754,756
    )
    
    $
    53,395,016
    
    
    $
    230,107,706
    
    
    $
    51,331,911
    
    
    $
    108,013,231Interest income allocated from Master
    
    
    288,147
    
    
    
    243,073
    
    
    
    2,157,650
    
    
    
    12,771,202
    
    
    
    18,184,279$
    (26,466,609
    )
    
    $
    53,638,089
    
    
    $
    232,265,356
    
    
    $
    64,103,113
    
    
    $
    126,197,510Net income (loss) before allocation
to Special Limited Partner
    
    $
    (38,087,220
    )
    
    $
    40,448,048
    
    
    $
    219,655,375
    
    
    $
    51,858,298
    
    
    $
    112,096,615Allocation to Special Limited Partner
    
    
    
    
    
    
    (8,428,390
    )
    
    
    (43,509,814
    )
    
    
    (8,058,018
    )
    
    
    (18,782,467
    )Net income (loss) after allocation
to Special Limited Partner
    
    $
    (38,087,220
    )
    
    $
    32,019,658
    
    
    $
    176,145,561
    
    
    $
    43,800,280
    
    
    $
    93,314,148Increase (decrease) in net asset
value per unit
    
    $
    (350.50
    )
    
    $
    261.29
    
    
    $
    1,293.05
    
    
    $
    255.33
    
    
    $
    425.14Net asset value per unit
    
    $
    4,056.68
    
    
    $
    4,407.18
    
    
    $
    4,145.89
    
    
    $
    2,852.84
    
    
    $
    2,597.51Total assets
    
    $
    409,666,869
    
    
    $
    496,007,001
    
    
    $
    544,053,175
    
    
    $
    456,053,107
    
    
    $
    509,199,389
 Item 7.
    
    Managements Discussion and Analysis of Financial Condition and Results of
Operations.
 Overview
    
    
    due diligence examinations of the Advisor;
    
    selection, appointment and termination of the Advisor;
    
    negotiation of the Management Agreement; and
    
    monitoring the activity of the Advisor.
 7




---



##### 



AAA Capital Management Advisors, Ltd.
      Liquidity.
   (i)
    
    The Master invests its assets only in commodity interests that the Advisor believes are
traded in sufficient volume to permit ease of taking and liquidating positions. Sufficient
volume, in this context, refers to a level of liquidity that the Advisor believes will
permit it to enter and exit trades without noticeably moving the market.(ii)
    
    The Advisor will not initiate additional positions in any commodity if these positions
would result in aggregate positions requiring a margin of more than 66 2/3% of the Masters
net assets allocated to the Advisor.(iii)
    
    The Master may occasionally accept delivery of a commodity. Unless such delivery is
disposed of promptly by retendering the warehouse receipt representing the delivery to the
appropriate clearinghouse, the physical commodity position is fully hedged.(iv)
    
    The Master does not employ the trading technique commonly known as pyramiding, in which
the speculator uses unrealized profits on existing positions as margin for the purchases or
sale of additional positions in the same or related commodities.
 8




---



##### 



(v)
    
    The Master does not utilize borrowings other than short-term borrowings if the Master
takes delivery of any cash commodities.(vi)
    
    The Advisor may, from time to time, employ trading strategies such as spreads or
straddles on behalf of the Master. Spreads and
Straddles describe  commodity
futures trading strategies involving the simultaneous buying and selling of futures contracts
on the same commodity but involving different delivery dates or markets.(vii)
    
    The Master will not permit the churning of its commodity trading account. The term
churning refers to the practice of entering and exiting trades with a frequency
unwarranted by legitimate efforts to profit from the trades, driven by the desire to
generate commission income.
 i.e.
       9




---



##### 



Financial Statements and Supplementary Data
  Capital Resources.
      10




---



##### 



Results of Operations.
  Financial Statements and Supplementary Data
         11




---



##### 



Off-Balance Sheet Arrangements
 Contractual Obligations
 Operational Risk.
  12




---



##### 



Operational/Settlement Risk
 Technological Risk
 Legal/Documentation Risk
 Financial Control Risk
 Critical Accounting Policies.
 Partnerships Investments.
 Partnerships and Masters Fair Value Measurements.
     13




---



##### 



Futures Contracts.
 Options.
 Brokerage Commissions.
 Item 7A. Quantitative and Qualitative Disclosures About Market Risk.
      Quantifying the Partnerships Trading Value at Risk
  14




---



##### 



The Masters Trading Value at Risk in Different Market Sectors
  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  December 31, 2009
 % of Total
    
    
    High
    
    
    Low
    
    
    AverageMarket Sector
    
    Value at Risk
    
    
    Capitalization
    
    
    Value at Risk
    
    
    Value at Risk
    
    
    Value at Risk*Energy
    
    $
    133,905,240
    
    
    
    10.89
    %
    
    $
    352,329,038
    
    
    $
    4,405,231
    
    
    $
    166,882,818Total
    
    $
    133,905,240
    
    
    
    10.89
    %
 
 *
    
    Annual average of month-end Values at Risk 15




---



##### 



Material Limitations on Value at Risk as an Assessment of Market Risk
   Qualitative Disclosures Regarding Primary Trading Risk Exposures
   Energy
    16




---



##### 



Other Commodity Interests
 Qualitative Disclosures Regarding Means of Managing Risk Exposure
     17




---



##### 



Item 8. Financial Statements and Supplementary Data.
 AAA
Capital Energy Fund L.P. II
  18




---



##### 



To the Limited
    Partners of
    AAA Capital Energy Fund L.P. II
    
  By:
    Walter Davis      Ceres Managed Futures LLC
    212-296-1999
 19




---



##### 



Managements
    Report on Internal Control Over
 Financial Reporting
            Internal Control-Integrated Framework
  -s- Walter Davis

-s- Jennifer MagroWalter Davis
    President and Director
    Ceres Managed Futures LLC
    General Partner,
    AAA Capital Energy Fund L.P. II

Jennifer Magro
    Chief Financial Officer and Director
    Ceres Managed Futures LLC
    General Partner,
    AAA Capital Energy Fund L.P. II  20




---



##### 



REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
 
    
  21




---



##### 



Report of Independent Registered Public Accounting Firm
 
 Internal Control  Integrated Framework
 22




---



##### 



AAA Capital
    Energy Fund L.P. II Statements of Financial Condition
 December 31, 2010 and 2009
  2010


2009Assets:Investment in Master, at fair value (Note 1)

$
409,326,894


$
495,766,284Cash (Note 3c)


339,975



240,717Total assets

$
409,666,869


$
496,007,001Liabilities and Partners Capital:Liabilities:Accrued expenses:Brokerage commissions (Note 3c)

$
1,942,511


$
2,319,625Management fees (Note 3b)


679,115



822,450Administrative fees (Note 3a)


169,779



205,613Professional fees


231,083



173,328Other


24,281



43,971Redemptions payable (Note 5)


14,177,765



5,481,521Total liabilities


17,224,534



9,046,508Partners Capital (Notes 1 and 5):General Partner, 1,064.1285 and 1,271.6341 unit equivalents
    outstanding at December 31, 2010 and 2009, respectively


4,316,829



5,604,320Special Limited Partner, 464.0795 Redeemable Units outstanding
    at December 31, 2010 and 2009


1,882,622



2,045,282Limited Partners, 95,211.6367 and 108,756.8867 Redeemable Units
    outstanding at December 31, 2010 and 2009, respectively


386,242,884



479,310,891Total partners capital


392,442,335



486,960,493Total liabilities and partners capital

$
409,666,869


$
496,007,001Net asset value per unit

$
4,056.68


$
4,407.18   See accompanying notes to financial statements.
 23




---



##### 



AAA Capital
    Energy Fund L.P. II Statements of Income and Expenses
 for the years ended December 31, 2010, 2009 and 2008
  2010


2009


2008Income:Net realized gains (losses) on closed contracts allocated from
    Master

$
(26,814,700
)

$
213,550,626


$
154,150,160Change in net unrealized gains (losses) on open contracts
    allocated from Master


7,462,664



(152,975,078
)


84,912,857Interest income allocated from Master


288,147



243,073



2,157,650Expenses allocated from Master


(1,682,165
)


(1,552,281
)


(1,719,612
)Total income (loss)


(20,746,054
)


59,266,340



239,501,055Expenses:Brokerage commissions (Note 3c)


5,720,555



5,628,251



7,235,699Management fees (Note 3b)


9,041,209



10,250,868



9,663,363Administrative fees (Note 3a)


2,260,304



2,562,719



2,415,842Professional fees


297,231



334,322



460,700Other


21,867



42,132



70,076Total expenses


17,341,166



18,818,292



19,845,680Net income (loss) before allocation to Special Limited Partner


(38,087,220
)


40,448,048



219,655,375Allocation to Special Limited Partner (Note 3b)






(8,428,390
)


(43,509,814
)Net income (loss) after allocation to Special Limited Partner

$
(38,087,220
)

$
32,019,658


$
176,145,561Net income (loss) per unit (Note 6)

$
(350.50
)

$
261.29


$
1,293.05Weighted average units outstanding


107,508.2175



115,997.0009



140,602.5001   See accompanying notes to financial statements.
 24




---



##### 



AAA Capital
    Energy Fund L.P. II Statements of Changes in Partners Capital
 for the years ended December 31, 2010, 2009 and 2008
  SpecialLimited


Limited


GeneralPartners


Partner


Partner


TotalPartners Capital at December 31, 2007

$
438,414,761


$
642,049


$
5,853,001


$
444,909,811Subscriptions of 3,559.1112 Redeemable Units


11,920,000











11,920,000Redemptions of 39,109.4084 Redeemable Units


(130,535,147
)










(130,535,147
)Redemptions of 7,889.6661 Redeemable Units of Special Limited
    Partnership Interest






(30,001,387
)






(30,001,387
)Allocation of net income (loss) for the year ended
    December 31, 2008:Allocation of 11,935.1626 Redeemable Units of Limited
    Partnership Interest to the Special Limited Partner
    (Note 3b)






43,509,814







43,509,814Net income (loss) available for pro rata distribution


169,937,922



3,554,766



2,652,873



176,145,561Partners Capital at December 31, 2008


489,737,536



17,705,242



8,505,874



515,948,652Subscriptions of 5,150.1739 Redeemable Units


22,864,876











22,864,876Redemptions of 14,519.4413 Redeemable Units


(63,539,760
)










(63,539,760
)Redemptions of 5,735.4778 Redeemable Units of Special Limited
    Partnership Interest






(25,261,552
)






(25,261,552
)Redemptions of 780.0060 General Partner unit equivalents










(3,499,771
)


(3,499,771
)Allocation of net income (loss) for the year ended
    December 31, 2009:Allocation of 1,929.0046 Redeemable Units of Limited Partnership
    Interest to the Special Limited Partner (Note 3b)






8,428,390







8,428,390Net income (loss) available for pro rata distribution


30,248,239



1,173,202



598,217



32,019,658Partners Capital at December 31, 2009


479,310,891



2,045,282



5,604,320



486,960,493Subscriptions of 3,105.2445 Redeemable Units


13,668,000











13,668,000Redemptions of 16,650.4945 Redeemable Units


(69,223,945
)










(69,223,945
)Redemptions of 207.5056 General Partner unit equivalents










(874,993
)


(874,993
)Allocation of net income (loss) for the year ended
    December 31, 2010:Net income (loss) available for pro rata distribution


(37,512,062
)


(162,660
)


(412,498
)


(38,087,220
)Partners Capital at December 31, 2010

$
386,242,884


$
1,882,622


$
4,316,829


$
392,442,335    2008:

$
4,145.892009:

$
4,407.182010:

$
4,056.68
   See accompanying notes to financial statements.
 25




---



##### 



AAA Capital
    Energy Fund L.P. II
 Notes to
    Financial Statements
 December 31, 2010
  1.
    Partnership
    Organization:               26




---



##### 



AAA Capital
    Energy Fund L.P. II
 Notes to Financial Statements
 December 31, 2010
    2.
    Accounting
    Policies:  a.
    Use of Estimates.The preparation of financial
    statements and accompanying notes in conformity with accounting
    principles generally accepted in the United States of America
    (GAAP) requires management to make estimates and
    assumptions that affect the reported amounts of assets and
    liabilities, income and expenses, and related disclosures of
    contingent assets and liabilities in the financial statements
    and accompanying notes. As a result, actual results could differ
    from these estimates.b.
    Statement of Cash Flows.The Partnership is
    not required to provide a Statement of Cash Flows.c.
    Partnerships Investments.The
    Partnership values its investment in the Master at its net asset
    value per unit as calculated by the Master. The Master values
    its investments as described in Note 2, Accounting
    Policies, on the attached Masters financial
    statements.  Partnerships Fair Value
    Measurements.
        27




---



##### 



AAA Capital
    Energy Fund L.P. II
 Notes to Financial Statements
 December 31, 2010
  Quoted Prices in





SignificantActive Markets for


Significant Other


UnobservableIdentical Assets


Observable Inputs


Inputs12/31/2010


(Level 1)


(Level 2)


(Level 3)AssetsInvestment in Master

$
409,326,894


$



$
409,326,894


$
Total fair value

$
409,326,894


$



$
409,326,894


$
   Quoted Prices in





SignificantActive Markets for


Significant Other


UnobservableIdentical Assets


Observable Inputs


Inputs12/31/2009


(Level 1)


(Level 2)


(Level 3)AssetsInvestment in Master

$
495,766,284


$



$
495,766,284


$
Total fair value

$
495,766,284


$



$
495,766,284


$
   Masters Investments and Fair Value
    Measurements.
  Brokerage Commissions.
  d.
    Income Taxes.Income taxes have not been
    provided as each partner is individually liable for the taxes,
    if any, on its share of the Partnerships income and
    expenses.      e.
    Subsequent Events.Management of the
    Partnership evaluates events that occur after the balance sheet
    date but before financial statements are filed. Management has
    assessed the subsequent events through the date of filing and
    determined that there were no subsequent events requiring
    adjustment of or disclosure in the financial statements.  f.
    Net Income (Loss) per unit.Net income (loss)
    per unit is calculated in accordance with investment company
    guidance. See Note 6, Financial Highlights.  3.
    Agreements:  a.
    Limited Partnership Agreement:   28




---



##### 



AAA Capital
    Energy Fund L.P. II
 Notes to Financial Statements
 December 31, 2010
    b.
    Management Agreement:        c.
    Customer Agreement:  give-up, 30-day 3-month
 29




---



##### 



AAA Capital
    Energy Fund L.P. II
 Notes to Financial Statements
 December 31, 2010
  4.
    Trading
    Activities:          5.
    Subscriptions,
    Distributions and Redemptions:    6.
    Financial
    Highlights:   2010


2009


2008Net realized and unrealized gains (losses)*

$
(242.23
)

$
444.39


$
1,691.44Interest income


2.68



2.08



14.91Expenses and allocation to Special Limited Partner**


(110.95
)


(185.18
)


(413.30
)Increase (decrease) for the year


(350.50
)


261.29



1,293.05Net asset value per unit, beginning of year


4,407.18



4,145.89



2,852.84Net asset value per unit, end of year

$
4,056.68


$
4,407.18


$
4,145.89   *
    Includes brokerage commissions and clearing fees allocated from
    Master.  **
    Excludes brokerage commissions, clearing fees allocated from
    Master and includes allocation to Special Limited Partner. 2010


2009


2008Ratios to average net assets:Net investment income (loss) before allocation to Special
    Limited Partner***


(4.2
)%


(4.0
)%


(4.2
)%Operating expenses


4.2
%


4.1
%


4.6
%Allocation to Special Limited Partner



%


1.7
%


9.4
%Total expenses and allocation to Special Limited Partner


4.2
%


5.8
%


14.0
%Total return:Total return before allocation to Special Limited Partner


(8.0
)%


8.1
%


57.6
%Allocation to Special Limited Partner



%


(1.8
)%


(12.3
)%Total return after allocation to Special Limited Partner


(8.0
)%


6.3
%


45.3
%   ***
    Interest income allocated from Master less total expenses. 30




---



##### 



AAA Capital
    Energy Fund L.P. II
 Notes to Financial Statements
 December 31, 2010
     7.
    Financial
    Instrument Risks:  over-the-counter
           31




---



##### 



AAA Capital
    Energy Fund L.P. II
 Notes to Financial Statements
 December 31, 2010
       32




---



##### 



For the period from
    
    For the period from
    
    For the period from
    
    For the period fromOctober 1, 2010 to
    
    July 1, 2010 to
    
    April 1, 2010 to
    
    January 1, 2010 toDecember 31, 2010
    
    September 30, 2010
    
    June 30, 2010
    
    March 31, 2010Net realized and
unrealized trading
gains (losses) net
of brokerage commissions
and clearing fees
including interest
income
    
    $
    (5,587,225
    )
    
    $
    2,646,524
    
    
    $
    (6,680,428
    )
    
    $
    (16,845,480
    )Net income (loss)
before allocation
to Special Limited
Partner
    
    $
    (8,243,153
    )
    
    $
    (198,798
    )
    
    $
    (9,679,345
    )
    
    $
    (19,965,924
    )Net income (loss)
after allocation to
Special Limited
Partner
    
    $
    (8,243,153
    )
    
    $
    (198,798
    )
    
    $
    (9,679,345
    )
    
    $
    (19,965,924
    )Increase (decrease)
in net asset value
per Redeemable Unit
    
    $
    (81.72
    )
    
    $
    (2.38
    )
    
    $
    (89.90
    )
    
    $
    (176.50
    )
 For the period from
    
    For the period from
    
    For the period from
    
    For the period fromOctober 1, 2009 to
    
    July 1, 2009 to
    
    April 1, 2009 to
    
    January 1, 2009 toDecember 31, 2009
    
    September 30, 2009
    
    June 30, 2009
    
    March 31, 2009Net realized and
unrealized trading
gains (losses) net
of brokerage
commissions and
clearing fees
including interest
income
    
    $
    1,292,303
    
    
    $
    13,617,715
    
    
    $
    3,309,298
    
    
    $
    35,418,773Net income (loss)
before allocation
to Special Limited
Partner
    
    $
    (1,917,844
    )
    
    $
    10,384,459
    
    
    $
    22,705
    
    
    $
    31,958,728Net income (loss)
after allocation to
Special Limited
Partner
    
    $
    (1,917,844
    )
    
    $
    8,331,951
    
    
    $
    22,705
    
    
    $
    25,582,846Increase (decrease)
in net asset value
per Redeemable Unit
    
    $
    (15.57
    )
    
    $
    72.58
    
    
    $
    (2.19
    )
    
    $
    206.47
 33




---



##### 



To the Members
    of
    AAA Master Fund LLC
    
   By:
    Walter Davis
    President and Director
    Ceres Managed Futures LLC
    Managing Member,
    AAA Master Fund LLC  Ceres Managed Futures LLC    212-296-1999
 34




---



##### 



REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
 
    
 35




---



##### 



Report of Independent Auditors
 
   
 36




---



##### 



AAA Master
    Fund LLCStatements of Financial Condition
    December 31, 2010 and 2009
  2010


2009Assets:Equity in trading account:Cash (Note 3c)

$
786,204,916


$
778,736,469Cash margin (Note 3c)


84,669,985



112,350,862Options purchased, at fair value (cost $561,437,849 and
    $885,211,273, respectively)


363,802,239



741,495,723Total assets

$
1,234,677,140


$
1,632,583,054Liabilities and Members Capital:Liabilities:Net unrealized depreciation on open futures and exchange-cleared
    swap contracts

$
6,571,110


$
50,857,890Options premium received, at fair value (premium $354,410,825
    and $435,825,576, respectively)


239,504,355



352,233,900Accrued expenses:Professional fees


290,824



296,072Redemptions payable


7,941,213



Total liabilities


254,307,502



403,387,862Members Capital:Members Capital, 103,223.2146 and 123,710.6078 Units
    outstanding at December 31, 2010 and 2009, respectively


980,369,638



1,229,195,192Total liabilities and members capital

$
1,234,677,140


$
1,632,583,054Net asset value per unit

$
9,497.57


$
9,936.05   See accompanying notes to financial statements.
 37




---



##### 



AAA Master
    Fund LLCCondensed 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
)Total fair value





$
117,726,774



11.91
%   *
    
    Due to rounding.  See accompanying notes to financial statements.
 38




---



##### 



AAA Master
    Fund LLCCondensed Schedule of Investments
    December 31, 2009
  Number of





% of MembersContracts


Fair Value


CapitalFutures and Exchange-Cleared Swap Contracts PurchasedEnergy


76,309


$
(83,380,536
)


(6.78
)%Total futures and exchange-cleared swap contracts purchased






(83,380,536
)


(6.78
)Futures and Exchange-Cleared Swap Contracts SoldEnergy


68,230



32,522,646



2.65Total futures and exchange-cleared swap contracts sold






32,522,646



2.65Options PurchasedEnergyCallNYMEX LT Crude Oil Feb 10  Dec 12


10,366



130,224,950



10.59NYMEX Natural Gas E Feb 10  Oct 14


23,072



135,333,168



11.01Other


8,589



115,880,958



9.43Call options purchased






381,439,076



31.03PutNYMEX Crude Oil E Dec 10  Dec 16


13,074



127,745,250



10.39NYMEX LT Crude Oil Feb 10  Dec 13


10,761



73,976,480



6.02NYMEX Natural Gas E Feb 10  May 14


9,735



116,193,705



9.45Other


8,960



42,141,212



3.43Put options purchased






360,056,647



29.29Total options purchased






741,495,723



60.32Options Premium ReceivedEnergyCallNYMEX Heating Oil Feb 10  Dec 10


6,014



(61,856,584
)


(5.03
)NYMEX Natural Gas E Feb 10  Oct 14


18,423



(77,041,748
)


(6.27
)Other


19,042



(109,221,068
)


(8.89
)Call options premium received






(248,119,400
)


(20.19
)PutOther


21,738



(104,114,500
)


(8.47
)Put options premium received






(104,114,500
)


(8.47
)Total options premium received






(352,233,900
)


(28.66
)Total fair value





$
338,403,933



27.53
%   See accompanying notes to financial statements.
 39




---



##### 



AAA Master
    Fund LLC

    Statements of Income and Expenses
    for the years ended December 31, 2010, 2009 and
    2008
  2010


2009


2008Income:Net gains (losses) on trading of commodity interests:Net realized gains (losses) on closed contracts

$
(66,599,159
)

$
550,277,218


$
383,464,674Change in net unrealized gains (losses) on open contracts


21,681,514



(395,771,479
)


187,955,527Gain (loss) from trading, net


(44,917,645
)


154,505,739



571,420,201Interest income


718,246



661,850



5,262,752Total income (loss)


(44,199,399
)


155,167,589



576,682,953Expenses:Clearing fees


3,163,655



3,343,809



3,223,638Professional fees


739,340



628,350



848,543Total expenses


3,902,995



3,972,159



4,072,181Net income (loss)

$
(48,102,394
)

$
151,195,430


$
572,610,772Net income (loss) per unit (Note 6)

$
(431.84
)

$
1,064.36


$
3,494.47Weighted average units outstanding


111,118.5200



139,419.9283



172,420.9234   See accompanying notes to financial statements.
 40




---



##### 



AAA Master
    Fund LLC

    Statements of Changes in Members Capital
    for the years ended December 31, 2010, 2009 and
    2008
  MembersCapitalMembers Capital at December 31, 2007

$
999,453,536Net income (loss)


572,610,772Subscriptions of 26,018.8922 Units


176,599,395Redemptions of 59,881.8271 Units


(404,833,765
)Distribution of interest income to feeder funds


(5,198,839
)Members Capital at December 31, 2008


1,338,631,099Net income (loss)


151,195,430Subscriptions of 18,789.6645 Units


178,448,063Redemptions of 45,884.9809 Units


(438,417,550
)Distribution of interest income to feeder funds


(661,850
)Members Capital at December 31, 2009


1,229,195,192Net income (loss)


(48,102,394
)Subscriptions of 3,852.9008 Units


37,495,753Redemptions of 24,340.2940 Units


(237,500,667
)Distribution of interest income to feeder funds


(718,246
)Members Capital at December 31, 2010

$
980,369,638Net asset value per unit:   2008:

$
8,876.522009:

$
9,936.052010:

$
9,497.57
   See accompanying notes to financial statements.
  41




---



##### 



AAA Master
    Fund LLC

    Notes to Financial Statements
    December 31, 2010
  1.
    General:            42




---



##### 



AAA Master
    Fund LLC
    Notes to Financial Statements
    December 31, 2010
  2.
    Accounting
    Policies:  a.
    Use of Estimates.The preparation of financial
    statements and accompanying notes in conformity with accounting
    principles generally accepted in the United States of America
    (GAAP) requires management to make estimates and
    assumptions that affect the reported amounts of assets and
    liabilities, income and expenses, and related disclosures of
    contingent assets and liabilities in the financial statements
    and accompanying notes. As a result, actual results could differ
    from these estimates.b.
    Statement of Cash Flows.The Master is not
    required to provide a Statement of Cash Flows.c.
    Masters Investments.All commodity
    interests of the Master (including derivative financial
    instruments and derivative commodity instruments) are held for
    trading purposes. The commodity interests are recorded on trade
    date and open contracts are recorded at fair value (as described
    below) at the measurement date. Investments in commodity
    interests denominated in foreign currencies are translated into
    U.S. dollars at the exchange rates prevailing at the
    measurement date. Gains or losses are realized when contracts
    are liquidated. Unrealized gains or losses on open contracts are
    included as a component of equity in trading account on the
    Statements of Financial Condition. Realized gains or losses and
    any change in net unrealized gains or losses from the preceding
    period are reported in the Statements of Income and Expenses.Masters Fair Value Measurements.  Fair
    value is defined as the price that would be received to sell an
    asset or paid to transfer a liability in an orderly transaction
    between market participants at the measurement date under
    current market conditions. The fair value hierarchy gives the
    highest priority to unadjusted quoted prices in active markets
    for identical assets or liabilities (Level 1) and the
    lowest priority to fair values derived from unobservable inputs
    (Level 3). The level in the fair value hierarchy within
    which the fair value measurement in its entirety falls shall be
    determined based on the lowest level input that is significant
    to the fair value measurement in its entirety. GAAP also
    requires the need to use judgment in determining if a formerly
    active market has become inactive and in determining fair values
    when the market has become inactive. Management has concluded
    that based on available information in the marketplace, the
    Masters Level 1 assets and liabilities are actively
    traded.The Master will separately present purchases, sales, issuances,
    and settlements in their reconciliation of Level 3 fair
    value measurements (i.e. to present such items on a gross basis
    rather than on a net basis), and makes disclosures regarding the
    level of disaggregation and the inputs and valuation techniques
    used to measure fair value for measurements that fall within
    either Level 2 or Level 3 of the fair value hierarchy
    as required under GAAP.The Master considers prices for exchange-traded commodity
    futures, forwards and options contracts to be based on
    unadjusted quoted prices in active markets for identical assets
    (Level 1). The values of non exchange-traded forwards, swaps and
    certain options contracts for which market quotations are not
    readily available are priced by broker-dealers who derive fair
    values for those assets from observable inputs (Level 2).
    As of and for the years ended December 31, 2010 and
    December 31, 2009, the Master did not hold any derivative
    instruments for which market quotations are not readily
    available and which are priced by broker-dealers who derive fair
    values for those assets from observable inputs
    (Level 2) or that are priced at fair value using
    unobservable inputs through the application of managements
    assumptions and internal valuation pricing models
    (Level 3). The gross presentation of the fair value of the
    Masters derivatives by instrument type is shown in
    Note 4, Trading Activities.  43




---



##### 



AAA Master
    Fund LLC
    Notes to Financial Statements
    December 31, 2010
   SignificantQuoted Prices in


Other


SignificantActive Markets for


Observable


UnobservableIdentical Assets


Inputs


Inputs12/31/2010


(Level 1)


(Level 2)


(Level 3)AssetsOptions purchased

$
363,802,239


$
363,802,239


$



$
Total assets


363,802,239



363,802,239







LiabilitiesFutures and Exchange-Cleared Swaps

$
6,571,110


$
6,571,110


$



$
Options premium received


239,504,355



239,504,355







Total liabilities


246,075,465



246,075,465







Total fair value

$
117,726,774


$
117,726,774


$



$
   SignificantQuoted Prices in


Other


SignificantActive Markets for


Observable


UnobservableIdentical Assets


Inputs


Inputs12/31/2009


(Level 1)


(Level 2)


(Level 3)AssetsOptions purchased

$
741,495,723


$
741,495,723


$



$
Total assets


741,495,723



741,495,723







LiabilitiesFutures and Exchange-Cleared Swaps

$
50,857,890


$
50,857,890


$



$
Options premium received


352,233,900



352,233,900







Total liabilities


403,091,790



403,091,790







Total fair value

$
338,403,933


$
338,403,933


$



$
   d.
    Futures Contracts.The Master trades futures
    contracts and exchange-cleared swaps. Exchange-cleared swaps are
    swaps that are traded as futures. A futures contract is a firm
    commitment to buy or sell a specified quantity of investments,
    currency or a standardized amount of a deliverable grade
    commodity, at a specified price on a specified future date,
    unless the contract is closed before the delivery date or if the
    delivery quantity is something where physical delivery cannot
    occur (such as the S&P 500 Index), whereby such contract is
    settled in cash. Payments (variation margin) may be
    made or received by the Master each business day, depending on
    the daily fluctuations in the value of the underlying contracts,
    and are recorded as unrealized gains or losses by the Master.
    When the contract is closed, the Master records a realized gain
    or loss equal to the difference between the value of the
    contract at the time it was opened and the value at the time it
    was closed. Transactions in futures contracts require
    participants to make both initial margin deposits of cash or
    other assets and variation margin deposits, through the futures
    broker, directly with the exchange on which the contracts are
    traded. Realized gains (losses) and changes in net unrealized
    gains (losses) on futures contracts are included in the
    Statements of Income and Expenses.e.
    Options.The Master may purchase and write
    (sell), both exchange listed and
    over-the-counter,
    options on commodities or financial instruments. An option is a
    contract allowing, but not requiring, its holder to buy (call)
    or sell (put) a specific or standard commodity or financial
    instrument at a specified price during a specified time period.
    The option premium is the total price paid or received for the
    option contract. When the Master writes an option, the premium
    received is recorded as a liability in the Statements of
    Financial Condition and marked to market daily. When the Master
    purchases an option, the premium paid is recorded as an asset in
    the  44




---



##### 



AAA Master
    Fund LLC
    Notes to Financial Statements
    December 31, 2010
  Statements of Financial Condition and marked to market daily.
    Realized gains (losses) and changes in unrealized gains (losses)
    on options contracts are included in the Statements of Income
    and Expenses.  f.
    Income and Expenses Recognition.All of the
    income and expenses and realized and unrealized gains and losses
    on trading of commodity interests are determined on each
    valuation day and allocated pro rata among the Funds at the time
    of such determination.  g.
    Income Taxes.Income taxes have not been
    provided as each member is individually liable for the taxes, if
    any, on its share of the Masters income and expenses.GAAP provides guidance for how uncertain tax positions should be
    recognized, measured, presented and disclosed in the financial
    statements and requires the evaluation of tax positions taken or
    expected to be taken in the course of preparing the
    Masters financial statements to determine whether the tax
    positions are more-likely-than-not to be sustained
    by the applicable tax authority. Tax positions with respect to
    tax at the Master level not deemed to meet the
    more-likely-than-not threshold would be recorded as
    a tax benefit or expense in the current year. The Managing
    Member concluded that no provision for income tax is required in
    the Masters financial statements.The Master files U.S. federal and various state and local
    tax returns. No income tax returns are currently under
    examination. Generally, the 2007 through 2010 tax years remain
    subject to examination by U.S. federal and most state tax
    authorities. Management does not believe that there are any
    uncertain tax positions that require recognition of a tax
    liability.h.
    Subsequent Events.Management of the Master
    evaluates events that occur after the balance sheet date but
    before financial statements are filed. Management has assessed
    the subsequent events through the date of filing and determined
    that there were no subsequent events requiring adjustment of or
    disclosure in the financial statements.  i.
    Net Income (Loss) per Unit.Net income (loss)
    per unit is calculated in accordance with investment company
    guidance. See Note 6, Financial Highlights.  3.
    Agreements:  a.
    Limited Liability Company Agreement:The Managing Member administers the business affairs of the
    Master including selecting one or more advisors to make trading
    decisions for the Master.b.
    Management Agreement:The Managing Member, on behalf of the Master, has entered into a
    management agreement (the Management Agreement) with
    the Advisor, a registered commodity trading advisor. The Advisor
    is not affiliated with the Managing Member or CGM and is not
    responsible for the organization or operation of the Master. The
    Management Agreement provides that the Advisor has sole
    discretion in determining the investment of the assets of the
    Master. All management fees in connection with the Management
    Agreement shall be borne by the Funds. The Management Agreement
    may be terminated upon notice by either party.c.
    Customer Agreement:The Master has entered into a customer agreement (the
    Customer Agreement) with CGM whereby CGM provides
    services which include, among other things, the execution of
    transactions for the Masters account in accordance with
    orders placed by the Advisor. All floor brokerage,  45




---



##### 



AAA Master
    Fund LLC
    Notes to Financial Statements
    December 31, 2010
  exchange, clearing, user,
    give-up and
    National Futures Association fees (collectively the
    clearing fees) are borne by the Master consistent
    with contractual agreements. All other fees (management fees,
    administrative fees, incentive fees, brokerage commissions and
    offering costs) shall be borne by the Funds. All of the
    Masters cash is deposited by CGM in segregated bank
    accounts, to the extent required by Commodity Futures Trading
    Commission regulations. At December 31, 2010 and 2009, the
    amounts of cash held by the Master for margin requirements was
    $84,669,985 and $112,350,862, respectively. The Customer
    Agreement may be terminated by either party. All commissions in
    connection with the Customer Agreement shall be borne by the
    Funds.  4.
    Trading
    Activities:        46




---



##### 



AAA Master
    Fund LLC
    Notes to Financial Statements
    December 31, 2010
    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
    Statements of Financial Condition.**
    
    This amount is in Options purchased, at fair value
    on the Statements of Financial Condition.***
    
    This amount is in Options premium received, at fair
    value on the Statements of Financial Condition.  47




---



##### 



AAA Master
    Fund LLC
    Notes to Financial Statements
    December 31, 2010
  December 31, 2009AssetsFutures and Exchange-Cleared Swap ContractsEnergy

$
274,140,959Total unrealized appreciation on open futures and
    exchange-cleared swap contracts

$
274,140,959LiabilitiesFutures and Exchange-Cleared Swap ContractsEnergy

$
(324,998,849
)Total unrealized depreciation on open futures and
    exchange-cleared swap contracts

$
(324,998,849
)Net unrealized depreciation on open futures and exchange-cleared
    swap contracts

$
(50,857,890
)*AssetsOptions PurchasedEnergy

$
741,495,723Options purchased

$
741,495,723
**LiabilitiesOptions Premium ReceivedEnergy

$
(352,233,900
)Options premium received

$
(352,233,900
)***   *
    
    This amount is in Net unrealized depreciation on open
    futures and exchange-cleared swap contracts on the
    Statements of Financial Condition.**
    
    This amount is in Options purchased, at fair value
    on the Statements of Financial Condition.***
    
    This amount is in Options premium received, at fair
    value on the Statements of Financial Condition.    December 31, 2010


December 31, 2009Sector

Gain (loss) from trading


Gain (loss) from tradingCurrencies

$
(1,876,020
)

$
Energy


(43,137,992
)


154,505,739Lumber


96,367



Total

$
(44,917,645
)****

$
154,505,739
****   ****
    
    This amount is in Gain (loss) from trading, net on
    the Statements of Income and Expenses.  5.
    Subscriptions,
    Distributions and Redemptions:   48




---



##### 



AAA Master
    Fund LLC
    Notes to Financial Statements
    December 31, 2010
  6.
    Financial
    Highlights:    2010


2009


2008Net realized and unrealized gains (losses)*

$
(431.69
)

$
1,064.16


$
3,469.13Interest income


6.64



4.82



30.48Expenses**


(6.79
)


(4.62
)


(5.14
)Increase (decrease) for the year


(431.84
)


1,064.36



3,494.47Distribution of interest income to feeder funds


(6.64
)


(4.83
)


(30.09
)Net asset value per unit, beginning of year


9,936.05



8,876.52



5,412.14Net asset value per unit, end of year

$
9,497.57


$
9,936.05


$
8,876.52    *
    
    Includes clearing fees.**
    
    Excludes clearing fees.  Ratio to average net assets:Net investment income (loss)***


(0.3
)%


(0.3
)%


0.1
%Operating expenses


0.4
%


0.3
%


0.4
%Total return


(4.4
)%


12.0
%


64.6
%    ***
    
    Interest income less total expenses.    7.
    Financial
    Instrument Risks:  over-the-counter
     49




---



##### 



AAA Master
    Fund LLC
    Notes to Financial Statements
    December 31, 2010
           50




---



##### 



For the period from
    
    
    For the period from
    
    
    For the period from
    
    
    For the period fromOctober 1, 2010 to
    
    
    July 1, 2010 to
    
    
    April 1, 2010 to
    
    
    January 1, 2010 toDecember 31, 2010
    
    
    September 30, 2010
    
    
    June 30, 2010
    
    
    March 31, 2010Net realized and
unrealized trading
gains (losses) net
of clearing fees
including interest
income
    
    $
    (10,965,983
    )
    
    $
    9,078,896
    
    
    $
    (11,793,850
    )
    
    $
    (33,682,117
    )Net income (loss)
    
    $
    (11,165,250
    )
    
    $
    8,893,472
    
    
    $
    (11,973,145
    )
    
    $
    (33,857,471
    )Increase (decrease)
in net asset value
per unit
    
    $
    (107.86
    )
    
    $
    81.89
    
    
    $
    (111.98
    )
    
    $
    (293.89
    )
 For the period from
    
    
    For the period from
    
    
    For the period from
    
    
    For the period fromOctober 1, 2009 to
    
    
    July 1, 2009 to
    
    
    April 1, 2009 to
    
    
    January 1, 2009 toDecember 31, 2009
    
    
    September 30, 2009
    
    
    June 30, 2009
    
    
    March 31, 2009Net realized and
unrealized trading
gains (losses) net
of clearing fees
including interest
income
    
    $
    9,738,633
    
    
    $
    39,593,130
    
    
    $
    11,578,159
    
    
    $
    90,913,858Net income (loss)
    
    $
    9,596,868
    
    
    $
    39,460,830
    
    
    $
    11,401,249
    
    
    $
    90,736,483Increase (decrease)
in net asset value
per unit
    
    $
    61.37
    
    
    $
    289.49
    
    
    $
    79.60
    
    
    $
    633.90
 51




---



##### 



Item 9. Changes in and Disagreements with Accountants on Accounting and Financial Disclosure .
    Item 9A. 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.
   Item 9B. Other Information .
  52




---



##### 



PART III
 Item 10. Directors, Executive Officers and Corporate Governance .
      53




---



##### 



54




---



##### 



Item 11. Executive Compensation .
 Business Business
 Item 12. Security Ownership of Certain Beneficial Owners and Management and Related Stockholder Matters .
 Security ownership
of certain beneficial owners
  Name and Address
    
    Amount and Nature of
    
    Percent ofTitle of Class
    
    of Beneficial Owner
    
    Beneficial Ownership
    
    ClassRedeemable Units
    
    Oxiana LTD
    
    4,691.0086
    
    
    5.1
    %c/o Stonehage SA/ATTN; IAD
    
    Redeemable UnitsRue du Puits-Godet 12P.O. Box 7632002 NeuchetelSwitzerland
 Security ownership
of management
 (3) Amount and(2) Name of
    
    Nature ofBeneficial
    
    Beneficial
    
    (4) Percent of(1) Title of Class
    
    Owner
    
    Ownership
    
    ClassGeneral Partner unit
equivalents
    
    General Partner
    
    
    1,064.1285
    
    
    
    1.1
    %
 Changes in control
 55




---



##### 



Item 13. Certain Relationships and Related Transactions, and Director Independence .
 Transactions with related persons.
 Review, approval or ratification of transactions with related persons.
 Promoters and certain control persons. Business Executive Compensation
 Item 14. Principal Accountant Fees and Services .
 Audit Fees
 Deloitte
    

    PwC2010
    
    $
    74,100
    
    
    $
    2009
    
    $
    71,700
    (1)
    
    $
    34,600
    (2)
    Audit-Related Fees
 Tax Fees
 2010
    
    $
    26,2502009
    
    $
    25,000
 All Other Fees
   56




---



##### 



PART IV
 Item 15. Exhibits, Financial Statement Schedules .
 (a)(1)
    
    Financial Statements:
 Statements of Financial Condition at December 31, 2010 and 2009.
 Statements of Income and Expenses for the years ended December 31, 2010, 2009 and 2008.
 Statements of Changes in Partners Capital for the years ended December 31, 2010, 2009
and 2008.
 Notes to Financial Statements
 (2)
    
    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 29, 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 Partnership 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).
 57




---



##### 



10.3
    
    Management Agreement among the Partnership, Citigroup Managed Futures LLC 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 Agreements for 2010, dated
June 1, 2010 (filed herein).
 10.4
    
    Amended and Restated Agency Agreement among the Partnership, Ceres Managed Futures
LLC, Morgan Stanley Smith Barney LLC, and Citigroup Global Markets Inc., dated November
11, 2009 (filed as Exhibit 10.4 to the Form 10-Q filed on November 16, 2009 and
incorporated herein by reference).
 16.1
    
    Letter from KPMG LLP (filed as Exhibit 16.1 to the Form 8-K filed on July 1, 2008
and incorporated herein by reference).
 16.2
    
    Letter from Pricewaterhouse Coopers LLP (filed as Exhibit 16.1 to the Form 8-K
filed on July 23, 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).
 58




---



##### 



SIGNATURES
   By:
    Ceres Managed Futures LLC(General Partner)By:
    /s/  Walter DavisWalter Davis,President & DirectorDate: March 31, 2011  /s/ Walter Davis
    
    /s/ Ian Bernstein
    
    /s/ Patrick T. EganWalter
Davis
President and Director
Ceres Managed Futures LLC

Date: March 31, 2011
    
    Ian Bernstein
Director
Ceres Managed Futures LLC

Date: March 31, 2011
    
    Patrick T. Egan
Director
Ceres Managed Futures LLC

Date: March 31, 2011/s/ Jennifer Magro
    
    /s/ Michael McGrath
    
    /s/ Alper DagliogluJennifer Magro
Chief Financial Officer and Director
(Principal Accounting Officer)
Ceres Managed Futures LLC

Date: March 31, 2011
    
    Michael McGrath
Director
Ceres Managed Futures LLC

Date: March 31, 2011
    
    Alper Daglioglu
Director
Ceres Managed Futures LLC

Date: March 31, 2011/s/ Douglas J. Ketterer
    
    /s/ Harry HandlerDouglas
J. Ketterer
Director
Ceres Managed Futures LLC

Date: March 31, 2011
    
    Harry Handler
Director
Ceres Managed Futures LLC

Date: March 31, 2011
 Supplemental Information to be Furnished With Reports Filed Pursuant to Section 15(d) of the Act by
Registrants Which Have Not Registered Securities Pursuant to Section 12 of the Act.
   59