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 from  to


Commission File Number 0-50271


ORION FUTURES FUND L.P.





New York
    
    22-3644546(State or other jurisdiction of 
incorporation or organization)
    
    (I.R.S. Employer
Identification No.)


c/o Ceres Managed Futures LLC
522 Fifth Avenue  14th Fl.
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
(Do not check if a smaller reporting company)
    
    Smaller reporting company o
  Yes o No þ




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TABLE OF CONTENTS
 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




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*
    
    Due to rounding.  3




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Financial Information about Segments Selected Financial
Data
 Narrative Description of Business
    Financial Information About Geographic Areas
 Available Information
 Reports to Security Holders
 Enforceability of Civil Liabilities Against Foreign Persons
 Smaller Reporting Companies
 4




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##### 



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/Funds commodity broker are affiliates;2.
    
    Each of the Advisors, the Partnerships/Funds 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.
  An investors tax liability may exceed cash distributions.
  The General Partner may allocate the Partnerships assets to undisclosed advisors.
 5




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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]
 6




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##### 



PART II
 Item 5. Market for Registrants Common Equity Related Stockholder Matters and Issuer Purchases
of Equity Securities.
 Market Information
 Holders
 Dividends
 Securities Authorized for Issuance Under Equity Compensation Plans
 Performance Graph
 Recent
Sales of Unregistered Securities; Use of Proceeds from Registered Securities
  Purchases of Equity Securities by the Issuer and Affiliated Purchases
  (d) Maximum Number(c) Total Number of
    
    
    (or ApproximateRedeemable
    
    
    Dollar Value) of(b) Average
    
    
    Units Purchased
    
    
    Redeemable Units(a) Total Number of
    
    
    Price Paid per
    
    
    as Part of
    
    
    that May Yet BeRedeemable
    
    
    Redeemable
    
    
    Publicly Announced
    
    
    Purchased Under thePeriod
    
    Units Purchased*
    
    
    Unit**
    
    
    Plans or Programs
    
    
    Plans or ProgramsOctober 1,
2010  October 31,
2010
    
    
    5,860.1836
    
    
    $
    2,689.64
    
    
    
    N/A
    
    
    
    N/ANovember 1, 2010 
November 30, 2010
    
    
    6,208.7600
    
    
    $
    2,651.12
    
    
    
    N/A
    
    
    
    N/ADecember 1, 2010 
December 31, 2010
    
    
    4,127.3520
    
    
    $
    2,754.39
    
    
    
    N/A
    
    
    
    N/A16,196.2956
    
    
    $
    2,691.37
 
 *
    
    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. 7




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##### 



Item 6. Selected Financial Data.
  2010
    
    2009
    
    
    2008
    
    
    2007
    
    
    2006Net realized and
unrealized trading
gains (losses) and
investments in Funds
net of brokerage
commissions (including
clearing fees) of
$11,840,857,
$7,831,507, $6,766,398,
$6,362,776 and
$6,049,901,
respectively
    
    $
    65,843,981
    
    $
    (17,982,427
    )
    
    $
    215,756,539
    
    
    $
    65,513,200
    
    
    $
    28,869,155Total interest income
    
    
    1,068,707
    
    
    539,835
    
    
    
    5,823,101
    
    
    
    14,917,240
    
    
    
    11,046,038$
    66,912,688
    
    $
    (17,442,592
    )
    
    $
    221,579,640
    
    
    $
    80,430,440
    
    
    $
    39,915,193Net income (loss)
    
    $
    33,596,305
    
    $
    (39,246,801
    )
    
    $
    166,805,886
    
    
    $
    63,393,428
    
    
    $
    29,048,211Increase (decrease) in
net asset value per
unit
    
    $
    61.21
    
    $
    (143.75
    )
    
    $
    704.34
    
    
    $
    304.80
    
    
    $
    216.46Net asset value per unit
    
    $
    2,754.39
    
    $
    2,693.18
    
    
    $
    2,836.93
    
    
    $
    2,132.59
    
    
    $
    1,827.79Total
assets
    
    $
    1,195,156,405
    
    $
    827,864,934
    
    
    $
    685,714,876
    
    
    $
    469,271,467
    
    
    $
    313,156,339
 Item 7. Managements Discussion and Analysis of Financial Condition and Results of
Operations.
 Overview
    
    
    due diligence examinations of the Advisors;
    
    selection, appointment and termination of the Advisors;
    
    negotiation of the Management Agreements; and
    
    monitoring the activity of the Advisors.
  8




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AAA Capital Management Advisors, Ltd.
      Willowbridge Associates, Inc.
     9




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Winton Capital Management Limited
      10




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##### 



CMF Willowbridge Argo Master Fund L.P.
 Currencies
    
    
    17.8
    %Energy
    
    
    18.7
    %Grains
    
    
    8.9
    %Interest Rates U.S.
    
    
    8.1
    %Interest Rates Non-U.S.
    
    
    16.7
    %Livestock
    
    
    0.6
    %Metals
    
    
    18.3
    %Softs
    
    
    10.9
    %
 AAA Master Fund LLC
 Energy
    
    
    100
    %
 CMF Winton Master L.P.
 Currencies
    
    
    21.0
    %Energy
    
    
    4.7
    %Grains
    
    
    5.3
    %Interest Rates U.S.
    
    
    12.6
    %Interest Rates Non-U.S.
    
    
    16.1
    %Livestock
    
    
    0.6
    %Metals
    
    
    13.3
    %Soft
    
    
    2.5
    %Stock Indices
    
    
    23.9
    %
 11




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##### 



Currencies
    
    
    16.0
    %Energy
    
    
    20.3
    %Grains
    
    
    10.0
    %Interest Rates U.S.
    
    
    8.8
    %Interest Rates Non-U.S.
    
    
    15.6
    %Livestock
    
    
    0.5
    %Metals
    
    
    18.2
    %Softs
    
    
    10.6
    %
 Liquidity.
   (i)
    
    The Partnership and Funds invest their assets only in commodity interests that the
Advisors believe 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
Advisors believe will permit it to enter and exit trades without noticeably moving the
market.(ii)
    
    An 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
Partnerships net assets allocated to that Advisor.(iii)
    
    The Partnership and Funds 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 Partnership and Funds do 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.(v)
    
    The Partnership and Funds do not utilize borrowings other than short-term borrowings if
the Partnership/Funds take delivery of any cash commodities.(vi)
    
    The Advisors may, from time to time, employ trading strategies such as spreads or
straddles on behalf of the Partnership/Funds. 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 Partnership/Funds 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, indicating the desire to
generate commission income.
 i.e.,
  12




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Financial Statements
and Supplementary Data
  Capital Resources.
   13




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##### 



Results of Operations
  Financial Statements and Supplementary Data.
      14




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15




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##### 



Off-balance Sheet Arrangements
 Contractual Obligations.
 Operational Risk
   Operational/Settlement Risk
 Technological Risk
 16




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##### 



Legal/Documentation Risk
 Financial Control Risk
 Critical Accounting Policies
 Partnerships and the Funds Investments.
 Partnerships and the Funds Fair Value Measurements.
    Futures
Contracts.
 17




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##### 



Forward Foreign Currency Contracts.
  London Metals Exchange Forward Contracts.
 Options.
 Brokerage Commissions.
 Item 7A. Quantitative and Qualitative Disclosures About Market Risk
    18




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Quantifying the Partnerships Trading Value at Risk
       19




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##### 



The Partnerships Trading Value at Risk in Different Market Sectors
   December 31, 2010
 % of TotalMarket Sector
    
    Value at Risk
    
    
    CapitalizationCurrencies
    
    $
    8,784,775
    
    
    
    0.75
    %Energy
    
    
    20,307,536
    
    
    
    1.74
    %Grains
    
    
    5,909,516
    
    
    
    0.50
    %Indices
    
    
    9,896,381
    
    
    
    0.85
    %Interest Rates U.S.
    
    
    1,998,797
    
    
    
    0.17
    %Interest Rates Non-U.S.
    
    
    4,235,023
    
    
    
    0.36
    %Livestock
    
    
    358,716
    
    
    
    0.03
    %Lumber
    
    
    26,863
    
    
    
    0.00
    % *Metals
    
    
    21,262,991
    
    
    
    1.82
    %Softs
    
    
    4,072,438
    
    
    
    0.35
    %Total
    
    $
    76,853,036
    
    
    
    6.57
    %
    December 31, 2009
 % of TotalMarket Sector
    
    Value at Risk
    
    
    CapitalizationCurrencies
    
    $
    7,775,289
    
    
    
    0.95
    %Energy
    
    
    34,037,491
    
    
    
    4.17
    %Grains
    
    
    1,725,521
    
    
    
    0.21
    %Indices
    
    
    8,476,985
    
    
    
    1.04
    %Interest Rates U.S.
    
    
    2,269,333
    
    
    
    0.28
    %Interest Rates Non-U.S.
    
    
    5,514,333
    
    
    
    0.68
    %Livestock
    
    
    153,968
    
    
    
    0.02
    %Metals
    
    
    6,828,589
    
    
    
    0.84
    %Softs
    
    
    2,686,366
    
    
    
    0.33
    %Total
    
    $
    69,467,875
    
    
    
    8.52
    %
 20




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##### 



December 31, 2010
 Value at
    
    
    % of Total
    
    
    High
    
    
    Low
    
    
    Average ValueMarket Sector
    
    Risk
    
    
    Capitalization
    
    
    Value at Risk
    
    
    Value at Risk
    
    
    at Risk*Currencies
    
    $
    1,669,739
    
    
    
    0.15
    %
    
    $
    3,324,728
    
    
    $
    250,058
    
    
    $
    1,570,799Energy
    
    
    1,572,750
    
    
    
    0.13
    %
    
    
    6,356,500
    
    
    
    56,500
    
    
    
    2,141,045Grains
    
    
    1,994,050
    
    
    
    0.17
    %
    
    
    4,029,150
    
    
    
    228,250
    
    
    
    1,329,487Interest Rates U.S.
    
    
    598,250
    
    
    
    0.05
    %
    
    
    1,911,600
    
    
    
    102,000
    
    
    
    691,446Interest Rates Non-U.S.
    
    
    719,311
    
    
    
    0.06
    %
    
    
    2,737,047
    
    
    
    231,820
    
    
    
    1,207,028Livestock
    
    
    114,300
    
    
    
    0.01
    %
    
    
    394,450
    
    
    
    8,000
    
    
    
    125,388Metals
    
    
    14,637,181
    
    
    
    1.25
    %
    
    
    15,575,295
    
    
    
    260,649
    
    
    
    6,248,420Softs
    
    
    1,792,700
    
    
    
    0.15
    %
    
    
    2,829,825
    
    
    
    12,500
    
    
    
    1,230,146Total
    
    $
    23,098,281
    
    
    
    1.97
    %
 
 *
    
    Annual average of month-end Value at Risk  December 31, 2009
 Value at
    
    
    % of Total
    
    
    High
    
    
    Low
    
    
    Average ValueMarket Sector
    
    Risk
    
    
    Capitalization
    
    
    Value at Risk
    
    
    Value at Risk
    
    
    at Risk*Currencies
    
    $
    1,913,804
    
    
    
    0.23
    %
    
    $
    2,683,324
    
    
    $
    10,800
    
    
    $
    1,252,370Energy
    
    
    1,443,000
    
    
    
    0.18
    %
    
    
    4,846,643
    
    
    
    45,000
    
    
    
    1,509,395Grains
    
    
    542,000
    
    
    
    0.07
    %
    
    
    1,484,580
    
    
    
    209,000
    
    
    
    666,509Interest Rates U.S.
    
    
    590,550
    
    
    
    0.07
    %
    
    
    1,174,500
    
    
    
    92,400
    
    
    
    476,078Interest Rates Non-U.S.
    
    
    1,209,738
    
    
    
    0.15
    %
    
    
    2,000,036
    
    
    
    212,338
    
    
    
    838,430Livestock
    
    
    67,200
    
    
    
    0.01
    %
    
    
    71,280
    
    
    
    5,250
    
    
    
    27,451Metals
    
    
    1,910,916
    
    
    
    0.23
    %
    
    
    2,273,753
    
    
    
    23,717
    
    
    
    1,414,320Softs
    
    
    595,900
    
    
    
    0.07
    %
    
    
    653,340
    
    
    
    54,600
    
    
    
    342,739Total
    
    $
    8,273,108
    
    
    
    1.01
    %
 
 *
    
    Annual average of month-end Value at Risk  December 31, 2010
 Value at
    
    
    % of Total
    
    
    High
    
    
    Low
    
    
    Average ValueMarket Sector
    
    Risk
    
    
    Capitalization
    
    
    Value at Risk
    
    
    Value at Risk
    
    
    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 Value at Risk 21




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##### 



December 31, 2009
 Value at
    
    
    % of Total
    
    
    High
    
    
    Low
    
    
    Average ValueMarket Sector
    
    Risk
    
    
    Capitalization
    
    
    Value at Risk
    
    
    Value at Risk
    
    
    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  December 31, 2010
 Value at
    
    
    % of Total
    
    
    High
    
    
    Low
    
    
    Average ValueMarket Sector
    
    Risk
    
    
    Capitalization
    
    
    Value at Risk
    
    
    Value at Risk
    
    
    at Risk*Currencies
    
    $
    2,232,591
    
    
    
    1.03
    %
    
    $
    7,096,121
    
    
    $
    940,854
    
    
    
    3,547,819Energy
    
    
    2,742,900
    
    
    
    1.27
    %
    
    
    6,539,400
    
    
    
    460,750
    
    
    
    2,570,821Grains
    
    
    2,062,750
    
    
    
    0.95
    %
    
    
    3,762,750
    
    
    
    207,200
    
    
    
    1,238,276Interest Rates U.S.
    
    
    774,255
    
    
    
    0.36
    %
    
    
    3,269,700
    
    
    
    243,600
    
    
    
    1,143,161Interest Rates Non-U.S.
    
    
    1,908,692
    
    
    
    0.88
    %
    
    
    5,489,653
    
    
    
    289,858
    
    
    
    2,700,503Livestock
    
    
    112,000
    
    
    
    0.05
    %
    
    
    171,200
    
    
    
    44,800
    
    
    
    92,018Metals
    
    
    3,791,000
    
    
    
    1.75
    %
    
    
    5,643,396
    
    
    
    710,500
    
    
    
    2,729,785Softs
    
    
    2,024,400
    
    
    
    0.94
    %
    
    
    3,388,150
    
    
    
    198,000
    
    
    
    1,542,246Total
    
    $
    15,648,588
    
    
    
    7.23
    %
 
 *
    
    Annual average of month-end Value at Risk  December 31, 2009
 Value at
    
    
    % of Total
    
    
    High
    
    
    Low
    
    
    Average ValueMarket Sector
    
    Risk
    
    
    Capitalization
    
    
    Value at Risk
    
    
    Value at Risk
    
    
    at Risk*Currencies
    
    $
    5,974,364
    
    
    
    2.58
    %
    
    $
    14,208,480
    
    
    $
    1,008,000
    
    
    $
    7,206,662Energy
    
    
    2,116,000
    
    
    
    0.92
    %
    
    
    13,037,019
    
    
    
    391,000
    
    
    
    5,515,268Grains
    
    
    1,058,000
    
    
    
    0.46
    %
    
    
    5,919,480
    
    
    
    259,875
    
    
    
    2,320,519Interest Rates U.S.
    
    
    1,959,945
    
    
    
    0.85
    %
    
    
    9,939,105
    
    
    
    280,500
    
    
    
    2,836,425Interest Rates Non-U.S.
    
    
    3,403,449
    
    
    
    1.47
    %
    
    
    14,168,324
    
    
    
    455,649
    
    
    
    4,852,602Metals
    
    
    3,968,558
    
    
    
    1.72
    %
    
    
    8,372,754
    
    
    
    1,909,575
    
    
    
    3,799,612Softs
    
    
    2,725,100
    
    
    
    1.18
    %
    
    
    3,202,100
    
    
    
    237,900
    
    
    
    1,531,645Total
    
    $
    21,205,416
    
    
    
    9.18
    %
 
 *
    
    Annual average of month-end Value at Risk 22




---



##### 



December 31. 2010
 Value at
    
    
    % of Total
    
    
    High
    
    
    Low
    
    
    Average ValueMarket Sector
    
    Risk
    
    
    Capitalization
    
    
    Value at Risk
    
    
    Value at Risk
    
    
    at Risk*Currencies
    
    $
    8,969,665
    
    
    
    1.01
    %
    
    $
    13,529,797
    
    
    $
    3,127,432
    
    
    $
    9,858,603Energy
    
    
    3,277,769
    
    
    
    0.37
    %
    
    
    4,944,082
    
    
    
    236,988
    
    
    
    2,213,508Grains
    
    
    3,992,796
    
    
    
    0.45
    %
    
    
    4,064,389
    
    
    
    556,164
    
    
    
    2,285,359Indices
    
    
    15,987,691
    
    
    
    1.81
    %
    
    
    22,020,780
    
    
    
    2,382,812
    
    
    
    12,021,182Interest Rates U.S.
    
    
    1,387,025
    
    
    
    0.16
    %
    
    
    10,348,050
    
    
    
    275,672
    
    
    
    5,195,958Interest Rates Non-U.S.
    
    
    3,521,207
    
    
    
    0.40
    %
    
    
    13,490,861
    
    
    
    1,949,046
    
    
    
    7,347,287Livestock
    
    
    268,200
    
    
    
    0.03
    %
    
    
    437,350
    
    
    
    158,080
    
    
    
    263,226Metals
    
    
    6,416,979
    
    
    
    0.73
    %
    
    
    8,963,451
    
    
    
    3,939,668
    
    
    
    5,989,765Softs
    
    
    1,393,632
    
    
    
    0.16
    %
    
    
    2,071,953
    
    
    
    538,916
    
    
    
    1,029,710Total
    
    $
    45,214,964
    
    
    
    5.12
    %
 
 *
    
    Annual average of month-end Value at Risk  December 31. 2009
 Value at
    
    
    % of Total
    
    
    High
    
    
    Low
    
    
    Average ValueMarket Sector
    
    Risk
    
    
    Capitalization
    
    
    Value at Risk
    
    
    Value at Risk
    
    
    at Risk*Currencies
    
    $
    4,596,005
    
    
    
    0.80
    %
    
    $
    10,700,900
    
    
    $
    3,479,307
    
    
    $
    6,740,750Energy
    
    
    556,296
    
    
    
    0.10
    %
    
    
    2,627,998
    
    
    
    228,335
    
    
    
    1,092,646Grains
    
    
    1,098,663
    
    
    
    0.19
    %
    
    
    1,976,399
    
    
    
    864,083
    
    
    
    1,388,868Indices
    
    
    16,589,011
    
    
    
    2.89
    %
    
    
    16,589,011
    
    
    
    1,261,608
    
    
    
    6,511,470Interest Rates U.S.
    
    
    1,030,011
    
    
    
    0.18
    %
    
    
    6,518,610
    
    
    
    716,705
    
    
    
    2,896,261Interest Rates Non-U.S.
    
    
    4,507,567
    
    
    
    0.78
    %
    
    
    11,661,822
    
    
    
    2,841,339
    
    
    
    5,786,393Livestock
    
    
    169,800
    
    
    
    0.03
    %
    
    
    425,655
    
    
    
    59,475
    
    
    
    207,937Metals
    
    
    5,057,067
    
    
    
    0.88
    %
    
    
    5,057,067
    
    
    
    849,000
    
    
    
    2,780,563Softs
    
    
    955,200
    
    
    
    0.17
    %
    
    
    1,269,508
    
    
    
    385,375
    
    
    
    791,384Total
    
    $
    34,559,620
    
    
    
    6.02
    %
 
 *
    
    Annual average of month-end Value at Risk Material Limitations on Value at Risk as an Assessment of Market Risk
  23




---



##### 



Non-Trading Risk
   Qualitative Disclosures Regarding Primary Trading Risk Exposures
   Interest Rates
 Currencies
 Metals
 Softs
 Energy
 Grains
 24




---



##### 



Qualitative Disclosures Regarding Non-Trading Risk Exposure
  Foreign Currency Balances
 Qualitative Disclosures Regarding Means of Managing Risk Exposure
     25




---



##### 



Item 8. Financial Statements and Supplementary Data.
 ORION FUTURES FUND L.P.
  26




---



##### 



To the Limited
    Partners of
    Orion Futures Fund L.P.
    
  By:
    Walter Davis 
  Ceres Managed Futures LLC
 212-296-1999
 27




---



##### 



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,
    Orion Futures Fund L.P.

Jennifer Magro
    Chief Financial Officer and Director
    Ceres Managed Futures LLC
    General Partner,
    Orion Futures Fund L.P.  28




---



##### 



REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
 
    
 29




---



##### 



Report of Independent Registered Public Accounting Firm
 
 Internal Control  Integrated Framework
    
 30




---



##### 



Orion Futures
    Fund L.P.
 Statements
    of Financial Condition
    December 31, 2010 and 2009
  2010


2009Assets:Investment in Funds, at fair value (Note 5)

$
981,904,411


$
714,110,396Equity in trading account:Cash (Note 3c)


172,054,703



100,683,304Cash margin (Note 3c)


22,755,878



9,063,690Net unrealized appreciation on open futures contracts






3,055,807Net unrealized appreciation on open forward contracts


13,090,568



950,175Options purchased, at fair value (cost $2,992,890 at
    December 31, 2010)


5,335,173



1,195,140,733



827,863,372Interest receivable (Note 3c)


15,672



1,562Total assets

$
1,195,156,405


$
827,864,934Liabilities and Partners Capital:Liabilities:Options premium received, at fair value (cost $45,720 at
    December 31, 2010)

$
14,130


$
Net unrealized depreciation on open futures contracts


5,247,768



Accrued expenses:Brokerage commissions (Note 3c)


2,109,769



1,986,385Management fees (Note 3b)


1,751,605



1,254,174Administrative fees (Note 3a)


494,865



344,078Incentive fees (Note 3b)


4,494,823



Professional fees


90,611



79,253Other


18,762



13,850Redemptions payable (Note 6)


11,368,337



8,400,640Total liabilities


25,590,670



12,078,380Partners Capital: (Notes 1 and 6)General Partner, 4,276.0755 and 2,943.3393 unit equivalents
    outstanding at December 31, 2010 and 2009, respectively


11,777,980



7,926,943Limited Partners, 420,343.0232 and 299,965.0835 Redeemable Units
    outstanding at December 31, 2010 and 2009, respectively


1,157,787,755



807,859,611Total partners capital


1,169,565,735



815,786,554Total liabilities and partners capital

$
1,195,156,405


$
827,864,934Net asset value per unit

$
2,754.39


$
2,693.18   See accompanying notes to financial statements.
 31




---



##### 



Orion Futures
    Fund L.P.
 Condensed
    Schedule of Investments
    December 31, 2010
  Notional ($)/





% of PartnersNumber of Contracts


Fair Value


CapitalFutures Contracts PurchasedCurrencies


520


$
953,808



0.08
%Energy


407



1,063,222



0.09Grains


1,143



2,154,944



0.18Interest Rates U.S.


380



35,017



0.00
*Interest Rates
    Non-U.S.


238



8,350



0.00
*Livestock


111



95,380



0.01Metals


390



3,589,090



0.31Softs


518



2,648,939



0.23Total futures contracts purchased






10,548,750



0.90Futures Contracts SoldCurrencies


95



26,292



0.00
*Grains


240



(123,200
)


(0.01
)Interest Rates U.S.


12



(6,375
)


(0.00
)*Interest Rates
    Non-U.S.


95



102,828



0.01Metals


1,428



(15,796,063
)


(1.35
)Total futures contracts sold






(15,796,518
)


(1.35
)Unrealized Appreciation on Open Forward ContractsMetals


3,976



67,511,368



5.77Total unrealized appreciation on open forward contracts






67,511,368



5.77Unrealized Depreciation on Open Forward ContractsCurrencies

$
75,375



(313
)


0.00
*Metals


3,256



(54,420,487
)


(4.65
)Total unrealized depreciation on open forward contracts






(54,420,800
)


(4.65
)Options PurchasedCallGrains


200



55,000



0.00
*Metals


225



5,280,173



0.45Total options purchased






5,335,173



0.45Options Premium ReceivedCallMetals


60



(14,130
)


(0.00
)*Total options premium received






(14,130
)


(0.00
)*Investment in FundsAAA Master Fund LLC






283,238,250



24.22CMF Willowbridge Argo Master Fund LP






151,432,714



12.95CMF Winton Master Fund LP






547,233,447



46.79Total investment in Funds






981,904,411



83.96Total fair value





$
995,068,254



85.08
%     *
    
    Due to rounding  See accompanying notes to financial statements.
 32




---



##### 



Orion Futures
    Fund L.P.
    Condensed Schedule of Investments
    December 31, 2009
  Number of





% of PartnersContracts


Fair Value


CapitalFutures Contracts PurchasedCurrencies


254


$
419,773



0.05
%Energy


364



129,842



0.02Grains


402



91,185



0.01Interest Rates
    Non-U.S.


127



(21,825
)


(0.00
)*Livestock


84



38,440



0.00
*Metals


222



(140,327
)


(0.02
)Softs


342



560,264



0.07Total futures contracts purchased






1,077,352



0.13Futures Contracts SoldCurrencies


635



1,761,778



0.22Energy


5



10,950



0.00
*Interest Rates U.S.


381



438,625



0.05Interest Rates Non-U.S.


413



61,615



0.01Metals


58



(294,513
)


(0.04
)Total futures contracts sold






1,978,455



0.24Unrealized Appreciation on Open Forward ContractsMetals


287



3,563,843



0.44Total unrealized appreciation on open forward contracts






3,563,843



0.44Unrealized Depreciation on Open Forward ContractsMetals


222



(2,613,668
)


(0.32
)Total unrealized depreciation on open forward contracts






(2,613,668
)


(0.32
)Investment in FundsAAA Master Fund LLC






284,764,800



34.91CMF Willowbridge Argo Master Fund LP






135,945,983



16.66CMF Winton Master LP






293,399,613



35.97Total investment in Funds






714,110,396



87.54Total fair value





$
718,116,378



88.03
%     See accompanying notes to financial statements.
 33




---



##### 



Orion Futures
    Fund L.P.
 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 and
    investment in Funds:Net realized gains (losses) on closed contracts

$
14,795,114


$
(12,572,238
)

$
12,376,626Net realized gains (losses) on investment in Funds


25,334,101



81,850,071



177,104,310Change in net unrealized gains (losses) on open contracts


6,210,691



2,335,509



1,079,599Change in net unrealized gains (losses) on investment in Funds


31,344,932



(81,764,262
)


31,962,402Gain (loss) from trading, net


77,684,838



(10,150,920
)


222,522,937Interest income (Note 3c)


201,642



67,628



689,057Interest income from investment in Funds


867,065



472,207



5,134,044Total income (loss)


78,753,545



(9,611,085
)


228,346,038Expenses:Brokerage commissions including clearing fees (Note 3c)


11,840,857



7,831,507



6,766,398Management fees (Note 3b)


18,444,754



13,417,518



10,925,864Administrative fees (Note 3a)


5,152,347



3,642,172



2,980,531Incentive fees (Note 3b)


8,890,045



4,138,088



40,256,797Professional fees


708,692



495,318



520,640Other


120,545



111,113



89,922Total expenses


45,157,240



29,635,716



61,540,152Net income (loss)

$
33,596,305


$
(39,246,801
)

$
166,805,886Net income (loss) per unit (Note 7)

$
61.21


$
(143.75
)

$
704.34Weighted average units outstanding


388,634.8551



261,677.7144



236,302.6401   See accompanying notes to financial statements.
 34




---



##### 



Orion Futures
    Fund L.P.

    Statements of Changes in Partners Capital
    for the years ended
    December 31, 2010, 2009 and 2008
  Limited


GeneralPartners


Partner


TotalPartners Capital at December 31, 2007

$
459,490,962


$
914,794


$
460,405,756Net income (loss)


166,058,397



747,489



166,805,886Subscriptions of 73,057.0497 Redeemable Units and 852.6005
    General Partner unit equivalents


175,479,000



1,973,412



177,452,412Redemptions of 61,071.3615 Redeemable Units


(155,777,201
)






(155,777,201
)Partners Capital at December 31, 2008


645,251,158



3,635,695



648,886,853Net income (loss)


(39,038,049
)


(208,752
)


(39,246,801
)Subscriptions of 124,540.6216 Redeemable Units and 1,661.7798
    General Partner unit equivalents


346,650,226



4,500,000



351,150,226Redemptions of 52,022.5263 Redeemable Units


(145,003,724
)






(145,003,724
)Partners Capital at December 31, 2009


807,859,611



7,926,943



815,786,554Net income (loss)


33,245,268



351,037



33,596,305Subscriptions of 168,713.1893 Redeemable Units and 1,332.7362
    General Partner unit equivalents


444,557,407



3,500,000



448,057,407Redemptions of 48,335.2496


(127,874,531
)






(127,874,531
)Partners Capital at December 31, 2010

$
1,157,787,755


$
11,777,980


$
1,169,565,735Net asset value per unit:   2008:

$
2,836.932009:

$
2,693.182010:

$
2,754.39
   See accompanying notes to financial statements.
 35




---



##### 



Orion Futures
    Fund L.P.

    Notes to Financial Statements
    December 31, 2010
  1.
    Partnership
    Organization:  non-U.S.
          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. 36




---



##### 



Orion Futures
    Fund L.P.
    Notes to Financial Statements
    December 31, 2010
  b.
    Statement of Cash Flows.The Partnership is
    not required to provide a Statement of Cash Flows.c.
    Partnerships and the Funds
    Investments.All commodity interests held by the
    Partnership and the Funds (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.  Partnerships and the Funds Fair Value
    Measurements.
      exchange-traded
 37




---



##### 



Orion Futures
    Fund L.P.
    Notes to Financial Statements
    December 31, 2010
    Quoted Prices inActive Markets


Significant Other


Significantfor Identical


Observable Inputs


Unobservable12/31/2010


Assets (Level 1)


(Level 2)


Inputs (Level 3)AssetsForwards

$
13,090,881


$
13,090,881


$



$
Options purchased


5,335,173



5,335,173







Investment in Funds


981,904,411







981,904,411



Total assets


1,000,330,465



18,426,054



981,904,411



LiabilitiesFutures


5,247,768



5,247,768







Forwards


313







313



Options premium received


14,130



14,130







Total liabilities


5,262,211



5,261,898



313



Total fair value

$
995,068,254


$
13,164,156


$
981,904,098


$
   Quoted Prices inActive Markets


Significant Other


Significantfor Identical


Observable Inputs


Unobservable12/31/2009


Assets (Level 1)


(Level 2)


Inputs (Level 3)AssetsFutures

$
3,055,807


$
3,055,807


$



$
Forwards


950,175



950,175







Investment in Funds


714,110,396







714,110,396



Total assets


718,116,378



4,005,982



714,110,396



Total fair value

$
718,116,378


$
4,005,982


$
714,110,396


$
   d.
    Futures Contracts.The Partnership and the
    Funds trade 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 Partnership and the
    Funds 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 Partnership and the Funds.
    When the contract is closed, the Partnership and the Funds
    record 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
    unrealized gains (losses) on futures contracts are included in
    the Statements of Income and Expenses.e.
    Forward Foreign Currency Contracts.  Foreign
    currency contracts are those contracts where the Funds agree to
    receive or deliver a fixed quantity of foreign currency for an
    agreed-upon
    price on an agreed future date. Foreign currency contracts are
    valued daily, and the Funds net equity therein,
    representing unrealized gain or loss on the contracts as
    measured by the difference between the forward foreign exchange
    rates at the dates of entry into the contracts and the forward
    rates at the reporting date, is included in the Statements of
    Financial Condition. Realized 38




---



##### 



Orion Futures
    Fund L.P.
    Notes to Financial Statements
    December 31, 2010
  gains (losses) and changes in unrealized gains (losses) on
    foreign currency contracts are recognized in the period in which
    the contract is closed or the changes occur, respectively, and
    are included in the Statements of Income and Expenses.    f.
    London Metals Exchange Forward
    Contracts.  Metal contracts traded on the London
    Metals Exchange (LME) represent a firm commitment to
    buy or sell a specified quantity of aluminum, copper, lead,
    nickel, tin or zinc. LME contracts traded by the Partnership and
    the Funds are cash settled based on prompt dates published by
    the LME. Payments (variation margin) may be made or
    received by the Partnership and the Funds 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 Partnership and the Funds. A contract is
    considered offset when all long positions have been matched with
    a like number of short positions settling on the same prompt
    date. When the contract is closed at the prompt date, the
    Partnership and the Funds record 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 LME contracts require participants to make both
    initial margin deposits of cash or other assets and variation
    margin deposits, through the broker, directly with the LME.
    Realized gains (losses) and changes in unrealized gains (losses)
    on metal contracts are included in the Statements of Income and
    Expenses.  g.
    Options.The Partnership and the Funds may
    purchase and write (sell) both exchange listed and
    over-the-counter (OTC) 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
    Partnership and the Funds write an option, the premium received
    is recorded as a liability in the Statements of Financial
    Condition and marked to market daily. When the Partnership and
    the Funds purchase an option, the premium paid is recorded as an
    asset in the 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.h.
    Brokerage Commissions.Commission charges to
    open and close futures and exchange traded swap contracts are
    expensed at the time the positions are opened. Commission
    charges on option contracts are expensed at the time the
    position is established and when the option contract is closed.  i.
    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.     39




---



##### 



Orion Futures
    Fund L.P.
    Notes to Financial Statements
    December 31, 2010
    j.
    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.  k.
    Net Income (loss) per Unit.  Net income (loss)
    per unit is calculated in accordance with investment company
    guidance. See Note 7, Financial Highlights.  3.
    Agreements:  a.
    Limited Partnership Agreement:  1 24
  b.
    Management Agreement:  1 6 1 8
      c.
    Customer Agreement:   40




---



##### 



Orion Futures
    Fund L.P.
    Notes to Financial Statements
    December 31, 2010
  give-up 30-day 3-month
  4.
    Trading
    Activities:         41




---



##### 



Orion Futures
    Fund L.P.
    Notes to Financial Statements
    December 31, 2010
     December 31,2010AssetsFutures ContractsCurrencies

$
1,023,400Energy


1,076,962Grains


2,158,741Interest Rates U.S.


35,017Interest Rates
    Non-U.S.


113,936Livestock


95,380Metals


3,589,089Softs


2,714,932Total unrealized appreciation on open futures contracts

$
10,807,457LiabilitiesFutures ContractsCurrencies

$
(43,300
)Energy


(13,740
)Grains


(126,997
)Interest Rates U.S.


(6,375
)Interest Rates
    Non-U.S.


(2,758
)Metals


(15,796,062
)Softs


(65,993
)Total unrealized depreciation on open futures contracts

$
(16,055,225
)Net unrealized depreciation on open futures contracts

$
(5,247,768
)*     *
    
    This amount is in Net unrealized depreciation on open
    futures contracts on the Statements of Financial Condition.  42




---



##### 



Orion Futures
    Fund L.P.
    Notes to Financial Statements
    December 31, 2010
  December 31,2010AssetsForward ContractsMetals

$
67,511,368Total unrealized appreciation on open forward contracts

$
67,511,368LiabilitiesForward ContractsCurrencies

$
(313
)Metals


(54,420,487
)Total unrealized depreciation on open forward contracts

$
(54,420,800
)Net unrealized appreciation on open forward contracts

$
13,090,568
**AssetsOptions PurchasedGrains

$
55,000Metals


5,280,173Total options purchased

$
5,335,173
***LiabilitiesOptions Premium ReceivedMetals

$
(14,130
)Total options premium received

$
(14,130
)****     **
    
    This amount is in Net unrealized appreciation on open
    forward 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.  43




---



##### 



Orion Futures
    Fund L.P.
    Notes to Financial Statements
    December 31, 2010
  December 31,2009AssetsFutures ContractsCurrencies

$
2,181,550Energy


199,794Grains


110,773Interest Rates U.S.


438,625Interest Rates Non-U.S.


210,400Livestock


38,440Metals


181,742Softs


663,038Total unrealized appreciation on open futures contracts

$
4,024,362LiabilitiesFutures ContractsEnergy

$
(59,002
)Grains


(19,587
)Interest Rates Non-U.S.


(170,609
)Metals


(616,583
)Softs


(102,774
)Total unrealized depreciation on open futures contracts

$
(968,555
)Net unrealized appreciation on open futures contracts

$
3,055,807
*AssetsForward ContractsMetals

$
3,563,843Total unrealized appreciation on open forward contracts

$
3,563,843LiabilitiesForward ContractsMetals

$
(2,613,668
)Total unrealized depreciation on open forward contracts

$
(2,613,668
)Net unrealized appreciation on open forward contracts

$
950,175
**     *
    
    This amount is in Net unrealized appreciation on open
    futures contracts on the Statements of Financial Condition.**
    
    This amount is in Net unrealized appreciation on open
    forward contracts on the Statements of Financial Condition. 44




---



##### 



Orion Futures
    Fund L.P.
    Notes to Financial Statements
    December 31, 2010
     December 31, 2010


December 31, 2009Sector

Gain (loss) from trading


Gain (loss) from tradingCurrencies

$
8,442,431


$
(1,780,147
)Energy


(18,679,717
)


(2,447,142
)Grains


7,417,695



(598,463
)Indices


(139,663
)


Interest Rates U.S.


2,310,098



(2,079,594
)Interest Rates
    Non-U.S.


6,831,370



(2,180,445
)Livestock


(502,640
)


(89,640
)Metals


8,737,672



1,203,412Softs


6,588,559



(2,264,710
)Total

$
21,005,805


$
(10,236,729
)   5.
    Investments in
    Funds:       45




---



##### 



Orion Futures
    Fund L.P.
    Notes to Financial Statements
    December 31, 2010
                 December 31, 2010Total Assets


Total Liabilities


Total CapitalAAA Master

$
1,234,677,140


$
254,307,502


$
980,369,638Willowbridge Master


216,360,362



61,729



216,298,633Winton Master


883,842,483



122,612



883,719,871Total

$
2,334,879,985


$
254,491,843


$
2,080,388,142   December 31, 2009Total


Total


TotalAssets


Liabilities


CapitalAAA Master

$
1,632,583,054


$
403,387,862


$
1,229,195,192Willowbridge Master


231,147,799



42,482



231,105,317Winton Master


574,479,690



71,377



574,408,313Total

$
2,438,210,543


$
403,501,721


$
2,034,708,822  46




---



##### 



Orion Futures
    Fund L.P.
    Notes to Financial Statements
    December 31, 2010
    For the Year Ended December 31, 2010Gain (Loss) fromTrading, net


Total income (Loss)


Net income (Loss)AAA Master

$
(44,917,645
)

$
(44,199,399
)

$
(48,102,394
)Willowbridge Master


(8,681,294
)


(8,453,112
)


(8,840,226
)Winton Master


122,196,753



122,968,789



122,204,611Total

$
68,597,814


$
70,316,278


$
65,261,991   For the Year Ended December 31, 2009Gain (Loss) fromTrading, net


Total income (Loss)


Net income (Loss)AAA Master

$
154,505,739


$
155,167,589


$
151,195,430Willowbridge Master


(42,016,964
)


(41,821,187
)


(42,198,191
)Winton Master


(25,033,464
)


(24,623,815
)


(25,021,263
)Total

$
87,455,311


$
88,722,587


$
83,975,976     % of














NetPartnerships








Expenses


Income


Investment

RedemptionFunds

Net Assets


Fair Value


Income (Loss)


Commissions


Other


(loss)


Objective

PermittedFor the year ended December 31, 2010AAA Master


24.22
%

$
283,238,250


$
(11,370,085
)

$
821,888


$
193,207


$
(12,385,180
)

Energy
    Portfolio

MonthlyWillowbridge Master


12.95
%


151,432,714



(3,111,326
)


185,077



67,635



(3,364,038
)

Commodity
    Portfolio

MonthlyWinton Master


46.79
%


547,233,447



72,027,509



369,033



70,709



71,587,767


Commodity
    Portfolio

MonthlyTotal





$
981,904,411


$
57,546,098


$
1,375,998


$
331,551


$
55,838,549   % of














NetPartnerships








Expenses


Income


Investment

RedemptionFunds

Net Assets


Fair Value


Income (Loss)


Commissions


Other


(loss)


Objective

PermittedFor the year ended December 31, 2009AAA Master


34.91
%

$
284,764,800


$
32,116,575


$
734,680


$
135,448


$
31,246,447


Energy
    Portfolio

MonthlyWillowbridge Master


16.66
%


135,945,983



(21,885,805
)


174,549



33,695



(22,094,049
)

Commodity
    Portfolio

MonthlyWinton Master


35.97
%


293,399,613



(9,672,754
)


150,897



25,626



(9,849,277
)

Commodity
    Portfolio

MonthlyTotal





$
714,110,396


$
558,016


$
1,060,126


$
194,769


$
(696,879
)   6.
    Subscriptions,
    Distributions and Redemptions:   47




---



##### 



Orion Futures
    Fund L.P.
    Notes to Financial Statements
    December 31, 2010
   7.
    Financial
    Highlights:    2010


2009


2008Net realized and unrealized gains (losses)*

$
142.91


$
(60.42
)

$
910.82Interest income


2.70



2.15



24.80Expenses**


(84.40
)


(85.48
)


(231.28
)Increase (decrease) for the year


61.21



(143.75
)


704.34Net asset value per unit, beginning of year


2,693.18



2,836.93



2,132.59Net asset value per unit, end of year

$
2,754.39


$
2,693.18


$
2,836.93    *
    
    Includes brokerage commissions.**
    
    Excludes brokerage commissions.  2010


2009


2008Ratios to average net assets:Net investment income (loss) before incentive fees***


(3.5
)%


(3.5
)%


(2.7
)%Operating expenses


3.6
%


3.6
%


3.8
%Incentive fees


0.9
%


0.6
%


7.1
%Total expenses


4.5
%


4.2
%


10.9
%Total return:Total return before incentive fees


3.1
%


(4.6
)%


41.3
%Incentive fees


(0.8
)%


(0.5
)%


(8.3
)%Total return after incentive fees


2.3
%


(5.1
)%


33.0
%    ***
    
    Interest income less total expenses.    8.
    Financial
    Instrument Risks:     48




---



##### 



Orion Futures
    Fund L.P.
    Notes to Financial Statements
    December 31, 2010
             49




---



##### 



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
    
    $
    59,255,667
    
    
    $
    24,896,125
    
    
    $
    (5,081,090
    )
    
    $
    (12,158,014
    )Net income (loss)
    
    $
    47,998,682
    
    
    $
    16,063,446
    
    
    $
    (12,991,075
    )
    
    $
    (17,474,748
    )Increase (decrease) in
net asset value per unit
    
    $
    112.18
    
    
    $
    39.10
    
    
    $
    (33.04
    )
    
    $
    (57.03
    )
 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
    
    $
    (12,753,163
    )
    
    $
    (4,432,679
    )
    
    $
    7,069,723
    
    
    $
    (7,326,473
    )Net income (loss)
    
    $
    (17,732,212
    )
    
    $
    (9,949,410
    )
    
    $
    2,894,930
    
    
    $
    (14,460,109
    )Increase (decrease) in
net asset value per unit
    
    $
    (56.34
    )
    
    $
    (37.87
    )
    
    $
    11.53
    
    
    $
    (61.07
    )
 50




---



##### 



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.
 Financial Statements and Supplementary Data
  Item 9B: Other Information .
 51




---



##### 



PART III
 Item 10. Directors, Executive Officers and Corporate Governance.
      52




---



##### 



53




---



##### 



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.
 54




---



##### 



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
    
    
    4,276.0755
    
    
    
    1.1
    %
 Changes in control
 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
    
    $
    116,900

    
    
    N/A2009
    
    $
    129,200
    (1)
    
$
    22,700
    (2)
  (1)
 (2)
 Audit-Related Fees
 Tax Fees
 2010

    $
    44,1002009

    $
    42,000
 All Other Fees
   55




---



##### 



PART IV
 Item 15.
Exhibits,  Financial Statement Schedules.
 (a)
    
    (1) Financial Statements:
       3.1
    
    Second Amended and Restated Limited Partnership Agreement (filed as Exhibit 3.1 to current
report on Form 8-K/A filed on December 28, 2009).3.2
    
    Certificate of Limited Partnership of the Partnership as filed in the office of the Secretary
of State of the State of the State of New York (filed as Exhibit 3.(I) to the general form for
registration of securities on Form 10 filed on May 1, 2003).
 (a)
    
    1st 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 April 3, 2001 (filed as
Exhibit 3.(I) to the general form for registration of securities on Form 10 filed on May 1,
2003).(b)
    
    2nd 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 3.2(b) to the Form 10-Q filed on November 16, 2009).(c)
    
    3rd 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 3.2(c) to the Form 10-Q filed on November 16, 2009).(d)
    
    4th 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 current report on Form 8-K filed on September 2, 2008).(e)
    
    5th 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 3.2(e) to the Form 10-Q filed on November 16, 2009).(f)
    
    6th 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 30, 2009 (filed
as Exhibit 99.1(a) to current report on Form 8-K filed on September 30, 2009).(g)
    
    1st Certificate of Change to the Certificate of Limited Partnership as filed in the
office of the Secretary of State of the State of New York, dated January 31, 2000 (filed as
Exhibit 3.2(g) to the Form 10-Q filed on November 16, 2009).(h)
    
    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(h) to the Form 8-K filed on July 2, 2010).
 10.1
    
    Management Agreement among the Partnership, Smith Barney Futures Management Inc., SFG Global
Investments, Inc. and AAA Capital Management Inc. (filed as Exhibit 10 to the general form for
registration of securities on Form 10 filed on May 1, 2003).
 56




---



##### 



10.1(a)
    
    First Amendment to the Management Agreement among the Partnership, Smith Barney Futures
Management Inc., SFG Global Investments, Inc. and AAA Capital Management Inc. (filed as
Exhibit 10 to the general form for registration of securities on Form 10 filed on May 1,
2003).10.1(b)
    
    Second Amendment to the Management Agreement among Citigroup Managed Futures LLC and AAA
Capital Management Inc. (filed as Exhibit 33 to the quarterly report on Form 10-Q filed on
August 14, 2006).10.1(c)
    
    Letter extending the Management Agreements between the General Partner and AAA Capital
Management Inc. for 2010 (filed herein).10.2
    
    Management Agreement among the Partnership, Smith Barney Futures Management Inc., SFG Global
Investments, Inc. and Willowbridge Associates Inc. (filed as Exhibit 10 to the general form
for registration of securities on Form 10 filed on May 1, 2003).10.2(a)
    
    First Amendment to the Management Agreement among the Partnership, Smith Barney Futures
Management Inc., SFG Global Investments, Inc. and Willowbridge Associates Inc. (filed as
Exhibit 10 to the general form for registration of securities on Form 10 filed on May 1,
2003).10.2(b)
    
    Letter extending the Management Agreement between the General Partner and Willowbridge
Associates Inc. for 2010 (filed herein).10.3
    
    Management Agreement among the Partnership, Citigroup Managed Futures LLC and Winton Capital
Management Limited (filed as Exhibit 10 to the annual report on Form 10-K filed on March 15,
2004).10.3(a)
    
    Letter extending the Management Agreement between the General Partner and Winton Capital
Management Limited for 2010 (filed herein).10.4
    
    Amended and Restated Customer Agreement between the Partnership and Salomon Smith Barney Inc.
(filed as Exhibit 10 to the general form for registration of securities on Form 10 filed on
May 1, 2003).10.5
    
    Second Amended and Restated Agency Agreement between the Partnership, Ceres Managed Futures
LLC, Morgan Stanley Smith Barney LLC and Citigroup Global Markets Inc. (filed as Exhibit 10.5
to the Form 10-Q filed on November 16, 2009).10.6
    
    Form of Subscription Agreement (filed as Exhibit 10.5 to the Form 10-Q filed on November 16,
2009).10.7
    
    Form of Third-Party Subscription Agreement (filed as Exhibit 10.5 to the Form 10-Q filed on
November 16, 2009).10.8
    
    Joinder Agreement among Citigroup Managed Futures LLC, Citigroup Global Markets Inc. and
Morgan Stanley Smith Barney LLC (filed as Exhibit 10 to the quarterly report on Form 10-Q
filed on August 14, 2009).16.1
    
    Letter dated July 23, 2009 from PricewaterhouseCoopers LLP regarding Change in Certifying
Accountant (filed as Exhibit 16.1 to the Form 8-K filed on July 24, 2009).16.2
    
    Letter dated June 26, 2008 from KPMG LLP regarding Change in Certifying Accountant (filed as
Exhibit 16.1 to the Form 8-K filed on July 1, 2008).99.1
    
    Financial Statements of AAA Master Fund LLC.99.2
    
    Financial Statements of CMF Winton Master L.P.99.3
    
    Financial Statements of CMF Willowbridge Argo Master Fund L.P.
      57




---



##### 



SIGNATURES
     By:
    /s/ Walter DavisWalter Davis, 
President & Director 
Date: March 31, 2011  /s/ Walter Davis
    
    /s/ Ian Bernstein
    
    /s/ Patrick T. EganWalter Davis
    
    Ian Bernstein
    
    Patrick T. EganPresident and Director
    
    Director
    
    DirectorCeres Managed Futures LLC
    
    Ceres Managed Futures LLC
    
    Ceres Managed Futures LLCDate: March 31, 2011
    
    Date: March 31, 2011
    
    Date: March 31, 2011/s/ Jennifer Magro
    
    /s/ Michael McGrath
    
    /s/ Alper DagliogluJennifer Magro
    
    Michael McGrath
    
    Alper DagliogluChief Financial Officer and Director
    
    Director
    
    Director(Principal Accounting Officer)
    
    Ceres Managed Futures LLC
    
    Ceres Managed Futures LLCCeres Managed Futures LLC
    
    Date: March 31, 2011
    
    Date: March 31, 2011Date: March 31, 2011/s/ Douglas J. Ketterer
    
    /s/ Harry HandlerDouglas J. Ketterer
    
    Harry HandlerDirector
    
    DirectorCeres Managed Futures LLC
    
    Ceres Managed Futures LLCDate: March 31, 2011
    
    Date: March 31, 2011
    58