UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
 WASHINGTON, D.C. 20549
 FORM 10-K
 (X) ANNUAL REPORT PURSUANT TO SECTION 13 OR 15(d)
OF THE SECURITIES EXCHANGE ACT OF 1934
 For the fiscal year ended December 31, 2009
 OR ( ) TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d)
OF THE SECURITIES EXCHANGE ACT OF 1934
 
 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
55 East 59th Street  10th Fl.
New York, New York 10022
  (212) 559-2011
  None
 Redeemable Units of Limited Partnership Interest
   Yes  No X
  Yes  No X
  Yes X No
   Yes  No
 X
  Large accelerated filer
    
    Accelerated filer
    
    Non-accelerated filer X
    
    Smaller reporting company
  Yes  No X




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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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3




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Financial information about industry 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
 4




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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 its investment.
  5




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##### 



The Partnership will pay substantial fees and expenses regardless of profitability.
  An investors ability to redeem or transfer Redeemable Units is limited.
  Conflicts of interest exist.
  1.
    
    The General Partner and commodity broker are affiliates;
 2.
    
    Each of the Advisors, the commodity broker and their principals and affiliates may trade
in commodity interests for their own accounts; and
 3.
    
    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.
  Regulatory changes could restrict the Partnerships operations.
  Speculative
position and trading limits may reduce profitability.
  Item 2. Properties.
  6




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##### 



Item 3. Legal Proceedings.
    Mutual Funds
    FINRA Settlement
  Auction Rate Securities
   Subprime-Mortgage Related Actions
  Credit Crisis Related Matters
    Item 4. [Removed and Reserved]
 7




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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
  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, 2009 
October 31, 2009



2,885.8835



$
2,707.94




N/A




N/ANovember 1, 2009 
November 30, 2009



5,241.3094



$
2,830.62




N/A




N/ADecember 1, 2009 
December 31, 2009



3,119.2270



$
2,693.18




N/A




N/A11,246.4199



$
2,761.02 
 *
    
    Generally, Limited Partners are permitted to redeem their Redeemable Units as of the end of
each month on 10 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. 8




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Item 6. Selected Financial Data.
  2009
    
    
    2008
    
    
    2007
    
    
    2006
    
    
    2005Net realized
and unrealized
trading gains
(losses) and
investments in
Partnerships net of
brokerage
commissions
(including clearing
fees) of $7,831,507,
$6,766,398,
$6,362,776,
$6,049,901 and
$5,235,263,
respectively
    
    $
    (17,982,427
    )
    
    $
    215,756,539
    
    
    $
    65,513,200
    
    
    $
    28,869,155
    
    
    $
    31,783,155Total interest income
    
    
    539,835
    
    
    
    5,823,101
    
    
    
    14,917,240
    
    
    
    11,046,038
    
    
    
    4,083,246$
    (17,442,592
    )
    
    $
    221,579,640
    
    
    $
    80,430,440
    
    
    $
    39,915,193
    
    
    $
    35,866,401Net income (loss)
    
    $
    (39,246,801
    )
    
    $
    166,805,886
    
    
    $
    63,393,428
    
    
    $
    29,048,211
    
    
    $
    23,623,197Increase (decrease)
in Net Asset Value
per Unit
    
    $
    (143.75
    )
    
    $
    704.34
    
    
    $
    304.80
    
    
    $
    216.46
    
    
    $
    243.00Net Asset
Value per Unit
    
    $
    2,693.18
    
    
    $
    2,836.93
    
    
    $
    2,132.59
    
    
    $
    1,827.79
    
    
    $
    1,611.33Total assets
    
    $
    827,864,934
    
    
    $
    685,714,876
    
    
    $
    469,271,467
    
    
    $
    313,156,339
    
    
    $
    174,986,555
 Item 7. Managements Discussion and Analysis of Financial Condition and Results of Operations.
 Overview
  9




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##### 




    
    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.
    AAA Capital Management Advisors, Ltd.
      10




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Willowbridge Associates, Inc.
             11




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Winton Capital Management Limited
           12




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##### 



CMF Willowbridge Argo Master Fund L.P.
 Currencies
    
    
    23.4
    %Energy
    
    
    17.8
    %Grains
    
    
    8.3
    %Interest Rates Non-U.S.
    
    
    16.6
    %Interest Rates U.S.
    
    
    9.5
    %Livestock
    
    
    0.4
    %Metals
    
    
    18.1
    %Softs
    
    
    5.9
    %
 Willowbridge Associates Inc.
 Currencies
    
    
    18.8
    %Energy
    
    
    21.1
    %Grains
    
    
    11.5
    %Interest Rates Non-U.S.
    
    
    13.0
    %Interest Rates U.S.
    
    
    7.2
    %Livestock
    
    
    0.4
    %Metals
    
    
    21.9
    %Softs
    
    
    6.2
    %
 AAA Master Fund LLC
 Energy
    
    
    100
    %
 CMF Winton Master L.P.
 Currencies
    
    
    26.1
    %Energy
    
    
    4.3
    %Grains
    
    
    5.6
    %Interest Rates Non-U.S.
    
    
    20.5
    %Interest Rates U.S.
    
    
    11.1
    %Livestock
    
    
    0.8
    %Metals
    
    
    9.0
    %Softs
    
    
    3.0
    %Stock Indices
    
    
    19.6
    %
 Liquidity.
  13




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##### 



(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, driven by the desire to
generate commission income.
 i.e.,
    14




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##### 



Financial Statements and
Supplementary Data
  Capital Resources.
      15




---



##### 



Results of Operations
        16




---



##### 



17




---



##### 



Off-balance
Sheet Arrangements
 Contractual
Obligations.
 Operational Risk
   Operational/Settlement Risk
 Technological Risk
 Legal/Documentation Risk
 Financial Control Risk
 18




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##### 



Critical Accounting Policies
 Use of Estimates.
 Statement of Cash Flows.
 Partnerships
and the Funds Investments.
 Partnerships and the Funds Fair Value Measurements.
  Futures
Contracts.
 London Metals Exchange Forward Contracts.
 Options.
 Brokerage Commissions.
 19




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##### 



Income Taxes.
   Subsequent Events.
 Recent Accounting Pronouncements.
   Item 7A. Quantitative and Qualitative Disclosures About Market Risk
    20




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##### 



Quantifying the Partnerships Trading Value at Risk
       21




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##### 



The Partnerships Trading Value at Risk in Different Market Sectors
   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
    %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
    %Indices
    
    
    8,476,985
    
    
    
    1.04
    %Total
    
    $
    69,467,875
    
    
    
    8.52
    %
  December 31, 2008
 % of TotalMarket Sector
    
    Value at Risk
    
    
    CapitalizationCurrencies
    
    $
    3,282,968
    
    
    
    0.51
    %Energy
    
    
    61,632,055
    
    
    
    9.50
    %Grains
    
    
    1,650,236
    
    
    
    0.25
    %Interest Rates U.S.
    
    
    2,668,676
    
    
    
    0.41
    %Interest Rates Non-U.S.
    
    
    4,683,200
    
    
    
    0.72
    %Livestock
    
    
    33,049
    
    
    
    0.01
    %Lumber
    
    
    417
    
    
    
    0.00
    %*Metals
    
    
    2,267,938
    
    
    
    0.35
    %Softs
    
    
    736,847
    
    
    
    0.11
    %Indices
    
    
    670,166
    
    
    
    0.10
    %Total
    
    $
    77,625,552
    
    
    
    11.96
    %
 
 *
    
    Due to rounding 22




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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*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 RiskAs of December 31, 2008, the Partnerships Value at Risk for the portion of its assets that are traded directly by Willowbridge was as follows:December 31, 2008Value at
    
    
    % of Total
    
    
    High
    
    
    Low
    
    
    Average ValueMarket Sector
    
    Risk
    
    
    Capitalization
    
    
    Value at Risk
    
    
    Value at Risk
    
    
    at Risk*Currencies
    
    $
    550,881
    
    
    
    0.09
    %
    
    $
    1,999,001
    
    
    $
    4,860
    
    
    $
    491,595Energy
    
    
    123,500
    
    
    
    0.02
    %
    
    
    2,147,000
    
    
    
    7,220
    
    
    
    700,863Grains
    
    
    418,000
    
    
    
    0.06
    %
    
    
    874,000
    
    
    
    30,000
    
    
    
    344,210Interest Rates U.S.
    
    353,400
    
    
    
    0.05
    %
    
    
    521,700
    
    
    
    32,300
    
    
    
    249,958Interest Rates Non-U.S
    
    522,669
    
    
    
    0.08
    %
    
    
    1,193,605
    
    
    
    27,322
    
    
    
    474,767Metals
    
    
    300,238
    
    
    
    0.05
    %
    
    
    1,634,000
    
    
    
    109,250
    
    
    
    344,603Softs
    
    
    70,300
    
    
    
    0.01
    %
    
    
    477,200
    
    
    
    17,100
    
    
    
    159,704Total
    
    $
    2,338,988
    
    
    
    0.36
    %
 
 *
    
    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*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, 2008
 % of Total
    
    
    High
    
    
    Low
    
    
    AverageMarket Sector
    
    Value at Risk
    
    
    Capitalization
    
    
    Value at Risk
    
    
    Value at Risk
    
    
    Value at Risk*Energy
    
    $
    306,037,030
    
    
    
    22.86
    %
    
    $
    393,679,114
    
    
    $
    86,922,706
    
    
    $
    205,141,776Total
    
    $
    306,037,030
    
    
    
    22.86
    %
 
 *
    
    Annual average of month-end Values at Risk 23




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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*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  December 31, 2008
 % of Total
    
    
    High
    
    
    Low
    
    
    AverageMarket Sector
    

Value at Risk
    
    

Capitalization
    
    

Value at Risk
    
    

Value at Risk
    
    

Value at Risk*Currencies
    
    $
    1,945,600
    
    
    
    0.65
    %
    
    $
    11,556,229
    
    
    $
    245,220
    
    
    $
    3,464,607Energy
    
    
    816,000
    
    
    
    0.27
    %
    
    
    15,933,000
    
    
    
    448,000
    
    
    
    4,885,321Grains
    
    
    1,100,800
    
    
    
    0.37
    %
    
    
    5,470,800
    
    
    
    201,000
    
    
    
    2,038,390Interest Rates U.S.
    
    
    2,380,800
    
    
    
    0.80
    %
    
    
    4,367,200
    
    
    
    219,300
    
    
    
    1,272,506Interest Rates Non-U.S.
    
    
    3,571,688
    
    
    
    1.20
    %
    
    
    8,375,150
    
    
    
    387,940
    
    
    
    3,540,377Metals
    
    
    3,110,400
    
    
    
    1.05
    %
    
    
    8,742,000
    
    
    
    764,750
    
    
    
    4,883,083Softs
    
    
    819,200
    
    
    
    0.28
    %
    
    
    2,989,200
    
    
    
    120,600
    
    
    
    1,077,150Total
    
    $
    13,744,488
    
    
    
    4.62
    %
 
 *
    
    Annual average based on 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
    
    
    
    1,388,868Interest 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
    
    
    
    791,384Indices
    
    
    16,589,011
    
    
    
    2.89
    %
    
    
    16,589,011
    
    
    
    1,261,608
    
    
    
    6,511,470Total
    
    $
    34,559,620
    
    
    
    6.02
    %
 
 *
    
    Annual average of  month-end Value at Risk 24




---



##### 



December 31. 2008
 % of Total
    
    
    High
    
    
    Low
    
    
    AverageMarket Sector
    
    Value at Risk
    
    
    Capitalization
    
    
    Value at Risk
    
    
    Value at Risk
    
    
    Value at Risk*Currencies
    
    $
    4,842,125
    
    
    
    0.88
    %
    
    $
    6,844,904
    
    
    $
    2,234,600
    
    
    $
    4,333,162Energy
    
    
    1,417,010
    
    
    
    0.26
    %
    
    
    6,750,850
    
    
    
    581,600
    
    
    
    3,815,788Grains
    
    
    1,912,314
    
    
    
    0.35
    %
    
    
    4,647,430
    
    
    
    41,072
    
    
    
    2,278,577Interest Rates U.S.
    
    
    3,213,000
    
    
    
    0.59
    %
    
    
    4,165,350
    
    
    
    160,797
    
    
    
    2,234,433Interest Rates Non-U.S.
    
    
    6,633,201
    
    
    
    1.21
    %
    
    
    6,862,943
    
    
    
    1,875,349
    
    
    
    4,923,678Livestock
    
    
    87,200
    
    
    
    0.02
    %
    
    
    350,900
    
    
    
    32,205
    
    
    
    165,842Lumber
    
    
    1,100
    
    
    
    0.00
    %**
    
    
    5,400
    
    
    
    1,100
    
    
    
    2,500Metals
    
    
    1,408,458
    
    
    
    0.26
    %
    
    
    4,997,086
    
    
    
    797,395
    
    
    
    2,496,016Softs
    
    
    762,259
    
    
    
    0.14
    %
    
    
    2,273,575
    
    
    
    354,777
    
    
    
    896,692Indices
    
    
    1,768,247
    
    
    
    0.32
    %
    
    
    12,018,105
    
    
    
    1,433,950
    
    
    
    5,538,325Total
    
    $
    22,044,914
    
    
    
    4.03
    %
 
 *
    
    Annual average based on month-end Value at Risk**
    
    due to rounding Material Limitations on Value at Risk as an Assessment of Market Risk
  Non-Trading Risk
   Qualitative Disclosures Regarding Primary Trading Risk Exposures
  25




---



##### 



Interest Rates
 Currencies
 Metals
 Softs
 Energy
 Grains
 Qualitative Disclosures Regarding Means of Managing Risk Exposure
     26




---



##### 



ORION FUTURES FUND L.P.
 INDEX TO FINANCIAL STATEMENTS
 Item 8. Financial Statements and Supplementary Data.
 PageNumberOath or Affirmation
    
    F-3Managements Report on Internal Control over Financial Reporting
    
    F-4Reports of Independent Registered Public Accounting Firms
    
    F-5  F-9Financial Statements:Statements
of Financial Condition at December 31, 2009 and 2008
    
    F-10Condensed
Schedules
of Investments at December 31, 2009 and 2008
    
    F-11  F-12Statements
of Income and Expenses for the years ended December 31, 2009, 2008
and 2007
    
    F-13Statements of Changes in Partners Capital for the years ended December 31,
2009, 2008 and 2007
    
    F-14Notes to Financial Statements
    
    F-15  F-27Selected Unaudited Quarterly Financial Data
    
    F-28Financial Statements of Citigroup AAA Master Fund LLCOath or Affirmation
    
    F-29Reports of Independent Registered Public Accounting Firms
    
    F-30  F-32Financial Statements:Statements
of Financial Condition at December 31, 2009 and 2008
    
    F-33Condensed
Schedules
of Investments at December 31, 2009 and 2008
    
    F-34  F-35Statements
of Income and Expenses for the years ended December 31, 2009, 2008
and 2007
    
    F-36Statements of Changes in Members Capital for the years ended December 31,
2009, 2008 and 2007
    
    F-37Notes to Financial Statements
    
    F-38  F-46Selected Unaudited Quarterly Financial Data
    
    F-47Financial Statements of CMF Willowbridge Argo Master Fund L.P.Oath or Affirmation
    
    F-48Reports of Independent Registered Public Accounting Firms
    
    F-49  F-51Financial Statements:Statements
of Financial Condition at December 31, 2009 and 2008
    
    F-52Condensed
Schedules
of Investments at December 31, 2009 and 2008
    
    F-53  F-54
 F-1




---



##### 



ORION FUTURES FUND L.P.
 INDEX TO FINANCIAL STATEMENTS  CONTINUED
 PageNumberStatements
of Income and Expenses at December 31, 2009, 2008 and 2007
    
    F-55Statements
of Changes in Partners Capital at December 31, 2009, 2008
and 2007
    
    F-56Notes to Financial Statements
    
    F-57  F-64Selected Unaudited Quarterly Financial Data
    
    F-65Financial Statements of CMF Winton Master L.P.Oath or Affirmation
    
    F-66Reports of Independent Registered Public Accounting Firms
    
    F-67  F-69Financial Statements:Statements
of Financial Condition at December 31, 2009 and 2008
    
    F-70Condensed
Schedules
of Investments at December 31, 2009 and 2008
    
    F-71  F-72Statements
of Income and Expenses for the years ended December 31, 2009, 2008
and 2007
    
    F-73Statements of Changes in Partners Capital for the years ended December 31,
2009, 2008 and 2007
    
    F-74Notes to Financial Statements
    
    F-75  F-84Selected Unaudited Quarterly Financial Data
    
    F-85
 F-2




---



##### 



To the Limited
    Partners of
    Orion Futures Fund L.P.
    
  By:
    Jennifer Magro 
  Ceres Managed Futures LLC
 212-559-2011
 F-3




---



##### 



Management
    s Report on Internal Control Over Financial
    Reporting
            Internal Control-Integrated Framework
    
 
     F-4




---



##### 



REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
 
 Internal Control  Integrated Framework
   F-5




---



##### 



Internal Control
 Integrated Framework .
 
 F-6




---



##### 



Report of Independent Registered Public Accounting Firm
 
 Internal Control
- Integrated Framework
  F-7




---



##### 



F-8




---



##### 



Report of Independent Registered Public Accounting Firm
 
     
 F-9




---



##### 



Orion Futures
    Fund L.P.

 Statements
    of Financial Condition
    December 31, 2009 and 2008
  2009


2008Assets:Investment in Partnerships, at fair value (Note 5)

$
714,110,396


$
610,171,060Equity in trading account:Cash (Note 3c)


100,683,304



70,898,968Cash margin (Note 3c)


9,063,690



2,972,978Net unrealized appreciation on open futures contracts


3,055,807



1,526,317Net unrealized appreciation on open forward contracts


950,175



144,156827,863,372



685,713,479Interest receivable (Note 3c)


1,562



1,397Total assets

$
827,864,934


$
685,714,876Liabilities and Partners Capital:Liabilities:Accrued expenses:Brokerage commissions (Note 3c)

$
1,986,385


$
1,380,827Management fees (Note 3b)


1,254,174



1,053,913Administrative fees (Note 3a)


344,078



285,090Incentive fees (Note 3b)






10,922,554Professional fees


79,253



95,462Other


13,850



21,745Redemptions payable (Note 6)


8,400,640



23,068,432Total liabilities


12,078,380



36,828,023Partners Capital: (Notes 1 and 6)General Partner, 2,943.3393 and 1,281.5595 Unit equivalents
    outstanding at December 31, 2009 and 2008, respectively


7,926,943



3,635,695Limited Partners, 299,965.0835 and 227,446.9882 Redeemable Units
    of Limited Partnership Interest outstanding at December 31,
    2009 and 2008, respectively


807,859,611



645,251,158Total partners capital


815,786,554



648,886,853Total liabilities and partners capital

$
827,864,934


$
685,714,876   See accompanying notes to financial statements.
 F-10




---



##### 



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 PartnershipsAAA 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 Partnerships






714,110,396



87.54Total fair value





$
718,116,378



88.03
%  ­
    ­
   See accompanying notes to financial statements.
 F-11




---



##### 



Orion Futures
    Fund L.P.

 Condensed
    Schedule of Investments
    December 31, 2008
  Number of





% of PartnersContracts


Fair Value


CapitalFutures Contracts PurchasedCurrencies


114


$
127,205



0.02
%Energy


19



(55,290
)


(0.01
)Grains


190



260,336



0.04Metals


19



44,650



0.01Interest Rates U.S.


190



607,238



0.09Interest Rates Non-U.S.


161



567,778



0.09Softs


38



90,950



0.01Total futures contracts purchased






1,642,867



0.25Futures Contracts SoldMetals


38



(116,550
)


(0.02
)Total futures contracts sold






(116,550
)


(0.02
)Unrealized Appreciation on Open Forward ContractsMetals


214



3,283,299



0.50Total unrealized appreciation on open forward contracts






3,283,299



0.50Unrealized Depreciation on Open Forward ContractsMetals


184



(3,139,143
)


(0.48
)Total unrealized depreciation on open forward contracts






(3,139,143
)


(0.48
)Investment in PartnershipsAAA Master Fund LLC






265,560,308



40.93CMF Willowbridge Argo Master Fund LP






137,021,864



21.12CMF Winton Master LP






207,588,888



31.99Total investment in Partnerships






610,171,060



94.04Total fair value





$
611,841,533



94.29
%   See accompanying notes to financial statements.
 F-12




---



##### 



Orion Futures
    Fund L.P.

 Statements
    of Income and Expenses
    for the years ended
    December 31, 2009, 2008 and 2007
  2009


2008


2007Income:Net gains (losses) on trading of commodity interests and
    investment in Partnerships:Net realized gains (losses) on closed contracts

$
(12,572,238
)

$
12,376,626


$
10,458,193Net realized gains (losses) on investment in Partnerships


81,850,071



177,104,310



66,069,238Change in net unrealized gains (losses) on open contracts


2,335,509



1,079,599



(398,691
)Change in net unrealized gains (losses) on investments in
    Partnerships


(81,764,262
)


31,962,402



(4,252,764
)Gain (loss) from trading, net


(10,150,920
)


222,522,937



71,875,976Interest income (Note 3c)


67,628



689,057



1,103,241Interest income from investment in Partnerships


472,207



5,134,044



13,813,999Total income (loss)


(9,611,085
)


228,346,038



86,793,216Expenses:Brokerage commissions including clearing fees (Note 3c)


7,831,507



6,766,398



6,362,776Management fees (Note 3b)


13,417,518



10,925,864



6,962,335Administrative fees (Note 3a)


3,642,172



2,980,531



1,921,930Incentive fees (Note 3b)


4,138,088



40,256,797



7,785,492Professional fees


495,318



520,640



289,126Other


111,113



89,922



78,129Total expenses


29,635,716



61,540,152



23,399,788Net income (loss)

$
(39,246,801
)

$
166,805,886


$
63,393,428Net income (loss) per Redeemable Unit of Limited Partnership
    Interest and General Partner Unit equivalent (Notes 1 and 7)

$
(143.75
)

$
704.34


$
304.80Weighted average units outstanding


261,677.7144



236,302.6401



197,604.4930   See accompanying notes to financial statements.
 F-13




---



##### 



Orion Futures
    Fund L.P.


    Statements of Changes in Partners Capital
    for the years ended
    December 31, 2009, 2008 and 2007
  Limited


GeneralPartners


Partner


TotalPartners Capital at December 31, 2006

$
306,816,392


$
1,581,686


$
308,398,078Net income (loss)


63,310,187



83,241



63,393,428Sale of 75,753.5122 Redeemable Units of Limited Partnership
    Interest


144,306,000







144,306,000Redemption of 28,154.4589 Redeemable Units of Limited
    Partnership Interest and 436.3952 General Partner Unit
    equivalents


(54,941,617
)


(750,133
)


(55,691,750
)Partners Capital at December 31, 2007


459,490,962



914,794



460,405,756Net income (loss)


166,058,397



747,489



166,805,886Sale of 73,057.0497 Redeemable Units of Limited Partnership
    Interest and 852.6005 General Partner Unit equivalents


175,479,000



1,973,412



177,452,412Redemption of 61,071.3615 Redeemable Units of Limited
    Partnership Interest


(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
)Sale of 124,540.6216 Redeemable Units of Limited Partnership
    Interest and 1,661.7798 General Partner Unit equivalents


346,650,226



4,500,000



351,150,226Redemption of 52,022.5263 Redeemable Units of Limited
    Partnership Interest


(145,003,724
)






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

$
807,859,611


$
7,926,943


$
815,786,554Net Asset Value per Unit:   2007:

$
2,132.592008:

$
2,836.932009:

$
2,693.18
   See accompanying notes to financial statements.
 F-14




---



##### 



Orion Futures
    Fund L.P.


    Notes to Financial Statements
    December 31, 2009
  1.
    Partnership
    Organization:  non-U.S. interest
           F-15




---



##### 



Orion Futures
    Fund L.P.
    Notes to Financial Statements
    December 31, 2009
   2.
    Accounting
    Policies:  a.
    Use of Estimates.The preparation of financial
    statements and accompanying notes in conformity with 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.
    In making these estimates and assumptions, management has
    considered the effects, if any, of events occurring after the
    date of the Partnerships Statements of Financial Condition
    through  the date the financial statements were issued. 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 as permitted
    by ASC 230, Statement of Cash Flows (formerly,
    FAS No. 102, Statement of Cash Flows-Exemption
    of Certain Enterprises and Classification of Cash Flows from
    Certain Securities Acquired for Resale).c.
    Partnerships and the Funds
    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
    Statement 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 Funds Fair Value
    Measurements. Fair Value Measurements and Disclosures
  FAS No. 157-4,
 F-16




---



##### 



Orion Futures
    Fund L.P.
    Notes to Financial Statements
    December 31, 2009
    Quoted Prices inActive Markets


Significant Other


Significantfor Identical


Observable Inputs


Unobservable12/31/2009


Assets (Level 1)


(Level 2)


Inputs (Level 3)AssetsForwards

$
950,175


$
950,175


$



$
Futures


3,055,807



3,055,807







Investment in Partnerships


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


$
   Quoted Prices inActive Markets


Significant Other


Significantfor Identical


Observable Inputs


Unobservable12/31/2008


Assets (Level 1)


(Level 2)


Inputs (Level 3)AssetsForwards

$
144,156


$
144,156


$



$
Futures


1,526,317



1,526,317







Investment in Partnerships


610,171,060







610,171,060



Total assets

$
611,841,533


$
1,670,473


$
610,171,060


$
Total fair value

$
611,841,533


$
1,670,473


$
610,171,060


$
   d.
    Futures Contracts.The Partnership and the
    Funds trade futures contracts. Exchange cleared swaps included
    in futures and 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. Because
    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, credit
    exposure is limited. Realized gains (losses) and changes in
    unrealized gains (losses) on futures contracts are included in
    the Statements of Income and Expenses. F-17




---



##### 



Orion Futures
    Fund L.P.
    Notes to Financial Statements
    December 31, 2009
   e.
    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
    short positions. 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.
    Because 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, credit exposure is limited. Realized gains (losses) and
    changes in unrealized gains (losses) on metal contracts are
    included in the Statements of Income and Expenses.  f.
    Options.The Partnership and the Funds 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
    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.  g.
    Brokerage Commissions.Commission charges to
    open and closed 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.h.
    Income Taxes.Income taxes have not been
    provided as each partner is individually liable for the taxes,
    if any, on their share of the Partnerships income and
    expenses.      i.
    Subsequent Events.  In 2009, the Partnership
    adopted ASC 855 Subsequent Events (formerly,
    FAS No. 165 Subsequent Events). The
    objective of ASC 855 is to establish general standards of
    accounting for and disclosure of events that occur after the
    balance sheet date but before financial statements are issued or
    available to be issued. Management has determined that there
    were no subsequent events requiring adjustment or disclosure in
    the financial statements. F-18




---



##### 



Orion Futures
    Fund L.P.
    Notes to Financial Statements
    December 31, 2009
   j.
    Recent Accounting Pronouncements.  In January
    2010, the FASB issued Accounting Standards Update
    No. 2010-06
    (ASU
    2010-06),
    Improving Disclosures about Fair Value Measurements,
    which , among other things, amends ASC 820 to require entities
    to 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 which clarifies existing
    disclosure requirements provided by ASC 820 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. ASU
    2010-06 is
    effective for interim and annual periods beginning after
    December 15, 2009, except for the disclosures about
    purchases, sales, issuances, and settlements in the roll forward
    of activity in Level 3 fair value measurements (which are
    effective for fiscal years beginning after December 15,
    2010, and for interim periods within those fiscal years).
    Management is currently assessing the impact that the adoption
    of ASU
    2010-06 will
    have on the Partnerships financial statements disclosures.  No. 2010-09 2010-09),
  k.
    Certain prior period amounts have been reclassified to conform
    to the current year presentation.  l.
    Net Income (loss) per Redeemable Unit.  Net
    income (loss) per Redeemable Unit is calculated in accordance
    with investment company guidance. See footnote 7 for Financial
    Highlights.  3.
    Agreements:  a.
    Limited Partnership Agreement:  1 24
  b.
    Management Agreement:  1 8 1 6
 F-19




---



##### 



Orion Futures
    Fund L.P.
    Notes to Financial Statements
    December 31, 2009
        c.
    Customer Agreement:  give-up 30-day 3-month 90-day
  4.
    Trading
    Activities:         F-20




---



##### 



Orion Futures
    Fund L.P.
    Notes to Financial Statements
    December 31, 2009
      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
*     *
    
    This amount is in Net unrealized appreciation on open
    futures contracts on the Statements of Financial Condition. F-21




---



##### 



Orion Futures
    Fund L.P.
    Notes to Financial Statements
    December 31, 2009
  December 31,2009AssetsForward ContractsMetals

$
3,563,843Total unrealized appreciation onopen forward contracts

$
3,563,843LiabilitiesForward ContractsMetals

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

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

$
950,175
**     **
    
    This amount is in Net unrealized appreciation on open
    forward contracts on the Statements of Financial Condition.    December 31, 2009Sector

Gain (loss) from tradingCurrencies

$
(1,780,147
)Energy


(2,447,142
)Grains


(598,463
)Interest Rates U.S.


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


(2,180,445
)Livestock


(89,640
)Metals


1,203,412Softs


(2,264,710
)Total

$
(10,236,729
)   5.
    Investments in
    Partnerships:     F-22




---



##### 



Orion Futures
    Fund L.P.
    Notes to Financial Statements
    December 31, 2009
                 F-23




---



##### 



Orion Futures
    Fund L.P.
    Notes to Financial Statements
    December 31, 2009
     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   December 31, 2008Total


Total


TotalAssets


Liabilities


CapitalAAA Master

$
1,962,984,697


$
624,353,598


$
1,338,631,099Willowbridge Master


297,439,763



19,759



297,420,004Winton Master


547,770,185



18,642



547,751,543Total

$
2,808,194,645


$
624,391,999


$
2,183,802,646     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   For the Year Ended December 31, 2008Gain (Loss) fromTrading, net


Total income (Loss)


Net income (Loss)AAA Master

$
571,420,201


$
576,682,953


$
572,610,772Willowbridge Master


114,625,338



117,584,985



117,208,252Winton Master


123,848,030



129,757,734



129,243,782Total

$
809,893,569


$
824,025,672


$
819,062,806     % of














NetPartnerships








Expenses


Income


Investment

RedemptionInvestment

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
    Markets

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
)   F-24




---



##### 



Orion Futures
    Fund L.P.
    Notes to Financial Statements
    December 31, 2009
  % of














NetPartnerships








Expenses


Income


Investment

RedemptionInvestment

Net Assets


Fair Value


Income (Loss)


Commissions


Other


(Loss)


Objective

PermittedFor the year ended December 31, 2008AAA Master


40.93
%

$
265,560,308


$
110,101,731


$
605,423


$
160,841


$
109,335,467


Energy
    Markets

MonthlyWillowbridge Master


21.12
%


137,021,864



53,417,835



153,140



16,149



53,248,546


Commodity
    Portfolio

MonthlyWinton Master


31.99
%


207,588,888



50,681,190



183,415



13,739



50,484,036


Commodity
    Portfolio

MonthlyTotal





$
610,171,060


$
214,200,756


$
941,978


$
190,729


$
213,068,049   6.
    Subscriptions,
    Distributions and Redemptions:    7.
    Financial
    Highlights:    2009


2008


2007Net realized and unrealized gains (losses)*

$
(60.42
)

$
910.82


$
313.50Interest income


2.15



24.80



75.92Expenses**


(85.48
)


(231.28
)


(84.62
)Increase (decrease) for the year


(143.75
)


704.34



304.80Net Asset Value per Redeemable Unit of Limited Partnership
    Interest, beginning of year


2,836.93



2,132.59



1,827.79Net Asset Value per Redeemable Unit of Limited Partnership
    Interest, end of year

$
2,693.18


$
2,836.93


$
2,132.59    *
    
    Includes brokerage commissions.**
    
    Excludes brokerage commissions.  2009


2008


2007Ratios to average net assets:Net investment income (loss) before incentive fees***


(3.5
)%


(2.7
)%


(0.2
)%Operating expenses


3.6
%


3.8
%


4.2
%Incentive fees


0.6
%


7.1
%


2.1
%Total expenses


4.2
%


10.9
%


6.3
%Total return:Total return before incentive fees


(4.6
)%


41.3
%


18.6
%Incentive fees


(0.5
)%


(8.3
)%


(1.9
)%Total return after incentive fees


(5.1
)%


33.0
%


16.7
%    ***
    
    Interest income less total expenses. F-25




---



##### 



Orion Futures
    Fund L.P.
    Notes to Financial Statements
    December 31, 2009
     8.
    Financial
    Instrument Risks:             F-26




---



##### 



Orion Futures
    Fund L.P.
    Notes to Financial Statements
    December 31, 2009
     F-27




---



##### 



For the periodfrom October 1,
    
    For the period from
    
    For the period from
    
    For the period from2009 to December
    
    July 1, 2009 to
    
    April 1, 2009 to
    
    January 1, 2009 to31, 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
    )
 For the period from
    
    For the period from
    
    For the period from
    
    For the period fromOctober 1, 2008 to
    
    July 1, 2008 to
    
    April 1, 2008 to
    
    January 1, 2008 toDecember 31, 2008
    
    September 30, 2008
    
    June 30, 2008
    
    March 31, 2008Net realized and
unrealized trading
gains (losses) net
of brokerage
commissions and
clearing fees
including interest
income
    
    $
    74,819,388
    
    
    $
    27,257,894
    
    
    $
    76,460,557
    
    
    $
    43,041,801Net Income (loss)
    
    $
    59,772,762
    
    
    $
    16,001,938
    
    
    $
    58,633,780
    
    
    $
    32,397,406Increase (decrease)
in Net Asset Value
per Unit
    
    $
    251.14
    
    
    $
    66.99
    
    
    $
    243.59
    
    
    $
    142.62
 F-28




---



##### 



To the Members
    of
    AAA Master Fund LLC
    
  By:
    Jennifer Magro
    Chief Financial Officer and Director
    Ceres Managed Futures LLC
    Managing Member,
    AAA Master Fund LLC  Ceres Managed Futures LLC    212-559-2011
 F-29




---



##### 



REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
 
    
 F-30




---



##### 



Report of Independent Auditors
 
   
 F-31




---



##### 



Report of Independent Registered Public Accounting Firm
 
     
 F-32




---



##### 



AAA Master
    Fund LLCStatements of Financial Condition
    December 31, 2009 and 2008
  2009


2008Assets:Equity in trading account:Cash (Note 3c)

$
778,736,469


$
696,338,412Cash margin (Note 3c)


112,350,862



90,640,874Net unrealized appreciation on open futures and exchange cleared
    swap contracts






268,819,884Options owned, at fair value (cost $885,211,273 and
    $867,124,483, respectively)


741,495,723



906,666,5771,632,583,054



1,962,465,747Due from brokers






518,950Total assets

$
1,632,583,054


$
1,962,984,697Liabilities and Members Capital:Liabilities:Net unrealized depreciation on open futures and exchange cleared
    swap contracts

$
50,857,890


$
Options written, at fair value (premium $435,825,576 and
    $600,446,669, respectively)


352,233,900



624,018,932Accrued expenses:Professional fees


296,072



334,666Total liabilities


403,387,862



624,353,598Members Capital:Members Capital, 123,710.6078 and 150,805.9242 Units of
    Member Interest outstanding at December 31, 2009 and 2008,
    respectively


1,229,195,192



1,338,631,099Total liabilities and members capital

$
1,632,583,054


$
1,962,984,697   See accompanying notes to financial statements.
 F-33




---



##### 



AAA Master
    Fund LLC


    Condensed 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 OwnedEnergyCallNYMEX 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 owned






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 owned






360,056,647



29.29Total options owned






741,495,723



60.32Options WrittenEnergyCallNYMEX 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 owned






(248,119,400
)


(20.19
)PutOther


21,738



(104,114,500
)


(8.47
)Put options written






(104,114,500
)


(8.47
)Total options written






(352,233,900
)


(28.66
)Total fair value





$
338,403,933



27.53
%   See accompanying notes to financial statements.
 F-34




---



##### 



AAA Master
    Fund LLC


    Condensed Schedule of Investments
    December 31, 2008
  Number of





% of MembersContracts


Fair Value


CapitalFutures and Exchange Cleared Swap Contracts PurchasedEnergyNYMEX Heating Oil Feb 09  Aug 11


8,011


$
(441,745,130
)


(33.00
)%NYMEX HH N Gas Swap Feb 09  Dec 14


18,654



(89,160,340
)


(6.66
)NYMEX LS Crude Oil Feb 09  Dec 12


11,641



(129,427,041
)


(9.67
)NYMEX Natural Gas May 09  Dec 13


8,255



(139,708,500
)


(10.44
)NYMEX NYH RBOB Gas Feb 09  Dec 11


4,404



(119,810,053
)


(8.95
)NYMEX WTI Financial Jun 09  Dec 16


4,936



(209,218,410
)


(15.63
)Other


16,316



(151,807,029
)


(11.34
)Total futures and exchange cleared swap contracts purchased






(1,280,876,503
)


(95.69
)Futures and Exchange Cleared Swap Contracts SoldEnergyIPE Brent Crude Oil Mar 09  Dec 14


4,692



121,030,070



9.04IPE Gas Oil Jan 09  Jun 11


11,819



535,126,020



39.98NYMEX Heating Oil Feb 09  Dec 11


3,501



166,705,095



12.45NYMEX HH N Gas Swap Mar 09  Dec 12


29,532



155,897,847



11.65NYMEX Natural Gas Feb 09  Dec 14


13,299



260,526,256



19.46NYMEX NYH RBOB Gas Apr 09  Apr 10


3,293



137,456,648



10.27Other


16,695



172,954,451



12.92Total futures and exchange cleared swap contracts sold






1,549,696,387



115.77Options OwnedEnergyCallNYMEX Natural Gas EC Feb 09  May 14


28,842



164,736,675



12.31Other


22,190



31,922,424



2.38Call options owned






196,659,099



14.69PutNYMEX Brent Crude EP Jun 09  Dec 10


2,533



73,938,930



5.52NYMEX Crude EP Mar 09  Dec 16


11,958



253,787,240



18.96NYMEX LS Crude Oil P Feb 09  Dec 12


6,383



205,040,500



15.32NYMEX Natural Gas EP Mar 09  Mar 11


4,433



70,822,470



5.29Other


3,227



106,418,338



7.95Put options owned






710,007,478



53.04Total options owned






906,666,577



67.73Options WrittenEnergyCallOther


48,267



(108,711,985
)


(8.12
)Call options written






(108,711,985
)


(8.12
)PutNYMEX LS Crude Oil P Feb 09  Dec 12


6,493



(131,792,570
)


(9.84
)NYMEX Natural Gas EP Feb 09  May 11


6,340



(209,214,966
)


(15.63
)Other


8,146



(174,299,411
)


(13.02
)Put options written






(515,306,947
)


(38.49
)Total options written






(624,018,932
)


(46.61
)Total fair value





$
551,467,529



41.20
%   See accompanying notes to financial statements.
 F-35




---



##### 



AAA Master
    Fund LLC


    Statements of Income and Expenses
    for the years ended December 31, 2009, 2008 and
    2007
  2009


2008


2007Income:Net gains (losses) on trading of commodity interests:Net realized gains (losses) on closed contracts

$
550,277,218


$
383,464,674


$
139,780,388Change in net unrealized gains (losses) on open contracts


(395,771,479
)


187,955,527



(15,598,237
)Gain (loss) from trading, net


154,505,739



571,420,201



124,182,151Interest income


661,850



5,262,752



27,854,202Total income (loss)


155,167,589



576,682,953



152,036,353Expenses:Clearing fees


3,343,809



3,223,638



3,197,637Professional fees


628,350



848,543



508,210Total expenses


3,972,159



4,072,181



3,705,847Net income (loss)

$
151,195,430


$
572,610,772


$
148,330,506Net income (loss) per Unit of Member Interest (Notes 1 and
    6)

$
1,064.36


$
3,494.47


$
756.40Weighted average units outstanding


139,419.9283



172,420.9234



200,906.2331   See accompanying notes to financial statements.
 F-36




---



##### 



AAA Master
    Fund LLC


    Statements of Changes in Members Capital
    for the years ended December 31, 2009, 2008 and
    2007
  MembersCapitalMembers Capital at December 31, 2006

$
993,359,899Net income (loss)


148,330,506Sale of 28,091.0093 Units of Member Interest


140,284,151Redemption of 50,568.2147 Units of Member Interest


(254,888,582
)Distribution of interest income to feeder funds


(27,632,438
)Members Capital at December 31, 2007


999,453,536Net income (loss)


572,610,772Sale of 26,018.8922 Units of Member Interest


176,599,395Redemption of 59,881.8271 Units of Member Interest


(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)


151,195,430Sale of 18,789.6645 Units of Member Interest


178,448,063Redemption of 45,884.9809 Units of Member Interest


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


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

$
1,229,195,192Net Asset Value per Unit of Member Interest:     2007:

$
5,412.142008:

$
8,876.522009:

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




---



##### 



AAA Master
    Fund LLC


    Notes to Financial Statements
    December 31, 2009
  1.
    General:       F-38




---



##### 



AAA Master
    Fund LLC
    Notes to Financial Statements
    December 31, 2009
        2.
    Accounting
    Policies:  a.
    Use of Estimates.The preparation of financial
    statements and accompanying notes in conformity with 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.
    In making these estimates and assumptions, management has
    considered the effects, if any, of events occurring after the
    date of the Masters Statements of Financial Condition
    through the date the financial statements were issued. 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 as permitted by
    ASC 230, Statement of Cash Flows (formerly,
    FAS No. 102, Statement of Cash Flows Exemption
    of Certain Enterprises and Classification of Cash Flows from
    Certain Securities Acquired for Resale).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.  The
    Master adopted ASC 820, Fair Value Measurements and Disclosures
    (formerly, FAS No. 157, Fair Value
    Measurements)as of January 1, 2008
    which defines fair value 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.
    ASC 820 establishes a framework for measuring fair value and
    expands disclosures regarding fair value measurements in
    accordance with GAAP. The fair value hierarchy gives the highest
    priority to F-39




---



##### 



AAA Master
    Fund LLC
    Notes to Financial Statements
    December 31, 2009
  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. The Master did not apply the
    deferral allowed by ASC 820 for nonfinancial assets and
    nonfinancial liabilities measured at fair value on a
    nonrecurring basis.  In 2009, the Master adopted amendments to ASC 820, Fair Value
    Measurements and Disclosures (formerly,
    FAS No. 157-4,
    Determining Fair Value When the Volume and Level of
    Activity for the Asset or Liability Have Significantly Decreased
    and Identifying Transactions That Are Not Orderly) which
    reaffirms that fair value is 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. These amendments to ASC 820
    also reaffirm 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. These
    amendments to ASC 820 are required for interim and annual
    reporting periods ending after June 15, 2009. Management
    has concluded that based on available information in the
    marketplace, there has not been a decrease in the volume and
    level of activity in the Masters Level 2 assets and
    liabilities. The adoption of the amendments to ASC 820 had no
    effect on the Masters Financial Statements.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, 2009 and
    December 31, 2008, 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).  SignificantQuoted Prices in


Other


SignificantActive Markets for


Observable


UnobservableIdentical Assets


Inputs


Inputs12/31/2009


(Level 1)


(Level 2)


(Level 3)AssetsOptions owned

$
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 written


352,233,900



352,233,900







Total liabilities


403,091,790



403,091,790







Total fair value

$
338,403,933


$
338,403,933


$



$
  F-40




---



##### 



AAA Master
    Fund LLC
    Notes to Financial Statements
    December 31, 2009
  SignificantQuoted Prices in


Other


SignificantActive Markets for


Observable


UnobservableIdentical Assets


Inputs


Inputs12/31/2008


(Level 1)


(Level 2)


(Level 3)AssetsFutures and Exchange Cleared Swaps

$
268,819,884


$
268,819,884


$



$
Options owned


906,666,577



906,666,577







Total assets


1,175,486,461



1,175,486,461







LiabilitiesOptions written

$
624,018,932


$
624,018,932


$



$
Total liabilities


624,018,932



624,018,932







Total fair value

$
551,467,529


$
551,467,529


$



$
   d.
    Futures Contracts.The Master trades futures
    contracts. Exchange cleared swaps included in futures and
    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. Because 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, credit exposure is limited.
    Realized gains (losses) and changes in 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 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 their share of the Masters income and expenses.In 2007, the Master adopted ASC 740, Income Taxes (formerly,
    FAS No. 48, Accounting for Uncertainty in Income
    Taxes). ASC 740 provides guidance for how uncertain tax
    positions should be recognized, measured, presented and
    disclosed in the financial statements. ASC 740 requires the
    evaluation of tax positions taken or expected to be taken in the
    course of preparing the F-41




---



##### 



AAA Master
    Fund LLC
    Notes to Financial Statements
    December 31, 2009
  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 following is the major tax jurisdiction for the Master and
    the earliest tax year subject to examination: United
    States  2006.h.
    Subsequent Events.In 2009, the Master adopted
    ASC 855, Subsequent Events (formerly,
    FAS No. 165, Subsequent Events). The
    objective of ASC 855 is to establish general standards of
    accounting for and disclosure of events that occur after the
    balance sheet date but before financial statements are issued or
    available to be issued. Management has determined that there
    were no subsequent events requiring adjustment or disclosure in
    the financial statements.  i.
    Recent Accounting Pronouncements.In January
    2010, the FASB issued Accounting Standards Update
    No. 2010-06
    (ASU
    2010-06),
    Improving Disclosures about Fair Value Measurements,
    which, among other things, amends ASC 820 to require entities to
    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 which clarifies existing disclosure requirements
    provided by ASC 820 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. ASU
    2010-06 is
    effective for interim and annual periods beginning after
    December 15, 2009, except for the disclosures about
    purchases, sales, issuances, and settlements in the roll forward
    of activity in Level 3 fair value measurements (which are
    effective for fiscal years beginning after December 15,
    2010, and for interim periods within those fiscal years).
    Management is currently assessing the impact that the adoption
    of ASU
    2010-06 will
    have on the Masters financial statements disclosures.  In February 2010, the FASB issued Accounting Standards Update
    No. 2010-09
    (ASU
    2010-09),
    Subsequent Events (Topic 855): Amendments to Certain
    Recognition and Disclosure Requirements, which among other
    things amended ASC 855 to remove the requirement for an SEC
    filer to disclose the date through which subsequent events have
    been evaluated. This change alleviates potential conflicts
    between ASC 855 and the SECs requirements. All of the
    amendments in this update are effective upon issuance of this
    update. Management has included the provisions of these
    amendments in the financial statements.  j.
    Certain prior period amounts have been reclassified to conform
    to current period presentation.  k.
    Net Income (Loss) per Unit.Net income (loss)
    per Unit of Member Interest is calculated in accordance with
    investment company guidance. See footnote 6 for 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 affiliated with the Managing Member and CGM but 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 F-42




---



##### 



AAA Master
    Fund LLC
    Notes to Financial Statements
    December 31, 2009
  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, exchange,
    clearing, user,
    give-up and
    NFA 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,
    2009 and 2008, the amounts of cash held by the Master for margin
    requirements was $112,350,862 and $90,640,874, 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:         F-43




---



##### 



AAA Master
    Fund LLC
    Notes to Financial Statements
    December 31, 2009
    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 OwnedEnergy

$
741,495,723Options owned

$
741,495,723
**LiabilitiesOptions WrittenEnergy

$
352,233,900Options written

$
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 owned, at fair value on
    the Statements of Financial Condition.***
    
    This amount is in Options written, at fair value on
    the Statements of Financial Condition.    December 31,2009Sector

Gain (loss) from tradingEnergy

$
154,505,739Total

$
154,505,739
****   ****
    
    This amount is in Gain (loss) from trading, net on
    the Statements of Income and Expenses.  5.
    Subscriptions,
    Distributions and Redemptions:   F-44




---



##### 



AAA Master
    Fund LLC
    Notes to Financial Statements
    December 31, 2009
   6.
    Financial
    Highlights:    2009


2008


2007Net realized and unrealized gains (losses)*

$
1,064.16


$
3,469.13


$
618.16Interest income


4.82



30.48



140.84Expenses**


(4.62
)


(5.14
)


(2.60
)Increase (decrease) for the year


1,064.36



3,494.47



756.40Distribution of interest income to feeder funds


(4.83
)


(30.09
)


(139.72
)Net Asset Value per Unit of Member Interest, beginning of year


8,876.52



5,412.14



4,795.46Net Asset Value per Unit of Member Interest, end of year

$
9,936.05


$
8,876.52


$
5,412.14    *
    
    Includes brokerage commissions.**
    
    Excludes brokerage commissions.  Ratio to average net assets:Net investment income (loss)***


(0.3
)%


0.1
%


2.4
%Operating expenses


0.3
%


0.4
%


0.4
%Total return


12.0
%


64.6
%


15.8
%    ***
    
    Interest income less total expenses.    7.
    Financial
    Instrument Risks:  over-the-counter
     F-45




---



##### 



AAA Master
    Fund LLC
    Notes to Financial Statements
    December 31, 2009
         F-46




---



##### 



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
    
    $
    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
of Member Interest
    
    $
    61.37
    
    
    $
    289.49
    
    
    $
    79.60
    
    
    $
    633.90For the period from
    
    For the period from
    
    For the period from
    
    For the period fromOctober 1, 2008 to
    
    July 1, 2008 to
    
    April 1, 2008 to
    
    January 1, 2008 toDecember 31, 2008
    
    September 30, 2008
    
    June 30, 2008
    
    March 31, 2008Net realized and unrealized trading gains (losses) net of brokerage commissions and clearing fees including interest income
    
    $
    175,399,992
    
    
    $
    194,086,196
    
    
    $
    163,785,949
    
    
    $
    40,187,178Net income (loss)
    
    $
    175,150,122
    
    
    $
    193,836,326
    
    
    $
    163,573,146
    
    
    $
    40,051,178Increase
(decrease) in Net Asset Value per Unit of Member Interest
    
    $
    1,134.53
    
    
    $
    1,182.02
    
    
    $
    954.68
    
    
    $
    223.24
 F-47




---



##### 



To the Limited
    Partners of
    CMF Willowbridge Argo Master Fund L.P.
    
  By:
    Jennifer Magro      Ceres Managed Futures LLC
    212-559-2011
 F-48




---



##### 



REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
 
    
 F-49




---



##### 



Report of Independent Auditors
 
   
 F-50




---



##### 



Report of Independent Registered Public Accounting Firm
 
     
 F-51




---



##### 



CMF Willowbridge
    Argo Master Fund L.P.
    Statements of Financial Condition
    December 31, 2009 and 2008
  2009


2008Assets:Equity in trading account:Cash (Note 3c)

$
198,540,524


$
275,579,764Cash margin (Note 3c)


27,540,310



17,345,935Net unrealized appreciation on open futures contracts


5,066,965



4,514,064Total assets

$
231,147,799


$
297,439,763Liabilities and Partners Capital:Liabilities:Accrued expenses:Professional fees

$
42,482


$
19,759Total liabilities


42,482



19,759Partners Capital:General Partner, 0.0000 Unit equivalents at December 31,
    2009 and 2008






Limited Partners Capital, 127,352.9656 and 137,871.4938
    Redeemable Units of Limited Partnership Interest outstanding at
    December 31, in 2009 and 2008, respectively


231,105,317



297,420,004Total liabilities and partners capital

$
231,147,799


$
297,439,763   See accompanying notes to financial statements.
 F-52




---



##### 



CMF Willowbridge
    Argo Master Fund L.P.


    Condensed Schedule of Investments
    December 31, 2009
  No of





% of PartnersContracts


Fair Value


CapitalFutures Contracts PurchasedCurrencies


1,058


$
(796,145
)


(0.35
)%Energy


529



339,318



0.14Grains


1,058



710,221



0.31Interest Rates U.S.


529



385,800



0.17Interest Rates
    Non-U.S.


1,190



362,833



0.16Metals


1,058



2,163



0.00
*Softs


794



1,702,259



0.74Total futures contracts purchased






2,706,449



1.17Futures Contracts SoldCurrencies


2,116



946,561



0.41Interest Rates U.S.


1,058



1,250,420



0.54Interest Rates
    Non-U.S.


529



89,416



0.04Softs


529



74,119



0.03Total futures contracts sold






2,360,516



1.02Total fair value





$
5,066,965



2.19
%     *
    
    Due to rounding  See accompanying notes to financial statements.
 F-53




---



##### 



CMF Willowbridge
    Argo Master Fund L.P.


    Condensed Schedule of Investments
    December 31, 2008
  No of





% of PartnersContracts


Fair Value


CapitalFutures Contracts PurchasedCurrencies


512


$
521,823



0.17
%Grains


640



496,363



0.17Interest Rates U.S.


1,280



1,365,961



0.46Interest Rates
    Non-U.S.


1,088



1,847,392



0.62Metals


256



711,975



0.24Softs


384



(99,463
)


(0.03
)Total futures contracts purchased






4,844,051



1.63Futures Contracts SoldEnergy


128



694,880



0.23Grains


384



(294,592
)


(0.10
)Metals


256



(730,275
)


(0.24
)Total futures contracts sold






(329,987
)


(0.11
)Total fair value





$
4,514,064



1.52
%   See accompanying notes to financial statements.
 F-54




---



##### 



CMF Willowbridge
    Argo Master Fund L.P.


    Statements of Income and Expenses
    for the years ended December 31, 2009, 2008 and
    2007
  2009


2008


2007Income:Net gains (losses) on trading of commodity interests:Net realized gains (losses) on closed contracts

$
(42,569,865
)

$
120,270,941


$
45,753,249Change in net unrealized gains (losses) on open contracts


552,901



(5,645,603
)


(875,016
)Gain (loss) from trading, net


(42,016,964
)


114,625,338



44,878,233Interest income


195,777



2,959,647



6,365,854Total income (loss)


(41,821,187
)


117,584,985



51,244,087Expenses:Clearing fees


316,442



340,947



437,674Professional fees


60,562



35,786



29,863Total expenses


377,004



376,733



467,537Net income (loss)

$
(42,198,191
)

$
117,208,252


$
50,776,550Net income (loss) per Redeemable Unit of Limited Partnership
    Interest (Notes 1 and 6)

$
(340.95
)

$
771.84


$
352.58Weighted average units outstanding


126,508.0368



156,458.0988



153,606.6990   See accompanying notes to financial statements.
 F-55




---



##### 



CMF Willowbridge
    Argo Master Fund L.P.


    Statements of Changes in Partners Capital
    for the years ended December 31, 2009, 2008 and
    2007
  PartnersCapitalPartners Capital at December 31, 2006

$
183,568,130Net income (loss)


50,776,550Sale of 27,402.5153 Redeemable Units of Limited Partnership
    Interest


30,563,510Redemption of 43,441.2969 Redeemable Units of Limited
    Partnership Interest


(45,487,314
)Distribution of interest income to feeder funds


(6,365,854
)Partners Capital at December 31, 2007


213,055,022Net income (loss)


117,208,252Sale of 60,036.9500 Redeemable Units of Limited Partnership
    Interest


106,466,700Redemption of 73,835.2095 Redeemable Units of Limited
    Partnership Interest


(136,350,323
)Distribution of interest income to feeder funds


(2,959,647
)Partners Capital at December 31, 2008


297,420,004Net income (loss)


(42,198,191
)Sale of 28,958.2689 Redeemable Units of Limited Partnership
    Interest


55,363,938Redemption of 39,476.7971 Redeemable Units of Limited
    Partnership Interest


(79,284,657
)Distribution of interest income to feeder funds


(195,777
)Partners Capital at December 31, 2009

$
231,105,317     2007:

$
1,404.732008:

$
2,157.232009:

$
1,814.68
   See accompanying notes to financial statements.
 F-56




---



##### 



CMF Willowbridge
    Argo Master Fund L.P.
    Notes to Financial Statements
    December 31, 2009
  1.
    Partnership
    Organization:             F-57




---



##### 



CMF Willowbridge
    Argo Master Fund L.P.
    Notes to Financial Statements
    December 31, 2009
    2.
    Accounting
    Policies:  a.
    Use of Estimates.  The preparation of financial
    statements and accompanying notes in conformity with 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.
    In making these estimates and assumptions, management has
    considered the effects, if any, of events occurring after the
    date of the Masters Statements of Financial Condition
    through the date the financial statements were issued. 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 as permitted by
    ASC 230, Statement of Cash Flows (formerly,
    FAS No. 102, Statement of Cash Flows Exemption
    of Certain Enterprises and Classification of Cash Flows from
    Certain Securities Acquired for Resale).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.
  FAS No. 157-4,
 F-58




---



##### 



CMF Willowbridge
    Argo Master Fund L.P.
    Notes to Financial Statements
    December 31, 2009
      Quoted Prices inActive Markets


Significant Other


Significantfor Identical


Observable Inputs


Unobservable12/31/2009


Assets (Level 1)


(Level 2)


Inputs (Level 3)AssetsFutures

$
5,066,965


$
5,066,965


$



$
Total assets


5,066,965



5,066,965







Total fair value

$
5,066,965


$
5,066,965


$



$
   Quoted Prices inActive Markets


Significant Other


Significantfor Identical


Observable Inputs


Unobservable12/31/2008


Assets (Level 1)


(Level 2)


Inputs (Level 3)AssetsFutures

$
4,514,064


$
4,514,064


$



$
Total assets


4,514,064



4,514,064







Total fair value

$
4,514,064


$
4,514,064


$



$
   d.
    Futures Contracts.  The Master trades futures
    contracts. 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 can not 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.
    Because 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, credit
    exposure is limited. Realized gains (losses) and changes in
    unrealized gains (losses) on futures contracts are included in
    the Statements of Income and Expenses. F-59




---



##### 



CMF Willowbridge
    Argo Master Fund L.P.
    Notes to Financial Statements
    December 31, 2009
   e.
    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.f.
    Income Taxes.  Income taxes have not been
    provided as each partner is individually liable for the taxes,
    if any, on their share of the Masters income and expenses.      g.
    Subsequent Events.  In 2009, the Master adopted
    ASC 855, Subsequent Events (formerly, FAS No. 165,
    Subsequent Events). The objective of ASC 855 is to
    establish general standards of accounting for and disclosure of
    events that occur after the balance sheet date but before
    financial statements are issued or available to be issued.
    Management has determined that there were no subsequent events
    requiring adjustment or disclosure in the financial statements.h.
    Recent Accounting Pronouncements.  In January
    2010, the FASB issued Accounting Standards Update
    No. 2010-06
    (ASU
    2010-06),
    Improving Disclosures about Fair Value Measurements,
    which, among other things, amends ASC 820 to require entities to
    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 which clarifies existing disclosure requirements
    provided by ASC 820 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. ASU
    2010-06 is
    effective for interim and annual periods beginning after
    December 15, 2009, except for the disclosures about
    purchases, sales, issuances, and settlements in the roll forward
    of activity in Level 3 fair value measurements (which are
    effective for fiscal years beginning after December 15,
    2010, and for interim periods within those fiscal years).
    Management is currently assessing the impact that the adoption
    of
    ASU 2010-06
    will have on the Masters financial statements disclosures.  No. 2010-09 2010-09),
  i.
    Certain prior period amounts have been reclassified to conform
    to current period presentation.j.
    Net Income (Loss) per Redeemable Unit.  Net
    income (loss) per Redeemable Unit is calculated in accordance
    with investment company guidance. See footnote 6 for Financial
    Highlights. F-60




---



##### 



CMF Willowbridge
    Argo Master Fund L.P.
    Notes to Financial Statements
    December 31, 2009
   3.
    Agreements:  a.
    Limited Partnership Agreement:    b.
    Management Agreement:    c.
    Customer Agreement:  give-up,
  4.
    Trading
    Activities:         F-61




---



##### 



CMF Willowbridge
    Argo Master Fund L.P.
    Notes to Financial Statements
    December 31, 2009
    Assets

December 31, 2009Futures ContractsCurrencies

$
3,436,175Energy


339,318Grains


768,108Interest Rates U.S.


1,640,270Interest Rates
    Non-U.S.


603,534Softs


1,776,378Metals


2,786,063Total unrealized appreciation on open futures contracts

$
11,349,846LiabilitiesFutures ContractsCurrencies

$
(3,285,759
)Grains


(57,887
)Interest Rates U.S.


(4,050
)Interest Rates
    Non-U.S.


(151,285
)Metals


(2,783,900
)Total unrealized depreciation on open futures contracts

$
(6,282,881
)Net unrealized depreciation on open futures contracts

$
5,066,965
*    *This amount is in Net unrealized appreciation on open
    futures contracts on the Statements of Financial Condition.    December 31, 2009Sector

Gain (Loss) from TradingCurrencies

$
(1,870,971
)Energy


(28,874,531
)Grains


(8,605,911
)INT Rate US


(10,397,322
)INT Rate Non-US


(7,737,846
)Livestock


(1,213,180
)Metals


19,790,113Softs


(3,107,316
)Total

$
(42,016,964
)**    **This amount is in Gain (loss) from trading, net on
    the Statements of Income and Expenses.  5.
    Subscriptions,
    Distributions and Redemptions:   F-62




---



##### 



CMF Willowbridge
    Argo Master Fund L.P.
    Notes to Financial Statements
    December 31, 2009
    6.
    Financial
    Highlights:    2009


2008


2007Net realized and change in unrealized gains (losses)*

$
(342.04
)

$
752.74


$
310.35Interest income


1.60



19.34



42.42Expenses**


(0.51
)


(0.24
)


(0.19
)Increase (decrease) for the year


(340.95
)


771.84



352.58Distribution of interest income to feeder funds


(1.60
)


(19.34
)


(42.42
)Net Asset Value per Redeemable Unit of Limited Partnership
    Interest, beginning of year


2,157.23



1,404.73



1,094.57Net Asset Value per Redeemable Unit of Limited Partnership
    Interest, end of year

$
1,814.68


$
2,157.23


$
1,404.73    *
    
    Includes clearing fees.**
    
    Excludes clearing fees.  2009

2008

2007Ratios to average net assets:Net investment income (loss)***


(0.1
)%


1.0
%


3.5
%Operating expenses


0.2
%


0.1
%


0.3
%Total return


(15.8
)%


54.9
%


32.2
%    ***
    
    Interest income less total expenses.    7.
    Financial
    Instrument Risks:  over-the-counter
 F-63




---



##### 



CMF Willowbridge
    Argo Master Fund L.P.
    Notes to Financial Statements
    December 31, 2009
          F-64




---



##### 



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
    
    $
    (18,281,605
    )
    
    $
    (20,120,888
    )
    
    $
    32,038,173
    
    
    $
    (35,773,309
    )Net income (loss)
    
    $
    (18,302,561
    )
    
    $
    (20,139,642
    )
    
    $
    32,025,897
    
    
    $
    (35,781,885
    )Increase (decrease) in Net
Asset Value per Redeemable
Unit
    
    $
    (150.43
    )
    
    $
    (172.65
    )
    
    $
    266.37
    
    
    $
    (284.24
    )
 For the period from
    
    For the period from
    
    For the period from
    
    For the period fromOctober 1, 2008 to
    
    July 1, 2008 to
    
    April 1, 2008 to
    
    January 1, 2008 toDecember 31, 2008
    
    September 30, 2008
    
    June 30, 2008
    
    March 31, 2008Net realized and unrealized
trading gains (losses) net
of brokerage commissions
and clearing fees including
interest income
    
    $
    27,126,788
    
    
    $
    9,695,635
    
    
    $
    61,112,070
    
    
    $
    19,309,545Net income (loss)
    
    $
    27,118,311
    
    
    $
    9,686,363
    
    
    $
    61,102,423
    
    
    $
    19,301,155Increase (decrease) in Net
Asset Value per Redeemable
Unit
    
    $
    190.01
    
    
    $
    68.64
    
    
    $
    389.12
    
    
    $
    124.07
 F-65




---



##### 



To the Limited
    Partners of
    CMF Winton Master L.P.
    
  By:
    Jennifer Magro
    Chief Financial Officer and Director     Ceres Managed Futures LLC
    212-559-2011
 F-66




---



##### 



REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
 
    
 F-67




---



##### 



Report of Independent Auditors
 
   
 F-68




---



##### 



Report of Independent Registered Public Accounting Firm
 
     
 F-69




---



##### 



CMF Winton Master
    L.P.

 Statements
    of Financial Condition
    December 31, 2009 and 2008
  2009


2008Assets:Equity in trading account:Cash (Note 3c)

$
533,704,028


$
512,248,576Cash margin (Note 3c)


38,915,256



26,405,684Net unrealized appreciation on open futures contracts


144,283



6,936,356Net unrealized appreciation on open forward contracts


1,698,400



2,179,569Options owned, at fair value (cost $34,613 at December 31,
    2009)


17,723



Total assets

$
574,479,690


$
547,770,185Liabilities and Partners Capital:Liabilities:Options written, at fair value (premium $77,101 at December 31,
    2009)

$
40,733


$
Accrued expenses:Professional fees


30,644



18,642Total liabilities


71,377



18,642Partners Capital:General Partner, 0.0000 Unit equivalents at December 31,
    2009 and 2008






Limited Partners Capital, 298,540.2381 and 270,994.4921
    Redeemable Units of Limited Partnership Interest outstanding at
    December 31, 2009 and 2008, respectively


574,408,313



547,751,543Total liabilities and partners capital

$
574,479,690


$
547,770,185   See accompanying notes to financial statements.
 F-70




---



##### 



CMF Winton Master
    L.P.

 Condensed
    Schedule of Investments
    December 31, 2009
   Number of





% of PartnersContracts


Fair Value


CapitalFutures Contracts PurchasedCurrencies


2,173


$
(1,932,735
)


(0.34
)%Energy


81



105,489



0.02Grains


396



285,441



0.05Indices


3,920



2,883,282



0.50Interest Rates U.S.


1,552



(374,223
)


(0.06
)Interest Rates
    Non-U.S.


4,180



(115,797
)


(0.02
)Livestock


76



38,000



0.01Metals


664



(417,248
)


(0.07
)Softs


356



476,861



0.08Total futures contracts purchased






949,070



0.17Futures Contracts SoldCurrencies


227



(127,300
)


(0.02
)Energy


192



(494,271
)


(0.09
)Grains


501



(17,304
)


(0.00
)*Indices


12



(10,333
)


(0.00
)*Interest Rates U.S.


180



44,187



0.01Interest Rates
    Non-U.S.


166



(31,275
)


(0.01
)Livestock


111



(56,000
)


(0.01
)Softs


129



(112,491
)


(0.02
)Total futures contracts sold






(804,787
)


(0.14
)Unrealized Appreciation on Open Forward ContractsMetals


310



2,433,189



0.43Total unrealized appreciation on open forward contracts






2,433,189



0.43Unrealized Depreciation on Open Forward ContractsMetals


163



(734,789
)


(0.13
)Total unrealized depreciation on open forward contracts






(734,789
)


(0.13
)Options OwnedPutsIndices


65



17,723



0.00
*Total options owned






17,723



0.00Options WrittenPutsIndices


65



(40,733
)


(0.01
)Total options written






(40,733
)


(0.01
)Total fair value





$
1,819,673



0.32
%     See accompanying notes to financial statements.
 F-71




---



##### 



CMF Winton Master
    L.P.

 Condensed
    Schedule of Investments
    December 31, 2008
  Number of





% of PartnersContracts


Fair Value


CapitalFutures Contracts PurchasedCurrencies


496


$
928,233



0.17
%Indices


5



1,935



0.00
*Interest Rates U.S.


2,417



4,977,464



0.91Interest Rates
    Non-U.S.


4,453



6,479,517



1.18Livestock


30



30,960



0.01Softs


97



218,297



0.04Total futures contracts purchased






12,636,406



2.31Futures Contracts SoldCurrencies


896



(3,144,184
)


(0.57
)Energy


208



727,901



0.13Grains


891



(2,623,430
)


(0.48
)Indices


252



(239,475
)


(0.05
)Interest Rates U.S.


58



(13,766
)


(0.00
)*Livestock


71



86,500



0.02Lumber


1



3,806



0.00
*Metals


90



(478,272
)


(0.09
)Softs


426



(19,130
)


(0.00
)*Total futures contracts sold






(5,700,050
)


(1.04
)Unrealized Appreciation on Open Forward ContractsMetals


276



2,996,261



0.55Total unrealized appreciation on open forward contracts






2,996,261



0.55Unrealized Depreciation on Open Forward ContractsMetals


138



(816,692
)


(0.15
)Total unrealized depreciation on open forward contracts






(816,692
)


(0.15
)Total fair value





$
9,115,925



1.67
%     See accompanying notes to financial statements.
 F-72




---



##### 



CMF Winton Master
    L.P.

 Statements
    of Income and Expenses
    for the years ended
    December 31, 2009, 2008 and 2007
  2009


2008


2007Income:Net gains (losses) on trading of commodity interests:Net realized gains (losses) on closed contracts

$
(17,779,700
)

$
121,322,866


$
67,378,983Change in net unrealized gains (losses) on open contracts


(7,253,764
)


2,525,164



(3,420,940
)Gain (loss) from trading, net


(25,033,464
)


123,848,030



63,958,043Interest income


409,649



5,909,704



14,456,282Total income (loss)


(24,623,815
)


129,757,734



78,414,325Expenses:Clearing fees


341,844



478,086



861,888Professional fees


55,604



35,866



33,468Total expenses


397,448



513,952



895,356Net income (loss)

$
(25,021,263
)

$
129,243,782


$
77,518,969Net income (loss) per Redeemable Unit of Limited Partnership
    Interest (Notes 1 and 6)

$
(95.69
)

$
453.53


$
276.81Weighted average units outstanding


282,761.8879



291,655.3789



262,984.3411   See accompanying notes to financial statements.
 F-73




---



##### 



CMF Winton Master
    L.P.


    Statements of Changes in Partners Capital
    for the years ended
    December 31, 2009, 2008 and 2007
  PartnersCapitalPartners Capital at December 31, 2006

$
272,883,158Net income (loss)


77,518,969Sale of 123,458.3915 Redeemable Units of Limited Partnership
    Interest


172,636,530Redemption of 35,253.7082 Redeemable Units of Limited
    Partnership Interest


(51,537,242
)Distribution of interest income to feeder funds


(14,456,282
)Partners Capital at December 31, 2007


457,045,133Net income (loss)


129,243,782Sale of 85,029.5477 Redeemable Units of Limited Partnership
    Interest


154,723,207Redemption of 101,798.8498 Redeemable Units of Limited
    Partnership Interest


(187,350,875
)Distribution of interest income to feeder funds


(5,909,704
)Partners Capital at December 31, 2008


547,751,543Net income (loss)


(25,021,263
)Sale of 144,987.2822 Redeemable Units of Limited Partnership
    Interest


282,055,852Redemption of 117,441.5362 Redeemable Units of Limited
    Partnership Interest


(229,968,170
)Distribution of interest income to feeder funds


(409,649
)Partners Capital at December 31, 2009

$
574,408,313Net Asset Value per Redeemable Unit of Limited Partnership
    Interest:   2007:

$
1,588.262008:

$
2,021.262009:

$
1,924.06
   See accompanying notes to financial statements.
 F-74




---



##### 



CMF Winton Master
    L.P.


    Notes to Financial Statements
    December 31, 2009
  1.
    Partnership
    Organization:       F-75




---



##### 



CMF Winton Master
    L.P.
    Notes to Financial Statements
    December 31, 2009
          2.
    Accounting
    Policies:  a.
    Use of Estimates.  The preparation of financial
    statements and accompanying notes in conformity with 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.
    In making these estimates and assumptions, management has
    considered the effects, if any, of events occurring after the
    date of the Masters Statements of Financial Condition
    through the date the financial statements were issued. 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 as permitted by
    ASC 230, Statement of Cash Flows (formerly,
    FAS No. 102, Statement of Cash Flows Exemption
    of Certain Enterprises and Classification of Cash Flows from
    Certain Securities Acquired for Resale).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.
 F-76




---



##### 



CMF Winton Master
    L.P.
    Notes to Financial Statements
    December 31, 2009
    FAS No. 157-4,
    Quoted Prices


Significantin Active


Other


SignificantMarkets for


Observable


UnobservableIdentical Assets


Inputs


Inputs12/31/2009


(Level 1)


(Level 2)


(Level 3)AssetsFutures

$
144,283


$
144,283


$



$
Forwards


1,698,400



1,698,400







Options owned


17,723



17,723







Total Assets


1,860,406



1,860,406







LiabilitiesOptions written


40,733



40,733







Total Liabilities


40,733



40,733







Total fair value

$
1,819,673


$
1,819,673


$



$
   F-77




---



##### 



CMF Winton Master
    L.P.
    Notes to Financial Statements
    December 31, 2009
  Quoted Prices


Significantin Active


Other


SignificantMarkets for


Observable


UnobservableIdentical Assets


Inputs


Inputs12/31/2008


(Level 1)


(Level 2)


(Level 3)AssetsFutures

$
6,936,356


$
6,936,356


$



$
Forwards


2,179,569



2,179,569







Total Assets


9,115,925



9,115,925







Total fair value

$
9,115,925


$
9,115,925


$



$
   d.
    Futures Contracts.  The Master trades futures
    contracts. 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 can not 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.
    Because 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, credit
    exposure is limited. Realized gains (losses) and changes in
    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 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.
    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 Master are cash
    settled based on prompt dates published by the LME. 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. A contract is
    considered offset when all long positions have been matched with
    short positions. When the contract is closed at the prompt date,
    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. Because
    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,
    credit exposure is limited. Realized gains (losses) and changes
    in unrealized gains (losses) on metal contracts are included in
    the Statements of Income and Expenses. F-78




---



##### 



CMF Winton Master
    L.P.
    Notes to Financial Statements
    December 31, 2009
   g.
    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.h.
    Income Taxes.  Income taxes have not been
    provided as each partner is individually liable for the taxes,
    if any, on their share of the Masters income and expenses.      i.
    Subsequent Events.  In 2009, the Master adopted
    ASC 855, Subsequent Events (formerly, FAS No. 165,
    Subsequent Events). The objective of ASC 855 is to
    establish general standards of accounting for and disclosure of
    events that occur after the balance sheet date but before
    financial statements are issued or available to be issued.
    Management has determined that there were no subsequent events
    requiring adjustment or disclosure in the financial statements.j.
    Recent Accounting Pronouncements.  In January
    2010, the FASB issued Accounting Standards Update
    No. 2010-06
    (ASU
    2010-06),
    Improving Disclosures about Fair Value Measurements, which
    , among other things, amends ASC 820 to require entities to
    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 which clarifies existing disclosure requirements
    provided by ASC 820 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. ASU
    2010-06 is
    effective for interim and annual periods beginning after
    December 15, 2009, except for the disclosures about
    purchases, sales, issuances, and settlements in the roll forward
    of activity in Level 3 fair value measurements (which are
    effective for fiscal years beginning after December 15,
    2010, and for interim periods within those fiscal years).
    Management is currently assessing the impact that the adoption
    of ASU
    2010-06 will
    have on the Masters financial statements disclosures.  No. 2010-09 2010-09),
  k.
    Certain prior period amounts have been reclassified to conform
    to current period presentation.  l.
    Net Income (Loss) per Redeemable Unit.  Net
    income (loss) per Redeemable Unit is calculated in accordance
    with investment company guidance. See footnote 6 for Financial
    Highlights. F-79




---



##### 



CMF Winton Master
    L.P.
    Notes to Financial Statements
    December 31, 2009
   3.
    Agreements:  a.
    Limited Partnership Agreement:    b.
    Management Agreement:    c.
    Customer Agreement:  give-up,
  4.
    Trading
    Activities:         F-80




---



##### 



CMF Winton Master
    L.P.
    Notes to Financial Statements
    December 31, 2009
  December 31,




December 31,2009




2009Assets





AssetsFutures Contracts





Forward ContractsCurrencies

$
410,679


Metals

$
2,433,189Energy


128,203


Total unrealized appreciation on openGrains


629,534


forward contracts

$
2,433,189Indices


3,222,389


LiabilitiesInterest Rates U.S.


639,524


Forward ContractsInterest Rates
    Non-U.S.


1,473,596


Metals

$
(734,789
)Livestock


53,810


Total unrealized depreciation on openMetals


771,738


forward contracts

$
(734,789
)Softs


598,000


Net unrealized appreciation on openforward contracts

$
1,698,400
**Total unrealized appreciation on open futures contracts

$
7,927,473Liabilities





AssetsFutures Contracts





Options OwnedCurrencies

$
(2,470,714
)

Indices

$
17,723Energy


(516,987
)

Total options owned

$
17,723
***Grains


(361,398
)Indices


(349,439
)Interest Rates U.S.


(969,559
)

LiabilitiesInterest Rates
    Non-U.S.


(1,620,668
)

Options WrittenLivestock


(71,810
)

Indices

$
(40,733
)Metals


(1,188,985
)

Total options written

$
(40,733
)****Softs


(233,630
)Total unrealized depreciation on open futures contracts

$
(7,783,190
)Net unrealized appreciation on open futures contracts

$
144,283
*   *
    
    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.***
    
    This amount is in Options owned, at fair value on
    the Statements of Financial Condition.****
    
    This amount is in Options written, at fair value on
    the Statements of Financial Condition. F-81




---



##### 



CMF Winton Master
    L.P.
    Notes to Financial Statements
    December 31, 2009
     December 31, 2009Sector

Gain (Loss) from TradingCurrencies

$
(3,376,768
)Energy


(8,697,471
)Grains


1,313,879Indices


(11,148,536
)Interest Rates U.S.


(3,881,924
)Interest Rates
    Non-U.S.


(1,931,326
)Livestock


1,189,446Softs


(1,068,956
)Lumber


(4,378
)Metals


2,572,570Total

$
(25,033,464
)*****   *****
    
    This amount is in Gain (loss) from trading, net on
    the Statements of Income and Expenses.  5.
    Subscriptions,
    Distributions and Redemptions:    6.
    Financial
    Highlights:    2009


2008


2007Net realized and unrealized gains (losses)*

$
(97.03
)

$
433.13


$
220.96Interest income


1.51



20.53



55.98Expenses**


(0.17
)


(0.13
)


(0.13
)Increase (decrease) for the year


(95.69
)


453.53



276.81Distribution of interest income to feeder funds


(1.51
)


(20.53
)


(55.98
)Net Asset Value per Redeemable Unit of Limited Partnership
    Interest, beginning of year


2,021.26



1,588.26



1,367.43Net Asset Value per Redeemable Unit of Limited Partnership
    Interest, end of year

$
1,924.06


$
2,021.26


$
1,588.26   *
    
    Includes clearing fees.**
    
    Excludes clearing fees. F-82




---



##### 



CMF Winton Master
    L.P.
    Notes to Financial Statements
    December 31, 2009
   2009


2008


2007Ratios to average net assets:Net investment income (loss)***


0.0
%****


1.0
%


3.7
%Operating expenses


0.1
%


0.1
%


0.2
%Total return


(4.7
)%


28.6
%


20.2
%   ***
    
    Interest income less total expenses.****
    
    Due to rounding.    7.
    Financial
    Instrument Risks:  over-the-counter
       F-83




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##### 



CMF Winton Master
    L.P.
    Notes to Financial Statements
    December 31, 2009
       F-84




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##### 



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
    
    $
    4,223,995
    
    
    $
    7,348,002
    
    
    $
    (31,808,843
    )
    
    $
    (4,728,813
    )Net income (loss)
    
    $
    4,195,801
    
    
    $
    7,339,274
    
    
    $
    (31,818,295
    )
    
    $
    (4,738,043
    )Increase (decrease) in Net Asset
Value per Redeemable Unit
    
    $
    16.77
    
    
    $
    26.25
    
    
    $
    (120.99
    )
    
    $
    (17.72
    )For the period
    
    For the period
    
    
    
    
    
    For the periodfrom
    
    from
    
    For the period
    
    fromOctober 1, 2008 to
    
    July 1, 2008 to
    
    from April 1, 2008
    
    January 1, 2008 toDecember 31, 2008
    
    September 30, 2008
    
    to June 30, 2008
    
    March 31, 2008Net realized and
unrealized trading
gains (losses) net
of brokerage
commissions and
clearing fees
including interest
income
    
    $
    64,847,978
    
    
    $
    (37,683,528
    )
    
    $
    38,151,732
    
    
    $
    63,963,466Net income (loss)
    
    $
    64,838,710
    
    
    $
    (37,692,795
    )
    
    $
    38,142,296
    
    
    $
    63,955,571Increase (decrease)
in Net Asset Value
per Redeemable Unit
    
    $
    241.14
    
    
    $
    (136.12
    )
    
    $
    129.68
    
    
    $
    218.83
 F-85




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##### 



Item 9. Changes in and Disagreements with Accountants on Accounting and Financial Disclosure.
    Item 9A(T). 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 .
 27




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##### 



PART III
 Item 10. Directors, Executive Officers and Corporate Governance.
       28




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##### 



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.
 Security ownership of management
     Changes in control
 Item 13. Certain Relationships and Related Transactions and Director Independence.
 Business Financial Statements and
Supplementary Data Executive Compensation
 Item 14. Principal Accountant Fees and Services
 Audit Fees
 Deloitte
    
    $
    129,126PwC
    
    $
    185,919KPMG
    
    $
    48,000
 Audit-Related Fees
 Tax Fees
 2009
    
    $
    42,0002008
    
    $
    29,000
 All Other Fees
   29




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##### 



PART IV
 Item 15. Exhibits, Financial Statement Schedules.
 (a
    ) (1)
    
    Financial Statements:Statements of Financial Condition at December 31, 2009 and 2008.Condensed Schedules of Investments at December 31, 2009 and 2008Statements of Income and Expenses for the years ended December 31, 2009, 2008 and 2007.Statements of Changes in Partners Capital for the years ended December 31, 2009, 2008 and
2007.Notes to Financial Statements(2)
    
    Exhibits:
 3.1
    
    Second Amended and Restated Limited Partnership Agreement (filed as Exhibit 3.1 to
current report on Form 8-K filed on December 21, 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).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).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).
 30




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##### 



10.1(c)
    
    Letter extending the Management Agreements between the General Partner and AAA
Capital Management Inc. for 2009 (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 2009 (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 2009 (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).
 The exhibits required to be filed by Item 601 of Regulations S-K are 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).
 31




---



##### 



SIGNATURES
  ORION FUTURES FUND L.P.By:
    Ceres Managed Futures LLC(General Partner)By:
    /s/ Jerry PascucciJerry Pascucci, President & Director  /s/ Jerry Pascucci
    
    /s/ Shelley Deavitt UllmanJerry Pascucci
    
    Shelley Deavitt UllmanPresident and Director
Ceres Managed Futures LLC
    
    Director
Ceres Managed Futures LLC/s/ Jennifer Magro
    
    /s/ Daryl DewbreyJennifer Magro
    
    Daryl DewbreyChief Financial Officer and Director
(Principal Accounting Officer)
Ceres Managed Futures LLC
    
    Director
Ceres Managed Futures LLC/s/ Raymond NolteRaymond NolteDirectorCeres Managed Futures LLC
    32