UNITED STATES
    SECURITIES AND EXCHANGE COMMISSION
    WASHINGTON, D.C. 20549
 FORM 10-Q
 (X) QUARTERLY REPORT PURSUANT TO SECTION 13 or
    15(d)
 OF THE SECURITIES EXCHANGE ACT OF 1934
 For the quarterly period ended March 31, 2011
 OR ( ) TRANSITION REPORT PURSUANT TO SECTION 13 or
    15(d)
    OF THE SECURITIES EXCHANGE ACT OF 1934
 
 000-26132
 DIVERSIFIED MULTI-ADVISOR FUTURES FUND L.P.
    New York

13-3729162(State or other jurisdiction of

(I.R.S. Employerincorporation or organization)

Identification No.)  c/o Ceres Managed Futures LLC
 522 5th Ave - 14th Floor
 New York, New York 10036
   (212) 296-1999
       Yes X     No
    Yes      No
   Rule 12b-2
  Large accelerated filer

Accelerated filer

Non-accelerated filerX

Smaller reporting company    rule 12b-2
  Yes      No X




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##### 



DIVERSIFIED MULTI-ADVISOR FUTURES FUND L.P.
FORM 10-Q
INDEX
 PageNumberPART I  Financial Information:Item 1.
    
    Financial Statements:Statements of
Financial Condition at March 31, 2011 (unaudited) and December 31, 2010
    
    3Schedules of
Investments at March 31, 2011 (unaudited) and December 31, 2010
    
    4  5Statements of Income
and Expenses and Changes in Partners Capital for the three  months ended March 31, 2011 and 2010 (unaudited)
    
    6Notes to Financial Statements (unaudited)
    
    7  17Item 2.
    
    Managements Discussion and Analysis of Financial Condition and Results of Operations
    
    18  20Item 3.
    
    Quantitative and Qualitative Disclosures about Market Risk
    
    21  25Item 4.
    
    Controls and Procedures
    
    26PART II  Other Information
    
    27  31Exhibits31.1 Certification31.2 Certification32.1 Certification32.2 Certification
  2




---



##### 



PART I
 
 Item 1. Financial Statements
 Diversified Multi-Advisor Futures Fund L.P.
 
 Statements of Financial Condition
  (Unaudited)March 31,
    
    
    December 31,2011
    
    
    2010Assets:Investment in Funds, at fair value
    
    $
    28,942,575
    
    
    $
    29,832,054Cash
    
    
    143,090
    
    
    
    136,060Total assets
    
    $
    29,085,665
    
    
    $
    29,968,114Liabilities and Partners Capital:Liabilities:Accrued expenses:Brokerage fees
    
    $
    133,309
    
    
    $
    137,353Management fees
    
    
    45,237
    
    
    
    46,551Incentive fees
    
    
    
    
    
    
    14,797Other
    
    
    82,489
    
    
    
    62,442Redemptions payable
    
    
    142,431
    
    
    
    232,689Total liabilities
    
    
    403,466
    
    
    
    493,832Partners Capital:General Partner, 177.7568 unit equilavents
outstanding at March 31, 2011 and December 31, 2010
    
    
    325,574
    
    
    
    328,847Limited
Partners, 15,482.0988 and 15,754.4975 Redeemable Units outstanding at
March 31, 2011 and December 31, 2010, respectively
    
    
    28,356,625
    
    
    
    29,145,435Total partners capital
    
    
    28,682,199
    
    
    
    29,474,282Total liabilities and partners capital
    
    $
    29,085,665
    
    
    $
    29,968,114Net asset value per unit
    
    $
    1,831.57
    
    
    $
    1,849.98
  3




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##### 



Diversified Multi-Advisor Futures Fund L.P.
 
 Schedule of Investments
 March  31, 2011
 (Unaudited)
  % of PartnersFair Value
    
    
    CapitalInvestment in FundsCMF Winton Master L.P.
    
    $
    6,934,217
    
    
    
    24.18
    %CMF Willowbridge Argo Master Fund L.P.
    
    
    4,798,658
    
    
    
    16.73CMF Graham Capital Master Fund L.P.
    
    
    6,843,873
    
    
    
    23.86CMF Eckhardt Master L.P.
    
    
    8,384,373
    
    
    
    29.23CMF SandRidge Master Fund L.P.
    
    
    1,981,454
    
    
    
    6.91Total investment in Funds, at fair value
    
    $
    28,942,575
    
    
    
    100.91
    %
  4




---



##### 



Diversified Multi-Advisor Futures Fund L.P.
Schedule of Investments
December 31, 2010
  % of PartnersFair Value


CapitalInvestment In FundsCMF Winton Master L.P.

$
7,374,266



25.02
%CMF Willowbridge Argo Master Fund L.P.


4,848,305



16.45CMF Graham Capital Master Fund L.P.


7,284,623



24.71CMF Eckhardt Master L.P.


8,178,642



27.75CMF SandRidge Master Fund L.P.


2,146,218



7.28Total investment in Funds, at fair value

$
29,832,054



101.21
%   5




---



##### 



Diversified Multi-Advisor Futures Fund L.P.
 
 Statements of Income and Expenses and Changes in Partners Capital
 (Unaudited)
 Three Months EndedMarch 31,2011
    
    

2010Investment Income:Interest income from investment in Funds
    
    $
    5,627
    
    
    $
    3,684Expenses:Brokerage fees including clearing fees
    
    
    427,097
    
    
    
    445,303Management fees
    
    
    137,010
    
    
    
    142,592Other
    
    
    39,713
    
    
    
    43,736Total expenses
    
    
    603,820
    
    
    
    631,631Net investment income (loss)
    
    
    (598,193
    )
    
    
    (627,947
    )Trading Results:Net gains (losses) on trading of commodity interests
and investment in Funds:Net realized gains (losses) on investments in
Funds
    
    
    1,059,591
    
    
    
    (1,146,897
    )Change in net unrealized gains (losses) gains on
investment in Funds
    
    
    (752,633
    )
    
    
    333,205Total
trading results from investment in Funds
    
    
    306,958
    
    
    
    (813,692
    )Net income (loss)
    
    
    (291,235
    )
    
    
    (1,441,639
    )Redemptions-General Partner
    
    
    
    
    
    
    (175,000
    )Redemptions-Limited Partners
    
    
    (500,848
    )
    
    
    (1,708,963
    )Net increase (decrease) in Partners Capital
    
    
    (792,083
    )
    
    
    (3,325,602
    )Partners Capital, beginning of period
    
    
    29,474,282
    
    
    
    33,239,132Partners Capital, end of period
    
    $
    28,682,199
    
    
    $
    29,913,530Net asset value per unit (15,659.8556 and 17,231.5995
units outstanding at March 31, 2011 and 2010,
respectively)
    
    $
    1,831.57
    
    
    $
    1,735.97Net income (loss) per unit *
    
    $
    (18.41
    )
    
    $
    (77.20
    )Weighted average units outstanding
    
    
    15,839.6443
    
    
    
    17,988.9945
 
 *
    
    Based on change in net asset value per unit.  6




---



##### 



Diversified Multi-Advisor Futures Fund L.P.
 
 Notes to Financial Statements
 March 31, 2011
 (Unaudited)
 1.
    
    General:
       7




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##### 



Diversified Multi-Advisor Futures Fund L.P.
 Notes to Financial Statements
 March 31, 2011
 (Unaudited)
  2. Financial Highlights:
  Three Months EndedMarch 31,2011
    
    
    2010Net realized and unrealized gains (losses)*
    
    $
    (7.59
    )
    
    $
    (67.05
    )Interest income
    
    
    0.35
    
    
    
    0.21Expenses**
    
    
    (11.17
    )
    
    
    (10.36
    )Increase (decrease) for the period
    
    
    (18.41
    )
    
    
    (77.20
    )Net asset value per unit, beginning of
period
    
    
    1,849.98
    
    
    
    1,813.17Net asset value per unit, end of period
    
    $
    1,831.57
    
    
    $
    1,735.97
 
 *
    
    Includes brokerage fees.**
    
    Excludes brokerage fees.  Three Months EndedMarch 31,2011
    
    
    2010Ratios to average net assets:***Net investment income (loss) before incentive fees****
    
    
    (8.3
    )%
    
    
    (8.2
    )%Operating expenses
    
    
    8.4
    %
    
    
    8.3
    %Incentive fees
    
    
    
    %
    
    
    
    %Total expenses
    
    
    8.4
    %
    
    
    8.3
    %Total return:Total return before incentive fees
    
    
    (1.0
    )%
    
    
    (4.3
    )%Incentive fees
    
    
    
    %
    
    
    
    %Total return after incentive fees
    
    
    (1.0
    )%
    
    
    (4.3
    )%
 
 ***
    
    Annualized (other than incentive fees).****
    
    Interest income less total expenses.  8




---



##### 



Diversified Multi-Advisor Futures Fund L.P.
 Notes to Financial Statements
 March 31, 2011
 (Unaudited)
 3.
    
    Trading Activities:
    4.
    
    Fair Value Measurements:
 Partnerships
and the Funds Investments.
 Partnerships and the Funds Fair Value
Measurements
   9




---



##### 



Diversified Multi-Advisor Futures Fund L.P.
 Notes to Financial Statements
 March 31, 2011
 (Unaudited)
  Quoted Prices inActive Markets
    
    
    Significant Other
    
    
    Significantfor Identical
    
    
    Observable Inputs
    
    
    UnobservableMarch 31, 2011
    
    
    Assets (Level 1)
    
    
    (Level 2)
    
    
    Inputs (Level 3)AssetsInvestment in Funds
    
    $
    28,942,575
    
    
    $
    
    
    
    $
    28,942,575
    
    
    $
    Net fair value
    
    $
    28,942,575
    
    
    $
    
    
    
    $
    28,942,575
    
    
    $
    
 Quoted Prices inActive Markets
    
    
    Significant Other
    
    
    Significantfor Identical
    
    
    Observable Inputs
    
    
    UnobservableDecember 31, 2010
    
    
    Assets (Level 1)
    
    
    (Level 2)
    
    
    Inputs (Level 3)AssetsInvestment in Funds
    
    $
    29,832,054
    
    
    $
    
    
    
    $
    29,832,054
    
    
    $
    Net fair value
    
    $
    29,832,054
    
    
    $
    
    
    
    $
    29,832,054
    
    
    $
    
 5.
    
    Investment in Funds:
   10




---



##### 



Diversified Multi-Advisor Futures Fund L.P.
 Notes to Financial Statements
 March 31, 2011
 (Unaudited)
         11




---



##### 



Diversified Multi-Advisor Futures Fund L.P.
 Notes to Financial Statements
 March 31, 2011
 (Unaudited)
  March 31, 2011Total Assets
    
    
    Total Liabilities
    
    
    Total CapitalWinton Master
    
    $
    938,976,048
    
    
    $
    889,625
    
    
    $
    938,086,423Willowbridge Master
    
    
    168,695,333
    
    
    
    80,498
    
    
    
    168,614,835Graham Master
    
    
    158,542,504
    
    
    
    335,674
    
    
    
    158,206,830Eckhardt Master
    
    
    25,991,860
    
    
    
    239,967
    
    
    
    25,751,893SandRidge Master
    
    
    417,397,881
    
    
    
    39,202,100
    
    
    
    378,195,781Total
    
    $
    1,709,603,626
    
    
    $
    40,747,864
    
    
    $
    1,668,855,762December 31, 2010Total Assets
    
    
    Total Liabilities
    
    
    Total CapitalWinton Master

$
883,842,483


    $
122,612


    $
883,719,871Willowbridge Master


216,360,362



61,729



216,298,633Graham Master


168,973,503



48,832



168,924,671Eckhardt Master


23,748,773



62,448



23,686,325SandRidge Master


581,631,311



52,896,054



528,735,257Total

    $
1,874,556,432


    $
53,191,675


    $
1,821,364,757Summarized information reflecting the net
investment income (loss), total trading results
 and net income (loss) for the Funds is shown in the following tables.For the three months ended March 31, 2011Net Investment
    
    Total Trading
    
    Net IncomeIncome (Loss)
    
    Results
    
    (Loss)Winton Master
    
    $
    46,285
    
    
    $
    22,234,532
    
    
    $
    22,280,817Willowbridge Master
    
    
    (25,559
    )
    
    
    6,874,935
    
    
    
    6,849,376Graham Master
    
    
    (146,256
    )
    
    
    (1,070,720
    )
    
    
    (1,216,976
    )Eckhardt Master
    
    
    (54,656
    )
    
    
    (273,717
    )
    
    
    (328,373
    )SandRidge Master
    
    
    (250,105
    )
    
    
    15,043,073
    
    
    
    14,792,968Total
    
    $
    (430,291
    )
    
    $
    42,808,103
    
    
    $
    42,377,812For the three months ended March 31, 2010Net Investment
    
    Total Trading
    
    Net IncomeIncome (Loss)
    
    
    Results
    
    
    (Loss)Winton Master
    
    $
    (96,434
    )
    
    $
    32,303,622
    
    
    $
    32,207,188Willowbridge Master
    
    
    (67,599
    )
    
    
    (20,526,632
    )
    
    
    (20,594,231
    )Graham Master
    
    
    (99,316
    )
    
    
    (3,943,186
    )
    
    
    (4,042,502
    )Eckhardt Master
    
    
    (36,785
    )
    
    
    (1,419,363
    )
    
    
    (1,456,148
    )SandRidge Master
    
    
    (261,244
    )
    
    
    (15,233,208
    )
    
    
    (15,494,452
    )Total
    
    $
    (561,378
    )
    
    $
    (8,818,767
    )
    
    $
    (9,380,145
    )
 12




---



##### 



March 31, 2011
    
    
    For the three months ended March 31, 2011% of
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    NetPartnerships
    
    
    Fair
    
    
    Income
    
    
    Expenses
    
    
    Income
    
    
    Investment
    
    
    RedemptionsFunds
    
    Net Assets
    
    
    Value
    
    
    (Loss)
    
    

Brokerage Fees
    
    
    Other
    
    
    (Loss)
    
    
    Objective
    
    
    PermittedWinton Master
    
    
    24.18
    %
    
    $
    6,934,217
    
    
    $
    171,402
    
    
    $
    961
    
    
    $
    231
    
    
    $
    170,210
    
    
    Commodity Portfolio
    
    MonthlyWillowbridge Master
    
    
    16.73
    %
    
    
    4,798,658
    
    
    
    195,511
    
    
    
    1,011
    
    
    
    743
    
    
    
    193,757
    
    
    Commodity Portfolio
    
    MonthlyGraham Master
    
    
    23.86
    %
    
    
    6,843,873
    
    
    
    (41,844
    )
    
    
    6,680
    
    
    
    971
    
    
    
    (49,495
    )
    
    Commodity Portfolio
    
    MonthlyEckhardt Master
    
    
    29.23
    %
    
    
    8,384,373
    
    
    
    (98,597
    )
    
    
    13,867
    
    
    
    5,747
    
    
    
    (118,211
    )
    
    Commodity Portfolio
    
    MonthlySandRidge Master
    
    
    6.91
    %
    
    
    1,981,454
    
    
    
    86,113
    
    
    
    1,238
    
    
    
    417
    
    
    
    84,458
    
    
    Energy Portfolio
    
    MonthlyTotal
    
    
    
    
    
    $
    28,942,575
    
    
    $
    312,585
    
    
    $
    23,757
    
    
    $
    8,109
    
    
    $
    280,719
 December 31, 2010
    
    
    For the three months ended March 31, 2010% of
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    NetPartnerships
    
    
    Fair
    
    
    Income
    
    
    Expenses
    
    
    Income
    
    
    Investment
    
    
    RedemptionsFunds
    
    Net Assets
    
    
    Value
    
    
    (Loss)
    
    
    Brokerage Fees
    
    
    Other
    
    
    (Loss)
    
    
    Objective
    
    
    PermittedWinton Master
    
    
    25.02
    %
    
    $
    7,374,266
    
    
    $
    451,679
    
    
    $
    2,542
    
    
    $
    263
    
    
    $
    448,874
    
    
    Commodity Portfolio
    
    MonthlyWillowbridge Master
    
    
    16.45
    %
    
    
    4,848,305
    
    
    
    (502,679
    )
    
    
    1,915
    
    
    
    454
    
    
    
    (505,048
    )
    
    Commodity Portfolio
    
    MonthlyGraham Master
    
    
    24.71
    %
    
    
    7,284,623
    
    
    
    (259,182
    )
    
    
    5,075
    
    
    
    821
    
    
    
    (265,078
    )
    
    Commodity Portfolio
    
    MonthlyEckhardt Master
    
    
    27.75
    %
    
    
    8,178,642
    
    
    
    (442,879
    )
    
    
    6,469
    
    
    
    5,412
    
    
    
    (454,760
    )
    
    Commodity Portfolio
    
    MonthlySandRidge Master
    
    
    7.28
    %
    
    
    2,146,218
    
    
    
    (56,947
    )
    
    
    1,072
    
    
    
    289
    
    
    
    (58,308
    )
    
    Energy Portfolio
    
    MonthlyTotal
    
    
    
    
    
    $
    29,832,054
    
    
    $
    (810,008
    )
    
    $
    17,073
    
    
    $
    7,239
    
    
    $
    (834,320
    )
 13




---



##### 



Diversified Multi-Advisor Futures Fund L.P.
 Notes to Financial Statements
 March 31
 (Unaudited)
 6.
    
    Financial Instrument Risks:
        14




---



##### 



Diversified Multi-Advisor Futures Fund L.P.
 Notes to Financial Statements
 March 31, 2011
 (Unaudited)
 7. Critical
Accounting Policies
 Use of Estimates.
 Partnerships and the Funds Investments.
 Partnerships and the Funds Fair Value Measurements.
    Futures
Contracts.
 15




---



##### 



Diversified Multi-Advisor Futures Fund L.P.
 Notes to Financial Statements
 March 31, 2011
 (Unaudited)
  Forward Foreign Currency Contracts.
  London Metals Exchange Forward Contracts.
 Options.
 16




---



##### 



Diversified Multi-Advisor Futures Fund L.P.
 Notes to Financial Statements
 March 31, 2011
 (Unaudited)
 Income Taxes.
   Subsequent Events
 Net Income (Loss) per Unit
 17




---



##### 



Item 2.  Managements Discussion and Analysis of Financial Condition and Results of Operations.
 Liquidity and Capital Resources
    Critical
Accounting Policies
   18




---



##### 



Results of Operations
      19




---



##### 



20




---



##### 



Item 3.  Quantitative and Qualitative Disclosures about Market Risk
       21




---



##### 



% of TotalMarket Sector
    
    Value at Risk
    
    
    CapitalizationCurrencies
    
    $
    1,008,139
    
    
    
    3.51
    %Energy
    
    
    575,129
    
    
    
    2.01
    %Grains
    
    
    117,474
    
    
    
    0.41
    %Indices
    
    
    595,343
    
    
    
    2.08
    %Interest Rates U.S.
    
    
    155,547
    
    
    
    0.54
    %Interest Rates Non-U.S.
    
    
    365,260
    
    
    
    1.27
    %Livestock
    
    
    3,045
    
    
    
    0.01
    %Metals
    
    
    343,934
    
    
    
    1.20
    %Softs
    
    
    111,504
    
    
    
    0.39
    %Total
    
    $
    3,275,375
    
    
    
    11.42
    %
  December 31, 2010
 % of TotalMarket Sector
    
    Value at Risk
    
    
    CapitalizationCurrencies
    
    $
    741,096
    
    
    
    2.52
    %Energy
    
    
    462,864
    
    
    
    1.57
    %Grains
    
    
    216,756
    
    
    
    0.74
    %Indices
    
    
    566,667
    
    
    
    1.92
    %Interest Rates U.S.
    
    
    36,424
    
    
    
    0.12
    %Interest Rates Non-U.S.
    
    
    236,566
    
    
    
    0.80
    %Livestock
    
    
    6,330
    
    
    
    0.02
    %Metals
    
    
    270,783
    
    
    
    0.92
    %Softs
    
    
    82,778
    
    
    
    0.28
    %Total
    
    $
    2,620,264
    
    
    
    8.89
    %
   March 31, 2011
 Three months ended March
31, 2011% of Total
    
    
    High
    
    
    Low
    
    
    AverageMarket Sector
    
    Value at Risk
    
    
    Capitalization
    
    
    Value at Risk
    
    
    Value at Risk
    
    
    Value at Risk*Currencies
    
    $
    9,794,825
    
    
    
    1.04
    %
    
    $
    15,140,134
    
    
    $
    8,078,809
    
    
    $
    10,435,543Energy
    
    
    4,245,784
    
    
    
    0.45
    %
    
    
    4,245,784
    
    
    
    2,892,420
    
    
    
    3,605,810Grains
    
    
    2,874,571
    
    
    
    0.31
    %
    
    
    4,371,245
    
    
    
    2,837,661
    
    
    
    3,353,776Indices
    
    
    13,132,023
    
    
    
    1.40
    %
    
    
    71,629,694
    
    
    
    12,196,809
    
    
    
    15,223,697Interest Rates U.S.
    
    
    635,935
    
    
    
    0.07
    %
    
    
    1,592,375
    
    
    
    635,935
    
    
    
    1,052,308Interest Rates Non-U.S.
    
    
    4,987,691
    
    
    
    0.53
    %
    
    
    6,560,642
    
    
    
    3,725,576
    
    
    
    6,008,676Livestock
    
    
    44,375
    
    
    
    0.00
    %**
    
    
    274,700
    
    
    
    44,375
    
    
    
    162,775Metals
    
    
    6,804,273
    
    
    
    0.73
    %
    
    
    7,869,347
    
    
    
    6,413,729
    
    
    
    7,090,013Softs
    
    
    1,220,236
    
    
    
    0.13
    %
    
    
    1,476,652
    
    
    
    463,289
    
    
    
    916,355Total
    
    $
    43,739,713
    
    
    
    4.66
    %
 
 *
    
    Average of month-end Values at Risk.**
    
    Due to rounding 22




---



##### 



December 31, 2010
 Twelve months ended
December 31, 2010% of Total
    
    
    High
    
    
    Low
    
    
    AverageMarket Sector
    
    Value at Risk
    
    
    Capitalization
    
    
    Value at Risk
    
    
    Value at Risk
    
    
    Value at Risk*Currencies
    
    $
    8,969,665
    
    
    
    1.01
    %
    
    $
    13,529,797
    
    
    $
    3,127,432
    
    
    $
    9,858,603Energy
    
    
    3,277,769
    
    
    
    0.37
    %
    
    
    4,944,082
    
    
    
    236,988
    
    
    
    2,213,508Grains
    
    
    3,992,796
    
    
    
    0.45
    %
    
    
    4,064,389
    
    
    
    556,164
    
    
    
    2,285,359Indices
    
    
    15,987,691
    
    
    
    1.81
    %
    
    
    22,020,780
    
    
    
    2,382,812
    
    
    
    12,021,182Interest Rates U.S.
    
    
    1,387,025
    
    
    
    0.16
    %
    
    
    10,348,050
    
    
    
    275,672
    
    
    
    5,195,958Interest Rates Non-U.S.
    
    
    3,521,207
    
    
    
    0.40
    %
    
    
    13,490,861
    
    
    
    1,949,046
    
    
    
    7,347,287Livestock
    
    
    268,200
    
    
    
    0.03
    %
    
    
    437,350
    
    
    
    158,080
    
    
    
    263,226Metals
    
    
    6,416,979
    
    
    
    0.73
    %
    
    
    8,963,451
    
    
    
    3,939,668
    
    
    
    5,989,765Softs
    
    
    1,393,632
    
    
    
    0.16
    %
    
    
    2,071,953
    
    
    
    538,916
    
    
    
    1,029,710Total
    
    $
    45,214,964
    
    
    
    5.12
    %
 
 *
    
    Annual average of month-end Values at Risk.  March 31, 2011
 Three months ended March 31, 2011% of Total
    
    
    High
    
    
    Low
    
    
    AverageMarket Sector
    
    Value at Risk
    
    
    Capitalization
    
    
    Value at Risk
    
    
    Value at Risk
    
    
    Value at Risk*Currencies
    
    $
    3,114,825
    
    
    
    1.85
    %
    
    $
    3,114,825
    
    
    $
    657,720
    
    
    $
    1,874,919Energy
    
    
    3,518,500
    
    
    
    2.09
    %
    
    
    3,518,500
    
    
    
    1,464,750
    
    
    
    2,468,833Grains
    
    
    681,000
    
    
    
    0.40
    %
    
    
    2,109,250
    
    
    
    226,500
    
    
    
    1,002,500Interest Rates U.S.
    
    
    415,250
    
    
    
    0.25
    %
    
    
    1,011,711
    
    
    
    302,400
    
    
    
    361,238Interest Rates Non-U.S.
    
    
    1,685,948
    
    
    
    1.00
    %
    
    
    2,134,289
    
    
    
    1,229,606
    
    
    
    1,489,274Metals
    
    
    3,110,127
    
    
    
    1.84
    %
    
    
    3,587,000
    
    
    
    1,760,207
    
    
    
    2,736,952Softs
    
    
    2,629,700
    
    
    
    1.56
    %
    
    
    2,629,700
    
    
    
    850,500
    
    
    
    2,240,400Total
    
    $
    15,155,350
    
    
    
    8.99
    %
 
 *
    
    Average of month-end Values at Risk.  December 31, 2010
 Twelve
months ended December 31, 2010% of Total
    
    High
    
    Low
    
    AverageMarket Sector
    
    
    Value at Risk
    
    Capitalization
    
    
    Value at Risk
    
    
    Value at Risk
    
    
    Value at Risk*Currencies
    
    $
    2,232,591
    
    
    
    1.03
    %
    
    $
    7,096,121
    
    
    $
    940,854
    
    
    
    3,547,819Energy
    
    
    2,742,900
    
    
    
    1.27
    %
    
    
    6,539,400
    
    
    
    460,750
    
    
    
    2,570,821Grains
    
    
    2,062,750
    
    
    
    0.95
    %
    
    
    3,762,750
    
    
    
    207,200
    
    
    
    1,238,276Interest Rates U.S.
    
    
    774,255
    
    
    
    0.36
    %
    
    
    3,269,700
    
    
    
    243,600
    
    
    
    1,143,161Interest Rates Non-U.S.
    
    
    1,908,692
    
    
    
    0.88
    %
    
    
    5,489,653
    
    
    
    289,858
    
    
    
    2,700,503Livestock
    
    
    112,000
    
    
    
    0.05
    %
    
    
    171,200
    
    
    
    44,800
    
    
    
    92,018Metals
    
    
    3,791,000
    
    
    
    1.75
    %
    
    
    5,643,396
    
    
    
    710,500
    
    
    
    2,729,785Softs
    
    
    2,024,400
    
    
    
    0.94
    %
    
    
    3,388,150
    
    
    
    198,000
    
    
    
    1,542,246Total
    
    $
    15,648,588
    
    
    
    7.23
    %
 
 *
    
    Annual average of month-end Values at Risk. 23




---



##### 



March 31, 2011
 Three Months Ended March 31, 2011% of Total
    
    
    High
    
    
    Low
    
    
    AverageMarket Sector
    
    Value at Risk
    
    
    Capitalization
    
    
    Value at Risk
    
    
    Value at Risk
    
    
    Value at Risk*Currencies
    
    $
    10,526,667
    
    
    
    6.65
    %
    
    $
    14,645,028
    
    
    $
    5,042,022
    
    
    $
    9,712,741Energy
    
    
    1,121,320
    
    
    
    0.71
    %
    
    
    1,221,130
    
    
    
    430,473
    
    
    
    715,112Grains
    
    
    478,650
    
    
    
    0.30
    %
    
    
    624,700
    
    
    
    436,750
    
    
    
    497,655Indices
    
    
    4,094,626
    
    
    
    2.59
    %
    
    
    11,180,261
    
    
    
    3,276,704
    
    
    
    6,785,775Interest Rates U.S.
    
    
    829,155
    
    
    
    0.52
    %
    
    
    1,205,145
    
    
    
    545,675
    
    
    
    851,529Interest Rates Non-U.S.
    
    
    2,782,686
    
    
    
    1.76
    %
    
    
    3,022,899
    
    
    
    1,439,332
    
    
    
    2,717,692Livestock
    
    
    63,600
    
    
    
    0.04
    %
    
    
    63,600
    
    
    
    38,000
    
    
    
    42,867Metals
    
    
    1,048,048
    
    
    
    0.66
    %
    
    
    1,637,443
    
    
    
    616,825
    
    
    
    1,030,163Softs
    
    
    375,073
    
    
    
    0.24
    %
    
    
    491,327
    
    
    
    241,774
    
    
    
    354,051Total
    
    $
    21,319,825
    
    
    
    13.47
    %
 
 *
    
    Average of month-end Values at Risk.  December 31, 2010
 Twelve months ended December 31, 2010% of Total
    
    
    High
    
    
    Low
    
    
    AverageMarket Sector
    
    Value at Risk
    
    
    Capitalization
    
    
    Value at Risk
    
    
    Value at Risk
    
    
    Value at Risk*Currencies
    
    $
    6,192,975
    
    
    
    3.67
    %
    
    $
    11,364,239
    
    
    $
    996,231
    
    
    $
    5,226,199Energy
    
    
    1,048,521
    
    
    
    0.62
    %
    
    
    1,989,347
    
    
    
    236,269
    
    
    
    1,000,222Grains
    
    
    448,450
    
    
    
    0.26
    %
    
    
    964,687
    
    
    
    124,875
    
    
    
    411,118Indices
    
    
    5,301,813
    
    
    
    3.14
    %
    
    
    13,726,706
    
    
    
    1,137,775
    
    
    
    5,507,221Interest Rates U.S.
    
    
    161,600
    
    
    
    0.10
    %
    
    
    2,021,410
    
    
    
    68,806
    
    
    
    1,014,515Interest Rates Non-U.S.
    
    
    1,209,918
    
    
    
    0.72
    %
    
    
    4,305,447
    
    
    
    749,055
    
    
    
    2,006,426Livestock
    
    
    40,000
    
    
    
    0.02
    %
    
    
    106,400
    
    
    
    800
    
    
    
    50,304Metals
    
    
    1,012,127
    
    
    
    0.60
    %
    
    
    1,771,142
    
    
    
    494,357
    
    
    
    993,963Softs
    
    
    258,565
    
    
    
    0.15
    %
    
    
    1,144,148
    
    
    
    85,988
    
    
    
    385,351Total
    
    $
    15,673,969
    
    
    
    9.28
    %
 
 *
    
    Annual average of month-end Values at Risk. 24




---



##### 



March 31, 2011
 Three months ended March 31, 2011% of Total
    
    
    High
    
    
    Low
    
    
    AverageMarket Sector
    
    Value at Risk
    
    
    Capitalization
    
    
    Value at Risk
    
    
    Value at Risk
    
    
    Value at Risk*Currencies
    
    $
    1,226,115
    
    
    
    4.76
    %
    
    $
    1,671,011
    
    
    $
    400,509
    
    
    $
    1,112,646Energy
    
    
    686,180
    
    
    
    2.66
    %
    
    
    736,750
    
    
    
    191,724
    
    
    
    657,310Grains
    
    
    177,000
    
    
    
    0.69
    %
    
    
    528,082
    
    
    
    5,000
    
    
    
    253,023Interest Rates U.S.
    
    
    318,450
    
    
    
    1.24
    %
    
    
    390,050
    
    
    
    172,050
    
    
    
    375,467Interest Rates Non -U.S.
    
    
    501,485
    
    
    
    1.95
    %
    
    
    501,485
    
    
    
    101,934
    
    
    
    296,287Metals
    
    
    503,540
    
    
    
    1.95
    %
    
    
    618,550
    
    
    
    155,269
    
    
    
    480,364Softs
    
    
    40,500
    
    
    
    0.16
    %
    
    
    124,357
    
    
    
    29,700
    
    
    
    89,178Indices
    
    
    1,004,141
    
    
    
    3.90
    %
    
    
    889,841
    
    
    
    114,649
    
    
    
    887,330Total
    
    $
    4,457,411
    
    
    
    17.31
    %
 
 *
    
    Average of month-end Values at Risk.  December 31, 2010
 Twelve months ended December 31, 2010% of Total
    
    
    High
    
    
    Low
    
    
    AverageMarket Sector
    
    Value at Risk
    
    
    Capitalization
    
    
    Value at Risk
    
    
    Value at Risk
    
    
    Value at Risk*Currencies
    
    $
    1,025,866
    
    
    
    4.33
    %
    
    $
    1,147,164
    
    
    $
    9,175
    
    
    $
    427,400Energy
    
    
    248,250
    
    
    
    1.05
    %
    
    
    580,400
    
    
    
    10,875
    
    
    
    238,534Grains
    
    
    348,259
    
    
    
    1.47
    %
    
    
    370,823
    
    
    
    41,862
    
    
    
    169,215Indices
    
    
    610,979
    
    
    
    2.58
    %
    
    
    3,147,442
    
    
    
    19,055
    
    
    
    430,625Interest Rates U.S.
    
    
    3,900
    
    
    
    0.02
    %
    
    
    887,750
    
    
    
    3,900
    
    
    
    351,889Interest Rates Non -U.S.
    
    
    331,533
    
    
    
    1.40
    %
    
    
    852,062
    
    
    
    63,225
    
    
    
    352,114Metals
    
    
    268,184
    
    
    
    1.13
    %
    
    
    365,762
    
    
    
    26,255
    
    
    
    198,271Softs
    
    
    46,300
    
    
    
    0.19
    %
    
    
    146,472
    
    
    
    10,950
    
    
    
    70,345Total
    
    $
    2,883,271
    
    
    
    12.17
    %
 
 *
    
    Annual average of month-end Values at Risk.  March 31, 2011
 Three months ended March 31, 2011% of Total
    
    
    High
    
    
    Low
    
    
    AverageMarket Sector
    
    Value at Risk
    
    
    Capitalization
    
    
    Value at Risk
    
    
    Value at Risk
    
    
    Value at Risk*Energy
    
    $
    34,995,837
    
    
    
    9.25
    %
    
    $
    61,733,650
    
    
    $
    31,352,944
    
    
    $
    41,648,911Total
    
    $
    34,995,837
    
    
    
    9.25
    %
 
 *
    
    Average of month-end Values at Risk.  December 31, 2010
 Twelve months ended December 31, 2010% of Total
    
    
    High
    
    
    Low
    
    
    AverageMarket Sector
    
    Value at Risk
    
    
    Capitalization
    
    
    Value at Risk
    
    
    Value at Risk
    
    
    Value at Risk*Energy
    
    $
    61,391,255
    
    
    
    11.61
    %
    
    $
    85,692,107
    
    
    $
    18,754,664
    
    
    $
    56,852,448Total
    
    $
    61,391,255
    
    
    
    11.61
    %
 
 *
    
    Annual average of  month-end Values at Risk. 25




---



##### 



Item 4.  Controls and Procedures
    internal control over financial reporting
 
    
    pertain to the maintenance of records that in reasonable detail accurately and fairly reflect
the transactions and dispositions of the assets of the Partnership;
 
    
    provide reasonable assurance that (i) transactions are recorded as necessary to permit
preparation of financial statements in accordance with GAAP, and (ii) the Partnerships
receipts are handled and expenditures are made only pursuant to authorizations of the General
Partner; and
 
    
    provide reasonable assurance regarding prevention or timely detection of unauthorized
acquisition, use or disposition of the Partnerships assets that could have a material effect
on the financial statements.
  26




---



##### 



PART II. OTHER INFORMATION
 Item 1.  Legal Proceedings
    Mutual Funds
    FINRA Settlement
  27




---



##### 



Auction Rate Securities
   Subprime Mortgage-Related Actions
    Credit Crisis Related Matters
    28




---



##### 



Item 1A.  Risk Factors.
  Item 2.  Unregistered Sales of Equity Securities and Use of Proceeds.
   (d) Maximum Number(or Approximate(c) Total Number of
    
    
    
    Dollar Value) ofUnits
    
    
    
    Units(a) Total
    
    
    
    (b) Average Price
    
    
    
    Purchased as Part
    
    
    
    that May Yet BeNumber of
    
    
    
    Paid per
    
    
    
    of Publicly Announced
    
    
    
    Purchased Under thePeriod
    
    
    Units Purchased*
    
    
    
    Unit**
    
    
    
    Plans or Programs
    
    
    
    Plans or ProgramsJanuary 1,
2011  January 31, 2011
    
    
    
    83.1959
    
    
    
    $
    1,815.81
    
    
    
    
    N/A
    
    
    
    
    N/AFebruary 1,
2011 February 28, 2011
    
    
    
    111.4383
    
    
    
    $
    1,860.66
    
    
    
    
    N/A
    
    
    
    
    N/AMarch 1,
2011  March 31, 2011
    
    
    
    77.7645
    
    
    
    $
    1,831.57
    
    
    
    
    N/A
    
    
    
    
    N/A272.3987
    
    
    
    $
    1,838.66
 
 *
    
    Generally, limited partners are permitted to redeem their Redeemable
Units as of the end of each month on three business days notice to the General
Partner. Under certain circumstances, the General Partner can compel
redemption although, to date, the General Partner has not exercised this
right. Purchases of Redeemable Units by the Partnership reflected in
the chart above were made in the ordinary course of the Partnerships
business in connection with effecting redemptions for limited
partners.**
    
    Redemptions of Redeemable Units are effected as of the last day of
each month at the net asset value per Redeemable Unit as of that day. Item 3.  Defaults Upon Senior Securities  None
 Item 4. [Removed and Reserved]
 Item 5.  Other Information  None
 29




---



##### 



Item 6.  Exhibits
 3.1
    
    
    Limited Partnership Agreement (filed as Exhibit 3.1 to the
Registration Statement on Form S-1 filed on February 9, 1994 and
incorporated herein by reference).3.2
    (a)
    
    Certificate of Limited Partnership of the Partnership as filed in
the office of the Secretary of State of the State of New York on
October 13, 1993 (filed as Exhibit 3.2 to the Registration
Statement on Form S-1 filed on February 9, 1994 and incorporated
herein by reference).(b)
    
    Certificate of Amendment of the Certificate of Limited
Partnership of the Partnership as filed in the office of the
Secretary of State of the State of New York, dated October 1,
1999 (filed as Exhibit 3.2(b) to the Form 10-Q filed on November
16, 2009 and incorporated herein by reference).(c)
    
    Certificate of Amendment of the Certificate of Limited
Partnership of the 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(c) to the Form 10-Q filed on November 16,
2009 and incorporated herein by reference).(d)
    
    Certificate of Amendment of the Certificate of Limited
Partnership of the 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(d) to the Form 10-Q filed on November
16, 2009 and incorporated herein by reference).(e)
    
    Certificate of Amendment of the Certificate of Limited
Partnership of the 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 and incorporated herein by reference).(f)
    
    Certificate of Amendment of the Certificate of Limited
Partnership of the Partnership as filed in the office of the
Secretary of State of the State of New York, dated September 28,
2009 (filed as Exhibit 3.2(f) to the Form 8-K/A filed on April
14, 2010 and incorporated herein by reference).(g)
    
    Certificate of Amendment of the Certificate of Limited
Partnership of the Partnership as filed in the office of the
Secretary of State of the State of New York, dated April 12, 2010
(filed as Exhibit 3.2(g) to the Form 8-K/A filed on April 14,
2010 and incorporated herein by reference).(h)
    
    Certificate of Amendment of the Certificate of Limited Partnership
of the Partnership as filed in the office of the Secretary of State of the State of New York, dated July 2, 2010
(filed as exhibit 3.1 to the Form 8-K filed on July 2, 2010 and incorporated herein by reference).10.1
    
    
    Customer Agreement between the Partnership and Smith Barney
Shearson Inc. (filed as Exhibit 10.1 to the Registration
Statement on Form S-1 filed on February 9, 1994 and incorporated
herein by reference).10.2
    
    
    Escrow Instructions relating to escrow of subscription funds
(filed as Exhibit 10.3 to the Registration Statement on Form S-1
filed on February 9, 1994 and incorporated herein by reference).10.3
    (a)
    
    Management Agreement among the Partnership, the General Partner
and Willowbridge (filed as an exhibit to the Form 10-K filed on
March 29, 2000 and incorporated herein by reference).(b)
    
    Letter extending Management Agreement with Willowbridge from June 30, 2010 to June 30, 2011
(filed as Exhibit 10.3(b) to the Form 10-K filed on March 31, 2011 and incorporated herein by reference).10.4
    (a)
    
    Management Agreement among the Partnership, the General Partner
and Winton (filed as an exhibit to the Form 10-K filed on March
27, 2002 and incorporated herein by reference).(b)
    
    Letter extending Management Agreement with Winton from June 30, 2010 to June 30, 2011 (filed
as Exhibit 10.4(b) to the Form 10-K filed on March 31, 2011 and
incorporated herein by reference).10.5
    (a)
    
    Management Agreement among the Partnership, the General Partner
and Graham (filed as an exhibit to the Form 10-K filed on March
27, 2002 and incorporated herein by reference).(b)
    
    Letter extending Management Agreement with Graham from June 30, 2010 to June 30, 2011 (filed
as Exhibit 10.5(b) to the Form 10-K filed on March 31, 2011 and
incorporated herein by reference).10.6
    (a)
    
    Management Agreement among the Partnership, the General Partner
and Eckhardt (filed as an exhibit to the Form 10-Q filed on
August 14, 2008 and incorporated herein by reference).(b)
    
    Letter extending Management Agreement with Eckhardt from June 30, 2010 to June 30, 2011
(filed as Exhibit 10.6(b) to the Form 10-K filed on March 31,
2011 and incorporated herein by reference).10.7
    (a)
    
    Management Agreement among the Partnership, the General Partner
and SandRidge (filed as Exhibit 10.1 to the Form 8-K filed on
June 2, 2009 and incorporated herein by reference).(b)
    
    Letter extending Management Agreement with SandRidge from June 30, 2010 to June 30, 2011
(filed as Exhibit 10.7(b) to the Form 10-K filed on March 31, 2011 and incorporated herein by reference).
 30




---



##### 



10.8
    
    
    Joinder Agreement among the Partnership, the General Partner, CGM
and Morgan Stanley Smith Barney LLC (filed as Exhibit 10 to the
Form 10-Q filed on August 14, 2009 and incorporated herein by
reference).31.1
    
    
    Rule 13a-14(a)/15d-14(a) Certification (Certification of President and Director). (filed herein)31.2
    
    
    Rule 13a-14(a)/15d-14(a) Certification (Certification of Chief Financial Officer and Director). (filed herein)32.1
    
    
    Section 1350 Certification (Certification of President and Director). (filed herein)32.2
    
    
    Section 1350 Certification
(Certification of Chief Financial Officer and Director). (filed herein)
 31




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SIGNATURES
  DIVERSIFIED MULTI-ADVISOR FUTURES FUND L.P.
 By:
    
    Ceres Managed Futures LLC(General Partner)By:
    
    /s/ Walter DavisWalter DavisPresident and Director
  By:
    
    /s/ Jennifer MagroJennifer MagroChief Financial Officer and Director(Principal Accounting Officer)
  32