News Column

BLACKROCK GLOBAL HORIZONS I L.P. - 10-Q - Management's Discussion and Analysis of Financial Condition and Results of Operations

August 13, 2014

Operational Review

Set forth below is a chart which provides the Partnership's current Trading Advisors, the portion of the Partnership's assets that each controlled as of June 1, 2014, the general trading focus of each such Trading Advisor, an indication as to whether each Trading Advisor's program is discretionary or systematic, as well as the commodity pool operator ("CPO") and investment adviser registration status of each Trading Advisor (with the Commodity Futures Trading Commission (the "CFTC") and Securities and Exchange Commission (the "SEC"), respectively). 25

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Table of Contents Investment Adviser Systematic /



CPO Registration Registration Trading Advisors Discretionary General Trading Focus Allocation Status

Status Abraham Trading LP - Diversified Program Long-term ** Systematic trend-following 7.00 % Registered Not Registered Blackwater Capital Management LLC - Diversified Program Medium-term ** Systematic trend-following 6.75 % Registered Not Registered Civic Capital Advisors LLC - Fundamental - Currency Program* Discretionary Dedicated FX 12.00 % Registered Registered Crabel Capital Management LLC - Diversified Futures Short-term Program Systematic trend-following 8.50 % Registered Not Registered Ellington Management Multi Strategy - Group, LLC Systematic Diversified 10.20 % Registered Registered G Capital Fund Management LLC - Liquid Global Macro Fundemental global Portfolio Discretionary macro 12.75 % Registered Registered QMS Capital Diversified financial Management LP* Systematic focus 12.50 % Registered Not Registered Quantitative Investment Management - Global Short-term pattern Program* Systematic recognition 8.30 % Registered Registered Solaise Capital Management, LLP - Medium-term Systematic Program Systematic trend-following 9.65 % Registered Registered Winton Capital Management Ltd. - Medium-term Diversified Program Systematic trend-following 12.35 % Registered Registered



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* Currently reflected on the Partnership's consolidated financial statements as Investments in Non-Consolidated LLCs.

** Terminated on June 30, 2014.

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BRIM may, from time to time, direct certain individual Trading Advisors to manage their respective Partnership accounts as if they were managing more equity than the actual capital allocated to them.

The General Partner has, in its discretion, formed subsidiaries to hold Partnership assets allocated to a particular Trading Advisor. The purpose of these subsidiaries is to segregate the assets of the Partnership allocated to any one Trading Advisor from the other assets of the Partnership in order to seek to limit liability for trading losses by any one Trading Advisor to the assets allocated to such subsidiary. Other funds or accounts managed by BRIM or its affiliates may also allocate capital to these subsidiaries, pari passu with the Partnership, in order to consolidate investments with a Trading Advisor into a single entity. Potential benefits of aggregating investments in subsidiaries include preservation of high water marks, greater liquidity with respect to the account of the subsidiary (e.g., with respect to lock-ups), reduced fees (e.g., redemption fees) and efficiency associated with subscriptions and redemptions. The collective nature of these subsidiaries also has potential costs, risks and conflicts, particularly at times when the Partnership, other funds or accounts managed by BRIM and/or the applicable Trading Advisor(s) are experiencing sustained or high levels of redemption pressure or markets are illiquid. There is no limitation on the amount or number of such funds or accounts or the amount of their respective allocation to any such subsidiary and such allocations may be significant. There will be no segregation of liabilities between the Partnership and any other such funds or accounts that allocate assets to the same subsidiary as the Partnership. When investing in a subsidiary, no management fees or performance-based compensation will be charged to the Partnership by any subsidiary; however, such subsidiary will be charged management fees and performance-based compensation by the Trading Advisors. However, the value of the Partnership's investments in any subsidiary will be included in the calculation and assessment of the Partnership's Sponsor's Fee and the Partnership will pay its pro rata portion of such subsidiary's expenses, including fees and expenses of the applicable Trading Advisor. As a result, the Partnership may be subject to higher operating expenses than if the Partnership allocated capital to Trading Advisors directly. The advisory agreements between the Partnership (or a subsidiary of the Partnership), the General Partner and each Trading Advisor govern the relationships with the Trading Advisors, each of which have been attached as exhibits to certain Partnership's prior or current filings. The principal terms of this form of advisory agreement include the management fees (the "Management Fees"), performance-based allocations (the "Profit Shares"), indemnification provisions and the term of the advisory agreement. Set forth below are general summary descriptions of these terms as well as the minimum account maintenance level for each Trading Advisor. As each advisory agreement is specifically negotiated with each Trading Advisor, there are certain variations within the terms of each of the advisory agreements. As noted above, each of these advisory agreements have been attached as exhibits to certain of the Partnership's prior filings. Management Fees. Generally, Management Fees approximate between 0% and 2.025% (annualized) of the net asset value of the Partnership's account managed by a Trading Advisor. Profit Shares. Profit Shares generally are between 15% and 30% of the net capital appreciation in the Partnership's account managed by a Trading Advisor for the applicable period, generally quarterly or annually, and are calculated on a cumulative high water mark basis, including realized and unrealized gains and losses from futures trading. Each Trading Advisor must earn back any losses previously experienced by the Trading Advisor prior to any new Profit Shares being paid. However, Profit Shares once paid to a Trading Advisor are not subject to being repaid to the Partnership from the Trading Advisor as a result of subsequent realized or unrealized losses. 27 --------------------------------------------------------------------------------



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Indemnification. The advisory agreements generally provide that the Partnership (or a subsidiary of the Partnership) will indemnify the relevant Trading Advisor, its affiliates and their respective directors, officers, shareholders, employees and controlling persons for conduct undertaken as a trading advisor or otherwise relating to any action or omission of such persons (or alleged action or omission) in connection with the advisory agreements; provided that such action or omission (or alleged action or omission) does not constitute negligence (or gross negligence in some cases), misconduct or breach of the advisory agreements and was done in good faith and in a manner reasonably believed to be in, or not opposed to, the best interests of the Partnership. The advisory agreements generally provide that the foregoing indemnified parties shall not be liable to the Partnership for actions or omissions within the scope of the standards set forth in the foregoing indemnities. Term. The advisory agreements will be automatically renewed for successive year periods, on the same terms, unless terminated by either the relevant Trading Advisor or the Partnership (or a subsidiary of the Partnership). In most instances, a Trading Advisor may terminate its advisory agreement if the equity in the Partnership's account drops below a specified minimum amount as of the close of business on any day, among other reasons. The advisory agreements are terminable at the discretion of the General Partner. Minimum Investment Maintenance Levels. The minimum investment maintenance levels with each Trading Advisor are as follows: Civic Capital Advisors LLC: none; Crabel Capital Management LLC: $1,000,000; Ellington Management Group, LLC: $10,000,000; G Capital Fund Management LLC: $25,000,000; QMS Capital Management LP: $20,000,000; Quantitative Investment Management-Global Program: none; Solaise Capital Management LLP: $10,000,000; and Winton Capital Management Limited: $1,000,000. A failure to maintain the minimum investment maintenance level does not result in an automatic termination of the agreement with the Trading Advisor, rather it permits the Trading Advisor to terminate the advisory agreement. The relationship with Capital Fund Management S.A. was terminated on April 24, 2014. The relationships with Abraham Trading LP and Blackwater Capital Management LLC were terminated on June 30, 2014.



Performance Summary and Net Asset Value Per Unit

MONTH-END NET ASSET VALUE PER SERIES F UNIT Jan. Feb. Mar. Apr. May Jun. 2013 $ 230.35$ 227.16$ 227.07$ 228.51$ 219.45$ 213.44 2014 $ 210.36$ 207.85$ 204.57$ 203.47$ 205.26$ 205.69



Set forth below is a list of the trading profit (loss) from each of the different Trading Advisors as measured at June 30, 2014, and 2013, which excludes the Partnership's proportionate share of the operations of its Investments in the Non-Consolidated LLCs, which includes income and expenses.

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Table of Contents 2014 Brokerage Change in Commissions and Total Trading Trading Advisors Realized Unrealized Clearing Costs Profit (Losses) Abraham Trading LP (1) $ 223,739$ 150,177 $ (6,492 ) $ 367,424 Blackwater Capital Management LLC (1) 496,235 (99,553 ) (9,576 ) 387,106 Capital Fund Management S.A. 105,871 (224,087 ) (8,608 ) (126,824 ) Crabel Capital Management LLC 709,080 (28,536 ) (202,436 ) 478,108 Ellington Management Group, LLC 317,018 (26,514 ) (46,672 ) 243,832 G Capital Fund Management LLC 1,027,017 121,000 (145,711 ) 1,002,306 Higgs Capital Management LLP 220 - (738 ) (518 ) Ortus Capital Management Ltd. (76,146 ) 76,767 - 621 Solaise Capital Management LLP 689,961 (388,105 ) (27,356 ) 274,500 Winton Capital Management Limited 781,925 (233,490 ) (6,458 ) 541,977 Total $ 4,274,920$ (652,341 )$ (454,047 )$ 3,168,532



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(1) Effective March 1, 2014, this is a wholly owned subsidiary of the Partnership.

The weighted average Management Fee rate of the Trading Advisors based on allocations as of June 30, 2014 was 1.21% and the weighted average Profit Share was 20%. The range of Management Fees as of June 30, 2014 was 0% to 2.025% (annualized) and the range of Profit Shares was 15% to 30%.

2013 Brokerage Change in Commissions and Total Trading Trading Advisors Realized Unrealized Clearing Costs Profit (Losses) Capital Fund Management S.A. $ (709,836 )$ 492,817 $ (57,675 ) $ (274,694 ) Crabel Capital Management LLC (498,220 ) (364,542 ) (277,571 ) (1,140,333 ) G Capital Fund Management LLC (182,778 ) (921,591 ) (53,491 ) (1,157,860 ) Higgs Capital Management LLP (375,770 ) 749,764 (63,591 ) 310,403 Ortus Capital Management Ltd. (4,724,103 ) 2,066,040 - (2,658,063 ) Solaise Capital Management LLP (493,599 ) (23,634 ) (30,080 ) (547,313 )



Winton Capital Management Limited 1,183,549 (141,458 )

(10,489 ) 1,031,602 Total $ (5,800,757 )$ 1,857,396$ (492,897 )$ (4,436,258 )



The weighted average Management Fee rate of the Trading Advisors based on allocations as of June 30, 2013 was 1.39% and the weighted average Profit Share was 21%. The range of Management Fees as of June 30, 2013 was 0% to 2% (annualized) and the range of Profit Shares was 15% to 30%.

Performance Summary - Results of Trading

January 1, 2014 to June 30, 2014

January 1, 2014 to March 31, 2014

Directional Trading Advisors continued to experience a difficult trading environment in the first quarter, but worked to generate roughly flat performance over the period.

Equity-based trading was the leading detractor by strategy, particularly early in the period. Select equity markets declined in symphony with sharp sell-offs in the emerging markets early in the quarter, leading to losses for Trading Advisors with long-equity biases in developing markets. Most notably, long positions in Japan'sNikkei and TOPIX indices declined as investors moved to take profits from last year's gains on concerns over disappointing manufacturing and export data from China, volatility in the emerging markets, as well as in anticipation of the new consumption tax to be enacted in April. Short 29 --------------------------------------------------------------------------------



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positions in Australian equity exposure also detracted, as local markets rallied on better-than-expected economic data and benefited from the flight-to-quality from emerging markets. Metals was another strategy generally contributing losses. Trading Advisors with longer-term models noting the substantial decline in precious metals during 2013 came into the year short gold and silver, but a sharp reversal in February generated losses for short positions. The sharp increase was attributed in part to reports of resurging demand for gold in China and India. Trading Advisors adjusting their portfolio toward a longer bias in response were hurt again as both gold and silver sold back down to near previous levels over the course of March, primarily on profit-taking after a cool-down of potential hostilities surrounding Crimea, as well as from a further deceleration of the U.S. Federal Reserve (the "Fed")'s tapering program. Energy-based holdings also detracted slightly. Trading Advisors with net short positioning in crude and Brent crude oil early in the quarter were initially hurt by strong demand for fuels driven by record cold temperatures across much of the U.S. These losses were somewhat offset as Trading Advisors switched to a net long positioning in February, and benefited from further appreciation in energy prices, but a normalization in pricing in March as the cold weather broke again generally created losses again in March. Notably, over the quarter, periods of cold weather in the U.S. created a volatile environment for natural gas prices, and long gas positions were aided by several large price spikes during the quarter, helping to reduce overall losses, but Trading Advisors slow to sell during these spikes saw little benefit as prices quickly regressed back to previous pricing levels. On the positive side, fixed income rates trading was one of the most additive strategies during the period, as rate levels oscillated on developing news during the quarter. More generally, net long positioning benefited performance as global sovereign yields continued to be under pressure from demand by yield hungry investors, as well as from defensive investors seeking shelter from recent emerging market volatility. Further trading opportunities were generated by misinterpreted comments by new Fed Chair Janet Yellen, who later clarified to investors that interest rates are expected to remain low for still some time. Low Eurozone growth and the potential for Eurozone deflation continued to also be a driver of uncertainty, fueling calls for more aggressive policy action. Long positioning in Europe and Japan benefited from a flight-to-quality in January, and continued strong demand for yield was supportive for much of the rest of the quarter. Currency and agriculture holdings also contributed modestly during the quarter. In foreign exchange activity, gains in long euro and U.K. pound sterling positions were offset somewhat by losses in short Japanese yen. Long-term momentum models following the yen's systematic devaluation over the course of last year were caught wrong-footed by a reversal generated in part by inflows from regional emerging markets. Trading Advisors have significantly increased long euro positions, while simultaneously increasing short exposure to U.S. dollar, Australian dollar and the U.K. pound sterling. Despite year-to-date appreciation, short Japanese yen exposure continues to be a common position amongst underlying Trading Advisors. In agricultural commodities, long positions have been concentrated in soybeans, cocoa and hogs, while common short exposures include wheat and sugar. Hog prices spiked in February as a swine virus sparked a U.S. nationwide epidemic estimated to have killed a material proportion of the annual hog supply put up for sale. Soybean prices also continued to show strong upward momentum as many of the top soybean-producing countries faced unusually dry weather. 30 --------------------------------------------------------------------------------



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April 1, 2014 to June 30, 2014

Directional trading performance varied by Trading Advisor during the second quarter, but in aggregate earned overall gains for the period.

Fixed income rates trading was again the top contributing strategy for the quarter. Amid news of improving economic activity, and the prospects of the end of quantitative easing in 2014 and future Fed rate hikes beginning in 2015, the U.S. yield curve reacted by flattening across various maturities as front-end rates sold off relative to back-end yields. Similarly, the Bank of England Governor Mark Carney's comments that the Monetary Policy Committee's initial rate hike "could happen sooner than markets currently expect" caused U.K. front-end yields to sell off while longer-duration rates rallied. In contrast, the European Central Bank ("ECB") moved decisively in the other direction, seeking further cuts in the Bank's main policy rates and further extension of fixed rate refinancing operations to boost bank lending. Trading Advisors generally maintained long exposure to bonds across most geographies, particularly in ten-year U.S. Treasury bonds, Japanese government bonds, and U.K. gilts. Consequently, they were relatively well-positioned for a rate environment that continued to build expectations consistent with slow but positive economic growth. Equity-based strategies were also a key contributor for the period, as major equity indices generally rallied for the period. Across most regions, signs of positive economic momentum were rewarded by increasingly optimistic investors, driving robust long-side equity gains. Strong gains in U.S. employment throughout the quarter helped to improve investor moods after revised first quarter Gross Domestic Product ("GDP") data came in weaker than expected. Europe continue to show barely positive growth, but the ECB's aggressive stimulus action helped to discourage deflationary fears and demonstrate the ECB's commitment to economic recovery. In Japan, markets cheered that the negative impact of its new consumption tax was less than expected, particularly helping consumer-driven stocks. Again, Trading Advisors benefited from an accumulated long bias in most geographic regions as markets marched higher. Gains were led by long-biased exposures to developed European indices, select U.S. indices and the Hong Kong-based Hang Seng Index.



Net long exposure to select energy commodities, both crude and refined products, were also a modest net benefit to performance. Fuel prices were generally pressured upwards in May and June in part due to rising escalations in the Middle East, as well as from continuing conflict in the Ukraine and Crimea, which largely serves as a major distribution point for Russian energy exports.

Results from currency-related strategies were relatively mixed, but slightly positive in aggregate. On a net basis, exposure to currency strategies continued to be relatively muted, but position exposures (both long and short) varied widely by Trading Advisor. Common positions during the period included long exposure to the euro, the U.K. pound sterling, and the Australian dollar. The U.K. pound helped to lead contributors, while the euro was among notable detractors. Performance from physical commodities was also mixed for the period, with strong early gains from long positioning in corn and soybeans almost nearly offset by double-digit reversals later in the quarter as growing conditions in the U.S. and Europe turned more favorable in June. Finally, the metals strategy generated slight losses for the quarter. Exposure to metals, both industrial and precious metals, started the quarter relatively flat, but evolved into a net short position in May as recent weakness in China's Purchasing Managers Index pressured metals prices, and attracted the attention of select trend-following models. This short positioning was initially a benefit, but lost ground as precious metals and copper prices rallied later in the quarter. 31

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January 1, 2013 to June 30, 2013

January 1, 2013 to March 31, 2013

The first quarter of 2013 started strong for most markets, as improving U.S. economic data and aggressive economic actions in Japan helped investors shake off the broader political dramas in the U.S. and Europe. In early January, U.S. policymakers appeared to find enough middle ground to prevent a fiscal "hard stop" to the economy, though ideological divides within Congress continue to encourage future policy uncertainty. Meanwhile, Japan's policymakers promoted an aggressive challenge to its long-deflated economy, resulting in material declines in the yen against most major currencies, and broad market rallies. In early April, the Bank of Japan followed through on its earlier rhetoric, announcing a new quantitative easing program that targets a near-doubling of Japan's money supply. European developments were grimmer. Economic data remained weak throughout the Eurozone, with unemployment rising through February and real fourth quarter GDP declining, according to the ECB. Furthermore, when European monetary authorities balked at a full bailout for insolvent Cypriot banks, Cyprus responded by implementing a "bail-in" (effectively a 40% tax on all deposits at Cyprus banks over 100,000), a two-week bank holiday and strict capital controls to prevent bank runs. These controversial measures instilled little investor confidence, and served as a reminder of ongoing regional challenges. Foreign exchange strategies were generally additive to Partnership performance for the quarter. The Japanese yen weakened as Prime Minister Abe aggressively advocated further monetary easing, placing pressure on the Bank of Japan to implement a substantial quantitative easing program. Further, the U.S. dollar continued to strengthen on the back of successful quantitative easing implementation and eased inflation fears stemming from comments from the Fed. The euro struggled late in the quarter against the U.S. dollar and most developed Asian currencies on uncertainty around the banking crisis that unfolded in Cyprus, reigniting familiar concerns about the instability of the European Union. Equity trading was somewhat mixed for most of the quarter, but late-period gains helped the strategy add to overall performance. U.S. equity indices drove significant positive returns in March. U.S. equity markets continued their strong performance in 2013 with optimism returning to markets despite tepid International Monetary Fund estimates for annual U.S. GDP growth. European equities were volatile over the period on increased political concerns, seeing numerous swings that benefited mean reversion models, but frustrated momentum approaches. Short Asian equity positions detracted however, with Japanese equities in particular posting strong performance. Fixed income activity experienced varying results during the period. Early in the quarter, bond price reversals in key markets created a difficult environment for momentum-based models, particularly in U.S. and European rates, with non-U.S. rates being the most significantly detracting sector within the fixed income portfolio. In Europe, yields declined significantly after the ECB announced the backing of bond markets; Spanish bond yields fell materially on the news. Italian bonds rallied early in February, but gave back gains late in the month as national elections spurred concerns of renewed political turmoil. In March, fallout from Cyprus caused spikes in European sovereign interest rates with investors moving to safety assets in the form of U.S. Treasuries. Ten-year U.S. Treasury interest rates spiked in early March to around 2.1%, but after the events in Cyprus rates substantially retreated to below 1.8% at month-end. Metal holdings were mixed for the quarter. Gold prices were initially trendless amid somewhat volatile trading, but fell sharply in February as investors demonstrated a flight from quality amid domestic and global growth. Along much of the same theme, short positions in industrial metals lost ground as prices 32

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generally appreciated mid-quarter, but regained some performance as prices later slumped on rising production and fears of deceleration in China.

Agricultural holdings detracted for the most part, particularly hurting momentum-based Trading Advisors given several reversals in a number of commodities. Broader agricultural prices were generally up on increased estimates of global demand and drought-reduced stockpiles in January, initially hurting core short positions. As Trading Advisors shifted to a longer net exposure later in the quarter, several key commodities saw declines, including corn prices, which fell on increased planting; soybeans, which fell on news of increased stockpiles; and wheat, which declined as Midwest storms eased ongoing fears of drought. Momentum Trading Advisors in these commodities were again frustrated late in the quarter, as prices slowly built-up, only to experience sharp sell-offs in the last days of the quarter. Energy trading was among the largest detractors for the quarter. Trading Advisors were generally positioned short early in the quarter, but much of the energy complex, including crude oil and natural gas, saw price growth on continued global growth and inventory declines. As Trading Advisors shifted their exposures, prices declined - crude oil positions were hit especially hard in February and March amid rising oil supplies and news that U.S. output reached 20-year highs.



April 1, 2013 to June 30, 2013

The second quarter of 2013 featured a challenging market environment for most directional Trading Advisors. Within the U.S., economic improvement has become more apparent, and as a result, investors have become increasingly anxious over the potential for the Fed to reverse course in its $85 billion/month asset-purchasing program. Late in the quarter, Fed Chairman Ben Bernanke alluded to intentions to begin tapering the central bank's purchases at some point over the next several quarters if the economy continues to improve as expected. As a result of the announcement, stocks sold-off (offsetting much of early-quarter gains) and market interest rates saw notable climbs. Japanese markets continued to closely follow the progress of the Bank of Japan's aggressive policy initiatives, with a rapidly weakening yen and a strengthening stock market fueled by a commitment to expand its monetary base, open up trade and overhaul uncompetitive industries, as well institute structural reforms. Details on the last of these initiatives, structural reforms, were received poorly by the markets in early June, driving unwinds that drove sharp corrections in equities and the yen. Events in Europe were relatively quiet in comparison. A lack of emergent financial crises provided European authorities with some breathing room to further develop policy, but economic, political and structural challenges remain significant for promoting substantially greater stability in the region. Foreign exchange holdings were a significant detractor from the Partnership's performance during the quarter. Early in the period, exposure to the U.S. dollar declined against several major currencies, as the Fed failed to indicate any near-term end to its quantitative easing ("QE") program. The continuation of the Japanese government's strong pro-growth "Abenomics" policies also drove the yen to recent lows. However, later in the quarter, accumulated momentum-based long holdings in the Indian rupee, British pound and the euro added to losses as the U.S. dollar reversed and substantially strengthened on news of the potential tapering of the Fed's open-ended QE program, and short yen holdings lost ground as new structural reform policy initiatives were poorly received by investors. Results driven by fixed income activity was volatile, but ultimately detracted over the course of the quarter. The strategy was one of the largest winners early in the quarter. Gains from long U.S. based fixed income exposures were driven by expectations of a potentially extended QE regime, as the 10-year Treasury moved to near lows for the year. However, those gains were generally offset later in the period, 33

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hampered by initial remarks from the Fed regarding a potential "tapering" of its $85 billion in monthly bond purchases, which caused 10-year Treasury yields to jump from 1.65% at the beginning of May to above 2.5% by the end of June. Reversals in select Japanese and European fixed income markets also proved to be challenging for momentum-based Trading Advisors during the quarter. Performance in the agricultural sector also varied substantially over the second quarter. Short exposure to select grain commodities drove the majority of early period losses, as grain prices rallied on cold, dry weather in the mid-western U.S. that damaged a substantial amount of U.S. grain crops, and as corn prices rose on a rapidly depleting 2012 inventory. Gains in May helped to mitigate some of these early losses, helped in part by soybeans that had their largest price rally since March driven by increased demand from China, as well as falling lumber prices, which had its largest decline in 17 months as U.S. lumber mills increased output while at the same time stockpiles of lumber rose. Late-quarter returns were largely mixed, with reversing prices in soybeans offsetting advances from coffee and wheat. Equity-based holdings generated mixed results. April gains were helped by momentum in European and Asian indices, while developing and U.S. markets detracted slightly. The S&P 500 Index reached an all-time high as U.S. economic data continue to produce promising economic numbers, and European markets rose nearly 6% on expectations of accommodative policy from the ECB and waning uncertainty related to Cyprus. The Nikkei 225 continued the strong year-to-date run, finishing the month up over 10%. Mid-quarter, however, sharp reversals in Japanese stock indices were a driver of losses in the second half of May. Similarly, early S&P 500 Index gains in May erased by a sell-off near the end of the month, drove losses for momentum-based Trading Advisors. Losses continued at the end of the quarter, most prominently affected by holdings in the German DAX, the S&P 500, and the Hang Seng indices. Returns from the Partnership's energy holdings were modestly positive for the period. The energy strategy produced gains for certain Trading Advisors in April as fuel prices continued to be negatively affected by increasing inventories driven by the U.S. oil and shale gas revolution, as well as a major U.S. refinery that temporarily closed, leading to an additional crude stockpile buildup. These gains were mitigated somewhat later in the quarter, particularly in long positions in refined oil and West Texas Intermediate in response to China's manufacturing numbers unexpectedly contracting for the first time in seven months, as well as from a growing divergence between West Texas Intermediate crude oil and Brent crude oil. Physical metals were generally the largest positive contributor for the Partnership, with short positions in precious and base metal sub-sectors both generally providing gains. Zinc, copper, and aluminum initially led industrial metal losers as expectations of GDP growth in China softened. Gold prices decreased throughout the quarter, with prices seeing sharp drops in April and June. Copper prices also saw substantial declines throughout the quarter due to decreased demand from Chinese manufacturers, a trend that has been in place since early 2013.



Performance Summary - Factors Affecting Interest Income and Expenses

Cash held in accounts at the Clearing Brokers and The Bank of New York Mellon earns interest on all such assets which are not used for trading. For the periods presented subsequent to May 1, 2011, all dollar amounts for interest income and expenses exclude those indirectly related to the Partnership's investments in Non-Consolidated LLCs. However, each Non-Consolidated LLC has similar interest income and expense arrangements as the Partnership overall. The continued level of interest rates in 2014 in the U.S. negatively impacted interest income revenues. The Partnership estimates that approximately 84% of its assets are earning interest. For the six and three months ended June 30, 2014, the Partnership earned $3,753 and $351, respectively, in interest income, or approximately 0.00% and 34

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0.00%, respectively, of the Partnership's average month-end net assets. For the six and three months ended June 30, 2013, the Partnership earned $52,510 and $19,959, respectively, in interest income, or approximately 0.02% and 0.01% of the Partnership's average month-end assets. The average interest rates for the six and three months ended June 30, 2014 were 0.00% and 0.00%, respectively. The average interest rates for the six and three months ended June 30, 2013 were 0.05% and 0.04%, respectively. The overall expenses of the Partnership (excluding Profit Shares) generally vary with changes in net assets. As such, expenses that vary with net assets are lower as of June 30, 2014 when compared to the six months ended June 30, 2013. For the six months ended June 30, 2014, distribution fees, Trading Advisors' management fees and Sponsor fees decreased approximately 54%, when compared to the six months ended June 30, 2013. Profit Shares increased for the six months ended June 30, 2014, when compared to the six months ended June 30, 2013 primarily due to the Partnership's higher profitability and also more profitable Trading Advisors. The distribution fee is paid to the General Partner, who will then pay the distribution fee to the third-party selling agents, if any. Such selling agents in turn may use cash funds to compensate financial advisors and/or to cover the costs of supporting client accounts within the third party organization. If there are no payments to third-party selling agents with respect to a particular investor, the distribution fee will be returned by the General Partner or paid to an affiliate. Management fees are paid to the Trading Advisors. Sponsor fees are paid to the General Partner. Liquidity; Capital Resources



The Partnership may borrow only to a limited extent and only on a strictly short-term basis in order to finance losses on non-U.S. dollar denominated trading positions pending the conversion of the Partnership's U.S. dollar deposits. Any borrowings would be at a prevailing short-term rate in the relevant currency. There have been no borrowings to date.

A significant portion of the Partnership's assets are currently held in cash. The Net Asset Value of the Partnership's cash is not affected by inflation. However, changes in interest rates could cause periods of strong up or down price trends. Inflation in commodity prices could also generate price movements.

With respect to assets allocated primarily to managed accounts rather than Portfolio Funds, except in unusual circumstances, the Partnership should be able to close out of its open trading positions and liquidate its securities holdings quickly and at market prices. This should permit a Trading Advisor to seek to limit losses as well as reduce market exposure on short notice should its strategies indicate doing so. In addition, because there generally is a readily available market value for the Partnership's positions and assets not allocated to Portfolio Funds, payment of redemption proceeds from the Partnership will generally be made approximately ten days following the Redemption Date, although there can be no assurance as to the timing of such payments. Although the Partnership has not done so to date, the Partnership may allocate assets to Portfolio Funds which typically are subject to redemption restrictions which may include advance written notice for redemptions, monthly or quarterly redemptions and such Portfolio Fund's ability to limit or suspend redemptions. Certain Trading Advisors accounts may also require advance notice to liquidate positions. In those instances in which such notice is required by a Trading Advisor, the notice period does not exceed 90 days. 35 --------------------------------------------------------------------------------



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Most U.S. exchanges (but generally not foreign exchanges, or banks, or broker-dealer firms in the case of foreign currency forward contracts) limit, by regulation, the amount of fluctuation limits. The daily limits establish the maximum amount the price of a futures contract may vary either up or down from the previous day's settlement price at the end of the trading session. Once the "daily limit" has been reached in a particular commodity, no trades may be made at a price beyond the limit. Positions in the commodity can then be taken or liquidated only if traders are willing to effect trades at or within the limit during the period for trading on such day. Because the "daily limit" rule only governs price movement for a particular trading day, it does not limit losses. The rule may, in fact, substantially increase losses because it may prevent the liquidation of unfavorable positions. Futures prices have occasionally moved the daily limit for several consecutive trading days, and thereby prevented prompt liquidation of futures positions on one side of the market, subjecting those futures traders involved to substantial losses. Liquidity will be of concern to the Partnership primarily in that the futures markets in which the Trading Advisors take positions may have periods in which illiquidity makes it impossible or economically undesirable to execute trades which its respective trading strategy would otherwise suggest. Other than in respect of the functioning of the markets in which it trades, liquidity will be of little relevance. The Partnership has not made any investments in Portfolio Funds to date so it has not had to raise funds from Portfolio Funds. Instead, the Partnership pays its redemptions with the cash held in its various operating accounts. Due to the nature of its futures trading, the Partnership has significant amounts of cash available to it. When it needs to fund redemptions, the General Partner anticipates that it will adjust the net assets allocated to the Partnership's various Trading Advisors as appropriate based upon its asset allocation process. The individual Trading Advisors decide which trading positions to liquidate in the accounts they manage, when necessary. To date the Partnership has been able to satisfy all of its redemption requests in a timely manner, although no assurances can be given that it will be able to do so in the future.



There were no material commitments for capital expenditures as of June 30, 2014, the end of the most recent reporting period.

Off-Balance Sheet Arrangements

The Partnership does not engage in off-balance sheet arrangements with other entities and has not utilized, nor does it expect to utilize in the future, special purpose entities to facilitate off-balance sheet financing arrangements and has no loan guarantee arrangements. Contractual Obligations The Partnership does not enter into contractual obligations or commercial commitments to make future payments of a type that would be typical for an operating company or that would affect its liquidity or capital resources. The Partnership's sole business is trading futures, forward and option contracts, both long and short. The Partnership may also engage in trading derivatives. The Partnership's financial statements present the Condensed Consolidated Schedules of Investments setting forth net unrealized profit (loss) of the Partnership's open futures, forward and options contracts at June 30, 2014. 36 --------------------------------------------------------------------------------



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