Attached files
| file | filename |
|---|---|
| EX-32.02 - FUTURES PORTFOLIO FUND L.P. | v201607_ex32-02.htm |
| EX-31.02 - FUTURES PORTFOLIO FUND L.P. | v201607_ex31-02.htm |
| EX-32.01 - FUTURES PORTFOLIO FUND L.P. | v201607_ex32-01.htm |
| EX-31.01 - FUTURES PORTFOLIO FUND L.P. | v201607_ex31-01.htm |
UNITED
STATES
SECURITIES
AND EXCHANGE COMMISSION
Washington,
D.C. 20549
FORM
10-Q
QUARTERLY
REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE
SECURITIES
EXCHANGE ACT OF 1934
For the
quarterly period ended September 30, 2010
Commission
file number: 000-50728
FUTURES
PORTFOLIO FUND, LIMITED PARTNERSHIP
|
Organized
in Maryland
|
IRS
Employer Identification
No.: 52-1627106
|
c/o
Steben & Company, Inc.
2099
Gaither Road, Suite 200, Rockville, Maryland 20850
(240)
631-9808
Indicate
by check mark whether the Registrant (1) has filed all reports required to be
filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the
preceding 12 months (or for such shorter period that the Registrant was required
to file such reports), and (2) has been subject to such filing requirements for
the past 90 days.
Yes [ X
] No [ ]
Indicate
by check mark whether the registrant has submitted electronically and posted on
its corporate Web site, if any, every Interactive Data File required to be
submitted and posted pursuant to Rule 405 of Regulation S-T during the preceding
12 months (or for such shorter period that the registrant was required to submit
and post such files).
Yes
[ ] No
[ ]
Indicate
by check mark whether the registrant is a large accelerated filer, an
accelerated filer, a non-accelerated filer, or a small reporting
company. See definition of “large accelerated filer”, “accelerated
filer” and “smaller reporting company” in Rule 12b-2 of the Exchange Act. (Check
one):
|
[ ] Large
accelerated filer
|
[ ] Accelerated
filer
|
|
|
[ X
] Non-accelerated filer
|
[ ] Smaller
Reporting Company
|
Indicate
by check mark whether the registrant is a shell company (as defined in Rule
12b-2 of the Exchange Act).
Yes
[ ] No [ X ]
Item
1. Financial Statements
Futures
Portfolio Fund, Limited Partnership
Statements
of Financial Condition
September
30, 2010 (Unaudited) and December 31, 2009 (Audited)
|
September
30,
2010
|
December
31,
2009
|
|||||||
|
Assets
|
||||||||
|
Equity
in broker trading accounts
|
||||||||
|
Cash
|
$ | 317,459,850 | $ | 318,300,203 | ||||
|
Net unrealized gain on open
futures contracts
|
59,214,462 | 14,004,035 | ||||||
|
Net unrealized gain (loss) on open forward currency
contracts
|
5,631,303 | (2,429,014 | ) | |||||
|
Interest
receivable
|
39,545 | 13,642 | ||||||
|
Total equity in broker trading
accounts
|
382,345,160 | 329,888,866 | ||||||
|
Cash and cash
equivalents
|
269,186,085 | 671,220,632 | ||||||
|
Commercial paper, at fair
value
|
424,800,297 | -- | ||||||
|
Government sponsored enterprise notes, at fair
value
|
75,034,516 | 107,514,649 | ||||||
|
U.S. Treasury
securities, at fair
value
|
159,934,667 | -- | ||||||
|
General Partner 1% allocation receivable
|
-- | 639,856 | ||||||
|
Total
assets
|
$ | 1,311,300,725 | $ | 1,109,264,003 | ||||
|
Liabilities
and Partners’ Capital (Net Asset Value)
|
||||||||
|
Liabilities
|
||||||||
|
Trading
Advisor management fees payable
|
$ | 2,054,819 | $ | 2,363,509 | ||||
|
Trading
Advisor incentive fees payable
|
-- | 1,444,958 | ||||||
|
Commissions
and other trading fees payable on open contracts
|
361,089 | 117,427 | ||||||
|
General
Partner management fee payable
|
2,089,019 | 1,732,238 | ||||||
|
General
Partner 1% allocation payable
|
210,972 | -- | ||||||
|
Selling
Agent fees payable – General Partner
|
1,408,974 | 1,219,130 | ||||||
|
Administrative
expenses payable – General Partner
|
696,637 | 1,736,156 | ||||||
|
Redemptions
payable
|
11,235,640 | 5,857,719 | ||||||
|
Subscriptions
received in advance
|
22,783,029 | 37,057,961 | ||||||
|
Total
liabilities
|
40,840,179 | 51,529,098 | ||||||
|
Partners’
Capital (Net Asset Value)
|
||||||||
|
Class
A Interests – 167,075.3782 units and 147,452.0886 units
|
||||||||
|
outstanding
at September 30, 2010 and December 31, 2009, respectively
|
786,763,948 | 688,434,529 | ||||||
|
Class
B Interests – 77,345.1935 units and 60,362.5545 units
|
||||||||
|
outstanding
at September 30, 2010 and December 31, 2009, respectively
|
483,696,598 | 369,300,376 | ||||||
|
Total
partners' capital (net asset value)
|
1,270,460,546 | 1,057,734,905 | ||||||
|
Total
liabilities and partners' capital (net asset value)
|
$ | 1,311,300,725 | $ | 1,109,264,003 | ||||
The
accompanying notes are an integral part of these financial
statements.
1
Condensed
Schedule of Investments
September
30, 2010
(Unaudited)
|
Description
|
Fair
Value
|
%
of
Partners’ Capital (Net Asset Value) |
|||||||||||
|
U.S.
Treasury Securities
|
|||||||||||||
|
Face
Value
|
Maturity
Date
|
||||||||||||
| $ | 80,000,000 |
10/21/2010
|
U.S.
Treasury Bill, 0.17%
|
$ | 79,992,445 | 6.30 | % | ||||||
| 80,000,000 |
1/13/2011
|
U.S.
Treasury Bill, 0.25%
|
79,942,222 | 6.29 | % | ||||||||
|
Total
U.S. Treasury securities (cost: $159,704,133)
|
$ | 159,934,667 | 12.59 | % | |||||||||
|
Government
Sponsored Enterprise Notes
|
|||||||||||||
|
Face
Value
|
Maturity
Date
|
||||||||||||
| $ | 75,132,000 |
3/23/2011
|
Federal
Home Loan Mortgage Corporation, 0.27%
|
$ | 75,034,516 | 5.91 | % | ||||||
|
Total
government sponsored enterprise notes
(cost:
$75,000,707)
|
$ | 75,034,516 | 5.91 | % | |||||||||
|
Commercial
Paper
|
|||||||||||||
|
Face
Value
|
Maturity
Date
|
||||||||||||
| $ | 55,000,000 |
1/28/2011
|
Commonwealth
Bank of Australia, 0.36%
|
$ | 54,934,550 | 4.32 | % | ||||||
| 35,000,000 |
1/31/2011
|
HSBC
Finance Corp, 0.60%
|
34,928,833 | 2.75 | % | ||||||||
| 20,000,000 |
4/1/2011
|
Shell
International Finance BV, 0.68%
|
19,931,244 | 1.57 | % | ||||||||
| 30,260,000 |
4/1/2011
|
Shell
International Finance BV, 0.69%
|
30,154,443 | 2.37 | % | ||||||||
| 67,521,000 |
4/13/2011
|
HSBC
Finance Corp, 0.63%
|
67,291,766 | 5.30 | % | ||||||||
| 32,000,000 |
5/16/2011
|
Toyota
Motor Credit Corporation, 0.39%
|
31,921,307 | 2.51 | % | ||||||||
| 60,000,000 |
5/24/2011
|
Barclays
U.S. Funding LLC, 0.57%
|
59,776,750 | 4.71 | % | ||||||||
| 74,107,000 |
5/27/2011
|
ING
(U.S.) Funding LLC, 0.57%
|
73,827,741 | 5.81 | % | ||||||||
| 1,948,000 |
6/2/2011
|
Shell
International Finance BV, 0.53%
|
1,941,002 | 0.15 | % | ||||||||
| 30,300,000 |
7/6/2011
|
Shell
International Finance BV, 0.53%
|
30,175,989 | 2.38 | % | ||||||||
| 20,000,000 |
7/11/2011
|
Shell
International Finance BV, 0.53%
|
19,916,672 | 1.57 | % | ||||||||
|
Total
commercial paper (cost: $424,443,561)
|
$ | 424,800,297 | 33.44 | % | |||||||||
|
Long
U.S. Futures Contracts
|
|||||||||||||
|
Agricultural
|
$ | 8,654,415 | 0.68 | % | |||||||||
|
Currency
|
7,021,621 | 0.55 | % | ||||||||||
|
Energy
|
6,248,436 | 0.49 | % | ||||||||||
|
Interest
rate (1)
|
14,576,535 | 1.15 | % | ||||||||||
|
Metal
(1)
|
25,059,535 | 1.97 | % | ||||||||||
|
Stock
index
|
6,431,604 | 0.51 | % | ||||||||||
|
Net
unrealized gain on open long U.S. futures contracts
|
67,992,146 | 5.35 | % | ||||||||||
|
Short
U.S. Futures Contracts
|
|||||||||||||
|
Agricultural
|
(280,476 | ) | (0.02 | )% | |||||||||
|
Currency
|
(2,062,130 | ) | (0.16 | )% | |||||||||
|
Energy
|
965,176 | 0.08 | % | ||||||||||
|
Interest
rate
|
(79,273 | ) | (0.01 | )% | |||||||||
|
Metal
(1)
|
(14,173,492 | ) | (1.12 | )% | |||||||||
|
Stock
index
|
(28,900 | ) | (0.00 | )% | |||||||||
|
Net
unrealized loss on open short U.S. futures contracts
|
(15,659,095 | ) | (1.23 | )% | |||||||||
(1) No individual futures or forward currency contract position constituted greater than one percent of partners’ capital (net asset value). Accordingly, the number of contracts and expiration dates are not presented.
The
accompanying notes are an integral part of these financial
statements.
2
Futures
Portfolio Fund, Limited Partnership
Condensed
Schedule of Investments (continued)
September
30, 2010
(Unaudited)
|
Description
|
Fair
Value
|
%
of
Partners’ Capital (Net Asset Value) |
|||||||
|
Long
Foreign Futures Contracts
|
|||||||||
|
Agricultural
|
$ | 94,560 | 0.01 | % | |||||
|
Currency
|
2,337,841 | 0.18 | % | ||||||
|
|
Energy
|
37,216 | 0.00 | % | |||||
|
|
Interest
rate
|
4,551,008 | 0.36 | % | |||||
|
Metal
|
67,130 | 0.01 | % | ||||||
|
Stock
index
|
(980,897 | ) | (0.08 | )% | |||||
|
Net
unrealized gain on open long foreign futures contracts
|
6,106,858 | 0.48 | % | ||||||
|
Short
Foreign Futures Contracts
|
|||||||||
|
Agricultural
|
(3,458 | ) | (0.00 | )% | |||||
|
Currency
|
1,105,555 | 0.09 | % | ||||||
|
Energy
|
(113,433 | ) | (0.01 | )% | |||||
|
Interest
rate
|
124,452 | 0.01 | % | ||||||
|
Metal
|
(18,476 | ) | (0.00 | )% | |||||
|
Stock
index
|
(320,087 | ) | (0.03 | )% | |||||
|
Net
unrealized gain on open short foreign futures contracts
|
774,553 | 0.06 | % | ||||||
|
Net unrealized gain on
open futures
contracts
|
$ | 59,214,462 | 4.66 | % | |||||
|
U.S.
Forward Currency Contracts
|
|||||||||
|
Long
|
$ | 4,761,137 | 0.37 | % | |||||
|
Short
|
(2,567,088 | ) | (0.20 | )% | |||||
|
Net
unrealized gain on open U.S. forward currency contracts
|
2,194,049 | 0.17 | % | ||||||
|
Foreign
Forward Currency Contracts
|
|||||||||
|
Long
|
2,400,650 | 0.19 | % | ||||||
|
Short
|
1,036,604 | 0.08 | % | ||||||
|
Net
unrealized gain on open foreign forward currency contracts
|
3,437,254 | 0.27 | % | ||||||
|
Net
unrealized gain on open forward currency contracts
|
$ | 5,631,303 | 0.44 | % | |||||
No
individual futures or forward currency contract position constituted greater
than one percent of partners’ capital (net asset value). Accordingly,
the number of contracts and expiration dates are not presented.
The
accompanying notes are an integral part of these financial
statements.
3
Futures
Portfolio Fund, Limited Partnership
Condensed
Schedule of Investments
December
31, 2009
(Audited)
|
Description
|
Fair
Value
|
%
of Partners’ Capital (Net Asset Value)
|
|||||||||||
|
Government
Sponsored Enterprise Notes
|
|||||||||||||
|
Face
Value
|
Maturity
Date
|
||||||||||||
| $ | 46,750,000 |
1/28/10
|
Federal
Home Loan Mortgage Corporation, 0.96%
|
$ | 46,951,148 | 4.44 | % | ||||||
| 60,000,000 |
3/30/10
|
Federal
Home Loan Mortgage Corporation, 1.10%
|
60,563,501 | 5.73 | % | ||||||||
|
Total
government sponsored enterprise notes
(cost: $107,153,196)
|
$ | 107,514,649 | 10.17 | % | |||||||||
|
Long
U.S. Futures Contracts
|
|||||||||||||
|
Agricultural
|
$ | 3,874,697 | 0.37 | % | |||||||||
|
Currency
|
(1,096,530 | ) | (0.10 | )% | |||||||||
|
Energy
|
2,282,440 | 0.22 | % | ||||||||||
|
Interest
rate
|
(4,285,126 | ) | (0.41 | )% | |||||||||
|
Metal
|
7,959,480 | 0.75 | % | ||||||||||
|
Single
stock futures
|
(7,756 | ) | (0.00 | )% | |||||||||
|
Stock
index
|
2,911,194 | 0.28 | % | ||||||||||
|
Net
unrealized gain on open long U.S. futures contracts
|
11,638,399 | 1.11 | % | ||||||||||
|
Short
U.S. Futures Contracts
|
|||||||||||||
|
Agricultural
|
(135,790 | ) | (0.01 | )% | |||||||||
|
Currency
|
1,736,191 | 0.16 | % | ||||||||||
|
Energy
|
(988,288 | ) | (0.09 | )% | |||||||||
|
Interest
rate
|
2,012,021 | 0.19 | % | ||||||||||
|
Metal
|
(4,574,662 | ) | (0.43 | )% | |||||||||
|
Stock
index
|
23,900 | 0.00 | % | ||||||||||
|
Net
unrealized loss on open short U.S. futures contracts
|
(1,926,628 | ) | (0.18 | )% | |||||||||
|
Long
Foreign Futures Contracts
|
|||||||||||||
|
Agricultural
|
585,309 | 0.06 | % | ||||||||||
|
Currency
|
(50,076 | ) | (0.00 | )% | |||||||||
|
Energy
|
107,204 | 0.01 | % | ||||||||||
|
Interest
rate
|
(3,745,572 | ) | (0.35 | )% | |||||||||
|
Metal
|
565,795 | 0.05 | % | ||||||||||
|
Stock
index
|
6,313,742 | 0.60 | % | ||||||||||
|
Net
unrealized gain on open long foreign futures contracts
|
3,776,402 | 0.37 | % | ||||||||||
|
Short
Foreign Futures Contracts
|
|||||||||||||
|
Agricultural
|
(6,346 | ) | (0.00 | )% | |||||||||
|
Currency
|
345,604 | 0.03 | % | ||||||||||
|
Energy
|
(58,775 | ) | (0.01 | )% | |||||||||
|
Interest
rate
|
804,314 | 0.08 | % | ||||||||||
|
Stock
index
|
(568,935 | ) | (0.05 | )% | |||||||||
|
Net
unrealized gain on open short foreign futures contracts
|
515,862 | 0.05 | % | ||||||||||
|
Net
unrealized gain on open futures contracts
|
$ | 14,004,035 | 1.35 | % | |||||||||
No
individual futures or forward currency contract position constituted greater
than one percent of partners’ capital (net asset value). Accordingly,
the number of contracts and expiration dates are not presented.
The
accompanying notes are an integral part of these financial
statements.
4
Futures
Portfolio Fund, Limited Partnership
Condensed
Schedule of Investments (continued)
December
31, 2009
(Audited)
|
Description
|
Fair
Value
|
%
of
Partners’ Capital (Net Asset Value) |
|||||||
|
U.S.
Forward Currency Contracts
|
|||||||||
|
Long
|
$ | (2,056,023 | ) | (0.19 | )% | ||||
|
Short
|
351,945 | 0.03 | % | ||||||
|
Net
unrealized loss on open U.S. forward currency contracts
|
(1,704,078 | ) | (0.16 | )% | |||||
|
Foreign
Forward Currency Contracts
|
|||||||||
|
Long
|
(224,594 | ) | (0.02 | )% | |||||
|
Short
|
(500,342 | ) | (0.05 | )% | |||||
|
Net
unrealized loss on open foreign forward currency contracts
|
(724,936 | ) | (0.07 | )% | |||||
|
Net
unrealized loss on open forward currency contracts
|
$ | (2,429,014 | ) | (0.23 | )% | ||||
No
individual futures or forward currency contract position constituted greater
than one percent of partners’ capital (net asset value). Accordingly,
the number of contracts and expiration dates are not presented.
The
accompanying notes are an integral part of these financial
statements.
5
Futures
Portfolio Fund, Limited Partnership
Statements
of Operations
For
the Three and Nine Months Ended September 30, 2010 and 2009
(Unaudited)
|
Three
Months Ended
September
30,
|
Nine
Months Ended
September
30,
|
|||||||||||||||
|
2010
|
2009
|
2010
|
2009
|
|||||||||||||
|
Trading
Income
|
||||||||||||||||
|
Net
realized gain
|
$ | 23,348,170 | $ | 15,792,051 | $ | 21,111,512 | $ | 10,951,064 | ||||||||
|
Net
change in unrealized gain
|
55,281,915 | 32,514,500 | 53,270,744 | 11,372,789 | ||||||||||||
|
Brokerage
commissions and trading expenses
|
(941,820 | ) | (794,199 | ) | (2,693,126 | ) | (1,976,539 | ) | ||||||||
|
Net
income from trading
|
77,688,265 | 47,512,352 | 71,689,130 | 20,347,314 | ||||||||||||
|
Net
Investment Loss
|
||||||||||||||||
|
Income
|
||||||||||||||||
|
Interest
income
|
924,757 | 633,167 | 1,942,846 | 4,125,311 | ||||||||||||
|
Expenses
|
||||||||||||||||
|
Trading
Advisor management fees
|
4,537,925 | 3,630,303 | 12,910,570 | 10,665,853 | ||||||||||||
|
Trading
Advisor incentive fees
|
-- | 5,631,887 | 5,057,839 | 12,560,513 | ||||||||||||
|
General
Partner management fee
|
6,000,395 | 4,876,085 | 17,068,717 | 13,715,606 | ||||||||||||
|
Selling
Agent fees
|
4,064,645 | 3,418,167 | 11,751,927 | 9,639,693 | ||||||||||||
|
General
Partner 1% allocation
|
619,909 | 289,447 | 210,972 | (267,337 | ) | |||||||||||
|
Administrative
expenses – General Partner
|
2,415,068 | 2,201,007 | 7,359,659 | 6,507,786 | ||||||||||||
|
Total
expenses
|
17,637,942 | 20,046,896 | 54,359,684 | 52,822,114 | ||||||||||||
|
Administrative
expenses waived
|
(395,898 | ) | (556,610 | ) | (1,613,900 | ) | (1,883,103 | ) | ||||||||
|
Net
total expenses
|
17,242,044 | 19,490,286 | 52,745,784 | 50,939,011 | ||||||||||||
|
Net
investment loss
|
(16,317,287 | ) | (18,857,119 | ) | (50,802,938 | ) | (46,813,700 | ) | ||||||||
|
Net
Income (Loss)
|
$ | 61,370,978 | $ | 28,655,233 | $ | 20,886,192 | $ | (26,466,386 | ) | |||||||
|
Three
Months Ended September 30,
|
||||||||||||||||
|
2010
|
2009
|
|||||||||||||||
|
Class
A
|
Class
B
|
Class
A
|
Class
B
|
|||||||||||||
|
Increase
in net asset value per Unit
|
$ | 217.95 | $ | 316.09 | $ | 126.03 | $ | 191.93 | ||||||||
|
Net
income per Unit
|
$ | 222.81 | $ | 329.14 | $ | 131.58 | $ | 198.71 | ||||||||
|
(based
on weighted average number of units outstanding)
|
||||||||||||||||
|
Weighted
average number of Units outstanding
|
164,973.5488 | 74,782.0779 | 133,640.3500 | 55,717.0311 | ||||||||||||
|
Nine
Months Ended September 30,
|
||||||||||||||||
|
2010
|
2009
|
|||||||||||||||
|
Class
A
|
Class
B
|
Class
A
|
Class
B
|
|||||||||||||
|
Increase
(decrease) in net asset value per Unit
|
$ | 40.17 | $ | 135.70 | $ | (178.28 | ) | $ | (145.68 | ) | ||||||
|
Net
income (loss) per Unit
|
$ | 55.17 | $ | 176.30 | $ | (163.61 | ) | $ | (124.05 | ) | ||||||
|
(based
on weighted average number of units outstanding)
|
||||||||||||||||
|
Weighted
average number of Units outstanding
|
158,629.2651 | 68,827.0907 | 123,079.1530 | 51,021.0635 | ||||||||||||
The
accompanying notes are an integral part of these financial
statements.
6
Statements
of Cash Flows
For
the Nine Months Ended September 30, 2010 and 2009
(Unaudited)
|
2010
|
2009
|
|||||||
|
Cash
flows from operating activities
|
||||||||
|
Net
income (loss)
|
$ | 20,886,192 | $ | (26,466,386 | ) | |||
|
Adjustments
to reconcile net income (loss) to net cash provided by (used in) operating
activities
|
||||||||
|
Net change in
unrealized
gain
|
(53,270,744 | ) | (11,372,789 | ) | ||||
|
Changes in
|
||||||||
|
Interest
receivable
|
(25,903 | ) | (3,178 | ) | ||||
|
Commercial
paper
|
(424,800,297 | ) | 140,590,377 | |||||
|
Government sponsored
enterprise
notes
|
32,480,133 | (32,142,469 | ) | |||||
|
U.S. Treasury
securities
|
(159,934,667 | ) | 66,972,902 | |||||
|
Corporate
notes
|
-- | 78,147,406 | ||||||
|
General Partner 1% allocation
receivable/payable
|
850,828 | (2,146,674 | ) | |||||
|
Trading Advisor management fees
payable
|
(308,690 | ) | 315,281 | |||||
|
Trading Advisor incentive fees
payable
|
(1,444,958 | ) | (13,138,185 | ) | ||||
|
Commissions and other trading fees
payable on open contracts
|
243,662 | 55,428 | ||||||
|
General Partner management fee
payable
|
356,781 | 314,816 | ||||||
|
Selling Agent fees payable –
General Partner
|
189,844 | 214,394 | ||||||
|
Administrative expenses payable –
General Partner
|
(1,039,519 | ) | 302,531 | |||||
|
Net
cash provided by (used in) operating activities
|
(585,817,338 | ) | 201,643,454 | |||||
|
Cash
flows from financing activities
|
||||||||
|
Subscriptions
|
227,012,458 | 262,412,284 | ||||||
|
Subscriptions
received in advance
|
22,783,029 | 32,136,358 | ||||||
|
Redemptions
|
(66,853,049 | ) | (72,671,780 | ) | ||||
|
Net
cash provided by financing activities
|
182,942,438 | 221,876,862 | ||||||
|
Net
increase (decrease) in cash and cash equivalents
|
(402,874,900 | ) | 423,520,316 | |||||
|
Cash
and cash equivalents, beginning of period
|
989,520,835 | 505,006,123 | ||||||
|
Cash
and cash equivalents, end of period
|
$ | 586,645,935 | $ | 928,526,439 | ||||
|
End
of period cash and cash equivalents consists of
|
||||||||
|
Cash in broker trading
accounts
|
$ | 317,459,850 | $ | 281,184,124 | ||||
|
Cash and cash
equivalents
|
269,186,085 | 647,342,315 | ||||||
|
Total
end of period cash and cash equivalents
|
$ | 586,645,935 | $ | 928,526,439 | ||||
|
Supplemental
disclosure of cash flow information
|
||||||||
|
Prior
period redemptions paid
|
$ | 5,857,719 | $ | 10,448,411 | ||||
|
Prior
period subscriptions received in advance
|
$ | 37,057,961 | $ | 29,937,275 | ||||
|
Supplemental
schedule of non-cash financing activities
|
||||||||
|
Redemptions
payable
|
$ | 11,235,640 | $ | 3,927,068 | ||||
The
accompanying notes are an integral part of these financial
statements.
7
Futures
Portfolio Fund, Limited Partnership
Statements
of Changes in Partners’ Capital (Net Asset Value)
For
the Nine Months Ended September 30, 2010 and 2009
(Unaudited)
|
Class
A Interests
|
Class
B Interests
|
|||||||||||||||||||
|
Units
|
Amount
|
Units
|
Amount
|
Total
|
||||||||||||||||
|
Nine
Months Ended September
30, 2010
|
||||||||||||||||||||
|
Balance
at December 31, 2009
|
147,452.0886 | $ | 688,434,529 | 60,362.5545 | $ | 369,300,376 | $ | 1,057,734,905 | ||||||||||||
|
Net
income
|
8,752,060 | 12,134,132 | 20,886,192 | |||||||||||||||||
|
Subscriptions
|
29,305.5322 | 134,091,821 | 21,561.2334 | 129,978,598 | 264,070,419 | |||||||||||||||
|
Redemptions
|
(8,828.4657 | ) | (40,614,630 | ) | (5,224.8536 | ) | (31,616,340 | ) | (72,230,970 | ) | ||||||||||
|
Transfers
|
(853.7769 | ) | (3,899,832 | ) | 646.2592 | 3,899,832 | -- | |||||||||||||
|
Balance
at September 30, 2010
|
167,075.3782 | $ | 786,763,948 | 77,345.1935 | $ | 483,696,598 | $ | 1,270,460,546 | ||||||||||||
|
Nine
Months Ended September
30, 2009
|
||||||||||||||||||||
|
Balance
at December 31, 2008
|
108,989.0639 | $ | 547,011,351 | 44,268.0740 | $ | 285,973,913 | $ | 832,985,264 | ||||||||||||
|
Net
loss
|
(20,137,315 | ) | (6,329,071 | ) | (26,466,386 | ) | ||||||||||||||
|
Subscriptions
|
38,143.3711 | 185,460,951 | 16,967.3754 | 106,888,608 | 292,349,559 | |||||||||||||||
|
Redemptions
|
(7,367.0398 | ) | (35,743,853 | ) | (4,839.0585 | ) | (30,406,584 | ) | (66,150,437 | ) | ||||||||||
|
Transfers
|
(1,326.7028 | ) | (6,453,480 | ) | 1,025.0574 | 6,453,480 | -- | |||||||||||||
|
Balance
at September 30, 2009
|
138,438.6924 | $ | 670,137,654 | 57,421.4483 | $ | 362,580,346 | $ | 1,032,718,000 | ||||||||||||
Net
Asset Value per Unit
|
Class
A
|
Class
B
|
|||||||
|
September
30, 2010
|
$ | 4,709.04 | $ | 6,253.74 | ||||
|
December
31, 2009
|
4,668.87 | 6,118.04 | ||||||
|
September
30, 2009
|
4,840.68 | 6,314.37 | ||||||
|
December
31, 2008
|
5,018.96 | 6,460.05 | ||||||
The
accompanying notes are an integral part of these financial
statements.
8
Futures
Portfolio Fund, Limited Partnership
Notes
to Financial Statements
(Unaudited)
|
1.
|
Organization
and Summary of Significant Accounting
Policies
|
Description
of the Fund
Futures
Portfolio Fund, Limited Partnership (“Fund”) is a Maryland limited partnership,
which operates as a commodity investment pool that commenced trading operations
on January 2, 1990. The Fund issues units of limited partner
interests (“Units”) in two classes, Class A and Class B, which represent units
of fractional undivided beneficial interest in and ownership of the
Fund. The Fund will automatically terminate on December 31, 2025,
unless terminated earlier as provided in the Third Amended and Restated Limited
Partnership Agreement (“Partnership Agreement”).
The Fund
uses commodity trading advisors to engage in the speculative trading of futures
contracts, forward currency contracts and other financial instruments traded in
the United States (“U.S.”) and internationally.
The Fund
is a registrant with the U.S. Securities and Exchange Commission (“SEC”)
pursuant to the U.S. Securities Exchange Act of 1934, as amended (“1934
Act”). As a registrant, the Fund is subject to the regulations of the
SEC and the disclosure requirements of the 1934 Act. As a commodity
pool, the Fund is subject to the regulations of the U.S. Commodity Futures
Trading Commission (“CFTC”), an agency of the U.S. Government, which regulates
most aspects of the commodity futures industry; rules of the National Futures
Association (“NFA”), an industry self-regulatory organization; rules of
Financial Industry Regulatory Authority (“FINRA”), an industry self-regulatory
organization; and the requirements of commodity exchanges where the Fund
executes transactions. Additionally, the Fund is subject to the
requirements of the futures broker and interbank market makers through which the
fund trades.
Steben
& Company, Inc. (“General Partner”), is the general partner of the Fund and
a Maryland corporation registered with the CFTC as a commodity pool operator and
a commodities introducing broker, and is also registered with the SEC as a
registered investment advisor and a broker dealer. The General
Partner is a member of the NFA and FINRA. The General Partner manages all
aspects of the Fund’s business and serves as one of the Fund’s selling
agents.
Financial
Accounting Standards Board Accounting Standards Codification
The Fund
follows accounting standards established by the Financial Accounting Standards
Board (“FASB”) to ensure consistent reporting of financial condition, results of
operation and cash flows in conformity with accounting principles generally
accepted in the U.S. The accounting standards are embodied in the
FASB Accounting Standards Codification, which became effective for periods
ending on or after September 15, 2009.
Use
of Estimates
Preparing
financial statements in conformity with accounting principles generally accepted
in the U.S. requires management to make estimates and assumptions that affect
the amounts reported in the financial statements and accompanying
notes. Actual results could differ from those estimates.
Revenue
Recognition
Futures,
options on futures, forward currency contracts and swap contracts are recorded
on a trade date basis, and gains or losses are realized when contracts are
liquidated. Unrealized gains and losses on open contracts (the
difference between contract trade price and fair value) are reported in the
statements of financial condition as net unrealized gain or loss, as there
exists a right of offset of any unrealized gains or losses. Any
change in net unrealized gain or loss from the preceding period is reported in
the statements of operations. Interest income earned on investments
in commercial paper, corporate notes, U.S. Treasury securities, government
sponsored enterprise notes and other cash and cash equivalent balances is
recorded on an accrual basis.
9
Fair
Value of Financial Instruments
Financial
instruments are carried at fair value, the price that would be received to sell
an asset or paid to transfer a liability in an orderly transaction between
market participants. Assets and liabilities carried at fair value are
classified and disclosed in the following categories:
|
|
Level
1 –
|
Fair
value is based on unadjusted quoted prices in active markets that are
accessible at the measurement date for identical
instruments. Financial instruments utilizing Level 1 inputs
include exchange-traded derivatives, U.S. Treasury securities and money
market funds.
|
|
|
Level
2 –
|
Fair
value is based on quoted prices for similar instruments in active markets
and inputs other than quoted prices that are observable for the financial
instrument, such as interest rates and yield curves that are observable at
commonly quoted intervals using a market approach. Financial
instruments utilizing Level 2 inputs include forward currency contracts
and government sponsored enterprise
notes.
|
|
|
Level
3 –
|
Fair
value is based on valuation techniques in which one or more significant
inputs are unobservable. The Fund has no financial instruments
utilizing Level 3 inputs.
|
U.S.
Treasury securities are recorded at amortized cost, which approximates fair
value based on bid and ask quotes for identical
instruments. Commercial paper, government sponsored enterprise notes
and corporate notes are recorded at amortized cost, which approximates fair
value based on bid and ask quotes for similar, but not identical,
instruments. Accordingly, U.S. Treasury securities are classified
within Level 1, and commercial paper, government sponsored enterprise notes and
corporate notes are classified within Level 2.
The
investments in money market funds, included in cash and cash equivalents in the
statements of financial condition, and futures contracts, all of which are
exchange-traded, are valued using quoted market prices for identical assets and
are classified within Level 1. The fair values of forward currency contracts are
based upon third-party quoted dealer values on the interbank market and are
classified within Level 2.
Derivative
Instruments
Effective
January 1, 2009, the Fund adopted new guidance issued by FASB regarding
derivatives and hedging. The Fund’s derivative contracts are
comprised of futures and forward currency contracts. These derivative
contracts are recorded in the statements of financial condition as assets
measured at fair value and the related realized and change in unrealized gain or
loss associated with these derivatives is recorded in the statements of
operations. The Fund has considered the counterparty credit risk
related to all its futures and forward currency contracts and does not deem any
counterparty credit risk material at this time. The Fund does not
designate any derivative instruments as hedging instruments.
Cash
and Cash Equivalents
Cash and
cash equivalents include highly liquid investments with original maturities of
three months or less at the date of acquisition that are not held for sale in
the normal course of business. The Fund maintains cash and cash
equivalents balances at Newedge USA, LLC and Newedge Group (UK Branch)
(collectively “NUSA”), UBS Financial Services, Inc. and UBS A.G. (collectively
“UBS”) and Bank of America and Banc of America Securities, LLC (collectively
“Bank of America”). At September 30, 2010, cash and cash equivalents balances
held at NUSA, UBS and Bank of America were $298,707,601, $18,756,019 and
$269,182,315, respectively. The Fund is at risk to the extent
that it maintains balances with financial institutions in excess of insured
limits; however, the Fund does not believe it is exposed to any significant
credit risk.
Brokerage
Commissions and Trading Expenses
Brokerage
commissions and trading expenses include brokerage and other trading fees, and
are charged to expense when contracts are opened and closed.
Redemptions
Payable
Redemptions
payable represent redemptions that meet the requirements of the Fund and have
been approved by the General Partner prior to period-end. These
redemptions have been recorded using the period-end net asset value per
Unit.
10
Income
Taxes
The Fund prepares calendar year U.S.
and applicable state and local tax returns. The Fund is not subject
to federal income taxes as each partner is individually liable for his or her
allocable share of the Fund’s income, expenses and trading gains or
losses. The Fund evaluates the tax positions taken or expected to be
taken in the course of preparing the Fund’s tax returns to determine whether the
tax positions are more-likely-than-not to be sustained when examined by the
applicable tax authority. Tax positions not deemed to meet the
more-likely-than-not threshold would be recorded as a tax benefit or expense and
asset or liability in the current year. Management has determined
there are no material uncertain income tax positions through September 30,
2010. With few exceptions, the Fund is no longer subject to U.S.
federal, or state and local income tax examinations by tax authorities for years
before 2007.
Foreign
Currency Transactions
The Fund
has certain investments denominated in foreign currencies. The
purchase and sale of investments, and income and expenses are translated at the
rates of exchange prevailing on the respective dates of such
transactions. The Fund does not isolate that portion of the results
of operations resulting from changes in foreign exchange rates on investments
from the fluctuations arising from changes in market prices of investments
held. Such fluctuations are included with the net realized and
unrealized gain or loss on such investments.
Reclassification
Certain
amounts in the 2009 financial statements have been reclassified to conform to
the 2010 presentation without affecting previously reported partners’ capital
(net asset value).
Subsequent
Events
The Fund
has evaluated subsequent events for potential recognition and/or disclosure
through the date the financial statements were issued.
|
2.
|
Fair
Value Disclosures
|
The
Fund’s assets and liabilities, measured at fair value on a recurring basis, are
summarized in the following tables by the type of inputs applicable to the fair
value measurements:
|
At
September 30, 2010
|
||||||||||||
|
Level
1
|
Level
2
|
Total
|
||||||||||
|
Equity
in broker trading accounts:
|
||||||||||||
|
Net
unrealized gain on open futures contracts
|
$ | 59,214,462 | $ | -- | $ | 59,214,462 | ||||||
|
Net
unrealized gain on open forward currency contracts
|
-- | 5,631,303 | 5,631,303 | |||||||||
|
Cash
and cash equivalents:
|
||||||||||||
|
Money
market fund
|
3,769 | -- | 3,769 | |||||||||
|
Commercial
paper
|
-- | 424,800,297 | 424,800,297 | |||||||||
|
Government
sponsored enterprise notes
|
-- | 75,034,516 | 75,034,516 | |||||||||
|
U.S.
Treasury securities
|
159,934,667 | -- | 159,934,667 | |||||||||
|
Total
|
$ | 219,152,898 | $ | 505,466,116 | $ | 724,619,014 | ||||||
11
|
At
December 31, 2009
|
||||||||||||
|
Level
1
|
Level
2
|
Total
|
||||||||||
|
Equity
in broker trading accounts:
|
||||||||||||
|
Net
unrealized gain on open futures contracts
|
$ | 14,004,035 | $ | -- | $ | 14,004,035 | ||||||
|
Net
unrealized loss on open forward currency contracts
|
-- | (2,429,014 | ) | (2,429,014 | ) | |||||||
|
Cash
and cash equivalents:
|
||||||||||||
|
Money
market funds
|
633,081,225 | -- | 633,081,225 | |||||||||
|
Government
sponsored enterprise notes
|
-- | 107,514,649 | 107,514,649 | |||||||||
|
Total
|
$ | 647,085,260 | $ | 105,085,635 | $ | 752,170,895 | ||||||
There
were no Level 3 holdings at September 30, 2010 and December 31, 2009, or during
the periods then ended.
In
addition to the financial instruments listed above, substantially all of the
Fund’s other assets and liabilities are considered financial instruments and are
reflected at fair value, or at carrying amounts that approximate fair value
because of the short maturity of the instruments.
|
3.
|
Derivative
Instruments Disclosures
|
At
September 30, 2010, the Fund’s derivative contracts had the following impact on
the statements of financial condition:
|
Derivative
Assets and Liabilities, at fair value
|
||||||||||||
|
Statements
of Financial Condition Location
|
Assets
|
Liabilities
|
Net
|
|||||||||
|
Net
unrealized gain on open futures contracts
|
||||||||||||
|
Agricultural
|
$ | 11,024,062 | $ | (2,559,021 | ) | $ | 8,465,041 | |||||
|
Currency
|
13,392,172 | (4,989,285 | ) | 8,402,887 | ||||||||
|
Energy
|
13,277,965 | (6,140,570 | ) | 7,137,395 | ||||||||
|
Interest
rate
|
23,144,525 | (3,971,803 | ) | 19,172,722 | ||||||||
|
Metal
|
25,224,781 | (14,290,084 | ) | 10,934,697 | ||||||||
|
Stock
index
|
8,600,751 | (3,499,031 | ) | 5,101,720 | ||||||||
|
Net
unrealized gain on open futures contracts
|
$ | 94,664,256 | $ | (35,449,794 | ) | $ | 59,214,462 | |||||
|
Net
unrealized gain (loss) on open forward currency contracts
|
$ | 13,950,934 | $ | (8,319,631 | ) | $ | 5,631,303 | |||||
At
September 30, 2010, there were 84,618 open futures contracts and 2,533 open
forward currency contracts.
12
For the
three and nine months ended September 30, 2010, the Fund’s derivative contracts
had the following impact on the statements of operations:
|
Three
Months Ended
September
30, 2010
|
Nine
Months Ended
September
30, 2010
|
|||||||||||||||
|
Types
of Exposure
|
Net
realized
gain |
Net
change
in
unrealized
gain |
Net
realized
gain |
Net
change
in
unrealized
gain |
||||||||||||
|
Futures
contracts
|
||||||||||||||||
|
Agricultural
|
$ | (603,001 | ) | $ | 8,203,091 | $ | (7,027,064 | ) | $ | 4,147,171 | ||||||
|
Currency
|
(11,977,428 | ) | 15,448,906 | 3,889,825 | 7,467,698 | |||||||||||
|
Energy
|
(16,009,110 | ) | 11,509,363 | (59,691,690 | ) | 5,794,814 | ||||||||||
|
Interest
rate
|
72,460,931 | (14,935,189 | ) | 150,639,733 | 24,387,085 | |||||||||||
|
Metal
|
(5,404,080 | ) | 11,309,866 | (11,494,256 | ) | 6,984,084 | ||||||||||
|
Single
stock futures
|
57,515 | (43,576 | ) | 42,544 | 7,756 | |||||||||||
|
Stock
index
|
(13,589,047 | ) | 14,251,878 | (53,997,106 | ) | (3,578,181 | ) | |||||||||
|
Total
futures contracts
|
24,935,780 | 45,744,339 | 22,361,986 | 45,210,427 | ||||||||||||
|
Forward
currency contracts
|
(1,889,571 | ) | 9,537,576 | (1,170,388 | ) | 8,060,317 | ||||||||||
|
Total
futures and forward currency contracts
|
$ | 23,046,209 | $ | 55,281,915 | $ | 21,191,598 | $ | 53,270,744 | ||||||||
For the
three and nine months ended September 30, 2010, the number of futures contracts
closed was 190,478 and 556,000, respectively, and the number of forward currency
contracts closed was 12,229 and 31,875, respectively.
At
December 31, 2009, the Fund’s derivative contracts had the following impact on
the statements of financial condition:
|
Derivative
Assets and Liabilities, at fair value
|
||||||||||||
|
Statements
of Financial Condition Location
|
Assets
|
Liabilities
|
Net
|
|||||||||
|
Net
unrealized gain on open futures contracts
|
||||||||||||
|
Agricultural
|
$ | 5,392,510 | $ | (1,074,640 | ) | $ | 4,317,870 | |||||
|
Currency
|
4,398,977 | (3,463,788 | ) | 935,189 | ||||||||
|
Energy
|
3,830,525 | (2,487,944 | ) | 1,342,581 | ||||||||
|
Interest
rate
|
8,760,428 | (13,974,791 | ) | (5,214,363 | ) | |||||||
|
Metal
|
13,545,225 | (9,594,612 | ) | 3,950,613 | ||||||||
|
Single
stock futures
|
-- | (7,756 | ) | (7,756 | ) | |||||||
|
Stock
index
|
9,898,985 | (1,219,084 | ) | 8,679,901 | ||||||||
|
Net
unrealized gain on open futures contracts
|
$ | 45,826,650 | $ | (31,822,615 | ) | $ | 14,004,035 | |||||
|
Net
unrealized gain (loss) on open forward currency contracts
|
$ | 3,001,447 | $ | (5,430,461 | ) | $ | (2,429,014 | ) | ||||
At
December 31, 2009, there were 58,336 open futures contracts and 1,237 open
forward currency contracts.
13
For the
three and nine months ended September 30, 2009, the Fund’s derivative contracts
had the following impact on the statements of operations:
|
Three
Months Ended
September
30, 2009
|
Nine
Months Ended
September
30, 2009
|
|||||||||||||||
|
Types
of Exposure
|
Net
realized
gain |
Net
change
in
unrealized
gain |
Net
realized
gain |
Net
change
in
unrealized
gain |
||||||||||||
|
Futures
contracts
|
||||||||||||||||
|
Agricultural
|
$ | 2,973,007 | $ | 882,036 | $ | 1,230,290 | $ | 2,449,321 | ||||||||
|
Currency
|
(1,393,033 | ) | 7,789,122 | (6,233,611 | ) | 9,014,283 | ||||||||||
|
Energy
|
(19,190,870 | ) | (7,920,562 | ) | (21,725,672 | ) | (5,939,995 | ) | ||||||||
|
Interest
rate
|
570,484 | 17,069,854 | (9,651,428 | ) | (26,132 | ) | ||||||||||
|
Metal
|
(1,446,981 | ) | 8,587,533 | 240,460 | (2,678,206 | ) | ||||||||||
|
Single
stock futures
|
(182,209 | ) | (28,738 | ) | (82,127 | ) | (28,886 | ) | ||||||||
|
Stock
index
|
31,688,972 | 1,591,361 | (58,509,749 | ) | 2,377,625 | |||||||||||
|
Total
futures contracts
|
13,019,370 | 27,970,606 | 22,287,661 | 5,168,010 | ||||||||||||
|
Forward
currency contracts
|
2,706,661 | 4,543,894 | (10,977,047 | ) | 6,204,779 | |||||||||||
|
Total
futures and forward currency contracts
|
$ | 15,726,031 | $ | 32,514,500 | $ | 11,310,614 | $ | 11,372,789 | ||||||||
For the
three and nine months ended September 30, 2009, the number of futures contracts
closed was 180,519 and 421,267, respectively, and the number of forward currency
contracts closed was 10,092 and 25,964, respectively.
|
4.
|
General
Partner
|
At
September 30, 2010 and December 31, 2009, and for the periods then ended, the
General Partner did not maintain a capital balance in the Fund; however, the
beneficiary of the sole shareholder of the General Partner had an investment of
30.9315 Class B Units. At September 30, 2010 and December 31, 2009,
this investment was valued at $193,438 and $189,240, respectively.
The
General Partner earns the following compensation:
|
§
|
General
Partner Management Fee – the Fund incurs a monthly fee on Class A and
Class B Units equal to 1/12th
of 1.95% of the month-end net asset value of the Class A and Class B
Units, payable in arrears.
|
|
§
|
Selling
Agent Fees – the Class A Units incur a monthly fee equal to 1/12th
of 2% of the month-end net asset value of the Class A Units and such
amounts are included in Selling Agent fees – General Partner in the
statements of operations. The General Partner, in turn, pays
the selling agent fee to the respective selling agents. If
there is no designated selling agent or the General Partner was the
selling agent, such portions of the selling agent fee are retained by the
General Partner.
|
|
§
|
Broker
Dealer Servicing Fees – the Class B Units incur a monthly fee equal to
1/12th
of 0.20% of the month-end net asset value of the Class B Units and such
amounts are included in Selling Agent fees – General Partner in the
statements of operations. The General Partner, in turn, pays
the fee to the respective selling agents. If there is no
designated selling agent or the General Partner was the selling agent,
such portions of the broker dealer servicing fee are retained by the
General Partner.
|
Pursuant
to the terms of the Partnership Agreement, each year the General Partner
receives from the Fund 1% of any profit earned by the
Fund. Conversely, the General Partner pays to the Fund 1% of any loss
incurred by the Fund. Such amounts are reflected as General Partner
1% allocation receivable or payable in the statements of financial condition and
as General Partner 1% allocation in the statements of operations.
14
|
5.
|
Trading
Advisors
|
|
The
Fund has advisory agreements with various commodity trading advisors,
pursuant to which the Fund incurs a monthly advisor management fee that
ranges from 0% to 1/12th
of 2% of allocated net assets (as defined in each respective advisory
agreement), paid monthly or quarterly in arrears. Additionally,
the Fund incurs advisor incentive fees, paid quarterly in arrears, ranging
from 20% to 30% of net new trading profits (as defined in each respective
advisory agreement).
|
|
6.
|
Deposits
with Brokers
|
To meet
margin requirements, the Fund deposits funds with brokers, subject to CFTC
regulations and various exchange and broker requirements. The Fund
earns interest income on its assets deposited with brokers. At
September 30, 2010 and December 31, 2009, the Fund had margin requirements of
$182,914,844 and $132,093,486, respectively.
|
7.
|
Administrative
Expenses
|
The Fund
reimburses the General Partner for actual monthly administrative expenses paid
to various third-party service providers, including the General Partner, up to
1/12th of
0.65% of the Fund’s month-end net asset value, payable in
arrears. Administrative expenses include accounting, audit, legal,
salary and administrative costs incurred by the General Partner relating to
marketing and administration of the Fund; such as, salaries and commissions of
General Partner marketing personnel, administrative employee salaries and
related costs. Pursuant to the terms of the Partnership Agreement,
administrative expenses that exceed 1% of the average month-end net asset value
of the Fund are the responsibility of the General Partner.
For the
three months ended September 30, 2010 and 2009, actual administrative expenses
were $2,415,068 and $2,201,007, respectively, which were below the 1%
administrative expense limitation. For the nine months ended
September 30, 2010 and 2009, actual administrative expenses were $7,359,659 and
$6,507,786, respectively, which were also below the 1% administrative expense
limitation.
Additionally,
during the three months ended September 30, 2010 and 2009, the General Partner
voluntarily waived $395,898 and $556,610, respectively, of administrative
expenses of the Fund. During the nine months ended September 30, 2010
and 2009, the General Partner voluntarily waived $1,613,900 and $1,883,103,
respectively, of administrative expenses. Such amounts are included
in Administrative expenses waived in the statements of operations.
At
September 30, 2010 and December 31, 2009, $696,637 and $1,736,156,
respectively, were payable to the General Partner for administrative expenses
incurred on behalf of the Fund and not waived by the General
Partner. Such amounts are presented as Administrative expenses
payable – General Partner in the statements of financial condition.
|
8.
|
Subscriptions,
Distributions and Redemptions
|
Investments
in the Fund are made by subscription agreement and must be received within five
business days of the end of the month, subject to acceptance by the General
Partner. The minimum investment is $10,000. Units are sold
at the net asset value per Class A or Class B Unit as of the close of business
on the last day of the month in which the subscription is
accepted. Investors whose subscriptions are accepted are admitted as
limited partners as of the beginning of the month following the month in which
their subscriptions were accepted. At September 30, 2010 and December
31, 2009, the Fund received advance subscriptions of $22,783,029 and
$37,057,961, respectively, which were recognized as subscriptions to the Fund or
returned, if applicable, subsequent to period-end.
The Fund
is not required to make distributions, but may do so at the sole discretion of
the General Partner. A limited partner may request and receive
redemption of Class A or Class B Units owned at the end of any month, subject to
five business days’ prior written notice to the General Partner, and in certain
circumstances, restrictions in the Partnership Agreement.
15
The
General Partner may require a limited partner to redeem from the Fund if the
General Partner deems the redemption (a) necessary to prevent or correct the
occurrence of a non-exempt prohibited transaction under the Employee Retirement
Income Security Act of 1974, as amended, or the Internal Revenue Code of 1986,
as amended, (b) beneficial to the Fund, or (c) necessary to comply with
applicable government or other self-regulatory organization
regulations.
|
9.
|
Trading
Activities and Related Risks
|
The Fund
engages in the speculative trading of futures, swaps, options and
over-the-counter contracts, including forward currency contracts traded in the
U.S. and internationally. Trading in derivatives exposes the Fund to
both market risk, the risk arising from a change in the fair value of a
contract, and credit risk, the risk of failure by another party to perform
according to the terms of a contract.
Purchase
and sale of futures contracts requires margin deposits with the futures
brokers. Additional deposits may be necessary for any loss of
contract value. The Commodity Exchange Act (“CEAct”) requires a
broker to segregate all customer transactions and assets from such broker’s
proprietary activities. A customer’s cash and other property (for
example, U.S. Treasury securities) deposited with a broker are considered
commingled with all other customer funds subject to the broker’s segregation
requirements. In the event of a broker’s insolvency, recovery may be
limited to a pro rata share of segregated funds available. It is
possible that the recovered amount could be less than (or none of) the total
cash and other property deposited. The Fund uses Newedge USA, LLC as
its futures broker (“futures broker”) and Newedge Group (UK Branch) and UBG A.G.
as its forward currency counterparties (“forward currency
counterparties”).
For
futures contracts, risks arise from changes in the fair value of the
contracts. Theoretically, the Fund is exposed to a market risk equal
to the value of futures and forward currency contracts purchased, and unlimited
liability on such contracts sold short.
In
addition to market risk, upon entering into commodity interest contracts there
is a credit risk that a counterparty will not be able to meet its obligations to
the Fund. The counterparty for futures and options on futures
contracts traded in the U.S. and on most non-U.S. futures exchanges is the
clearinghouse associated with such exchanges. In general,
clearinghouses are backed by the corporate members of the clearinghouse who are
required to share any financial burden resulting from the non-performance by one
of their members and, as such, should significantly reduce this credit risk. In
cases where the clearinghouse is not backed by the clearing members, like some
non-U.S. exchanges, it is normally backed by a consortium of banks or other
financial institutions.
In the
case of forward currency contracts, over-the-counter options contracts or swap
contracts, which are traded on the interbank or other institutional market
rather than on exchanges, the counterparty is generally a single bank or other
financial institution, rather than a clearinghouse backed by a group of
financial institutions; thus there likely will be greater counterparty credit
risk. While the Fund trades only with those counterparties that it
believes to be creditworthy, there can be no assurance that any clearing member,
clearinghouse or other counterparty will be able to meet its obligations to the
Fund.
The Fund
trades forward currency contracts in unregulated markets between principals and
assumes the risk of loss from counterparty
non-performance. Accordingly, the risks associated with forward
currency contracts are generally greater than those associated with
exchange-traded contracts because of the greater risk of counterparty
default. Additionally, the trading of forward currency contracts
typically involves delayed cash settlement.
The Fund
has a portion of its assets on deposit with interbank market makers and other
financial institutions in connection with its trading of forward currency
contracts and its cash management activities. In the event of an
interbank market maker’s or financial institution’s insolvency, recovery of Fund
assets on deposit may be limited to account insurance or other protection
afforded such deposits.
The Fund
uses UBS and Banc of America Securities, LLC as its cash management securities
brokers (“cash management securities brokers”) for the investment of some excess
margin amounts into short-term fixed income instruments including commercial
paper, corporate notes, U.S. Treasury securities and government sponsored
enterprise notes with maturities no longer than one
year. Fluctuations in prevailing interest rates could cause
immaterial mark-to-market losses on the Fund’s U.S. Treasury securities and
other fixed income instruments, although substantially all of the short-term
investments are held to maturity.
16
The
General Partner has established procedures to actively monitor market risk and
minimize credit risk, although there can be no assurance that it will, in fact,
succeed in doing so. The limited partners bear the risk of loss only
to the extent of the fair value of their respective investments and, in specific
circumstances, distributions and redemptions received.
|
10.
|
Indemnifications
|
In the
normal course of business, the Fund may enter into contracts and agreements that
contain a variety of representations and warranties, and which provide general
indemnifications. The Fund’s maximum exposure under these
arrangements cannot be estimated. However, the Fund believes that it
is unlikely it will have to make material payments under these arrangements and
has not recorded any contingent liability in the financial statements for such
indemnifications.
|
11.
|
Interim
Financial Statements
|
The
statements of financial condition, including the condensed schedule of
investments, at September 30, 2010, the statements of operations for the three
and nine months ended September 30, 2010 and 2009, the statements of cash flows
and changes in partners’ capital (net asset value) for the nine months ended
September 30, 2010 and 2009 and the accompanying notes to the financial
statements are unaudited. Certain information and footnote
disclosures normally included in financial statements prepared in accordance
with accounting principles generally accepted in the U.S. may be omitted
pursuant to such rules and regulations. In the opinion of management,
such financial statements and accompanying disclosures reflect all adjustments,
which were of a normal and recurring nature, necessary to present fairly the
financial position at September 30, 2010, results of operations for the three
and nine months ended September 30, 2010 and 2009, cash flows and changes in
partners’ capital (net asset value) for the nine months ended September 30, 2010
and 2009. The results of operations for the three and nine months
ended September 30, 2010 and 2009 are not necessarily indicative of the results
to be expected for the full year or any other period. These financial
statements should be read in conjunction with the audited financial statements
and the notes thereto included in our Form 10-K as filed with the
SEC.
17
|
12.
|
Financial
Highlights
|
The
following information presents per Unit operating performance data and other
ratios for the three and nine months ended September 30, 2010 and 2009, assuming
the Unit was outstanding throughout the entire period:
|
Three
Months Ended
September 30, 2010 |
Three
Months Ended
September 30, 2009 |
|||||||||||||||
|
Class
A
|
Class
B
|
Class
A
|
Class
B
|
|||||||||||||
|
Per
Unit Operating Performance
|
||||||||||||||||
|
Net
asset value per Unit at beginning of period
|
$ | 4,491.09 | $ | 5,937.65 | $ | 4,714.65 | $ | 6,122.44 | ||||||||
|
Income
from operations
|
||||||||||||||||
|
Income
from trading (1)
|
287.33 | 381.22 | 225.14 | 292.65 | ||||||||||||
|
Net
investment loss (1)
|
(69.38 | ) | (65.13 | ) | (99.11 | ) | (100.72 | ) | ||||||||
|
Total
income from operations
|
217.95 | 316.09 | 126.03 | 191.93 | ||||||||||||
|
Net
asset value per Unit at end of period
|
$ | 4,709.04 | $ | 6,253.74 | $ | 4,840.68 | $ | 6,314.37 | ||||||||
|
Total
return (5)
|
4.85 | % | 5.32 | % | 2.67 | % | 3.13 | % | ||||||||
|
Other
Financial Ratios
|
||||||||||||||||
|
Ratios
to average net asset value
|
||||||||||||||||
|
Expenses
prior to Trading Advisor incentive fees and General Partner 1% allocation
(2)
(3) (4)
|
6.21 | % | 4.41 | % | 6.19 | % | 4.35 | % | ||||||||
|
Trading
Advisor incentive fees (5)
|
-- | -- | 0.58 | % | 0.57 | % | ||||||||||
|
General
Partner 1% allocation (5)
|
0.05 | % | 0.06 | % | 0.03 | % | 0.03 | % | ||||||||
|
Total
expenses
|
6.26 | % | 4.47 | % | 6.80 | % | 4.95 | % | ||||||||
|
Net
investment loss (2) (3) (4)
(6)
|
(5.90 | )% | (4.10 | )% | (5.93 | )% | (4.09 | )% | ||||||||
18
|
Nine
Months Ended
September 30, 2010 |
Nine
Months Ended
September 30, 2009 |
|||||||||||||||
|
Class
A
|
Class
B
|
Class
A
|
Class
B
|
|||||||||||||
|
Per
Unit Operating Performance
|
||||||||||||||||
|
Net
asset value per Unit at beginning of period
|
$ | 4,668.87 | $ | 6,118.04 | $ | 5,018.96 | $ | 6,460.05 | ||||||||
|
Income
(loss) from operations
|
||||||||||||||||
|
Income
from trading (1)
|
266.51 | 352.16 | 92.08 | 119.66 | ||||||||||||
|
Net
investment loss (1)
|
(226.34 | ) | (216.46 | ) | (270.36 | ) | (265.34 | ) | ||||||||
|
Total
income (loss) from operations
|
40.17 | 135.70 | (178.28 | ) | (145.68 | ) | ||||||||||
|
Net
asset value per Unit at end of period
|
$ | 4,709.04 | $ | 6,253.74 | $ | 4,840.68 | $ | 6,314.37 | ||||||||
|
Total
return (5)
|
0.86 | % | 2.22 | % | (3.55 | )% | (2.26 | )% | ||||||||
|
Other
Financial Ratios
|
||||||||||||||||
|
Ratios
to average net asset value
|
||||||||||||||||
|
Expenses
prior to Trading Advisor incentive fees and General Partner 1% allocation
(2)
(3) (4)
|
6.18 | % | 4.37 | % | 6.25 | % | 4.42 | % | ||||||||
|
Trading
Advisor incentive fees (5)
|
0.45 | % | 0.43 | % | 1.37 | % | 1.37 | % | ||||||||
|
General
Partner 1% allocation (5)
|
0.01 | % | 0.03 | % | (0.03 | )% | (0.02 | )% | ||||||||
|
Total
expenses
|
6.64 | % | 4.83 | % | 7.59 | % | 5.77 | % | ||||||||
|
Net
investment loss (2) (3) (4)
(6)
|
(5.96 | )% | (4.14 | )% | (5.65 | )% | (3.82 | )% | ||||||||
Total
returns are calculated based on the change in value of a Class A or Class B Unit
during the period. An individual partner’s total returns and ratios
may vary from the above total returns and ratios based on the timing of
subscriptions and redemptions.
(1) The
net investment loss per Unit is calculated by dividing the net investment loss
by the average number of Class A or Class B Units outstanding during the
period. Income from trading is a balancing amount necessary to
reconcile the change in net asset value per Unit with the other per Unit
information. Such balancing amount may differ from the calculation of
income from trading per Unit due to the timing of trading gains and losses
during the period relative to the number of Units outstanding.
(2) All of
the ratios under the supplemental data are computed net of voluntary and
involuntary waivers of administrative expenses. For the three months
ended September 30, 2010 and 2009 the ratios are net of 0.13% and 0.23%,
respectively, and for the nine months ended September 30, 2010 and 2009 the
ratios are net of 0.19% and 0.27%, respectively, of average net asset value
relating to the waivers of administrative expenses. Both the nature
and the amounts of the waivers are more fully explained in Note 7.
(3) The
net investment loss includes interest income and excludes realized and
unrealized gain from trading activities as shown in the statements of
operations. The total amount is then reduced by all expenses,
excluding brokerage commissions, which are included in net trading income in the
statements of operations. The resulting amount is divided by the
average net asset value for the period.
(4) Ratios
have been annualized.
(5) Ratios
have not been annualized.
(6) Ratio
excludes Trading Advisor incentive fees and General Partner 1%
allocation.
19
Item
2. Management's Discussion and Analysis of Financial Condition and
Results of Operations
Introduction
Using
professional trading advisors, the Fund engages in the speculative trading of
futures contracts, forward currency contacts and other financial instruments
traded in the U.S. and internationally. The Fund primarily trades
futures contracts within six major market sectors: stock indices,
currencies, interest rate instruments, energy products, metals and agricultural
commodities.
Liquidity
Most U.S.
commodity exchanges limit fluctuations in futures contracts prices during a
single day by regulations referred to as daily price fluctuation limits or daily
limits. During a single trading day, no trades may be executed at
prices beyond the daily limit. Once the price of a futures contract
has reached the daily limit for that day, positions in that contract can neither
be taken nor liquidated. Futures prices have occasionally moved the
daily limit for several consecutive days with little or no trading. Similar
occurrences could prevent the Fund from promptly liquidating unfavorable
positions and subject the Fund to substantial losses which could exceed the
margin initially committed to such trades. Additionally, even if
futures prices have not moved the daily limit, the Fund may not be able to
execute futures trades at favorable prices if little trading in such contracts
is taking place. Other than these limitations on liquidity, which are
inherent in the Fund’s futures trading operations, the Fund’s assets are
expected to be highly liquid.
Redemptions
may be made by a limited partner as of the last business day of any month at the
net asset value on such redemption date of the redeemed Units (or portion
thereof) on that date, on five business days’ prior written notice to the
General Partner. Partial redemptions must be for at least $1,000,
unless such requirement is waived by the General Partner. In
addition, the limited partner, if making a partial redemption, must maintain at
least $10,000 or his original investment amount, whichever is less, in the Fund
unless such requirement is waived by the General Partner.
At
September 30, 2010, there are no known material trends, demands, commitments,
events, or uncertainties at the present time that are reasonably likely to
result in the Fund’s liquidity increasing or decreasing in any material
way.
Capital
Resources
The Fund
intends to raise additional capital only through the sale of Units, and does not
intend to raise any capital through borrowing. Due to the nature of
the Fund’s business, the Fund does not contemplate making capital
expenditures. The Fund does not have, nor does it expect to have, any
capital assets. Redemptions, exchanges and sales of Units in the
future will affect the amount of funds available for investments in futures
contracts, forward currency contracts and other financial instruments in
subsequent periods. It is not possible to estimate the amount, and
therefore the impact, of future capital inflows and outflows related to the sale
and redemption of Units. There are no known material trends,
favorable or unfavorable, that would affect, nor any expected material changes
to, the Fund’s capital resource arrangements at the present time.
Results
of Operations
The returns for Class A and B Units for the nine months ended September 30, 2010 and 2009 were as follows:
|
Class of Units
|
2010
|
2009
|
||||||
|
Class
A
|
0.86 | % | (3.55 | )% | ||||
|
Class
B
|
2.22 | % | (2.26 | )% | ||||
Past performance is not necessarily indicative of future
results. Further analysis of the trading gains
and losses is provided below.
2010
January
A Units
of the Fund were down 4.56% for the month of January and B Units were down
4.42%. The Fund ended
the month lower as losses from global equity indices, energy, metals and
currencies offset profits from interest rate instruments and agricultural
commodities. The Fund’s most significant losses came
from global equity indices. The sector reversed from an upward trend
that began in March of 2009. The stock market experienced a sharp
sell-off after investors reacted to the rowing concern of weaker global economic
growth and the decision by the U.S. government to limit speculative trading by
banks. This price reversal went against the Fund’s long positions,
which generated losses. China announced it was taking steps to
limit bank lending in order to moderate its own growth. The news pushed commodity prices lower,
especially in energy and industrial metals. The lower prices went against the Fund’s
long positions in those sectors. Interest rate instrument prices were
higher this month, which helped recover some of the losses the sector generated
in last month’s trading.
20