FUTURES PORTFOLIO FUND L.P. - FORM 10-Q

Attached files

file	filename
EX-32.02 - CERTIFICATION OF CHIEF FINANCIAL OFFICER - FUTURES PORTFOLIO FUND L.P.	ex32-02.htm
EX-32.01 - CERTIFICATION OF CHIEF EXECUTIVE OFFICER - FUTURES PORTFOLIO FUND L.P.	ex32-01.htm
EX-31.02 - CERTIFICATION OF CHIEF FINANCIAL OFFICER - FUTURES PORTFOLIO FUND L.P.	ex31-02.htm
EX-31.01 - CERTIFICATION OF CHIEF EXECUTIVE OFFICER - FUTURES PORTFOLIO FUND L.P.	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 March 31, 2017

Commission file number: 000-50728

FUTURES PORTFOLIO FUND, LIMITED PARTNERSHIP

Organized in Maryland

IRS Employer Identification No.: 52-1627106

c/o Steben & Company, Inc.

9711 Washingtonian Blvd., Suite 400

Gaithersburg, Maryland 20878

(240) 631-7600

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 ☒ 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.

Yes ☒ No ☐

Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a non-accelerated filer, or a smaller reporting company. See definition of “large accelerated filer”, “accelerated filer” and “smaller reporting company” in Rule 12b-2 of the Exchange Act.

Large accelerated filer	☐	Accelerated filer	☐
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 ☒

PART I: FINANCIAL INFORMATION

Item 1. Financial Statements

Futures Portfolio Fund, Limited Partnership

Consolidated Statements of Financial Condition

March 31, 2017 and December 31, 2016

	March 31, 2017 (Unaudited)			December 31, 2016
Assets
Equity in broker trading accounts
Cash	$	86,105,882		$	80,906,352
Net unrealized gain (loss) on open futures contracts		2,177,331			8,921,229
Net unrealized gain (loss) on open forward currency contracts		(770,245	)		830,153
Total equity in broker trading accounts		87,512,968			90,657,734
Cash and cash equivalents		40,920,850			37,230,210
Investments in securities, at fair value (cost $377,837,724 and $424,687,833)		378,004,378			424,440,330
Certificates of deposit (CDs), at fair value (cost $27,892,375 and $35,406,974)		28,049,796			35,576,495
General Partner 1% allocation receivable		44,696			98,751
Exchange membership, at fair value (cost $189,000)		225,000			—
Subscriptions receivable		99,221			381,917
Total assets	$	534,856,909		$	588,385,437

Liabilities and Partners’ Capital (Net Asset Value)
Liabilities
Trading Advisor management fees payable	$	648,720		$	885,524
Trading Advisor incentive fees payable		1,919,921			1,581,179
Commissions and other trading fees payable on open contracts		127,362			122,720
Cash Managers fees payable		143,813			102,622
General Partner management and performance fees payable		615,514			682,546
Selling agent and broker dealer servicing fees payable – General Partner		566,028			630,727
Administrative expenses payable – General Partner		112,209			127,136
Investment Manager fees payable		126,917			128,682
Distribution (12b-1) fees payable		3,104			2,961
Operating services fee payable		17,406			17,648
Redemptions payable		20,831,588			18,217,216
Subscriptions received in advance		581,083			2,687,191
Total liabilities		25,693,665			25,186,152

Partners’ Capital (Net Asset Value)
Class A Interests – 75,951.7712 and 84,825.0303 units outstanding at March 31, 2017 and December 31, 2016, respectively		307,969,847			347,445,757
Class B Interests – 26,644.6402 and 29,193.8071 units outstanding at March 31, 2017 and December 31, 2016, respectively		161,099,098			177,512,074
Class I Interests – 3,327.1246 and 3,828.4541 units outstanding at March 31, 2017 and December 31, 2016, respectively		3,260,577			3,763,781
Non-controlling interest		36,833,722			34,477,673
Total partners’ capital (net asset value)		509,163,244			563,199,285
Total liabilities and partners’ capital (net asset value)	$	534,856,909		$	588,385,437

The accompanying notes are an integral part of these consolidated financial statements.

Futures Portfolio Fund, Limited Partnership

Consolidated Condensed Schedule of Investments

March 31, 2017 (Unaudited)

				Description			Fair Value	% of Partners’ Capital (Net Asset Value)
INVESTMENTS IN SECURITIES
	U.S. Treasury Securities
		Face Value	Maturity Date	Name	Yield¹
	$	20,000,000	5/18/17	U.S. Treasury	0.53%	$	19,980,934	3.92	%
		3,000,000	5/31/17	U.S. Treasury	0.63%		3,005,354	0.59	%
		20,000,000	6/15/17	U.S. Treasury	0.76%		19,970,022	3.92	%
		20,000,000	7/6/17	U.S. Treasury	0.79%		19,998,233	3.93	%
		5,000,000	8/31/17	U.S. Treasury	1.88%		5,027,902	0.99	%
		4,150,000	10/31/17	U.S. Treasury	0.75%		4,158,380	0.82	%
		6,950,000	12/15/17	U.S. Treasury	1.00%		6,970,152	1.37	%
		1,500,000	3/31/18	U.S. Treasury	2.88%		1,526,192	0.30	%
		1,500,000	4/30/18	U.S. Treasury	0.75%		1,498,982	0.29	%
		2,200,000	10/31/18	U.S. Treasury	0.75%		2,191,288	0.43	%
	Total U.S. Treasury securities (cost: $84,293,959)						84,327,439	16.56	%

	U.S. Commercial Paper
		Face Value	Maturity Date	Name	Yield¹
	Automotive
	$	500,000	4/5/17	BMW US Capital, LLC	0.75%		499,957	0.10	%
		500,000	4/3/17	Caterpillar Financial Services Corporation	0.90%		499,975	0.10	%
		1,400,000	4/19/17	Caterpillar Financial Services Corporation	0.95%		1,399,335	0.27	%
		450,000	4/12/17	Ford Motor Credit Company LLC	1.14%		449,843	0.09	%
		1,500,000	4/19/17	Ford Motor Credit Company LLC	1.14%		1,499,145	0.29	%
		750,000	11/6/17	Ford Motor Credit Company LLC	1.81%		741,782	0.15	%
		1,500,000	4/5/17	Hyundai Capital America	1.01%		1,499,832	0.29	%
		500,000	4/19/17	Nissan Motor Acceptance Corporation	1.06%		499,735	0.10	%
	Banks
		400,000	4/25/17	Bank of Tokyo-Mitsubishi UFJ, Ltd.	0.96%		399,744	0.08	%
		1,700,000	8/24/17	Danske Corporation	1.39%		1,690,444	0.33	%
		1,500,000	4/21/17	Mitsubishi UFJ Trust & Banking Corp	1.08%		1,499,100	0.29	%
		2,000,000	4/13/17	Mizuho Bank, Ltd.	1.08%		1,999,280	0.40	%
		500,000	5/2/17	Oversea-Chinese Banking Corporation Ltd	0.90%		499,613	0.10	%
		1,500,000	4/18/17	Oversea-Chinese Banking Corporation Ltd	0.90%		1,499,363	0.29	%
		500,000	5/1/17	Standard Chartered Bank	0.94%		499,608	0.10	%
		1,800,000	9/12/17	Standard Chartered Bank	1.34%		1,789,028	0.35	%
		500,000	4/21/17	Sumitomo Mitsui Banking Corporation	1.06%		499,706	0.10	%
		500,000	5/2/17	United Overseas Bank Limited	0.93%		499,600	0.10	%
	Beverages
		2,000,000	4/6/17	Brown-Forman Corporation	0.85%		1,999,764	0.40	%
	Diversified financial services
		1,700,000	5/2/17	American Express Credit Corporation	0.95%		1,698,609	0.33	%
		1,500,000	6/13/17	CRC Funding, LLC	1.10%		1,496,654	0.29	%
		1,600,000	4/6/17	DCAT, LLC	0.98%		1,599,782	0.31	%
		1,500,000	4/21/17	Gotham Funding Corporation	1.02%		1,499,150	0.29	%
		1,500,000	5/12/17	ING (U.S.) Funding LLC	1.00%		1,498,292	0.29	%
		500,000	4/17/17	Intercontinental Exchange, Inc.	0.80%		499,822	0.10	%
		450,000	4/24/17	J.P. Morgan Securities LLC	0.85%		449,756	0.09	%
		1,600,000	4/3/17	Liberty Street Funding LLC	0.87%		1,599,923	0.31	%
		500,000	4/21/17	National Rural Utilities Cooperative Finance Corp.	0.95%		499,736	0.10	%
		1,700,000	4/12/17	Regency Group, Inc.	0.88%		1,699,543	0.33	%
		1,600,000	5/10/17	Thunder Bay Funding, LLC	0.90%		1,598,440	0.31	%
	Electronics
		2,000,000	4/7/17	Amphenol Corporation	1.20%		1,999,600	0.40	%

The accompanying notes are an integral part of these consolidated financial statements.

Futures Portfolio Fund, Limited Partnership

Consolidated Condensed Schedule of Investments (continued)

March 31, 2017 (Unaudited)

			Description			Fair Value	% of Partners’ Capital (Net Asset Value)
U.S. Commercial Paper (continued)
	Face Value	Maturity Date	Name	Yield¹
Energy
$	2,000,000	4/4/17	Berkshire Hathaway Energy Company	1.01%	$	1,999,832	0.40	%
	1,000,000	4/18/17	Dominion Resources, Inc.	1.20%		999,433	0.20	%
	1,000,000	4/20/17	Dominion Resources, Inc.	1.22%		999,356	0.20	%
	500,000	4/11/17	Enterprise Products Operating LLC	1.15%		499,840	0.10	%
	2,000,000	4/20/17	NextEra Energy Capital Holdings, Inc.	1.17%		1,998,765	0.40	%
	2,100,000	5/1/17	Oglethorpe Power Corporation	0.98%		2,098,285	0.41	%
	1,500,000	4/25/17	PPL Electric Utilities Corporation	1.23%		1,498,770	0.29	%
Heathcare
	1,400,000	4/20/17	Catholic Health Initiatives	1.02%		1,399,246	0.27	%
Insurance
	1,600,000	4/17/17	Nationwide Life Insurance Company	0.91%		1,599,353	0.31	%
Nonprofits
	500,000	5/3/17	Salvation Army	0.95%		499,578	0.10	%
REITs
	1,500,000	5/15/17	Simon Property Group, L.P.	0.98%		1,498,203	0.29	%
Total U.S. commercial paper (cost: $51,117,021)						51,194,822	10.05	%

Foreign Commercial Paper
	Face Value	Maturity Date	Name	Yield¹
Banks
$	2,000,000	4/10/17	DBS Bank Ltd.	1.03%		1,999,485	0.39	%
Diversified financial services
	1,600,000	5/22/17	KfW	0.97%		1,597,801	0.31	%
	1,600,000	6/1/17	Ontario Teachers Finance Trust	1.04%		1,597,180	0.31	%
Energy
	1,250,000	7/6/17	Electricite de France	1.36%		1,245,433	0.24	%
	500,000	4/28/17	Total Capital Canada Ltd.	0.93%		499,651	0.11	%
Household products
	1,800,000	8/30/17	Reckitt Benckiser Treasury Services PLC	1.15%		1,791,268	0.35	%
Pharmaceuticals
	1,000,000	7/5/17	GlaxoSmithKline Finance PLC	1.02%		997,283	0.20	%
Telecommunications
	400,000	4/18/17	Telstra Corporation Limited	1.05%		399,802	0.08	%
	1,200,000	9/13/17	Vodafone Group Public Limited Company	1.54%		1,191,534	0.23	%
Total foreign commercial paper (cost: $11,276,862)						11,319,437	2.22	%
Total commercial paper (cost: $62,393,883)						62,514,259	12.27	%

U.S. Corporate Notes
	Face Value	Maturity Date	Name	Yield¹
Agriculture
$	995,000	5/16/18	Philip Morris International Inc.	5.65%	$	1,060,936	0.21	%
Automotive
	566,000	7/13/18	American Honda Finance Corporation	1.48%		570,732	0.11	%
	368,000	2/22/19	American Honda Finance Corporation	1.88%		373,623	0.07	%
	649,000	8/3/17	Daimler Finance North America LLC	1.74%		652,246	0.13	%
	6,700,000	3/2/18	Daimler Finance North America LLC	1.48%		6,708,621	1.32	%
	7,350,000	1/9/18	Ford Motor Credit Company LLC	1.95%		7,403,802	1.45	%
	891,000	12/5/17	Toyota Motor Credit Corporation	1.35%		892,795	0.18	%
	670,000	2/19/19	Toyota Motor Credit Corporation	1.88%		679,449	0.13	%

The accompanying notes are an integral part of these consolidated financial statements.

Futures Portfolio Fund, Limited Partnership

Consolidated Condensed Schedule of Investments (continued)

March 31, 2017 (Unaudited)

			Description			Fair Value	% of Partners’ Capital (Net Asset Value)
U.S. Corporate Notes (continued)
	Face Value	Maturity Date	Name	Yield¹
Automotive (continued)
$	500,000	5/23/17	Volkswagen Group of America Finance, LLC	1.42%	$	499,926	0.10	%
	200,000	11/20/17	Volkswagen Group of America Finance, LLC	1.49%		199,637	0.04	%
Banks
	750,000	3/20/19	Citibank N.A	1.49%		750,515	0.15	%
	1,500,000	3/12/18	Commonwealth Bank of Australia	1.63%		1,502,096	0.30	%
	8,000,000	4/27/18	Credit Suisse AG	1.72%		8,028,664	1.57	%
	3,000,000	3/1/18	JPMorgan Chase & Co.	1.70%		3,003,680	0.59	%
	1,000,000	3/1/18	JPMorgan Chase & Co.	1.70%		1,001,227	0.20	%
	1,000,000	2/23/18	PNC Bank, National Association	1.50%		1,001,114	0.20	%
	463,000	12/7/18	PNC Bank, National Association	1.50%		464,854	0.09	%
	500,000	8/23/17	U.S. Bank National Association	1.50%		501,453	0.10	%
	806,000	9/11/17	U.S. Bank National Association	1.32%		806,974	0.16	%
	450,000	1/29/18	U.S. Bank National Association	1.45%		451,007	0.09	%
	1,000,000	6/1/17	UBS AG	1.38%		1,004,783	0.20	%
	4,750,000	6/1/17	UBS AG	1.61%		4,755,464	0.93	%
	358,000	3/26/18	UBS AG	1.80%		358,347	0.07	%
	500,000	4/25/18	UBS AG	5.75%		533,482	0.10	%
	1,722,000	9/8/17	Wells Fargo & Company	1.40%		1,723,351	0.34	%
Beverages
	3,617,000	1/15/18	Anheuser-Busch Companies, LLC	5.50%		3,770,582	0.74	%
Computers
	800,000	5/3/18	Apple Inc.	1.28%		804,099	0.16	%
	2,000,000	2/22/19	Apple Inc.	1.70%		2,011,029	0.39	%
	3,000,000	2/22/19	Apple Inc.	1.87%		3,045,736	0.60	%
	650,000	2/22/19	Apple Inc.	1.70%		653,584	0.13	%
Diversified financial services
	1,000,000	6/5/17	American Express Credit Corporation	1.37%		999,229	0.20	%
	450,000	3/3/20	American Express Credit Corporation	1.52%		450,135	0.09	%
	1,226,000	3/7/18	Berkshire Hathaway Finance Corporation	1.65%		1,233,868	0.24	%
	1,250,000	1/11/19	Berkshire Hathaway Finance Corporation	1.27%		1,256,538	0.25	%
	800,000	5/10/19	Branch Banking and Trust Company	1.56%		805,171	0.16	%
	400,000	12/15/17	Goldman Sachs Group, Inc.	1.93%		400,561	0.08	%
	1,189,000	1/18/18	Goldman Sachs Group, Inc.	5.95%		1,242,202	0.24	%
	3,500,000	2/15/19	Goldman Sachs Group, Inc.	7.50%		3,871,642	0.76	%
	3,000,000	4/25/19	Goldman Sachs Group, Inc.	2.08%		3,036,838	0.60	%
	3,600,000	10/15/18	Intercontinental Exchange, Inc.	2.50%		3,569,500	0.70	%
	1,000,000	4/10/17	Metropolitan Life Global Funding I	1.39%		1,003,088	0.20	%
	500,000	2/1/19	Morgan Stanley	2.45%		508,517	0.10	%
	8,125,000	2/9/18	MUFG Americas Holdings Corporation	1.61%		8,130,186	1.59	%
	1,500,000	10/5/17	NYSE Euronext	2.00%		1,519,413	0.30	%
	1,675,000	6/27/18	Pricoa Global Funding I	1.35%		1,678,494	0.33	%
	362,000	5/21/18	Principal Life Global Funding II	1.35%		362,784	0.07	%
	336,000	2/1/19	USAA Capital Corporation	1.26%		336,638	0.07	%
	4,500,000	12/14/17	Visa Inc.	1.20%		4,511,955	0.89	%
Energy
	955,000	2/28/19	Chevron Corporation	1.18%		956,206	0.19	%
	3,350,000	12/1/17	Kinder Morgan, Inc.	2.00%		3,381,646	0.66	%
	118,000	11/30/17	Pacific Gas and Electric Company	1.25%		118,207	0.02	%

The accompanying notes are an integral part of these consolidated financial statements.

Futures Portfolio Fund, Limited Partnership

Consolidated Condensed Schedule of Investments (continued)

March 31, 2017 (Unaudited)


			Description		Fair Value		% of Partners’ Capital (Net Asset Value)
U.S. Corporate Notes (continued)
	Face Value	Maturity Date	Name	Yield¹
Healthcare
$	10,000,000	6/7/18	Aetna Inc.	1.70%	$	10,103,733	1.97	%
	500,000	1/15/18	Anthem, Inc.	1.88%		502,779	0.10	%
	1,500,000	3/15/18	Medtronic, Inc.	1.50%		1,501,705	0.29	%
	7,775,000	4/1/18	Zimmer Biomet Holdings, Inc.	2.00%		7,868,145	1.55	%
Insurance
	828,000	12/15/17	AIG Global Funding	1.65%		832,575	0.16	%
	352,000	8/15/18	Berkshire Hathaway Inc.	1.15%		350,726	0.07	%
	1,614,000	10/30/17	New York Life Global Funding	1.30%		1,621,816	0.32	%
Manufacturing
	700,000	7/11/17	John Deere Capital Corporation	1.46%		703,210	0.14	%
Pharmaceuticals
	7,775,000	5/14/18	AbbVie Inc.	1.80%		7,837,667	1.54	%
Retail
	7,500,000	7/20/18	CVS Health Corporation	1.90%		7,545,354	1.48	%
	783,000	7/15/17	Dollar General Corporation	4.13%		796,147	0.16	%
	3,250,000	9/10/18	Home Depot, Inc.	2.25%		3,290,828	0.65	%
	310,000	4/15/17	Lowe`s Companies, Inc.	1.63%		312,328	0.06	%
Software
	1,400,000	8/8/19	Microsoft Corporation	1.10%		1,386,111	0.27	%
	900,000	7/7/17	Oracle Corporation	1.21%		902,764	0.18	%
	600,000	4/15/18	Oracle Corporation	5.75%		642,542	0.13	%
Telecommunications
	7,450,000	2/15/19	AT&T Inc.	5.80%		8,010,621	1.57	%
	4,000,000	9/20/19	Cisco Systems, Inc.	1.49%		4,012,429	0.79	%
	4,800,000	6/9/17	Verizon Communications Inc.	1.51%		4,800,683	0.94	%
	4,500,000	9/14/18	Verizon Communications Inc.	2.87%		4,590,385	0.90	%
Total U.S. corporate notes (cost: $162,429,254)						162,199,174	31.86	%

Foreign Corporate Notes
	Face Value	Maturity Date	Name	Yield¹
Banks
$	350,000	6/4/18	ABN AMRO Bank N.V.	1.80%		350,923	0.07	%
	539,000	10/30/18	ABN AMRO Bank N.V.	2.50%		548,726	0.11	%
	5,000,000	8/17/18	ING Bank N.V.	1.82%		5,038,630	0.99	%
	5,000,000	7/23/18	National Australia Bank Limited	1.68%		5,027,128	0.99	%
	1,000,000	7/27/18	Royal Bank of Canada	2.20%		1,010,819	0.20	%
	882,000	9/29/17	Swedbank AB	2.13%		884,880	0.17	%
	300,000	3/12/18	Swedbank AB	1.75%		300,206	0.06	%
	262,000	3/14/18	Swedbank AB	1.60%		262,176	0.05	%
	1,500,000	7/23/18	Toronto-Dominion Bank	1.58%		1,504,240	0.30	%
	500,000	1/22/19	Toronto-Dominion Bank	1.95%		504,104	0.10	%
Diversified financial services
	800,000	1/29/18	La Caisse Centrale Desjardins du Quebec	1.70%		804,677	0.16	%
Energy
	7,500,000	5/3/19	BP Capital Markets P.L.C.	1.68%		7,506,677	1.46	%
	1,000,000	5/10/17	Shell International Finance B.V.	1.35%		1,002,220	0.20	%
	7,500,000	9/12/19	Shell International Finance B.V.	1.38%		7,431,118	1.46	%
	608,000	1/15/18	Total Capital Canada Ltd.	1.45%		609,725	0.12	%

The accompanying notes are an integral part of these consolidated financial statements.

Futures Portfolio Fund, Limited Partnership

Consolidated Condensed Schedule of Investments (continued)

March 31, 2017 (Unaudited)

			Description		Fair Value		% of Partners’ Capital (Net Asset Value)
Foreign Corporate Notes (continued)
	Face Value	Maturity Date	Name	Yield¹
Pharmaceuticals
$	6,790,000	3/12/18	Actavis Funding SCS	2.20%	$	6,842,153	1.34	%
Total foreign corporate notes (cost: $39,387,912)						39,628,402	7.78	%
Total corporate notes (cost: $201,817,166)						201,827,576	39.64	%

U.S. Asset Backed Securities
	Face Value	Maturity Date	Name	Yield¹
Automotive
$	131,682	8/15/18	Ally Auto Receivables Trust 2016-1	1.20%	$	131,737.00	0.03	%
	638,916	10/15/18	Ally Auto Receivables Trust 2016-2	1.17%		639,183	0.13	%
	1,309,000	10/15/19	Ally Auto Receivables Trust 2017-1	1.38%		1,308,643	0.25	%
	128,779	1/8/19	AmeriCredit Automobile Receivables Trust 2006-A-F	1.07%		128,875	0.03	%
	618,293	6/10/19	AmeriCredit Automobile Receivables Trust 2014-3	1.15%		618,542	0.12	%
	273,104	4/8/19	AmeriCredit Automobile Receivables Trust 2015-4	1.26%		273,277	0.05	%
	150,000	5/18/20	AmeriCredit Automobile Receivables Trust 2017-1	1.51%		150,161	0.03	%
	313,652	7/15/24	Ari Fleet Lease Trust 2016-A	1.82%		314,241	0.06	%
	373,258	1/22/18	BMW Vehicle Lease Trust 2015-2	1.07%		373,317	0.07	%
	348,154	1/22/18	BMW Vehicle Lease Trust 2016-1	1.17%		348,259	0.07	%
	770,025	5/28/19	BMW Vehicle Owner Trust 2016-A	0.99%		769,139	0.15	%
	650,000	9/20/19	Capital Auto Receivables Asset Trust 2015-2	1.73%		651,098	0.13	%
	323,138	4/22/19	Capital Auto Receivables Asset Trust 2016-3	1.40%		323,373	0.06	%
	750,000	11/15/19	CarMax Auto Owner Trust 2016-4	1.21%		749,443	0.15	%
	394,519	2/7/27	Chesapeake Funding LLC	1.33%		393,481	0.08	%
	371,569	7/15/19	Drive Auto Receivables Trust 2016-B	1.67%		371,956	0.07	%
	350,000	11/15/19	Drive Auto Receivables Trust 2016-C	1.67%		350,221	0.07	%
	500,000	1/15/20	Drive Auto Receivables Trust 2017-A	1.77%		500,833	0.10	%
	394,387	2/22/21	Enterprise Fleet Financing, LLC	1.59%		394,610	0.08	%
	28,636	5/15/18	Fifth Third Auto Trust 2015-1	1.02%		28,647	0.01	%
	148,461	5/15/18	Ford Credit Auto Lease Trust 2015-B	1.04%		148,500	0.03	%
	929,580	11/15/18	Ford Credit Auto Lease Trust 2016-A	1.42%		930,622	0.18	%
	375,263	3/15/19	Ford Credit Auto Owner Trust 2016-B	1.08%		375,138	0.07	%
	500,000	7/20/19	GE Dealer Floorplan Master Note	1.36%		500,381	0.10	%
	14,925	1/15/19	Harley-Davidson Motorcycle Trust 2015-2	0.80%		14,927	0.00	%
	419,101	4/10/28	Hertz Fleet Lease Funding LP	1.26%		419,394	0.08	%
	278,513	7/23/18	Honda Auto Receivables 2015-4 Owner Trust	0.82%		278,311	0.05	%
	365,050	6/18/18	Honda Auto Receivables 2016-1 Owner Trust	1.01%		365,110	0.07	%
	1,269,549	9/17/18	Honda Auto Receivables 2016-2 Owner Trust	1.13%		1,269,699	0.24	%
	1,124,605	10/18/18	Honda Auto Receivables 2016-3 Owner Trust	1.01%		1,124,039	0.22	%
	1,100,000	5/15/19	Huntington Auto Trust 2016-1	1.29%		1,099,907	0.22	%
	464,079	7/16/18	Hyundai Auto Lease Securitization Trust 2016-A	1.46%		464,799	0.09	%
	210,236	11/15/18	Hyundai Auto Receivables Trust 2015-C	0.99%		210,160	0.04	%
	493,432	6/17/19	Hyundai Auto Receivables Trust 2016-A	1.21%		493,171	0.10	%
	800,000	2/18/20	Hyundai Auto Receivables Trust 2017-A	1.48%		800,066	0.16	%
	110,170	1/16/18	Mercedes-Benz Auto Lease Trust 2015-B	1.00%		110,191	0.02	%
	1,001,405	7/16/18	Mercedes-Benz Auto Lease Trust 2016-A	1.34%		1,002,003	0.20	%
	737,392	9/14/17	Mercedes-Benz Auto Receivables Trust 2016-1	1.11%		737,340	0.14	%
	509,000	5/15/19	Nissan Auto Receivables	1.07%		508,626	0.10	%
	49,376	8/15/18	Nissan Auto Receivables 2013-C Owner Trust	0.67%		49,367	0.01	%
	806,156	4/15/19	Nissan Auto Receivables 2016-B Owner Trust	1.05%		805,748	0.16	%
	185,771	9/16/19	Santander Drive Auto Receivables Trust 2015-5	1.58%		185,976	0.04	%
	400,000	11/15/19	Santander Drive Auto Receivables Trust 2016-3	1.34%		400,078	0.08	%

The accompanying notes are an integral part of these consolidated financial statements.

Futures Portfolio Fund, Limited Partnership

Consolidated Condensed Schedule of Investments (continued)

March 31, 2017 (Unaudited)

			Description			Fair Value	% of Partners’ Capital (Net Asset Value)
U.S. Asset Backed Securities (continued)
	Face Value	Maturity Date	Name	Yield¹
Automotive (continued)
$	281,000	2/18/20	Santander Drive Auto Receivables Trust 2017-1	1.49%	$	281,033	0.06	%
	17,455	2/15/18	Toyota Auto Receivables 2010-C Owner Trust	1.24%		17,466	0.00	%
	358,604	7/16/18	Toyota Auto Receivables 2016-A Owner Trust	1.03%		358,634	0.07	%
	551,000	1/15/19	Toyota Auto Receivables 2016-C Owner Trust	1.00%		550,658	0.11	%
	88,290	10/22/18	Volkswagen Auto Loan Enhanced Trust 2014-1	0.91%		88,171	0.02	%
Credit card
	1,500,000	4/15/20	American Express Credit Account Master Trust	1.49%		1,502,568	0.29	%
	1,000,000	1/15/20	BA Credit Card Trust	1.20%		1,001,108	0.20	%
	300,000	6/15/20	Cabela’s Credit Card Master Note Trust	1.45%		300,292	0.06	%
	786,000	1/15/21	Capital One Multi-Asset Execution Trust	1.39%		786,139	0.15	%
	1,000,000	10/15/19	Discover Card Execution Note Trust	1.22%		1,000,540	0.20	%
	350,000	11/16/20	Synchrony Credit Card Master Note Trust	1.61%		350,593	0.07	%
	1,000,000	3/15/21	World Financial Network Credit Card Master Note Trust	1.26%		1,000,570	0.20	%
Other
	242,766	3/23/20	Dell Equipment Finance Trust 2015-1	1.30%		242,777	0.05	%
	700,000	9/22/20	Dell Equipment Finance Trust 2015-2	1.72%		699,881	0.14	%
Student loans
	42,018	8/15/22	SLM Private Education Loan Trust 2013-A	1.51%		42,085	0.01	%
Total U.S. asset backed securities (cost: $29,332,716)						29,335,104	5.77	%
Total investments in securities (cost: $377,837,724)					$	378,004,378	74.24	%

CERTIFICATES OF DEPOSIT
U.S. Certificates of Deposit
	Face Value	Maturity Date	Name	Yield¹
Banks
$	750,000	6/30/17	Bank of Montreal	1.10%	$	756,198	0.14	%
	800,000	5/16/17	Bank of Nova Scotia	1.29%		806,908	0.15	%
	1,000,000	1/24/18	Bank of Tokyo-Mitsubishi UFJ, Ltd.	1.70%		1,004,044	0.20	%
	1,000,000	12/6/17	Barclays Bank PLC	1.68%		1,003,173	0.20	%
	1,000,000	5/24/17	Canadian Imperial Bank of Commerce	1.45%		1,002,114	0.20	%
	500,000	7/7/17	Citibank, N.A.	1.16%		500,569	0.10	%
	1,650,000	9/12/17	Credit Suisse Group AG	1.75%		1,655,554	0.33	%
	1,300,000	12/12/17	Lloyds Bank PLC	1.57%		1,304,002	0.26	%
	400,000	12/20/17	Lloyds Bank PLC	1.60%		401,137	0.08	%
	2,000,000	7/13/17	Mizuho Bank, Ltd.	1.30%		2,019,780	0.40	%
	1,408,000	5/24/17	National Bank of Canada	1.45%		1,410,977	0.28	%
	1,900,000	1/31/18	Norinchukin Bank	1.63%		1,906,903	0.37	%
	1,500,000	4/3/17	Shizuoka Bank, Ltd.	1.10%		1,504,005	0.30	%
	1,000,000	7/19/17	Sumitomo Mitsui Banking Corporation	1.45%		1,011,065	0.20	%
	1,000,000	10/12/17	Sumitomo Mitsui Banking Corporation	1.50%		1,007,698	0.20	%
	1,500,000	7/20/17	Sumitomo Mitsui Trust Bank Ltd	1.50%		1,517,292	0.30	%
	1,000,000	8/8/17	Sumitomo Mitsui Trust Bank Ltd	1.53%		1,011,033	0.20	%
	1,500,000	7/30/18	Svenska Handelsbanken AB	1.39%		1,503,137	0.30	%
	1,700,000	7/13/17	Toronto-Dominion Bank	1.20%		1,714,991	0.34	%
	750,000	7/14/17	Westpac Banking Corporation	1.23%		756,815	0.14	%
Diversified financial services
	750,000	1/4/18	Private Export Funding Corporation	1.31%		753,146	0.14	%

The accompanying notes are an integral part of these consolidated financial statements.

Futures Portfolio Fund, Limited Partnership

Consolidated Condensed Schedule of Investments (continued)

March 31, 2017 (Unaudited)

			Description		Fair Value			% of Partners’ Capital (Net Asset Value)
U.S. Certificates of Deposit (continued)
	Face Value	Maturity Date	Name	Yield¹
Diversified financial services (continued)
$	600,000	1/19/18	Private Export Funding Corporation	1.34%	$	602,194		0.11	%
	1,000,000	2/1/18	Private Export Funding Corporation	1.33%		1,003,115		0.20	%
	900,000	7/14/17	State Street Bank And Trust Company	1.48%		903,959		0.17	%
Total U.S. certificates of deposit (cost: $26,906,944)						27,059,809		5.31	%

Foreign Certificates of Deposit
	Face Value	Maturity Date	Name	Yield¹
Banks
$	500,000	11/13/17	BP Capital Markets P.L.C.	3.10%		495,324		0.10	%
	500,000	12/8/17	BP Capital Markets P.L.C.	3.23%		494,663		0.10	%
Total Foreign certificates of deposit (cost: $985,431)						989,987		0.20	%
Total certificates of deposit (cost: $27,892,375)					$	28,049,796		5.51	%

OPEN FUTURES CONTRACTS
Long U.S. Futures Contracts
			Agricultural commodities		$	104,815		0.02	%
			Currencies			1,184,112		0.23	%
			Energy			184,210		0.05	%
			Equity indices			1,115,683		0.22	%
			Interest rate instruments			1,321,140		0.26	%
			Metals			1,179,600		0.23	%
			Single stock futures			220,935		0.04	%
Net unrealized gain (loss) on open long U.S. futures contracts						5,310,495		1.05	%

Short U.S. Futures Contracts
			Agricultural commodities			3,066,537		0.60	%
			Currencies			(2,018,572	)	(0.40	)%
			Energy			(2,823,711	)	(0.55	)%
			Equity indices			244,792		0.05	%
			Interest rate instruments			(778,923	)	(0.15	)%
			Metals			(1,260,770	)	(0.25	)%
			Single stock futures			(77,661	)	(0.02	)%
Net unrealized gain (loss) on open short U.S. futures contracts						(3,648,308	)	(0.72	)%

Total U.S. Futures Contracts - Net unrealized gain (loss) on open U.S. futures contracts						1,662,187		0.33	%

Long Foreign Futures Contracts
			Agricultural commodities			(8,485	)	0.00	%
			Currencies			103,257		0.02	%
			Energy			17,876		0.00	%
			Equity indices			2,552,440		0.50	%
			Interest rate instruments			1,644,893		0.33	%
			Metals			7,388		0.00	%
			Single stock futures			14,417		0.00	%
Net unrealized gain (loss) on open long foreign futures contracts						4,331,786		0.85	%

The accompanying notes are an integral part of these consolidated financial statements.

Futures Portfolio Fund, Limited Partnership

Consolidated Condensed Schedule of Investments (continued)

March 31, 2017 (Unaudited)

	Description	Fair Value			% of Partners’ Capital (Net Asset Value)
Short Foreign Futures Contracts
	Agricultural commodities		10,704		0.00	%
	Currencies		(321,850	)	(0.06	)%
	Energy		(84,263	)	(0.02	)%
	Equity indices		(86,808	)	(0.02	)%
	Interest rate instruments		(3,334,447	)	(0.65	)%
	Metals		22		0.00	%
Net unrealized gain (loss) on open short foreign futures contracts			(3,816,642	)	(0.75	)%

Total foreign futures contracts - net unrealized gain (loss) on open foreign futures contracts			515,144		0.10	%

Net unrealized gain (loss) on open futures contracts		$	2,177,331		0.43	%

OPEN FORWARD CURRENCY CONTRACTS
U.S. Forward Currency Contracts
	Long	$	1,048,626		0.21	%
	Short		(2,335,996	)	(0.46	)%
Net unrealized gain (loss) on open U.S. forward currency contracts			(1,287,370	)	(0.25	)%

Foreign Forward Currency Contracts
	Long		(577,254	)	(0.11	)%
	Short		1,094,379		0.21	%
Net unrealized gain (loss) on open foreign forward currency contracts			517,125		0.10	%

Net unrealized gain (loss) on open forward currency contracts		$	(770,245	)	(0.15	)%

¹Represents the annualized yield at date of purchase for discount securities, the stated coupon rate for coupon-bearing securities, or the stated interest rate for certificates of deposit.

No individual futures or forward currency contract position constituted one percent or greater 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 consolidated financial statements.

Futures Portfolio Fund, Limited Partnership
Consolidated Condensed Schedule of Investments
December 31, 2016

				Description		Fair Value		% of Partners’ Capital (Net Asset Value)
INVESTMENTS IN SECURITIES
	U.S. Treasury Securities
	Face Value		Maturity Date	Name	Yield¹
	$	20,000,000	1/12/17	U.S. Treasury	0.29%	$	19,997,500	3.55	%
		7,650,000	1/31/17	U.S. Treasury	0.50%		7,665,089	1.36	%
		20,000,000	2/16/17	U.S. Treasury	0.43%		19,988,642	3.55	%
		6,950,000	2/28/17	U.S. Treasury	0.50%		6,960,695	1.24	%
		20,000,000	3/16/17	U.S. Treasury	0.49%		19,979,583	3.55	%
		3,000,000	5/31/17	U.S. Treasury	0.63%		3,001,528	0.53	%
		4,900,000	8/15/17	U.S. Treasury	0.88%		4,920,747	0.87	%
		5,000,000	8/31/17	U.S. Treasury	1.88%		5,067,204	0.90	%
		1,500,000	3/31/18	U.S. Treasury	2.88%		1,546,105	0.27	%
		2,200,000	10/31/18	U.S. Treasury	0.75%		2,186,601	0.39	%
	Total U.S. Treasury securities (cost: $91,318,791)						91,313,694	16.21	%

	U.S. Commercial Paper
		Face Value	Maturity Date	Name	Yield¹
	Automotive
	$	500,000	1/11/17	American Honda Finance Corporation	0.63%		499,912	0.09	%
		1,500,000	1/27/17	American Honda Finance Corporation	0.66%		1,499,285	0.27	%
		1,200,000	2/16/17	Caterpillar Financial Services Corporation	1.00%		1,198,467	0.21	%
		1,900,000	1/24/17	Ford Motor Credit Company LLC	0.92%		1,898,883	0.34	%
		750,000	11/6/17	Ford Motor Credit Company LLC	1.93%		737,696	0.13	%
		2,000,000	1/20/17	Hyundai Capital America	1.02%		1,998,923	0.35	%
		500,000	1/5/17	Nissan Motor Acceptance Corporation	0.80%		499,956	0.09	%
	Banks
		500,000	2/21/17	Credit Suisse (USA), Inc.	0.90%		499,363	0.09	%
		1,700,000	8/24/17	Danske Corporation	1.51%		1,683,257	0.30	%
		1,500,000	1/23/17	Mitsubishi UFJ Trust & Banking Corp	0.93%		1,499,148	0.27	%
		500,000	2/3/17	Mitsubishi UFJ Trust & Banking Corp	0.87%		499,601	0.09	%
		2,100,000	1/17/17	Mizuho Bank, Ltd.	0.88%		2,099,179	0.37	%
		400,000	2/16/17	Oversea-Chinese Banking Corporation Ltd	0.89%		399,545	0.07	%
		1,800,000	9/12/17	Standard Chartered Bank	1.52%		1,780,787	0.32	%
		500,000	1/18/17	Sumitomo Mitsui Banking Corporation	0.80%		499,811	0.09	%
		1,600,000	2/1/17	Sumitomo Mitsui Banking Corporation	0.86%		1,598,815	0.28	%
		500,000	3/14/17	Toronto Dominion Holdings (U.S.A.), Inc.	1.03%		498,970	0.09	%
		1,500,000	3/24/17	Toronto Dominion Holdings (U.S.A.), Inc.	1.03%		1,496,481	0.27	%
		2,000,000	2/21/17	United Overseas Bank Limited	0.90%		1,997,450	0.35	%
	Beverages
		1,600,000	1/6/17	Brown-Forman Corporation	0.60%		1,599,867	0.28	%
		500,000	1/9/17	Brown-Forman Corporation	0.73%		499,919	0.09	%
	Diversified financial services
		2,200,000	2/2/17	American Express Credit Corporation	0.97%		2,198,103	0.39	%
		1,600,000	1/10/17	DCAT, LLC	0.83%		1,599,668	0.28	%
		1,500,000	3/7/17	Gotham Funding Corporation	1.03%		1,497,210	0.27	%
		500,000	1/27/17	Intercontinental Exchange, Inc.	0.59%		499,787	0.09	%
		1,600,000	2/13/17	Intercontinental Exchange, Inc.	0.82%		1,598,433	0.28	%
		1,600,000	2/1/17	J.P. Morgan Securities LLC	0.80%		1,598,898	0.28	%
		1,600,000	1/26/17	Liberty Street Funding LLC	0.70%		1,599,222	0.28	%
		1,500,000	1/10/17	Manhattan Asset Funding Company LLC	0.80%		1,499,700	0.27	%
	Electronics
		1,300,000	1/19/17	Amphenol Corporation	0.95%		1,299,382	0.23	%

The accompanying notes are an integral part of these consolidated financial statements.

Futures Portfolio Fund, Limited Partnership
Consolidated Condensed Schedule of Investments (continued)
December 31, 2016

			Description			Fair Value	% of Partners’ Capital (Net Asset Value)
U.S. Commercial Paper (continued)
	Face Value	Maturity Date	Name	Yield¹
Energy
$	1,400,000	1/17/17	Dominion Resources, Inc.	0.97%	$	1,399,396	0.25	%
	500,000	1/17/17	Dominion Resources, Inc.	1.03%		499,771	0.09	%
	2,000,000	1/6/17	Enterprise Products Operating LLC	0.97%		1,999,731	0.36	%
	500,000	1/25/17	Sempra Energy Global Enterprises	1.15%		499,617	0.09	%
Healthcare
	2,100,000	1/5/17	Catholic Health Initiatives	0.83%		2,099,806	0.37	%
Household products
	400,000	1/9/17	Unilever Capital Corporation	0.54%		399,952	0.07	%
Insurance
	2,200,000	1/13/17	Nationwide Life Insurance Company	0.58%		2,199,575	0.39	%
Manufacturing
	500,000	1/12/17	Parker-Hannifin Corporation	0.90%		499,863	0.09	%
Media
	1,500,000	1/25/17	CBS Corporation	1.00%		1,499,000	0.27	%
Pharmaceuticals
	2,200,000	3/20/17	Pfizer Inc.	0.71%		2,196,514	0.39	%
REIT
	400,000	1/4/17	Simon Property Group, L.P.	0.62%		399,979	0.07	%
Total U.S. commercial paper (cost: $52,010,283)						52,068,922	9.25	%

Foreign Commercial Paper
	Face Value	Maturity Date	Name	Yield¹
Automotive
$	400,000	1/10/17	John Deere Financial Limited	0.66%		399,933	0.07	%
	2,100,000	1/4/17	Magna International Inc.	0.92%		2,099,839	0.37	%
Banks
	900,000	3/6/17	Bank of China Limited	1.23%		897,982	0.16	%
	1,500,000	1/4/17	DBS Bank Ltd.	0.87%		1,499,891	0.27	%
	400,000	3/9/17	Nordea Bank AB	1.00%		399,256	0.07	%
Chemical
	500,000	1/6/17	BASF SE	0.60%		499,958	0.09	%
	1,500,000	1/9/17	BASF SE	1.16%		1,499,788	0.27	%
Diversified financial services
	316,581	1/25/17	ICBCIL Finance Co. Limited	1.32%		316,295	0.06	%
	500,000	1/4/17	KfW	0.76%		499,969	0.09	%
Energy
	1,200,000	1/6/17	Electricite de France	1.56%		1,199,838	0.21	%
	800,000	1/9/17	Electricite de France	1.56%		799,844	0.14	%
Household products
	500,000	2/7/17	Reckitt Benckiser Treasury Services PLC	0.80%		499,589	0.09	%
	1,800,000	8/30/17	Reckitt Benckiser Treasury Services PLC	1.26%		1,784,813	0.31	%
Telecommunication
	400,000	1/23/17	Telstra Corporation Limited	0.80%		399,804	0.07	%
	1,700,000	2/28/17	Telstra Corporation Limited	0.90%		1,697,535	0.30	%
	1,200,000	9/13/17	Vodafone Group PLC	1.63%		1,186,191	0.21	%
Total foreign commercial paper (cost: $15,607,946)						15,680,525	2.78	%
Total commercial paper (cost: $67,618,229)						67,749,447	12.03	%

The accompanying notes are an integral part of these consolidated financial statements.

Futures Portfolio Fund, Limited Partnership
Consolidated Condensed Schedule of Investments (continued)
December 31, 2016

			Description		Fair Value		% of Partners’ Capital (Net Asset Value)
U.S. Corporate Notes
	Face Value	Maturity Date	Name	Yield¹
Automotive
$	566,000	7/13/18	American Honda Finance Corporation	1.34%	$	569,573	0.10	%
	368,000	2/22/19	American Honda Finance Corporation	1.74%		372,243	0.07	%
	438,000	3/10/17	Daimler Finance North America LLC	1.13%		439,422	0.08	%
	649,000	8/3/17	Daimler Finance North America LLC	1.59%		652,390	0.12	%
	6,700,000	3/2/18	Daimler Finance North America LLC	1.35%		6,706,690	1.19	%
	7,350,000	1/9/18	Ford Motor Credit Company LLC	1.81%		7,400,100	1.31	%
	1,422,000	4/6/18	Nissan Motor Acceptance Corporation	1.66%		1,435,476	0.25	%
	1,000,000	3/27/17	Toyota Motor Credit Corporation	1.33%		1,000,899	0.18	%
	891,000	12/5/17	Toyota Motor Credit Corporation	1.19%		892,468	0.16	%
	670,000	2/19/19	Toyota Motor Credit Corporation	1.73%		679,133	0.12	%
	500,000	5/23/17	Volkswagen Group of America Finance, LLC	1.29%		499,164	0.09	%
	200,000	11/20/17	Volkswagen Group of America Finance, LLC	1.35%		199,352	0.04	%
Banks
	500,000	2/13/17	Capital One Bank	1.20%		502,199	0.09	%
	8,000,000	4/27/18	Credit Suisse AG	1.57%		8,069,458	1.43	%
	4,000,000	3/1/18	JPMorgan Chase & Co.	1.70%		4,023,507	0.71	%
	1,000,000	2/23/18	PNC Realty Investors, Inc.	1.50%		1,003,956	0.18	%
	463,000	12/7/18	PNC Realty Investors, Inc.	1.35%		463,643	0.08	%
	500,000	8/23/17	U.S. Bank National Association	1.37%		501,735	0.09	%
	806,000	9/11/17	U.S. Bank National Association	1.15%		806,963	0.14	%
	450,000	1/29/18	U.S. Bank National Association	1.45%		452,407	0.08	%
	1,722,000	9/8/17	Wells Fargo & Company	1.40%		1,727,540	0.31	%
	834,000	1/22/18	Wells Fargo Bank, National Association	1.62%		840,655	0.15	%
Beverages
	3,617,000	1/15/18	Anheuser-Busch Companies, LLC	5.50%		3,836,664	0.68	%
Computers
	800,000	5/3/18	Apple Inc.	1.13%		802,275	0.14	%
	3,000,000	2/22/19	Apple Inc.	1.74%		3,049,814	0.54	%
	2,650,000	2/22/19	Apple Inc.	1.70%		2,672,669	0.47	%
Diversified financial services
	1,000,000	6/5/17	American Express Credit Corporation	1.21%		998,959	0.18	%
	1,226,000	3/7/18	Berkshire Hathaway Finance Corporation	1.50%		1,233,955	0.22	%
	1,400,000	4/3/17	Branch Banking and Trust Company	1.00%		1,403,036	0.25	%
	800,000	5/10/19	Branch Banking and Trust Company	1.42%		803,043	0.14	%
	400,000	12/15/17	Goldman Sachs Group, Inc.	1.76%		400,933	0.07	%
	3,500,000	2/15/19	Goldman Sachs Group, Inc.	7.50%		3,975,907	0.71	%
	3,000,000	4/25/19	Goldman Sachs Group, Inc.	1.92%		3,031,530	0.54	%
	3,600,000	10/15/18	Intercontinental Exchange, Inc.	2.50%		3,665,080	0.65	%
	798,000	4/5/17	Massmutual Global Funding II C	2.00%		803,787	0.14	%
	3,500,000	4/10/17	Metropolitan Life Global Funding I	1.30%		3,512,208	0.62	%
	1,000,000	4/10/17	Metropolitan Life Global Funding I	1.26%		1,003,471	0.18	%
	5,900,000	1/9/17	Morgan Stanley	5.45%		6,058,939	1.08	%
	500,000	2/1/19	Morgan Stanley	2.45%		508,144	0.09	%
	8,125,000	2/9/18	MUFG Americas Holdings Corporation	1.46%		8,130,157	1.44	%
	1,500,000	10/5/17	NYSE Euronext	2.00%		1,515,097	0.27	%
	1,675,000	6/27/18	Pricoa Global Funding I	1.35%		1,672,724	0.30	%
	1,800,000	12/1/17	Principal Life Global Funding II	1.43%		1,809,491	0.32	%
	362,000	5/21/18	Principal Life Global Funding II	1.21%		362,357	0.06	%
	1,000,000	6/1/17	UBS AG	1.38%		1,000,895	0.18	%
	4,750,000	6/1/17	UBS AG	1.49%		4,758,282	0.84	%

The accompanying notes are an integral part of these consolidated financial statements.

Futures Portfolio Fund, Limited Partnership
Consolidated Condensed Schedule of Investments (continued)
December 31, 2016

			Description			Fair Value	% of Partners’ Capital (Net Asset Value)
U.S. Corporate Notes (continued)
	Face Value	Maturity Date	Name	Yield¹
Diversified financial services (continued)
$	358,000	3/26/18	UBS AG	1.80%	$	359,901	0.06	%
	4,500,000	12/14/17	Visa Inc.	1.20%		4,498,725	0.80	%
Energy
	3,350,000	12/1/17	Kinder Morgan, Inc.	2.00%		3,361,647	0.60	%
	118,000	11/30/17	Pacific Gas and Electric Company	1.13%		118,152	0.02	%
Healthcare
	10,000,000	6/7/18	Aetna Inc.	1.70%		10,008,433	1.78	%
	500,000	1/15/18	Anthem, Inc.	1.88%		505,068	0.09	%
	1,500,000	3/15/18	Medtronic, Inc.	1.50%		1,507,690	0.27	%
	7,750,000	1/17/17	UnitedHealth Group Incorporated	1.33%		7,776,410	1.38	%
	7,775,000	4/1/18	Zimmer Biomet Holdings, Inc.	2.00%		7,833,002	1.39	%
Insurance
	828,000	12/15/17	AIG Global Funding	1.65%		829,366	0.15	%
	352,000	8/15/18	Berkshire Hathaway Inc.	1.15%		351,702	0.06	%
	1,000,000	3/1/17	New York Life Global Funding	1.13%		1,003,673	0.18	%
	1,614,000	10/30/17	New York Life Global Funding	1.30%		1,618,469	0.29	%
Manufacturing
	994,000	11/20/17	Caterpillar Financial Services Corporation	1.16%		996,206	0.18	%
	789,000	2/23/18	Caterpillar Financial Services Corporation	1.62%		794,323	0.14	%
	1,000,000	1/9/17	General Electric Capital Corporation	1.16%		1,002,681	0.18	%
	241,000	2/25/17	Illinois Tool Works Inc.	0.90%		241,648	0.04	%
	700,000	7/11/17	John Deere Capital Corporation	1.33%		703,523	0.12	%
	1,000,000	1/8/19	John Deere Capital Corporation	1.45%		1,009,224	0.18	%
Pharmaceuticals
	7,775,000	5/14/18	AbbVie Inc.	1.80%		7,795,293	1.38	%
	500,000	3/17/17	EMD Fin LLC	1.34%		500,118	0.09	%
Retail
	7,500,000	7/20/18	CVS Health Corporation	1.90%		7,592,379	1.35	%
	783,000	7/15/17	Dollar General Corporation	4.13%		809,225	0.14	%
	4,750,000	9/10/18	Home Depot, Inc.	2.25%		4,843,088	0.86	%
	310,000	4/15/17	Lowe’s Companies, Inc.	1.63%		311,377	0.06	%
Software
	1,400,000	8/8/19	Microsoft Corporation	1.10%		1,386,517	0.25	%
	900,000	7/7/17	Oracle Corporation	1.07%		902,674	0.16	%
	600,000	4/15/18	Oracle Corporation	5.75%		641,357	0.11	%
Telecommunications
	6,750,000	2/15/19	AT&T Inc.	5.80%		7,395,105	1.31	%
	4,000,000	9/20/19	Cisco Systems, Inc.	1.34%		3,989,903	0.71	%
	4,800,000	6/9/17	Verizon Communications Inc.	1.35%		4,804,623	0.85	%
	4,500,000	9/14/18	Verizon Communications Inc.	2.71%		4,609,325	0.82	%
Total U.S. corporate notes (cost: $186,803,378)						186,349,217	33.08	%

Foreign Corporate Notes
	Face Value	Maturity Date	Name	Yield¹
Banks
$	1,000,000	2/2/17	ABN AMRO Bank N.V.	4.25%		1,019,746	0.18	%
	1,998,000	3/13/17	Commonwealth Bank of Australia	1.32%		2,000,199	0.36	%
	548,000	1/19/17	Cooperatieve Rabobank U.A.	3.38%		556,823	0.10	%
	5,000,000	8/17/18	ING Bank N.V.	1.69%		5,030,139	0.89	%
	500,000	2/22/17	Macquarie Bank Limited	5.00%		511,460	0.09	%

The accompanying notes are an integral part of these consolidated financial statements.

Futures Portfolio Fund, Limited Partnership
Consolidated Condensed Schedule of Investments (continued)
December 31, 2016

			Description		Fair Value		% of Partners’ Capital (Net Asset Value)
Foreign Corporate Notes (continued)
	Face Value	Maturity Date	Name	Yield¹
Banks (continued)
$	5,000,000	7/23/18	National Australia Bank Limited	1.52%	$	4,989,884	0.89	%
	1,800,000	4/4/17	Svenska Handelsbanken AB	2.88%		1,820,925	0.32	%
	882,000	9/29/17	Swedbank AB	2.13%		890,977	0.16	%
	262,000	3/14/18	Swedbank AB	1.60%		262,636	0.05	%
	1,500,000	7/23/18	Toronto-Dominion Bank	1.42%		1,502,123	0.27	%
Diversified financial services
	800,000	1/29/18	Caisse centrale Desjardins	1.55%		801,324	0.14	%
	222,000	1/13/17	Hutchison Whampoa International Ltd	3.50%		225,713	0.04	%
Energy
	7,500,000	5/3/19	BP Capital Markets P.L.C.	1.68%		7,471,652	1.32	%
	1,000,000	5/10/17	Shell International Finance B.V.	1.20%		1,002,302	0.18	%
	7,500,000	9/12/19	Shell International Finance B.V.	1.38%		7,443,624	1.32	%
	608,000	1/15/18	Total Capital Canada Ltd.	1.45%		611,937	0.11	%
Pharmaceuticals
	6,790,000	3/12/18	Actavis Funding SCS	2.03%		6,864,143	1.22	%
Total foreign corporate notes (cost: $42,916,443)						43,005,607	7.64	%
Total corporate notes (cost: $229,719,821)						229,354,824	40.72	%

U.S. Asset Backed Securities
	Face Value	Maturity Date	Name	Yield¹
Automotive
$	1,022,130	10/15/18	Ally Auto Receivables Trust	1.17%	$	1,023,206	0.18	%
	123,315	3/15/18	Ally Auto Receivables Trust 2015-2	0.98%		123,367	0.02	%
	233,814	8/15/18	Ally Auto Receivables Trust 2016-1	1.20%		234,067	0.04	%
	352,606	1/8/19	AmeriCredit Auto Receivables Tr 2006-A-F	1.07%		352,765	0.06	%
	65,751	2/8/19	AmeriCredit Auto Receivables Tr 2006-A-F	0.90%		65,780	0.01	%
	1,042,386	6/10/19	AmeriCredit Auto Receivables Tr 2014-3	1.15%		1,042,699	0.19	%
	464,554	4/8/19	AmeriCredit Auto Receivables Tr 2015-4	1.26%		464,960	0.08	%
	375,000	7/15/24	ARI Fleet Lease Trust	1.82%		376,106	0.07	%
	28,531	4/16/18	Bank of the West Auto Trust 2015-1	0.87%		28,538	0.01	%
	536,454	1/22/18	BMW Vehicle Lease Trust	1.17%		536,740	0.10	%
	782,699	1/22/18	BMW Vehicle Lease Trust 2015-2	1.07%		782,893	0.14	%
	812,000	5/28/19	BMW Vehicle Owner Trust 2016-A	0.99%		811,096	0.14	%
	346,511	7/20/18	Capital Auto Receivables Asset Tr 2013-4	1.47%		346,792	0.06	%
	650,000	9/20/19	Capital Auto Receivables Asset Tr 2015-2	1.73%		651,017	0.12	%
	25,157	10/20/17	Capital Auto Receivables Asset Trust 2015-2	1.14%		25,166	0.00	%
	101,681	6/15/18	CarMax Auto Owner Trust 2015-2	0.82%		101,697	0.02	%
	750,000	11/15/19	CarMax Auto Owner Trust 2016-4	1.21%		751,138	0.13	%
	443,244	2/7/27	Chesapeake Funding LLC	1.03%		440,255	0.08	%
	400,000	7/15/19	Drive Auto Receivables Trust	1.67%		400,713	0.07	%
	350,000	11/15/19	Drive Auto Receivables Trust	1.67%		350,480	0.06	%
	115,451	5/15/18	Fifth Third Auto Trust 2015-1	1.02%		115,503	0.02	%
	314,757	5/15/18	Ford Credit Auto Lease Trust 2015-B	1.04%		314,885	0.06	%
	1,250,893	11/15/18	Ford Credit Auto Lease Trust 2016-A	1.42%		1,253,627	0.22	%
	494,027	3/15/19	Ford Credit Auto Owner Trust 2016-B	1.08%		494,197	0.09	%
	342,000	1/15/19	Ford Credit Floorplan Master Owner Tr A	1.92%		342,432	0.06	%
	500,000	7/20/19	GE Dealer Floorplan Master Note	1.12%		500,272	0.09	%
	182,367	1/15/19	Harley-Davidson Motorcycle Trust 2015-2	0.80%		182,377	0.03	%
	581,076	4/10/28	Hertz Fleet Lease Funding LP	0.94%		581,309	0.10	%
	439,595	7/23/18	Honda Auto Receivables 2015-4 Owner Tr	0.82%		439,411	0.08	%

The accompanying notes are an integral part of these consolidated financial statements.

Futures Portfolio Fund, Limited Partnership
Consolidated Condensed Schedule of Investments (continued)
December 31, 2016

			Description			Fair Value	% of Partners’ Capital (Net Asset Value)
U.S. Asset Backed Securities (continued)
	Face Value	Maturity Date	Name	Yield¹
Automotive (continued)
$	566,271	6/18/18	Honda Auto Receivables 2016-1 Owner Tr	1.01%	$	566,286	0.10	%
	1,460,000	9/17/18	Honda Auto Receivables 2016-2 Owner Tr	1.13%		1,461,410	0.25	%
	89,102	11/20/17	Honda Auto Receivables Owner Trust	0.92%		89,134	0.02	%
	1,300,000	10/18/18	Honda Auto Receivables Owner Trust	1.01%		1,299,232	0.23	%
	1,100,000	5/15/19	Huntington Auto Trust 2016-1	1.29%		1,100,244	0.20	%
	606,644	7/16/18	Hyundai Auto Lease Sec Tr 2016-A	1.25%		607,580	0.11	%
	326,831	11/15/18	Hyundai Auto Receivables Trust 2015-C	0.99%		326,729	0.06	%
	626,552	6/17/19	Hyundai Auto Receivables Trust 2016-A	1.21%		626,743	0.11	%
	386,868	1/16/18	Mercedes-Benz Auto Lease Trust 2015-B	1.00%		386,931	0.07	%
	761,000	9/14/17	Mercedes-Benz Auto Receivables Trust	1.11%		761,153	0.14	%
	1,451,302	7/16/18	Mercedes-Benz Auto Receivables Trust	1.34%		1,453,171	0.25	%
	108,170	11/15/17	Nissan Auto Lease Trust 2015-A	1.05%		108,234	0.02	%
	509,000	5/15/19	Nissan Auto Receivables	1.07%		508,353	0.09	%
	136,517	8/15/18	Nissan Auto Receivables 2013-C Owner Tr	0.67%		136,506	0.02	%
	1,005,000	4/15/19	Nissan Auto Receivables 2016-B Owner Tr	1.05%		1,004,462	0.18	%
	61,619	11/15/18	Santander Drive Auto Receivables Tr 2015-5	1.12%		61,657	0.01	%
	225,000	9/16/19	Santander Drive Auto Receivables Tr 2015-5	1.58%		225,383	0.04	%
	400,000	11/15/19	Santander Drive Auto Receivables Trust	1.34%		400,238	0.07	%
	533,172	8/15/17	Toyota Auto Receivables Owner Trust	1.03%		533,407	0.09	%
	126,761	2/15/18	Toyota Auto Receivables Owner Trust	1.03%		126,827	0.02	%
	551,000	1/15/19	Toyota Auto Receivables Owner Trust	1.00%		550,301	0.10	%
	168,728	10/22/18	Volkswagen Auto Loan Enhanced Tr 2014-1	0.91%		168,436	0.03	%
	106,375	4/20/18	Volkswagen Auto Loan Enhanced Trust 2013-2	0.70%		106,331	0.02	%
Commercial mortgages
	592,970	1/15/49	Banc of America Commercial Mort Tr 2007-1	5.43%		595,067	0.11	%
Credit card
	1,500,000	4/15/20	American Express Credit Account Master Tr	1.49%		1,504,346	0.27	%
	1,000,000	1/15/20	BA Credit Card Trust	0.99%		1,000,649	0.18	%
	300,000	6/15/20	Cabela’s Credit Card Master Note Trust	1.45%		300,742	0.05	%
	1,500,000	1/15/20	Capital One Multi-Asset Execution Trust	1.26%		1,501,670	0.26	%
	1,500,000	2/22/19	Citibank Credit Card Issuance Trust	1.02%		1,505,422	0.27	%
	1,000,000	10/15/19	Discover Card Execution Note Trust	1.22%		1,000,875	0.18	%
	350,000	11/16/20	Synchrony Credit Card Master Note Trust	1.61%		350,992	0.06	%
	1,000,000	3/15/21	World Fin Network Credit Card Master Note Tr	1.26%		1,001,440	0.18	%
Other
	55,981	8/15/18	CNH Equipment Trust 2013-B	0.69%		55,985	0.01	%
	700,000	9/22/20	Dell Equipment Finance Trust	1.72%		700,091	0.12	%
	500,000	3/23/20	Dell Equipment Finance Trust 2015-1	1.30%		500,063	0.09	%
	103,639	2/15/18	John Deere Owner Trust 2015	0.87%		103,665	0.02	%
	35,668	12/15/17	Kubota Credit Owner Trust 2015-1	0.94%		35,680	0.01	%
Student loans
	8,941	8/15/25	SLM Private Education Loan Trust 2012-A	2.10%		8,954	0.00	%
	29,942	10/16/23	SLM Private Education Loan Trust 2012-E	1.45%		29,962	0.01	%
	84,411	8/15/22	SLM Private Education Loan Trust 2013-A	1.30%		84,526	0.02	%
Total U.S. asset backed securities (cost: $36,030,992)						36,022,365	6.40	%
Total investments in securities (cost: $424,687,833)					$	424,440,330	75.36	%

The accompanying notes are an integral part of these consolidated financial statements.

Futures Portfolio Fund, Limited Partnership
Consolidated Condensed Schedule of Investments (continued)
December 31, 2016

				Description			Fair Value		% of Partners’ Capital (Net Asset Value)
CERTIFICATES OF DEPOSIT
	U.S. Certificates of Deposit
		Face Value	Maturity Date	Name	Yield¹
	Banks
	$	750,000	6/30/17	Bank of Montreal	1.10%	$	753,644		0.13	%
		1,500,000	8/16/17	Bank of Montreal	1.39%		1,505,016		0.27	%
		800,000	5/16/17	Bank of Nova Scotia	1.29%		804,470		0.14	%
		1,000,000	12/6/17	Barclays Bank PLC	1.68%		1,001,982		0.18	%
		1,000,000	5/24/17	Canadian Imperial Bank of Commerce	1.33%		1,002,565		0.18	%
		1,000,000	10/6/17	Canadian Imperial Bank of Commerce	1.33%		1,004,618		0.18	%
		2,000,000	3/6/17	Cooperatieve Rabobank U.A.	1.18%		2,008,638		0.36	%
		1,650,000	9/12/17	Credit Suisse Group AG	1.75%		1,653,843		0.29	%
		1,300,000	12/12/17	Lloyds Bank PLC	1.41%		1,302,755		0.23	%
		400,000	12/20/17	Lloyds Bank PLC	1.44%		400,748		0.07	%
		1,000,000	3/15/17	Mitsubishi UFJ Trust & Banking Corp	1.25%		1,004,426		0.18	%
		2,000,000	7/13/17	Mizuho Bank, Ltd.	1.30%		2,012,395		0.36	%
		1,408,000	5/24/17	National Bank of Canada	1.32%		1,411,615		0.25	%
		2,000,000	2/13/17	Nordea Bank Finland	1.18%		2,004,282		0.35	%
		1,500,000	3/1/17	Nordea Bank Finland	1.19%		1,506,862		0.27	%
		850,000	7/26/17	Norinchukin Bank	1.43%		855,978		0.15	%
		1,150,000	7/27/17	Norinchukin Bank	1.43%		1,158,034		0.21	%
		900,000	7/14/17	State Street Bank And Trust Company	1.34%		903,876		0.16	%
		1,000,000	7/19/17	Sumitomo Mitsui Banking Corporation	1.45%		1,007,938		0.18	%
		1,000,000	10/12/17	Sumitomo Mitsui Banking Corporation	1.50%		1,005,213		0.18	%
		1,500,000	7/20/17	Sumitomo Mitsui Trust Bank Ltd	1.50%		1,512,606		0.27	%
		1,000,000	8/8/17	Sumitomo Mitsui Trust Bank Ltd	1.53%		1,008,019		0.18	%
		1,000,000	12/7/17	Svenska Handelsbanken AB	1.43%		1,002,292		0.18	%
		2,000,000	5/3/17	Toronto-Dominion Bank	1.15%		2,015,800		0.36	%
		1,700,000	7/13/17	Toronto-Dominion Bank	1.20%		1,709,858		0.30	%
		750,000	9/22/17	Wells Fargo Bank, National Association	1.34%		751,219		0.13	%
		1,500,000	1/19/17	Westpac Banking Corporation	1.23%		1,504,270		0.27	%
		1,000,000	3/17/17	Westpac Banking Corporation	1.13%		1,009,457		0.18	%
		750,000	7/14/17	Westpac Banking Corporation	1.23%		754,076		0.13	%
	Total U.S. certificates of deposit (cost: $35,406,974)						35,576,495		6.32	%

	OPEN FUTURES CONTRACTS
	Long U.S. Futures Contracts
				Agricultural commodities		$	(758,117	)	(0.13	)%
				Currencies			57,122		0.01	%
				Energy			2,297,452		0.40	%
				Equity indices			(737,627	)	(0.13	)%
				Interest rate instruments			(7,915	)	0.00	%
				Metals			148,930		0.03	%
				Single stock futures			(197,540	)	(0.04	)%
	Net unrealized gain (loss) on open long U.S. futures contracts						802,305		0.14	%

	Short U.S. Futures Contracts
				Agricultural commodities			1,280,501		0.24	%
				Currencies			1,039,713		0.18	%
				Energy			(108,150	)	(0.02	)%
				Equity indices			(169,214	)	(0.03	)%
				Interest rate instruments			(25,730	)	0.00	%

The accompanying notes are an integral part of these consolidated financial statements.

Futures Portfolio Fund, Limited Partnership
Consolidated Condensed Schedule of Investments (continued)
December 31, 2016

	Description		Fair Value		% of Partners’ Capital (Net Asset Value)
Short U.S. Futures Contracts (continued)
	Metals		(479,571	)	(0.09	)%
	Single stock futures		15,218		0.00	%
Net unrealized gain (loss) on open short U.S. futures contracts			1,552,767		0.28	%

Total U.S. Futures Contracts - Net unrealized gain (loss) on open U.S. futures contracts			2,355,072		0.42	%

Long Foreign Futures Contracts
	Agricultural commodities		(48,039	)	(0.01	)%
	Currencies		2,449		0.00	%
	Energy		57,736		0.01	%
	Equity indices		3,930,592		0.70	%
	Interest rate instruments		2,418,594		0.43	%
	Metals		12,893		0.00	%
	Single stock futures		10,212		0.00	%
Net unrealized gain (loss) on open long foreign futures contracts			6,384,437		1.13	%

Short Foreign Futures Contracts
	Agricultural commodities		215,816		0.04	%
	Currencies		39,407		0.01	%
	Equity indices		200,192		0.03	%
	Interest rate instruments		(273,674	)	(0.05	)%
	Metals		(21	)	0.00	%
Net unrealized gain (loss) on open short foreign futures contracts			181,720		0.03	%

Total foreign futures contracts - net unrealized gain (loss) on open foreign futures contracts			6,566,157		1.16	%

Net unrealized gain (loss) on open futures contracts		$	8,921,229		1.58	%

OPEN FORWARD CURRENCY CONTRACTS
U.S. Forward Currency Contracts
	Long	$	(860,243	)	(0.15	)%
	Short		1,557,396		0.28	%
Net unrealized gain (loss) on open U.S. forward currency contracts			697,153		0.13	%

Foreign Forward Currency Contracts
	Long		472,811		0.08	%
	Short		(339,811	)	(0.06	)%
Net unrealized gain (loss) on open foreign forward currency contracts			133,000		0.02	%

Net unrealized gain (loss) on open forward currency contracts		$	830,153		0.15	%

¹ Represents the annualized yield at date of purchase for discount securities, the stated coupon rate for coupon-bearing securities, or the stated interest rate for certificates of deposit.

² No individual futures or forward currency contract position constituted one percent or greater 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 consolidated financial statements.

Futures Portfolio Fund, Limited Partnership

Consolidated Statements of Operations

For the Three Months Ended March 31, 2017 and 2016

(Unaudited)

	Three Months Ended March 31,
	2017			2016
Realized and Change in Unrealized Gain (Loss) on Investments
Net realized gain (loss) on:
Futures, forward currency and swap contracts	$	12,016,033		$	54,147,747
Investments in securities and CDs		(166,073	)		107,425
Net change in unrealized gain (loss) on:
Futures, forward currency and swap contracts		(8,191,922	)		246,391
Investments in securities and CDs		200,173			46,099
Exchange membership		36,000			—
Brokerage commissions and trading expenses		(1,284,726	)		(1,192,606	)
Net realized and change in unrealized gain (loss) on investments		2,609,485			53,355,056

Net Investment Income (Loss)
Income
Interest income (loss)		1,417,805			1,149,359

Expenses
Trading Advisor management fee		1,968,492			2,093,882
Trading Advisor incentive fee		1,919,921			1,878,578
Cash Managers fees		103,216			123,821
General Partner management and performance fees		1,913,026			2,477,538
Selling agent and broker dealer servicing fees – General Partner		1,763,827			2,304,859
General Partner 1% allocation		(44,696	)		433,592
Administrative expenses – General Partner		357,453			494,681
Investment Manager fees		371,614			288,418
Distribution (12b-1) fees		8,729			6,520
Operating services fee		50,964			83,299
Total expenses		8,412,546			10,185,188
Net investment income (loss)		(6,994,741	)		(9,035,829	)
Net income (loss)		(4,385,256	)		44,319,227
Less: net (income) loss attributable to non-controlling interest		(39,604	)		1,393,635
Net Income (Loss) attributable to the Fund	$	(4,424,860	)	$	45,712,862

	Three Months Ended March 31,
	2017									2016
		Class A			Class B			Class I			Class A		Class B		Class I
Increase (decrease) in net asset value per unit	$	(41.22	)	$	(34.26	)	$	(3.11	)	$	282.40	$	441.14	$	72.39

Net income (loss) per unit†	$	(42.18	)	$	(36.53	)	$	(0.90	)	$	291.12	$	449.02	$	72.39

Weighted average number of units outstanding		80,594.0392			27,978.7571			3,577.7893			95,961.1452		32,765.2564		3,828.4541

† (based on weighted average number of units outstanding during the period)

The accompanying notes are an integral part of these consolidated financial statements.

Futures Portfolio Fund, Limited Partnership

Consolidated Statements of Cash Flows

For the Three Months Ended March 31, 2017 and 2016

(Unaudited)

	Three Months Ended March 31,
	2017			2016
Cash flows from operating activities
Net income (loss)	$	(4,385,256	)	$	44,319,227
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities
Net change in unrealized (gain) loss from futures, forwards and swap trading		8,344,296			(246,391	)
Net realized and change in unrealized (gain) loss on securities and certificates of deposit		(34,100	)		(153,524	)
Purchases of securities, certificates of deposit and exchange membership		(208,934,009	)		(273,409,090	)
Proceeds from disposition of securities and certificates of deposit		262,741,760			248,372,938
Changes in
Exchange membership		(36,000	)		—
Trading Advisor management fee payable		(236,804	)		(166,345	)
Trading Advisor incentive fee payable		338,742			1,661,722
Commissions and other trading fees payable on open contracts		4,642			(23,406	)
Cash Managers fees payable		41,191			3,736
General Partner management and performance fees payable		(67,031	)		17,945
General Partner 1% allocation receivable/payable		54,055			705,022
Selling agent and broker dealer servicing fees payable – General Partner		(64,699	)		14,184
Administrative expenses payable – General Partner		(14,927	)		1,769
Investment Manager fee payable		(1,765	)		38,113
Distribution (12b-1) fees payable		143			31
Operating services fee payable		(242	)		(16,472	)
Net cash provided by (used in) operating activities		57,749,996			21,119,459

Cash flows from financing activities
Subscriptions		1,784,019			2,490,889
Subscriptions received in advance		581,083			2,130,402
Redemptions		(53,560,060	)		(32,155,046	)
Non-controlling interest – subscriptions		5,471,483			2,700,577
Non-controlling interest – redemptions		(3,136,351	)		(1,535,157	)
Net cash provided by (used in) financing activities		(48,859,826	)		(26,368,335	)

Net increase (decrease) in cash and cash equivalents		8,890,170			(5,248,876	)
Cash and cash equivalents, beginning of period		118,136,562			179,026,770
Cash and cash equivalents, end of period	$	127,026,732		$	173,777,894

End of period cash and cash equivalents consists of
Cash in broker trading accounts	$	86,105,882		$	101,411,631
Cash and cash equivalents		40,920,850			72,366,263
Total end of period cash and cash equivalents	$	127,026,732		$	173,777,894

Supplemental disclosure of cash flow information
Prior period redemptions paid	$	18,217,216		$	11,143,201
Prior period subscriptions received in advance	$	2,687,191		$	1,086,965

Supplemental schedule of non-cash financing activities
Redemptions payable	$	20,831,588		$	6,523,499

The accompanying notes are an integral part of these consolidated financial statements.

Futures Portfolio Fund, Limited Partnership

Consolidated Statements of Changes in Partners’ Capital (Net Asset Value)

For the Three Months Ended March 31, 2017 and 2016

(Unaudited)

	Class A						Class B						Class I						Non-Controlling Interest
		Units			Amount			Units			Amount			Units			Amount			Amount			Total
Three Months Ended March 31, 2017
Balance at December 31, 2016		84,825.0303		$	347,445,757			29,193.8071		$	177,512,074			3,828.4541		$	3,763,781		$	34,477,673		$	563,199,285
Net income (loss)					(3,399,506	)					(1,022,150	)					(3,204	)		39,604			(4,385,256	)
Subscriptions		509.8650			2,084,910			391.6691			2,386,300			—			—			5,188,787			9,659,997
Redemptions		(9,332.4696	)		(37,952,304	)		(2,974.8511	)		(17,986,136	)		(501.3295	)		(500,000	)		(2,872,342	)		(59,310,782	)
Transfers		(50.6545	)		(209,010	)		34.0151			209,010			—			—			—			—
Balance at March 31, 2017		75,951.7712		$	307,969,847			26,644.6402		$	161,099,098			3,327.1246		$	3,260,577		$	36,833,722		$	509,163,244

Three Months Ended March 31, 2016
Balance at December 31, 2015	98,034.9581		$	412,948,548		33,265.6588		$	204,329,032		3,828.4541	$	3,767,830	$	22,540,476		$	643,585,886
Net income (loss)				27,936,127					14,712,322				277,143		1,393,635			44,319,227
Subscriptions	538.8177			2,388,454		180.0355			1,189,400		—		—		2,772,849			6,350,703
Redemptions	(4,200.5070	)		(19,089,317	)	(1,278.8131	)		(8,467,531	)	—		—		(1,513,653	)		(29,070,501	)
Transfers	(154.1870	)		(700,873	)	105.4431			700,873		—		—		—			—
Balance at March 31, 2016	94,219.0818		$	423,482,939		32,272.3243		$	212,464,096		3,828.4541	$	4,044,973	$	25,193,307		$	665,185,315

	Net Asset Value per Unit
		Class A		Class B		Class I

March 31, 2017		$	4,054.81	$	6,046.21	$	980.00
December 31, 2016			4,096.03		6,080.47		983.11
March 31, 2016			4,494.66		6,583.48		1,056.56
December 31, 2015			4,212.26		6,142.34		984.17

The accompanying notes are an integral part of these consolidated financial statements.

Futures Portfolio Fund, Limited Partnership
Notes to Consolidated Financial Statements

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 four classes, Class A, B, I and R, 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 brokers 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.

The four classes of Units in the Fund differ only in the fees applicable to each class. Class A Units are subject to a 2% per annum selling agent fee and Class B Units are subject to a 0.2% per annum broker dealer servicing fee. Class I Units are subject to higher minimum investments requirements and lower General Partner management fees (0.75% per annum instead of 1.50% per annum) as well as a General Partner performance fee (7.5% of new profits, described more fully in Footnote 4). Class R Units do not pay selling compensation or servicing fees to selling agents, and are generally intended for clients of registered investment advisors. Class R units were introduced in March 2017. On April 1, 2017, approximately $14 million in Class B units converted to R units.

During 2015, the Fund purchased $58.5 million of Class I shares of the Steben Managed Futures Strategy Fund (“SMFSF”). SMFSF is a non-diversified series of shares of beneficial interest of Steben Alternative Investment Fund (the “Trust”), a statutory trust organized under the laws of the State of Delaware, and is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. SMFSF issues four classes of shares: Class A, C, I and N. At March 31, 2017, the Fund owned 56% of the outstanding shares of SMFSF and therefore had effective control of that entity. Accordingly, the assets, liabilities and operating results of SMFSF have been consolidated with the Fund. The portion of SMFSF that is not owned by the Fund is presented as the non-controlling interest. SMFSF has a similar investment strategy to the Fund, using commodity trading advisors to engage in the speculative trading of futures contracts, forward currency contracts and other financial instruments. Prior to March 2016, SMFSF used a total return swap to gain access to the gains and losses of a basket of trading advisors. The General Partner serves as the investment manager of SMFSF. During the first quarter of 2017, the Fund redeemed $6 million of its investment in SMFSF, which is eliminated in consolidation.

Significant Accounting Policies

Accounting Principles

The Fund’s consolidated financial statements are prepared in conformity with U.S. generally accepted accounting principles (“GAAP”). The Fund is an investment company and follows accounting and reporting guidance under the Financial Accounting Standards Board (FASB) Accounting Standard Codification (ASC) Topic 946, Financial Services – Investment Companies.

Consolidation

The accompanying consolidated financial statements include the accounts of the Fund and SMFSF, for which the Fund was the majority shareholder. Intercompany accounts and transactions have been eliminated in consolidation.

Use of Estimates

Preparing consolidated financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the amounts reported in the consolidated financial statements and accompanying notes. Actual results could differ from those estimates.

Revenue Recognition

Futures, forward currency contracts, investments in securities, certificates of deposit, and the exchange membership are recorded on a trade date basis, and gains or losses are realized when contracts/positions are liquidated. Realized gains and losses on investments in securities and certificates of deposit are determined on a specific identification basis and are included in net realized and change in unrealized gain (loss) in the consolidated statements of operations. Unrealized gains and losses on open contracts (the difference between contract trade price and fair value) are reported in the consolidated statements of financial condition as net unrealized gain or loss, as there exists a right of offset of any unrealized gains or losses. The difference between cost and the fair value of open investments in securities and certificates of deposit is reflected as unrealized gain or loss on investments in securities and certificates of deposit. Any change in net unrealized gain or loss from the preceding period is reported in the consolidated statements of operations. Interest income earned on investments in securities, certificates of deposit and other cash and cash equivalent balances is recorded on an accrual basis. Market discounts and premiums on fixed-income securities are amortized daily over the expected life of the security using the effective yield method.

Fair Value of Financial Instruments

Financial instruments are recorded 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 recorded at fair value are classified within a fair value hierarchy based upon the level of judgment associated with the inputs used to measure their value. This fair value hierarchy gives the highest priority to quoted prices in active markets for identical assets or liabilities (Level 1) and the lowest priority to unobservable inputs (Level 3). The three levels of the fair value hierarchy are described below:

Level 1 –

Fair value is based on unadjusted quoted prices for identical instruments in active markets. Financial instruments utilizing Level 1 inputs include futures contracts, 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, swaps, commercial paper, corporate notes, certificates of deposit, asset backed securities and the exchange membership.

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.

In certain cases, the inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, an instrument’s level within the fair value hierarchy is based on the lowest level of input that is significant to the fair value measurement. The Fund’s assessment of the significance of a particular input to the fair value measurement in its entirety requires judgment, and considers factors specific to the investment.

The Fund assesses the classification of the instruments at each measurement date, and any transfers between levels are recognized on the actual date of the event or change in circumstances that caused the transfer in accordance with the Fund’s accounting policy regarding the recognition of transfers between levels of the fair value hierarchy. For the period ended March 31, 2017 and year ended December 31, 2016, there were no such transfers between levels.

A description of the valuation techniques applied to the Fund’s major categories of assets and liabilities measured at fair value on a recurring basis follows.

U.S. Treasury securities are recorded at fair value based on bid and ask quotes for identical instruments. Commercial paper, certificates of deposit, corporate notes, asset backed securities and the exchange membership are recorded at 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, certificates of deposit, corporate notes, asset backed securities and exchange membership are classified within Level 2.

The investment in a money market fund, included in cash and cash equivalents in the consolidated 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.

Cash and Cash Equivalents

Cash and cash equivalents may include cash, funds held in money market accounts and short-term investments with maturities of three months or less at the date of acquisition and that are not held for sale in the normal course of business. The Fund maintains deposits with financial institutions in amounts that are in excess of federally insured limits; however, the Fund does not believe it is exposed to any significant credit risk.

Exchange Membership

During 2017, the Fund purchased a membership interest in the Chicago Mercantile Exchange (CME). By purchasing the membership, the Fund will incur reduced fees for transactions on the CME.

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.

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 March 31, 2017. 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 2012.

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 change in unrealized gain or loss on such investments in the consolidated statements of operations.

Swap Agreement

Through its investment in SMFSF, the Fund had exposure to a total return swap with Deutsche Bank AG. This two-party contract was entered in to exchange, or swap, the returns realized on a basket of CTA programs. Under the terms of the swap agreement, the investment manager of SMFSF had the ability to periodically adjust the notional level of the swap, the notional allocation to each CTA program and the mix of CTA programs. The swap agreement was terminated in March 2016.

Reclassification

Certain amounts reported in the 2016 consolidated financial statements may have been reclassified to conform to the 2017 presentation without affecting previously reported partners’ capital (net asset value) or net income (loss).

New Accounting Pronouncements

In February 2015, the FASB issued guidance that amends prior consolidation analysis. The effect of the guidance is to modify the analysis performed to determine if an entity should be consolidated. The new guidance is effective for fiscal years beginning after December 15, 2016. Adoption of this guidance did not have a material impact on the consolidated financial statements.

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 March 31, 2017
	Level 1		Level 2			Total
Equity in broker trading accounts:
Net unrealized gain (loss) on open futures contracts*	$	2,177,331	$	—		$	2,177,331
Net unrealized gain (loss) on open forward currency contracts*		—		(770,245	)		(770,245	)
Cash and cash equivalents:
Money market fund		32,628,549		—			32,628,549
Investments in securities:
U.S. Treasury securities*		84,327,439		—			84,327,439
Asset backed securities*		—		29,335,104			29,335,104
Commercial paper*		—		62,514,259			62,514,259
Corporate notes*		—		201,827,576			201,827,576
Certificates of deposit*		—		28,049,796			28,049,796
Exchange membership		—		225,000			225,000
Total	$	119,133,319		$ 321,181,490		$	440,314,809

*See the consolidated condensed schedule of investments for further description.

At December 31, 2016
	Level 1		Level 2		Total
Equity in broker trading accounts:
Net unrealized gain (loss) on open futures contracts*	$	8,921,229	$	—	$	8,921,229
Net unrealized gain (loss) on open forward currency contracts*		—		830,153		830,153
Cash and cash equivalents:
Money market fund		24,246,700		—		24,246,700
Investments in securities:
U.S. Treasury securities*		91,313,694		—		91,313,694
Asset backed securities*		—		36,022,365		36,022,365
Commercial paper*		—		67,749,447		67,749,447
Corporate notes*		—		229,354,824		229,354,824
Certificates of deposit*		—		35,576,495		35,576,495
Total	$	124,481,623	$	369,533,284	$	494,014,907

*See the consolidated condensed schedule of investments for further description.

There were no Level 3 holdings at March 31, 2017 and December 31, 2016, 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.

Derivative Instruments Disclosures

The Fund’s derivative contracts are comprised of futures and forward currency contracts, none of which are designated as hedging instruments. At March 31, 2017, the Fund’s derivative contracts had the following impact on the consolidated statements of financial condition:

March 31, 2017	Derivative Assets and Liabilities, at fair value
Consolidated Statements of Financial Condition Location	Gross Amounts of Recognized Assets		Gross Amounts Offset in the Statements of Financial Condition			Net Amount of Assets Presented in the Statements of Financial Condition
Equity in broker trading accounts:
Net unrealized gain (loss) on open futures contracts Agricultural commodities	$	3,826,678	$	(653,107	)	$	3,173,571
Currencies		1,847,607		(2,900,660	)		(1,053,053	)
Energy		477,970		(3,183,858	)		(2,705,888	)
Equity indices		6,879,688		(3,053,581	)		3,826,107
Interest rate instruments		3,965,525		(5,112,862	)		(1,147,337	)
Metals		6,524,018		(6,597,778	)		(73,760	)
Single stock futures		376,972		(219,281	)		157,691
Net unrealized gain (loss) on open futures contracts	$	23,898,458	$	(21,721,127	)	$	2,177,331

Net unrealized gain (loss) on open forward currency contracts	$	6,085,233	$	(6,855,478	)	$	(770,245	)

At March 31, 2017, there were 63,770 open futures contracts and 3,702 open forward currency contracts.

The Fund’s financial assets, derivative assets, and cash collateral held by counterparties at March 31, 2017 were:

				Gross Amounts Not Offset in the Statements of Financial Condition
Counterparty	Net Amount of Assets in the Statements of Financial Condition			Financial Instruments		Cash Collateral Received		Net Amount

Deutsche Bank AG	$	67,667		$	—	$	—	$	67,667
Deutsche Bank Securities, Inc.		547,020			—		—		547,020
JP Morgan Securities, LLC		(795,911	)		—		—		(795,911	)
SG Americas Securities, LLC		2,426,222			—		—		2,426,222
Société Générale International Limited		490,965			—		—		490,965
UBS AG		(1,328,877	)		—		—		(1,328,877	)
Total	$	1,407,086		$	—	$	—	$	1,407,086

For the three months ended March 31, 2017, the Fund’s derivative contracts had the following impact on the consolidated statements of operations:

	Three Months Ended March 31, 2017
Types of Exposure	Net realized gain (loss)			Net change in unrealized gain (loss)
Futures contracts
Agricultural commodities	$	(4,961,560	)	$	2,483,410
Currencies		(431,870	)		(2,191,744	)
Energy		(8,352,356	)		(4,952,926	)
Equity indices		30,324,632			602,164
Interest rate instruments		(3,132,518	)		(3,258,612	)
Metals		(2,227,283	)		244,009
Single stock futures		848,673			329,801
Total futures contracts		12,067,718			(6,743,898	)

Forward currency contracts		(493,812	)		(1,600,398	)

Total futures, forward currency and swap contracts	$	11,573,906		$	(8,344,296	)

For the three months ended March 31, 2017, the number of futures contracts closed was 493,255 and the number of forward currency contracts closed was 52,583.

At December 31, 2016, the Fund’s derivative contracts had the following impact on the consolidated statements of financial condition:

December 31, 2016	Derivative Assets and Liabilities, at fair value
Consolidated Statements of Financial Condition Location	Gross Amounts of Recognized Assets		Gross Amounts Offset in the Statements of Financial Condition			Net Amount of Assets Presented in the Statements of Financial Condition
Equity in broker trading accounts:
Net unrealized gain (loss) on open futures contracts
Agricultural commodities	$	2,294,353	$	(1,604,192	)	$	690,161
Currencies		2,761,758		(1,623,067	)		1,138,691
Energy		2,460,760		(213,722	)		2,247,038
Equity indices		6,420,118		(3,196,175	)		3,223,943
Interest rate instruments		4,870,096		(2,758,821	)		2,111,275
Metals		14,236,047		(14,553,816	)		(317,769	)
Single stock futures		145,242		(317,352	)		(172,110	)
Net unrealized gain (loss) on open futures contracts	$	33,188,374	$	(24,267,145	)	$	8,921,229

Net unrealized gain (loss) on open forward currency contracts	$	5,182,502	$	(4,352,349	)	$	830,153

At December 31, 2016, there were 59,052 open futures contracts and 2,054 open forward currency contracts.

The Fund’s financial assets, derivative assets, and cash collateral held by counterparties at December 31, 2016 were:

			Gross Amounts Not Offset in the Statements of Financial Condition
Counterparty	Net Amount of Assets in the Statements of Financial Condition		Financial Instruments		Cash Collateral Received		Net Amount

Deutsche Bank AG	$	21,799	$	—	$	—	$	21,799
Deutsche Bank Securities, Inc.		24,787		—		—		24,787
JP Morgan Securities, LLC		1,493,645		—		—		1,493,645
SG Americas Securities, LLC		7,402,797		—		—		7,402,797
Société Générale International Limited		165,990		—		—		165,990
UBS AG		642,364		—		—		642,364
Total	$	9,751,382	$	—	$	—	$	9,751,382

For the three months ended March 31, 2016, the Fund’s derivative contracts had the following impact on the consolidated statements of operations:

	Three Months Ended March 31, 2016
Types of Exposure	Net realized gain (loss)			Net change in unrealized gain (loss)
Futures contracts
Agricultural commodities	$	(2,719,878	)	$	(667,476	)
Currencies		(578,833	)		(1,512,794	)
Energy		17,211,049			(3,774,739	)
Equity indices		(645,806	)		2,683,061
Interest rate instruments		35,045,497			7,798,884
Metals		(2,537,558	)		(4,246,220	)
Single stock futures		(165,870	)		146,671
Total futures contracts		45,608,601			427,387

Forward currency contracts		(356,607	)		3,259,900

Swap contract		8,706,658			(3,440,896	)
Total futures, forward currency and swap contracts	$	53,958,652		$	246,391

For the three months ended March 31, 2016, the number of futures contracts closed was 436,228 and the number of forward currency contracts closed was 39,165.

General Partner

At March 31, 2017 and December 31, 2016, and for the periods then ended, the General Partner did not maintain a capital balance in the Fund; however, the beneficiary of the majority shareholder of the General Partner had the following investment in Class I Units:

	March 31, 2017		December 31, 2016
Units Owned		254.4114		254.4114
Value of Units	$	249,323	$	250,114

The following fees are paid to the General Partner:

■

General Partner Management Fee – the Fund incurs a monthly fee on Class A, B and R Units equal to 1/12^th of 1.5% of the month-end net asset value of the Class A, B and R Units, payable in arrears. The Fund incurs a monthly fee on Class I Units equal to 1/12^th of 0.75% of the month-end net asset value of the Class I Units, payable in arrears.

■

General Partner Performance Fee – the Fund incurs a monthly fee on Class I Units equal to 7.5% of any Net New Trading Profits of the Class I Units calculated monthly. In determining Net New Trading Profits, any trading losses incurred by the Class I Units in prior periods is carried forward, so that the incentive fee is assessed only if and to the extent the profits generated by the Class I units exceed any losses from prior periods. The general partner performance fee is payable quarterly in arrears.

■

Management fee – SMFSF incurs a monthly fee equal to 1/12^th of 1.75% of the month-end net asset value of the trust, payable in arrears to the General Partner. Prior to March 1, 2016, the management fee was 1/12^th of 1.25% per month.

■

Distribution (12b-1) fee – SMFSF incurs a monthly 12b-1 fee of 1/12^th of 0.25% of the month-end net asset value of the Class A and N shares, and 1/12^th of 1% of the month-end value of the Class C shares.

■

Selling Agent Fees – the Class A Units incur a monthly fee equal to 1/12^th of 2% of the month-end net asset value of the Class A Units. Selling agent fees amounted to $1,677,325 and $2,195,501 for the three months ended March 31, 2017 and 2016, respectively. Such amounts are included in selling agent and broker dealer servicing fees – General Partner in the consolidated statements of operations. The General Partner, in turn, pays the selling agent fees 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 fees are retained by the General Partner.

■

Broker Dealer Servicing Fees – the Class B Units incur a monthly fee equal to 1/12^th of 0.2% of the month-end net asset value of the Class B Units. Broker dealer servicing fees amounted to $86,502 and $109,358 for the three months ended March 31, 2017 and 2016, respectively. Such amounts are included in selling agent and broker dealer servicing fees – General Partner in the consolidated statements of operations. The General Partner, in turn, pays the fees 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 fees are retained by the General Partner.

■

Operating Services Fee – SMFSF incurs a monthly fee equal to 1/12^th of 0.24% of the month-end net asset value of the trust, payable to the General Partner. The General Partner, in turn, pays the operating expenses of the trust, pursuant to an operating services agreement between the parties. Prior to March 1, 2016, the operating services fee was 1/12^th of 0.5% per month.

■

Administrative Expenses – the Fund incurs a monthly fee equal to 1/12^th of 0.45% of the month-end net asset value of the fund, payable in arrears to the General Partner. In return, the General Partner provides operating and administrative services, including accounting, audit, legal, marketing, and administration (exclusive of extraordinary costs and administrative expenses charged by other funds in which the Fund may have investments).

Pursuant to the terms of the Partnership Agreement, each year the General Partner receives from the Fund 1% of any net income earned by the Fund. Conversely, the General Partner pays to the Fund 1% of any net loss incurred by the Fund. Such amounts are reflected as General Partner 1% allocation receivable or payable in the consolidated statements of financial condition and as General Partner 1% allocation in the consolidated statements of operations.

Trading Advisors and Cash Managers

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 3% per annum of allocated net assets (as defined in each respective advisory agreement), paid monthly or quarterly in arrears. Additionally, the Fund incurs advisor incentive fees, payable quarterly in arrears, ranging from 0% to 30% of net new trading profits (as defined in each respective advisory agreement).

J.P. Morgan Investment Management, Inc. and Principal Global Investors, LLC (collectively, the “Cash Managers”) provide cash management services to the Fund. The Fund incurs monthly fees, payable in arrears to the Cash Managers, equal to approximately 1/12^th of 0.10% of the investments in securities and certificates of deposit as of the period ended March 31, 2017 and 2016.

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 March 31, 2017 and December 31, 2016, the Fund had margin deposit requirements of $105,350,443 and $103,248,865, respectively.

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 for Class A, B and R units and $2,000,000 for Class I units. Units are sold at the respective net asset value per unit for Class A, B, I or R interests 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 March 31, 2017 and December 31, 2016, the Fund received advance subscriptions of $581,083 and $2,687,191, 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, B, I or R 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.

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.

Trading Activities and Related Risks

The Fund engages in the speculative trading of futures, 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 with SG Americas Securities, LLC, JP Morgan Securities, LLC and Deutsche Bank Securities, Inc. as its futures brokers and Société Générale International Limited (formerly Société Générale Newedge UK Limited), UBS AG and Deutsche Bank AG as its 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, 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.

Entering into swap agreements involves, to varying degrees, credit, market, and counterparty risk in excess of the amounts recognized on the consolidated statement of financial condition.

The Cash Managers manage the Fund’s cash and excess margin through investments in fixed income instruments, pursuant to investment parameters established by the General Partner. Fluctuations in prevailing interest rates could cause mark-to-market losses on the Fund’s fixed income instruments.

Through its investments in debt securities and certificates of deposit, the Fund has exposure to U.S. and foreign enterprises. The following table presents the exposure at March 31, 2017.

Country or Region	U.S. Treasury Securities		Commercial Paper		Corporate Notes		Asset Backed Securities		Certificates of Deposit		Total		% of Partners’ Capital (Net Asset Value)
United States	$	84,327,439	$	51,194,822	$	162,199,174	$	29,335,104	$	27,059,809	$	354,116,348		69.56	%
Netherlands		—		—		14,371,617		—		—		14,371,617		2.82	%
France		—		3,980,085		7,506,677		—		—		11,486,762		2.26	%
Canada		—		—		6,842,153		—		—		6,842,153		1.34	%
Luxumbourg		—		2,096,831		4,433,565		—		—		6,530,396		1.28	%
Australia		—		399,802		5,027,128		—		—		5,426,930		1.07	%
Great Britain		—		1,245,433		—		—		989,987		2,235,420		0.44	%
Singapore		—		1,999,485		—		—		—		1,999,485		0.39	%
Germany		—		1,597,801		—		—		—		1,597,801		0.31	%
Sweden		—		—		1,447,262		—		—		1,447,262		0.28	%
Total	$	84,327,439	$	62,514,259	$	201,827,576	$	29,335,104	$	28,049,796	$	406,054,174		79.75	%

The following table presents the exposure at December 31, 2016.

Country or Region	U.S. Treasury Securities		Commercial Paper		Corporate Notes		Asset Backed Securities		Certificates of Deposit		Total		% of Partners’ Capital (Net Asset Value)
United States	$	91,313,694	$	52,068,922	$	186,349,217	$	36,022,365	$	35,576,495	$	401,330,693		71.25	%
Australia		—		2,497,272		7,501,543		—		—		9,998,815		1.78	%
Netherlands		—		—		15,052,634		—		—		15,052,634		2.67	%
Luxumbourg		—		2,099,839		2,915,384		—		—		5,015,223		0.89	%
Canada		—		—		6,864,143		—		—		6,864,143		1.22	%
France		—		3,470,593		7,471,652		—		—		10,942,245		1.94	%
Great Britain		—		1,999,682		—		—		—		1,999,682		0.36	%
Sweden		—		399,256		2,974,538		—		—		3,373,794		0.60	%
Singapore		—		1,499,891		—		—		—		1,499,891		0.27	%
Germany		—		2,499,715		—		—		—		2,499,715		0.44	%
Hong Kong		—		1,214,277		—		—		—		1,214,277		0.22	%
Cayman Islands		—		—		225,713		—		—		225,713		0.04	%
Total	$	91,313,694	$	67,749,447	$	229,354,824	$	36,022,365	$	35,576,495	$	460,016,825		81.68	%

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 consolidated financial statements for such indemnifications.

10.

Interim Financial Statements

The consolidated statements of financial condition, including the consolidated condensed schedule of investments, at March 31, 2017, the consolidated statements of operations, the consolidated statements of cash flows, and consolidated statement of changes in partners’ capital (net asset value) for the three months ended March 31, 2017 and 2016, and the accompanying notes to the consolidated financial statements are unaudited. Certain information and footnote disclosures normally included in consolidated financial statements prepared in accordance with GAAP may be omitted pursuant to such rules and regulations. In the opinion of management, such consolidated financial statements and accompanying disclosures reflect all adjustments, which were of a normal and recurring nature, necessary to present fairly the financial position at March 31, 2017, results of operations, cash flows and changes in partners’ capital (net asset value) for the three months ended March 31, 2017 and 2016. The results of operations for the three months ended March 31, 2017 and 2016 are not necessarily indicative of the results to be expected for the full year or any other period. These consolidated financial statements should be read in conjunction with the audited financial statements and the notes thereto included in the Fund’s Form 10-K as filed with the SEC.

11.

Financial Highlights

The following information presents per unit operating performance data and other ratios for the three months ended March 31, 2017 and 2016, assuming the unit was outstanding throughout the entire period:

	Three Months Ended March 31,
	2017									2016
		Class A			Class B			Class I			Class A			Class B			Class I
Per Unit Operating Performance

Net asset value per unit, beginning of period	$	4,096.03		$	6,080.47		$	983.11		$	4,212.26		$	6,142.34		$	984.17

Net realized and change in unrealized gain (loss) on investments ⁽¹⁾		22.13			32.17			5.33			351.85			512.39			82.00
Net investment income (loss) ⁽¹⁾		(63.35	)		(66.43	)		(8.44	)		(69.45	)		(71.25	)		(9.61	)
Total income (loss) from operations		(41.22	)		(34.26	)		(3.11	)		282.40			441.14			72.39

Net asset value per unit, end of period	$	4,054.81		$	6,046.21		$	980.00		$	4,494.66		$	6,583.48		$	1,056.56

Total return ⁽⁴⁾		(1.01	)%		(0.56	)%		(0.32	)%		6.70	%		7.18	%		7.36	%

Other Financial Ratios
Ratios to average net asset value
Expenses prior to General Partner 1% allocation ^{(2) (3)}		7.40	%		5.54	%		4.58	%		6.70	%		4.82	%		4.12	%
General Partner 1% allocation ⁽⁴⁾		(0.01	)%		(0.01	)%		0.00	%		0.07	%		0.07	%		0.07	%
Net total expenses		7.39	%		5.53	%		4.58	%		6.77	%		4.89	%		4.19	%

Net investment income (loss) ^{(2) (3) (5)}		(6.26	)%		(4.41	)%		(3.45	)%		(5.98	)%		(4.11	)%		(3.41	)%

Total returns are calculated based on the change in value of a Class A, Class B or Class I 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 income (loss) per unit is calculated by dividing the net investment income (loss) by the average number of Class A, B or I Units outstanding during the period. Net realized and change in unrealized gain (loss) on investments 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 net realized and change in unrealized gain (loss) on investment per unit due to the timing of investment gains and losses during the period relative to the number of units outstanding.

⁽²⁾ The net investment income (loss) includes interest income and excludes net realized and net change in unrealized gain (loss) from investment activities as shown in the consolidated statements of operations. The total amount is then reduced by all expenses, excluding brokerage commissions, which are included in net investment gain (loss) in the consolidated statements of operations. The resulting amount is divided by the average net asset value for the period.

⁽³⁾ Ratios have been annualized.

⁽⁴⁾ Ratios have not been annualized.

⁽⁵⁾ Ratio excludes General Partner 1% allocation.

Item 2.

Management’s Discussion and Analysis of Financial Condition and Results of Operations

Current Positioning

Sector risk allocations and net positioning as of March 31, 2017 and first quarter 2017 gross performance contribution by sector was as follows:

Risk Allocation	Net Position	Sector	Gross Performance Contribution
11%	Mixed	Agriculture		(0.46	)%
10%	Long	Energy		(2.36	)%
8%	Mixed	Metals		(0.30	)%
28%	Long USD & EM	Currencies		(0.79	)%
28%	Long	Equity indices		5.50	%
15%	Short	Interest rates		(1.21	)%

The dominant strategy employed by the Fund’s trading advisors is trend-following. As such, the largest positions tend to reflect the strongest current market trends. As of quarter end, the Fund’s largest risk exposure was in interest rates, with long positions in most global bond markets. The second biggest sector exposure was in currencies, with long positions in emerging market currencies, the Australian dollar and the Japanese yen, and short positions in the Euro and British pound. Other positions are modestly sized including a long position in U.S. equities, a long position in precious metals, a short position in grains, and a short position in oil and natural gas.

Results of Operations

The returns for each Class of Units for the three months ended March 31, 2017 and 2016 were:

Class of Units	2017			2016
Class A		(1.01	)%		6.70	%
Class B		(0.56	)%		7.18	%
Class I		(0.32	)%		7.36	%

Class R units did not begin reflecting a return until April 1, 2017. Results from past periods are not necessarily indicative of results that may be expected for any future period. Monthly analysis of the trading gains and losses is provided below.

2017

January

Markets digested the impact of the new U.S. administration’s economic policy proposals as the calendar year began. The policy specifics remain uncertain, but market participants showed optimism that potential changes to the tax code and increased infrastructure spending would bolster economic growth. Equity markets in the U.S. and Europe were generally higher, while interest rates held mostly steady. Following broad based strength in the second half of 2016, the U.S. dollar weakened during the start of the year as concerns about trade protection and accusations of currency manipulation began to emerge.

Ongoing strength in equity markets was a positive contributor to Fund performance. Specifically, long positions in Nasdaq, S&P 500 and Hang Seng indices were key contributors. Increased economic bullishness also led to a near 9% rise in copper prices, benefitting the Fund’s long copper position. After several months of strength, energy prices drifted lower in January, due partially to the belief that OPEC’s attempts to cut production would be short lived. The Fund’s long energy positions detracted from performance. Within foreign exchange markets, the U.S. dollar reversal caused losses, as the Fund was long U.S. dollar versus euro, British Pound and Japanese yen. The Fund finished with a net loss of 2.27%, 2.13% and 2.04% for Class A, B and I Units, respectively.

February

February saw a continued rise in investor risk appetite. The S&P 500 rallied to new highs and rich valuations got even richer, spurred by positive earnings data and the Trump administration’s pledge to cut corporate taxes and spend heavily on infrastructure. International equity markets also had a positive month as global economic data showed improvement. In Europe, the political risk of potential nationalist party victories in upcoming elections in France and the Netherlands led to a rally in safe haven German bonds and a depreciation of the euro.

The Fund’s largest gains during the month came from long equity index positions, which benefited from the global rally in stocks. Long positions in European bonds and a short currency position in the euro both profited from market skittishness over possible populist electoral gains. The Fund did see modest losses in energy as trend-following programs were whipsawed by choppy directionless oil prices. Overall, the Fund finished the month with a net gain of 3.33%, 3.48% and 3.57% for Class A, B and I Units, respectively.

March

Economic policy remained a focus for markets throughout the month. President Trump’s proposal to replace the Affordable Care Act failed in Congress as it met with resistance from conservative Republicans. The fate of this measure was significant as it provided an indication of Trump’s ability to push through other policies such as tax reform and deregulation. The bill’s failure initially triggered a dip in global equities, but optimism over the prospects for tax cuts quickly returned and markets recovered. March also saw developments in monetary policy, as the Federal Reserve raised interest rates by 25 basis points, in line with expectations. In Europe, the United Kingdom formally triggered the exit process from the European Union, and investor attention turned to the possibility of populist gains in the upcoming French presidential election.

The Fund profited from its long equity exposure, with the strongest gains coming from Europe. Losses occurred in interest rate, currency and energy positions. Within the interest rate sector, the Fund encountered choppy trading conditions in European rate markets, but the primary losses came from Germany, where bond prices rallied against the Fund’s short position. Losses in the currency sector were attributable to a long U.S. dollar bias, as expectations of a slower tightening cycle by the Fed caused the dollar to depreciate against the euro, Pound and yen. Overall, the Fund finished the month with a net loss of 1.97%, 1.82% and 1.74% for Class A, B and I Units, respectively.

2016

January

The Fund made a strong start to 2016, highlighting the non-correlation and diversification potential of managed futures amid prevailing risk-averse sentiment and a sell-off in stocks. Poor economic data from China fueled fear among equity investors of a global growth slowdown. The S&P 500 Index lost 4.96%, while the Euro Stoxx 50 fell 6.62% and the Nikkei dropped 7.95%. In energy markets, crude oil prices continued their descent, dipping below $30 per barrel due to weak demand and the prospect of higher production after the lifting of sanctions against Iran. The European Central Bank responded with talk of more aggressive monetary easing, while the Bank of Japan made a surprise move to negative interest rates, causing a rally in bond markets.

The Fund was profitable in January, posting its best monthly performance since 2008 by capitalizing on bearish market trends. The fixed income sector was the strongest contributor, as the Fund made gains from long positions in European and Japanese bond futures. In energy markets, short crude oil exposure also generated positive returns. Performance was more muted in other sectors, with modest gains and losses. Overall, the Fund finished the month with a gain of 5.77%, 5.93% and 6.02% for Class A, B and I Units, respectively.

February

The Fund extended its strong start to the year in February, further underscoring the non-correlation and diversification potential of managed futures amid rising and falling markets. Key risk factors that weighed on global markets included China’s economic slowdown, U.S. political theater, as well as the risk of a “Brexit”, a British exit from the European Union. Many major indices breached bear market levels by mid-February. However, equity markets recovered over the second half of the month as the U.S. economy exhibited signs of improvement. Commodity markets were broadly mixed and the S&P GSCI finished with its first monthly gain since last October. Natural gas prices fell dramatically due to warmer weather and oversupply, while precious metals rose on safe haven buying.

Fixed income was the top performing sector for the month, as the Fund benefitted from long positions in European, Japanese and U.S. bond futures. The energy sector was the second best performer due to a short position in natural gas and short exposure to crude oil. Other sectors had mixed performance, with modest overall return contribution. The Fund is positioned defensively as of month end, with long fixed income exposure complemented by short positions in commodities and mixed exposures in equities. Overall, the Fund finished the month with a gain of 3.88%, 4.03% and 4.03% for Class A, B and I Units, respectively.

March

The year started with a severe decline in risk assets. By mid-February, however, global financial markets began to reverse course. The rebound continued during March, buoyed by central bank meetings and accommodative monetary policy across Europe, Japan and the U.S. Dovish comments from the U.S. Federal Reserve further reduced the likelihood of rate hikes this year and placed selling pressure on the U.S. dollar. Improved market sentiment also impacted commodity markets, where the S&P GSCI Index jumped more than 6%. There were broad based gains across agricultural, energy, and metal futures.

In the month of March, losses for the Fund were primarily from the fixed income and energy sectors. Stronger risk appetite pushed interest rates higher in the U.S. and Europe, impacting the Fund’s long fixed income positions. In the energy sector, indications of supply reductions from major oil producers lifted crude prices back above $40 per barrel, before drifting lower over the second half of the month. Currencies were flat as losses in short euro contracts were offset by gains in long positions in the Australian dollar, Brazilian real and Turkish lira. At month end the Fund’s largest risk exposures were to fixed income and currencies. Overall, the Fund finished the month with a loss of 2.88%, 2.74% and 2.66% for Class A, B and I Units, respectively.

Liquidity

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 through the continued sale of Units and does not intend to raise 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 investment in futures contracts, etc. in subsequent periods. It is not possible to estimate the amount, and therefore the impact, of future inflows and outflows funds 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.

Off-Balance Sheet Risk

The term “off-balance sheet risk” refers to an unrecorded potential liability that, even though it does not appear on the balance sheet, may result in future obligation or loss. The Fund trades in futures and forward currency contracts, and is therefore a party to financial instruments with elements of off-balance sheet market and credit risk. In entering into these contracts there exists a risk to the Fund that such contracts may be significantly influenced by market conditions, such as interest rate volatility, resulting in such contracts being less valuable. If the markets should move against all of the futures interests positions of the Fund at the same time, and if the trading advisors were unable to offset futures interest positions of the Fund, the Fund could lose all of its assets and the limited partners would realize a 100% loss. The General Partner minimizes market risk through diversification of the portfolio allocations to multiple trading advisors, and maintenance of a margin-to-equity ratio that rarely exceeds 35%.

In addition to subjecting the Fund to market risk, upon entering into futures and forward currency contracts there is a risk that the counterparty will not be able to meet its obligations to the Fund. The counterparty for futures contracts traded in the U.S. and on most foreign exchanges is the clearinghouse associated with such exchange. 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 risk. In cases where the clearinghouse is not backed by the clearing members, as is the case with some foreign exchanges, it is normally backed by a consortium of banks or other financial institutions.

In the case of forward currency contracts, which are traded on the interbank market rather than on exchanges, the counterparty is generally a single bank or other financial institution, rather than a group of financial institutions, thus there may be a greater counterparty risk. The General Partner utilized only those counterparties that it believes to be creditworthy for the Fund. All positions of the Fund are valued each day on a mark-to-market basis. There can be no assurance, however, that any clearing member, clearinghouse or other counterparty will be able to meet its obligations to the Fund.

The Fund may invest in U.S. Treasury securities, U.S. and foreign government sponsored enterprise notes, certificates of deposit, commercial paper, asset backed securities and corporate notes. Should an issuing entity default on its obligation to the Fund and such entity is not backed by the full faith and credit of the U.S. government, the Fund bears the risk of loss of the amount expected to be received. The Fund minimizes this risk by only investing in securities and certificates of deposit of firms with high quality debt ratings.

Significant Accounting Policies

A summary of the Fund’s significant accounting policies are included in Note 1 to the consolidated financial statements.

The Fund’s most significant accounting policy is the valuation of its assets invested in U.S. and foreign futures and forward currency contracts, and fixed income instruments. The Fund’s futures contracts are exchange-traded, with the fair value of these contracts based on exchange settlement prices. The fair values of non-exchange-traded contracts, such as forward currency contracts, are based on third-party quoted dealer values on the interbank market. The fair value of money market funds is based on quoted market prices for identical shares. U.S. Treasury securities are stated at fair value based on quoted market prices for identical assets in an active market. Notes of U.S. and foreign government sponsored enterprises, as well as certificates of deposit, commercial paper, asset backed securities and corporate notes, are stated at fair value based on quoted market prices for similar assets in an active market. Given the valuation sources, there is little judgment or uncertainty involved in the valuation of these assets, and it is unlikely that materially different amounts would be reported under different valuation methodologies or assumptions.

Item 3. Quantitative and Qualitative Disclosures about Market Risk

Introduction

The Fund is a speculative commodity pool. The market-sensitive instruments held by the Fund are acquired for speculative trading purposes, and all or substantially all of the Fund’s assets are subject to the risk of trading loss. Unlike an operating company, the risk of market sensitive instruments is integral, not incidental, to the Fund’s main line of business.

Market movements result in frequent changes in the fair market value of the Fund’s open positions and, consequently, in its earnings and cash flow. The Fund’s market risk is influenced by a wide variety of factors, including the level and volatility of exchange rates, interest rates, equity price levels, the market value of financial instruments and contracts, the diversification effects among the Fund’s open positions and the liquidity of the markets in which it trades.

The Fund rapidly acquires and liquidates both long and short positions in a wide range of different markets. Consequently, it is not possible to predict how a particular future market scenario will affect performance, and the Fund’s past performance cannot be relied on as indicative of its future results.

Standard of Materiality

Materiality as used in this section, Quantitative and Qualitative Disclosures about Market Risk, is based on an assessment of reasonably possible market movements and the potential losses caused by such movements, taking into account the leverage, and multiplier features of the Fund’s market sensitive instruments.

Quantifying the Fund’s Trading Value at Risk

The following quantitative disclosures regarding the Fund’s market risk exposures contain forward-looking statements within the meaning of the Private Securities Litigation Reform Act of 1995 and other federal securities laws. All quantitative disclosures in this section are deemed to be forward-looking statements for purposes of the safe harbor, except for statements of historical fact.

Value at Risk is a measure of the maximum amount which the Fund could reasonably be expected to lose in a given market sector. However, the inherent uncertainty of the Fund’s speculative trading and the recurrence in the markets traded by the Fund to market movements far exceeding expectations could result in actual trading or non-trading losses far beyond the indicated Value at Risk or the Fund’s experience to date (i.e., “risk of ruin”). Risk of ruin is defined to be no more than a 5% chance of losing 20% or more on a monthly basis. In light of the foregoing as well as the risks and uncertainties intrinsic to all future projections, the inclusion of the quantification included in this section should not be considered to constitute any assurance or representation that the Fund’s losses in any market sector will be limited to Value at Risk or by the Fund’s attempts to manage its market risk.

The Fund’s risk exposure in the various market sectors traded by the Fund’s Trading Advisors is quantified below in terms of Value at Risk. Due to mark-to-market accounting, any loss in the fair value of the Fund’s open positions is directly reflected in the Fund’s earnings.

Exchange margin requirements have been used by the Fund as the measure of its Value at Risk. Margin requirements are set by exchanges to equal or exceed the maximum losses reasonably expected to be incurred in the fair value of any given contract in 95% - 99% of any one-day interval. The margin levels are established by dealers and exchanges using historical price studies as well as an assessment of current market volatility and economic fundamentals to provide a probabilistic estimate of the maximum expected near-term one-day price fluctuation.

In the case of market sensitive instruments that are not exchange-traded (includes currencies, certain energy products and metals), the margin requirements required by the forward counterparty is used as Value at Risk.

In quantifying the Fund’s Value at Risk, 100% positive correlation in the different positions held in each market risk category has been assumed. Consequently, the margin requirements applicable to the open contracts have simply been aggregated to determine each trading category’s aggregate Value at Risk. The diversification effects resulting from the fact that the Fund’s positions are rarely, if ever, 100% positively correlated, have not been reflected.

Value at Risk as calculated herein may not be comparable to similarly titled measures used by others.

The Fund’s Trading Value at Risk in Different Market Sectors

The following table indicates the trading Value at Risk associated with the Fund’s open positions by market sector at March 31, 2017 and December 31, 2016. All open position trading risk exposures of the Fund have been included in calculating the figures set forth below.

	March 31, 2017					December 31, 2016
Market Sector	Value at Risk		% of Total Capitalization			Value at Risk		% of Total Capitalization

Agricultural commodities	$	6,174,875		1.21	%	$	5,685,505		1.01	%
Currencies		23,992,219		4.71			25,932,828		4.60
Energy		6,094,536		1.20			5,107,361		0.91
Equity indices		42,725,519		8.39			42,931,048		7.63
Interest rate instruments		12,991,575		2.55			9,986,445		1.77
Metals		5,871,883		1.15			6,817,293		1.21
Single stock futures		5,766,717		1.13			5,709,471		1.01
Total	$	103,617,324		20.34	%	$	102,169,951		18.14	%

Material Limitations on Value at Risk as an Assessment of Market Risk.

The face value of the market sector instruments held by the Fund is typically many times the applicable margin requirement (margin requirements generally range between 1% and 10% of contract face value) as well as many times the capitalization of the Fund. The magnitude of the Fund’s open positions creates a “risk of ruin” not typically found in most other investment vehicles. Because of the size of its positions, certain market conditions - unusual, but historically recurring from time to time - could cause the Fund to incur severe losses over a short period of time. The foregoing Value at Risk table – as well as the past performance of the Fund – gives no indication of this “risk of ruin.”

Non-Trading Risk

The Fund has non-trading market risk on its foreign cash balances not needed for margin. However, these balances (as well as the market risk they represent) are immaterial. The Fund also has non-trading market risk as a result of investing a substantial portion of its available assets in U.S. Treasury securities, U.S. government sponsored enterprise notes, commercial paper, asset backed securities, corporate notes and certificates of deposit. Although these investments are considered to be high quality, some of the securities purchased are neither guaranteed by the U.S. government nor supported by the full faith and credit of the U.S. government. There is some risk that a security issuer may fail to pay the interest and principal in a timely manner, or that negative perceptions about the issuer’s ability to make such payments will cause the price of these instruments to decline in value.

Qualitative Disclosures Regarding Primary Trading Risk Exposures.

The following qualitative disclosures regarding the Fund’s market risk exposures - except for those disclosures that are statements of historical fact and the descriptions of how the Fund manages its primary market risk exposures - constitute forward-looking statements within the meaning of Section 27A of the Securities Act of 1933, (“1933 Act”) and Section 21E of the Securities Exchange Act of 1934, (“1934 Act”). The Fund’s primary market risk exposures as well as the strategies used and to be used by the Fund’s Trading Advisors for managing such exposures are subject to numerous uncertainties, contingencies and risks, any one of which could cause the actual results of the Fund’s risk controls to differ materially from the objectives of such strategies. Government interventions, defaults and expropriations, illiquid markets, the emergence of dominant fundamental factors, political upheavals, changes in historical price relationships, an influx of new market participants, increased regulation and many other factors could result in material losses as well as in material changes to the risk exposures and the risk management strategies of the Fund. There can be no assurance that the Fund’s current market exposure and/or risk management strategies will not change materially or that any such strategies will be effective in either the short- or long-term. Investors must be prepared to lose all or substantially all of their investment in the Fund.

The following were the primary trading risk exposures of the Fund as of March 31, 2017, by market sector.

Agricultural Commodities

The Fund’s primary agricultural exposure is due to price movements in agricultural commodities, which are often directly affected by severe or unexpected weather conditions as well as other factors that affect inventory levels or supply and demand characteristics. The Fund’s agricultural exposure is primarily to cotton, coffee, cocoa, cattle, corn, soybeans, sugar and wheat.

Currencies

The Fund’s currency risk exposure is due to exchange rate fluctuations, primarily fluctuations which disrupt the historical pricing relationships between different currencies and currency pairs. These fluctuations are influenced by interest rate changes as well as political and general economic conditions. The Fund trades various currencies, including cross-rates (i.e., positions between two currencies other than the U.S. dollar).

Energy

The Fund’s primary energy market exposure is due to gas and oil price movements, often resulting from political developments, ongoing conflicts or production disruptions in the Middle East and other oil producing nations as well as other factors that can influence supply and demand. Crude oil, heating oil, unleaded gas and natural gas are the dominant energy market exposures of the Fund. Oil and gas prices can be volatile and substantial profits and losses have been and are expected to continue to be experienced in this market.

Equity Indices

The Fund’s primary equity exposure is due to equity price risk in many countries other than the U.S. The stock index futures traded by the Fund are limited to futures on broadly based indices. The Fund is primarily exposed to the risk of adverse price trends or static markets in the major Australian, Canadian, European, Hong Kong, Japanese and U.S. indices.

Interest Rate Instruments

Interest rate risk is a significant market exposure of the Fund. Interest rate movements directly affect the price of the sovereign bond futures positions held by the Fund and indirectly the value of its stock index and currency positions. Interest rate movements in one country as well as relative interest rate movements between countries materially impact the Fund’s profitability. The Fund’s primary interest rate exposure is to interest rate fluctuations in the U.S., Japan, Great Britain, the European Economic Union, Sweden, Canada, Australia and New Zealand.

Metals

The Fund’s metals market exposure is primarily due to fluctuations in the price of aluminum, copper, gold, silver, nickel, platinum, lead and zinc.

Single Stock Futures

The Fund has a small exposure to Single Stock Futures (“SSF”). The Fund’s SSF exposure is primarily due to price movements in the underlying stock.

Qualitative Disclosures Regarding Non-Trading Risk Exposure

The following were the only non-trading risk exposures of the Fund as of March 31, 2017.

Foreign Currency Balances

The Fund’s primary foreign currency balances are in euros, Japanese yen, British pounds, Australian dollars, Hong Kong dollars and Canadian dollars. The Fund controls the non-trading risk of these balances by regularly converting these balances back into dollars (no less frequently than once a week).

U.S. Treasury Securities, U.S. and Foreign Government Sponsored Enterprise Notes, Commercial Paper, Corporate Notes, Asset Backed Securities and Certificates of Deposit

Monies in excess of margin requirements are invested in fixed income instruments, including U.S. Treasury securities, U.S. and foreign government sponsored enterprise notes, commercial paper, corporate notes, asset backed securities and certificates of deposit. Fluctuations in prevailing interest rates could cause mark-to-market gains or losses on the Fund’s investments; although substantially all of these investments are held to maturity.

Qualitative Disclosures Regarding Means of Managing Risk Exposure

The means by which the Fund and the Fund’s trading advisors, severally, attempt to manage the risk of the Fund’s open positions is essentially the same in all market sectors traded. The Fund’s trading advisors apply risk management policies to their respective trading which generally limit the total exposure that may be taken. In addition, the trading advisors generally follow proprietary diversification guidelines (often formulated in terms of the balanced volatility between markets and correlated groups).

The Fund is unaware of any (i) anticipated known demands, commitments or capital expenditures; (ii) material trends, favorable or unfavorable, in its capital resources; or (iii) trends or uncertainties that will have a material effect on operations. From time to time, certain regulatory agencies have proposed increased margin requirements on futures contracts. Because the Fund generally will use a small percentage of assets as margin, the Fund does not believe that any increase in margin requirements, as proposed, will have a material effect on the Fund’s operations.

Item 4. Controls and Procedures

The General Partner, with the participation of the Chief Executive Officer and Chief Financial Officer, evaluated the effectiveness of the design and operation of the Fund’s disclosure controls and procedures at March 31, 2017 (the “Evaluation Date”). Based on their evaluation, the Chief Executive Officer and Chief Financial Officer of the General Partner concluded that, as of the Evaluation Date, the Fund’s disclosure controls and procedures were effective.

Any control system, no matter how well designed and operated, can provide only reasonable (not absolute) assurance that its objectives will be met. Furthermore, no evaluation of controls can provide absolute assurance that all control issues and instances of fraud, if any, have been detected.

PART II: OTHER INFORMATION

Item 1. Legal Proceedings.

None.

Item 1A. Risk Factors.

There have been no material changes from risk factors disclosed in the Fund’s Form 10-K for year ended December 31, 2016.

Item 2. Unregistered Sales of Equity Securities and Use of Proceeds

There were no sales of unregistered securities of the Fund during the three months ended March 31, 2017. Under the Fund’s Partnership Agreement, limited partners may redeem their Units at the end of each calendar month at the then current month-end net asset value per Unit. Redemptions of Units during the three months ended March 31, 2017 were as follows:

	January			February			March			Total
A Units
Units redeemed		(2,765.3192	)		(3,123.8810	)		(3,443.2694	)		(9,332.4696	)
Average net asset value per unit	$	4,003.00		$	4,136.18		$	4,054.81		$	4,066.70

B Units
Units redeemed		(1,001.1561	)		(843.9294	)		(1,129,7656	)		(2,974.8511	)
Average net asset value per unit	$	5,951.23		$	6,158.37		$	6,046.21		$	6,046.06

I Units
Units redeemed		—			(501.3295	)		—			(501.3295	)
Average net asset value per unit		—		$	997.35			—		$	997.35

Item 3. Defaults Upon Senior Securities

Not applicable.

Item 4. Mine Safety Disclosures

Not applicable.

Item 5. Other Information

None.

Item 6. Exhibits

The following exhibits are filed herewith of incorporated by reference.

Exhibit No.	Description of Exhibit

1.1^(a)	Form of Selling Agreement

3.1^(a)	Maryland Certificate of Limited Partnership.

4.1^(a)	Limited Partnership Agreement.

10.1^(a)	Form of Subscription Agreement

31.01	Certification of Chief Executive Officer of the General Partner in accordance with Section 302 of the Sarbanes-Oxley Act of 2002
31.02	Certification of Chief Financial Officer of the General Partner in accordance with Section 302 of the Sarbanes-Oxley Act of 2002
32.01	Certification of Chief Executive Officer of the General Partner in accordance with Section 906 of the Sarbanes-Oxley Act of 2002
32.02	Certification of Chief Financial Officer of the General Partner in accordance with Section 906 of the Sarbanes-Oxley Act of 2002
101.INS	XBRL Instance Document
101.SCH	XBRL Taxonomy Extension Schema Document
101.CAL	XBRL Taxonomy Extension Calculation Linkbase Document
101.DEF	XBRL Taxonomy Extension Definition Linkbase Document
101.LAB	XBRL Taxonomy Extension Label Linkbase Document
101.PRE	XBRL Taxonomy Extension Presentation Linkbase Document

(a)

Incorporated by reference to the corresponding exhibit to the Registrant’s registration statement (File no. 000-50728) filed on April 29, 2004 on Form 10 under the 1934 Act, as amended.

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934, as amended, this report has been signed below by the following persons on behalf of the General Partner of the Registrant in the capacities and on the date indicated.

Dated: May 12, 2017	Futures Portfolio Fund, Limited Partnership

	By:	Steben & Company, Inc.
		General Partner

	By:	/s/ Kenneth E. Steben
	Name:	Kenneth E. Steben
	Title:	President, Chief Executive Officer and Director of the General Partner
		(Principal Executive Officer)

	By:	/s/ Carl A. Serger
	Name:	Carl A. Serger
	Title:	Chief Financial Officer and Director of the General Partner
		(Principal Financial and Accounting Officer)

FUTURES PORTFOLIO FUND L.P. - FORM 10-Q - May 12, 2017

Attached files

FUTURES PORTFOLIO FUND L.P. Reports