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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 THE 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 June 30, 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, a smaller reporting company or an emerging growth company. See the definitions of “large accelerated filer,” “accelerated filer,” “smaller reporting company” and “emerging growth company” in Rule 12b-2 of the Exchange Act.

 

Large accelerated filer ☐ Accelerated filer ☐
Non-accelerated filer ☒ Smaller reporting company ☐
(Do not check if a smaller reporting company) Emerging growth company ☐

  

If an emerging growth company, indicate by check mark if the registrant has elected not to use the extended transition period for complying with any new or revised financial accounting standards provided pursuant to Section 13(a) of the Exchange Act. ☐

 

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 

June 30, 2017 and December 31, 2016

 

  

June 30, 2017 

(Unaudited) 

   December 31,
2016
 
Assets          
Equity in broker trading accounts          
Cash  $60,535,206   $80,906,352 
Net unrealized gain (loss) on open futures contracts   (15,302,023)   8,921,229 
Net unrealized gain (loss) on open forward currency contracts   (561,073)   830,153 
Total equity in broker trading accounts   44,672,110    90,657,734 
Cash and cash equivalents   44,473,561    37,230,210 
Investments in securities, at fair value (cost $356,143,420 and $424,687,833)   356,331,437    424,440,330 
Certificates of deposit (CDs), at fair value (cost $11,585,431 and $35,406,974)   11,633,179    35,576,495 
General Partner 1% allocation receivable   310,148    98,751 
Exchange membership, at fair value (cost $189,000)   210,750     
Subscriptions receivable   236,455    381,917 
Total assets  $457,867,640   $588,385,437 
           
Liabilities and Partners’ Capital (Net Asset Value)          
Liabilities          
Trading Advisor management fees payable  $698,030   $885,524 
Trading Advisor incentive fees payable   1,394,910    1,581,179 
Commissions and other trading fees payable on open contracts   103,224    122,720 
Cash Managers fees payable   86,703    102,622 
General Partner management and performance fees payable   518,012    682,546 
Selling agent and broker dealer servicing fees payable – General Partner   474,022    630,727 
Administrative expenses payable – General Partner   96,136    127,136 
Investment Manager fees payable   115,493    128,682 
Distribution (12b-1) fees payable   3,342    2,961 
Operating services fee payable   15,839    17,648 
Redemptions payable   17,526,506    18,217,216 
Subscriptions received in advance   414,065    2,687,191 
Total liabilities   21,446,282    25,186,152 
           
Partners’ Capital (Net Asset Value)          
Class A Interests – 69,505.8314 and 84,825.0303 units outstanding at June 30, 2017 and December 31, 2016, respectively   264,989,636    347,445,757 
Class B Interests – 20,733.4612 and 29,193.8071 units outstanding at June 30, 2017 and December 31, 2016, respectively   118,394,318    177,512,074 
Class I Interests – 3,846.4495 and 3,828.4541 units outstanding at June 30, 2017 and December 31, 2016, respectively   3,568,962    3,763,781 
Class R Interests – 12,973.0392 and 0 units outstanding at June 30, 2017 and December 31, 2016, respectively   12,258,370     
Non-controlling interest   37,210,072    34,477,673 
Total partners’ capital (net asset value)   436,421,358    563,199,285 
Total liabilities and partners’ capital (net asset value)  $457,867,640   $588,385,437 

 

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

 

1 

 

 

Futures Portfolio Fund, Limited Partnership 

Consolidated Condensed Schedule of Investments 

June 30, 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   7/6/17  U.S. Treasury   0.79%  $19,988,645    4.58%
 16,000,000   8/17/17  U.S. Treasury   0.89%   15,980,800    3.66%
 5,000,000   8/31/17  U.S. Treasury   1.88%   5,038,485    1.15%
 15,000,000   9/14/17  U.S. Treasury   0.99%   14,969,917    3.43%
 3,000,000   10/15/17  U.S. Treasury   0.88%   3,003,663    0.69%
 4,150,000   10/31/17  U.S. Treasury   0.75%   4,150,513    0.95%
 6,950,000   12/15/17  U.S. Treasury   1.00%   6,948,312    1.59%
 5,750,000   2/15/18  U.S. Treasury   1.00%   5,762,115    1.32%
 500,000   3/31/18  U.S. Treasury   2.88%   509,434    0.12%
Total U.S. Treasury securities (cost: $76,328,365)         76,351,884    17.49%
                        
U.S. Commercial Paper                 
 Face Value   Maturity Date  Name   Yield1          
Automotive                 
$1,500,000   8/1/17  Ford Motor Credit Company LLC   1.27%   1,498,358    0.34%
 750,000   11/6/17  Ford Motor Credit Company LLC   1.61%   745,676    0.17%
 1,900,000   7/24/17  Hyundai Capital America   1.41%   1,898,301    0.43%
 500,000   8/16/17  Nissan Motor Acceptance Corporation   1.19%   499,240    0.11%
 1,500,000   7/13/17  Volvo Group Treasury North America Inc.   1.35%   1,499,325    0.34%
 500,000   7/11/17  VW Credit, Inc.   1.41%   499,806    0.11%
Banks                 
 500,000   8/4/17  Bank of Tokyo-Mitsubishi UFJ, Ltd.   1.14%   499,462    0.11%
 1,600,000   7/14/17  Credit Suisse (USA), Inc.   1.07%   1,599,382    0.37%
 1,700,000   8/24/17  Danske Corporation   1.44%   1,696,255    0.39%
 1,500,000   7/6/17  Mizuho Bank, Ltd.   1.12%   1,499,767    0.34%
 400,000   7/17/17  Mizuho Bank, Ltd.   1.05%   399,813    0.09%
 1,500,000   7/5/17  Oversea-Chinese Banking Corporation Ltd   1.11%   1,499,815    0.34%
 400,000   7/12/17  Oversea-Chinese Banking Corporation Ltd   1.07%   399,869    0.09%
 500,000   7/3/17  Standard Chartered Bank   1.05%   499,971    0.11%
 1,800,000   9/12/17  Standard Chartered Bank   1.85%   1,795,453    0.41%
 1,800,000   7/21/17  United Overseas Bank Limited   1.00%   1,799,000    0.41%
Beverages                 
 2,100,000   7/7/17  Brown-Forman Corporation   1.04%   2,099,636    0.48%
Diversified financial services                
 1,700,000   8/21/17  American Express Credit Corporation   1.26%   1,696,990    0.39%
 1,600,000   8/3/17  DCAT, LLC   1.33%   1,598,064    0.37%
 1,600,000   7/14/17  Gotham Funding Corporation   1.05%   1,599,393    0.37%
 500,000   7/10/17  ING (U.S.) Funding LLC   1.00%   499,875    0.11%
 1,500,000   8/11/17  ING (U.S.) Funding LLC   1.25%   1,497,865    0.34%
 1,600,000   7/25/17  Intercontinental Exchange, Inc.   1.07%   1,598,859    0.37%
 500,000   8/2/17  Intercontinental Exchange, Inc.   1.21%   499,462    0.11%
 1,500,000   9/1/17  J.P. Morgan Securities LLC   1.20%   1,496,900    0.34%
 1,500,000   7/12/17  Liberty Street Funding LLC   1.14%   1,499,478    0.34%
 1,600,000   7/7/17  Manhattan Asset Funding Company LLC   1.04%   1,599,723    0.37%
Energy                 
 1,500,000   8/8/17  Duke Energy Corporation   1.41%   1,497,783    0.34%
 500,000   7/14/17  Eaton Corporation   1.40%   499,749    0.11%
 1,500,000   7/11/17  Enterprise Products Operating LLC   1.30%   1,499,458    0.34%
 2,000,000   7/19/17  Molex Electronic Technologies, LLC   1.43%   1,998,580    0.46%
 500,000   7/18/17  NextEra Energy Capital Holdings, Inc.   1.40%   499,672    0.11%

 

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

 

2 

 

 

Futures Portfolio Fund, Limited Partnership 

Consolidated Condensed Schedule of Investments (continued) 

June 30, 2017 (Unaudited)

 

       Description  Fair Value   % of Partners’
Capital (Net
Asset Value)
 
U.S. Commercial Paper (continued)               
 Face Value   Maturity Date  Name   Yield1          
Energy (continued)                
$1,500,000   7/27/17  NextEra Energy Capital Holdings, Inc.   1.41%  $1,498,483    0.35%
 1,500,000   7/6/17  Oglethorpe Power Corporation   1.29%   1,499,731    0.35%
 500,000   7/18/17  Oglethorpe Power Corporation   1.21%   499,714    0.12%
 2,000,000   8/2/17  Sempra Energy Global Enterprises   1.41%   1,997,511    0.47%
Machinery                
 1,700,000   7/3/17  Caterpillar Financial Services Corporation   1.10%   1,699,896    0.40%
REIT                
 1,500,000   7/17/17  Simon Property Group, L.P.   1.00%   1,499,333    0.35%
 500,000   9/25/17  Simon Property Group, L.P.   1.26%   498,507    0.12%
Total U.S. commercial paper (cost: $49,108,677)         49,204,155    11.27%
                        
Foreign Commercial Paper               
 Face Value   Maturity Date  Name   Yield1          
Banks                
$500,000   7/11/17  Australia And New Zealand Banking Group Ltd   1.03%   499,857    0.11%
 1,600,000   7/26/17  Australia And New Zealand Banking Group Ltd   1.02%   1,598,867    0.37%
 500,000   8/1/17  Bank of Nova Scotia   1.10%   499,526    0.11%
 2,000,000   7/10/17  DBS Bank Ltd.   1.10%   1,999,450    0.46%
 1,000,000   10/23/17  Nationwide Building Society   1.45%   995,368    0.23%
 555,000   7/25/17  Nordea Bank AB   1.05%   554,612    0.13%
 1,600,000   8/2/17  Nordea Bank AB   1.04%   1,598,521    0.37%
 500,000   7/26/17  Skandinaviska Enskilda Banken AB   1.05%   499,635    0.11%
Machinery                
 500,000   7/6/17  John Deere Financial Inc.   1.05%   499,927    0.11%
Pharmaceutical                
 500,000   7/6/17  AstraZeneca PLC   1.20%   499,916    0.11%
Telecommunication                
 1,200,000   9/13/17  Vodafone Group Public Limited Company   1.53%   1,196,188    0.28%
Total foreign commercial paper (cost: $10,410,971)         10,441,867    2.39%
Total commercial paper (cost: $59,519,648)         59,646,022    13.66%
                        
U.S. Corporate Notes               
 Face Value   Maturity Date  Name   Yield1          
Agriculture                
$995,000   5/16/18  Philip Morris International Inc.   5.65%   1,036,274    0.24%
Automotive                
 566,000   7/13/18  American Honda Finance Corporation   1.62%   569,846    0.13%
 368,000   2/22/19  American Honda Finance Corporation   2.00%   373,071    0.09%
 649,000   8/3/17  Daimler Finance North America LLC   1.88%   651,229    0.15%
 6,700,000   3/2/18  Daimler Finance North America LLC   1.63%   6,718,780    1.54%
 6,500,000   1/9/18  Ford Motor Credit Company LLC   2.10%   6,550,978    1.50%
 891,000   12/5/17  Toyota Motor Credit Corporation   1.47%   892,693    0.20%
 670,000   2/19/19  Toyota Motor Credit Corporation   2.00%   679,244    0.16%
 200,000   11/20/17  Volkswagen Group of America Finance, LLC   1.61%   200,494    0.05%
Banks                
 750,000   3/20/19  Citibank N.A   1.61%   751,457    0.17%
 1,500,000   3/12/18  Commonwealth Bank of Australia   1.63%   1,508,415    0.35%
 8,000,000   4/27/18  Credit Suisse AG   1.85%   8,057,528    1.85%
 4,000,000   3/1/18  JPMorgan Chase & Co.   1.70%   4,024,067    0.92%

 

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

 

3 

 

 

Futures Portfolio Fund, Limited Partnership 

Consolidated Condensed Schedule of Investments (continued) 

June 30, 2017 (Unaudited)

 

       Description  Fair Value   % of Partners’
Capital (Net
Asset Value)
 
U.S. Corporate Notes (continued)               
 Face Value   Maturity Date  Name   Yield1          
Banks (continued)                
$8,125,000   2/9/18  MUFG Americas Holdings Corporation   1.75%  $8,148,538    1.86%
 1,000,000   2/23/18  PNC Bank, National Association   1.50%   1,005,386    0.23%
 463,000   12/7/18  PNC Bank, National Association   1.62%   465,646    0.11%
 806,000   9/11/17  U.S. Bank National Association   1.43%   806,712    0.18%
 450,000   1/29/18  U.S. Bank National Association   1.45%   452,919    0.10%
 500,000   4/25/18  UBS AG   5.75%   521,216    0.12%
 1,722,000   9/8/17  Wells Fargo & Company   1.40%   1,729,671    0.40%
Beverages                
 3,617,000   1/15/18  Anheuser-Busch Companies, LLC   5.50%   3,782,916    0.87%
Computers                
 800,000   5/3/18  Apple Inc.   1.42%   803,545    0.18%
 2,650,000   2/22/19  Apple Inc.   1.70%   2,673,385    0.61%
 3,000,000   2/22/19  Apple Inc.   2.01%   3,044,351    0.70%
Diversified financial services                
 450,000   3/3/20  American Express Credit Corporation   1.65%   451,541    0.10%
 1,250,000   1/11/19  Berkshire Hathaway Finance Corporation   1.41%   1,257,163    0.29%
 800,000   5/10/19  Branch Banking and Trust Company   1.70%   805,648    0.18%
 400,000   12/15/17  Goldman Sachs Group, Inc.   2.05%   401,376    0.09%
 1,189,000   1/18/18  Goldman Sachs Group, Inc.   5.95%   1,247,617    0.29%
 3,500,000   2/15/19  Goldman Sachs Group, Inc.   7.50%   3,895,722    0.89%
 3,000,000   4/25/19  Goldman Sachs Group, Inc.   2.20%   3,045,022    0.70%
 3,600,000   10/15/18  Intercontinental Exchange, Inc.   2.50%   3,547,000    0.81%
 250,000   6/12/20  Metropolitan Life Global Funding I   1.64%   250,297    0.06%
 4,000,000   2/1/19  Morgan Stanley   2.45%   4,067,673    0.93%
 1,500,000   10/5/17  Nyse Holdings LLC   2.00%   1,509,329    0.35%
 362,000   5/21/18  Principal Life Global Funding II   1.47%   362,943    0.08%
 336,000   2/1/19  USAA Capital Corporation   1.40%   337,279    0.08%
 4,500,000   12/14/17  Visa Inc.   1.20%   4,500,345    1.03%
Energy                
 955,000   2/28/19  Chevron Corporation   1.29%   956,659    0.22%
 3,350,000   12/1/17  Kinder Morgan, Inc.   2.00%   3,357,392    0.77%
 118,000   11/30/17  Pacific Gas and Electric Company   1.40%   118,175    0.03%
Healthcare                
 7,500,000   6/7/18  Aetna Inc.   1.70%   7,511,425    1.72%
 1,500,000   6/7/18  Aetna Inc.   1.70%   1,502,285    0.34%
 500,000   1/15/18  Anthem, Inc.   1.88%   504,743    0.12%
 1,500,000   3/15/18  Medtronic, Inc.   1.50%   1,506,955    0.35%
 7,775,000   4/1/18  Zimmer Biomet Holdings, Inc.   2.00%   7,827,948    1.78%
Insurance                
 828,000   12/15/17  AIG Global Funding   1.65%   829,135    0.19%
 352,000   8/15/18  Berkshire Hathaway Inc.   1.15%   352,262    0.08%
 466,000   4/13/18  New York Life Global Funding   1.55%   469,063    0.11%
Pharmaceutical                
 6,775,000   5/14/18  AbbVie Inc.   1.80%   6,799,526    1.56%
Retail                
 7,500,000   7/20/18  CVS Health Corporation   1.90%   7,583,229    1.74%
 3,000,000   9/10/18  Home Depot, Inc.   2.25%   3,045,533    0.70%
Software                
 1,400,000   8/8/19  Microsoft Corporation   1.10%   1,389,583    0.32%
 900,000   7/7/17  Oracle Corporation   1.35%   902,870    0.21%

 

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

 

4 

 

 

 

Futures Portfolio Fund, Limited Partnership

Consolidated Condensed Schedule of Investments (continued)

June 30, 2017 (Unaudited)

 

       Description  Fair Value   % of Partners’
Capital (Net
Asset Value)
 
U.S. Corporate Notes (continued)            
Face Value   Maturity Date  Name  Yield1        
Software (continued)                   
$600,000   4/15/18  Oracle Corporation   5.75%  $626,339    0.14%
 4,000,000   10/8/19  Oracle Corporation   2.25%   4,070,190    0.93%
Telecommunication                   
 7,450,000   2/15/19  AT&T Inc.   5.80%   8,066,421    1.85%
 4,000,000   9/20/19  Cisco Systems, Inc.   1.61%   4,027,772    0.92%
 247,000   5/20/19  QUALCOMM Incorporated   1.56%   248,157    0.06%
 4,500,000   9/14/18  Verizon Communications Inc.   2.99%   4,587,762    1.05%
Total U.S. corporate notes (cost:  $147,681,803)         147,410,740    33.78%
                        
Foreign Corporate Notes                  
 Face Value   Maturity Date  Name   Yield1          
Banks                       
$5,000,000   8/17/18  ING Bank N.V.   1.96%   5,041,997    1.16%
 5,000,000   7/23/18  National Australia Bank Limited   1.79%   5,042,235    1.16%
 511,000   6/12/20  National Bank of Canada   1.79%   513,143    0.12%
 1,000,000   7/27/18  Royal Bank of Canada   2.20%   1,015,677    0.23%
 350,000   6/4/18  Royal Bank of Scotland N.V.   1.80%   350,378    0.08%
 539,000   10/30/18  Royal Bank of Scotland N.V.   2.50%   545,492    0.12%
 7,000,000   1/18/19  Royal Bank of Scotland N.V.   1.80%   7,051,848    1.62%
 882,000   9/29/17  Swedbank AB   2.13%   888,280    0.20%
 300,000   3/12/18  Swedbank AB   1.75%   301,887    0.07%
 262,000   3/14/18  Swedbank AB   1.60%   263,439    0.06%
 1,500,000   7/23/18  Toronto-Dominion Bank   1.69%   1,510,917    0.35%
 500,000   1/22/19  Toronto-Dominion Bank   1.95%   506,439    0.12%
 Diversified financial services                  
 800,000   1/29/18  La Caisse Centrale Desjardins du Quebec   1.84%   805,048    0.18%
 400,000   12/7/18  UBS AG   1.54%   400,521    0.09%
 Energy                      
 7,500,000   5/3/19  BP Capital Markets P.L.C.   1.68%   7,495,277    1.71%
 7,500,000   9/12/19  Shell International Finance B.V.   1.38%   7,476,849    1.71%
 608,000   1/15/18  Total Capital Canada Ltd.   1.45%   611,964    0.14%
 Pharmaceuticals                      
 6,790,000   3/12/18  Actavis Funding SCS   2.31%   6,834,666    1.57%
 3,000,000   3/12/20  Actavis Funding SCS   2.48%   3,070,742    0.70%
Total foreign corporate notes (cost:  $49,414,517)         49,726,799    11.39%
Total corporate notes (cost:  $197,096,320)         197,137,539    45.17%
                        
U.S. Asset Backed Securities               
 Face Value   Maturity Date  Name   Yield1          
Automotive                      
$262,334   10/15/18  Ally Auto Receivables Trust 2016-2   1.17%   262,428    0.06%
 31,241   8/15/18  Ally Auto Receivables Trust 2016-1   1.20%   31,254    0.01%
 1,309,000   10/15/19  Ally Auto Receivables Trust 2017-1   1.38%   1,308,713    0.30%
 206,249   6/10/19  AmeriCredit Automobile Receivables Trust 2014-3   1.15%   206,362    0.05%
 96,953   4/8/19  AmeriCredit Automobile Receivables Trust 2015-4   1.26%   97,018    0.02%
 150,000   5/18/20  AmeriCredit Automobile Receivables Trust 2017-1   1.51%   149,971    0.03%
 246,944   7/15/24  Ari Fleet Lease Trust 2016-A   1.82%   247,356    0.06%
 114,261   1/22/18  BMW Vehicle Lease Trust 2016-1   1.17%   114,287    0.03%
 571,400   5/28/19  BMW Vehicle Owner Trust 2016-A   0.99%   570,608    0.13%
 650,000   9/20/19  Capital Auto Receivables Asset Trust 2015-2   1.73%   650,994    0.15%
 216,653   4/22/19  Capital Auto Receivables Asset Trust 2016-3   1.63%   216,941    0.05%

 

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

 

 5

 

 

Futures Portfolio Fund, Limited Partnership

Consolidated Condensed Schedule of Investments (continued)

June 30, 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)                   
$680,314   11/15/19  CarMax Auto Owner Trust 2016-4   1.21%  $679,619    0.16%
 138,617   7/15/19  Drive Auto Receivables Trust 2016-B   1.67%   138,733    0.03%
 350,000   11/15/19  Drive Auto Receivables Trust 2016-C   1.67%   350,263    0.08%
 500,000   1/15/20  Drive Auto Receivables Trust 2017-A   1.77%   500,698    0.11%
 312,160   2/22/21  Enterprise Fleet Financing, LLC   1.59%   312,327    0.07%
 533,632   11/15/18  Ford Credit Auto Lease Trust 2016-A   1.42%   533,991    0.12%
 260,970   3/15/19  Ford Credit Auto Owner Trust 2016-B   1.08%   260,829    0.06%
 500,000   7/20/19  GE Dealer Floorplan Master Note   1.59%   500,298    0.11%
 209,406   4/10/28  Hertz Fleet Lease Funding LP   1.39%   209,512    0.05%
 122,717   7/23/18  Honda Auto Receivables 2015-4 Owner Trust   0.82%   122,671    0.03%
 167,683   6/18/18  Honda Auto Receivables 2016-1 Owner Trust   1.01%   167,679    0.04%
 797,426   9/17/18  Honda Auto Receivables 2016-2 Owner Trust   1.13%   797,433    0.18%
 753,733   10/18/18  Honda Auto Receivables 2016-3 Owner Trust   1.01%   753,346    0.17%
 1,091,528   5/15/19  Huntington Auto Trust 2016-1   1.29%   1,091,610    0.25%
 281,450   7/16/18  Hyundai Auto Lease Securitization Trust 2016-A   1.71%   281,948    0.06%
 92,801   11/15/18  Hyundai Auto Receivables Trust 2015-C   0.99%   92,776    0.02%
 364,746   6/17/19  Hyundai Auto Receivables Trust 2016-A   1.21%   364,660    0.08%
 800,000   2/18/20  Hyundai Auto Receivables Trust 2017-A   1.48%   799,966    0.18%
 603,647   7/16/18  Mercedes-Benz Auto Lease Trust 2016-A   1.34%   603,971    0.14%
 1,000,000   8/15/19  Mercedes-Benz Auto Lease Trust 2017-A   1.36%   1,000,664    0.23%
 522,181   9/14/17  Mercedes-Benz Auto Receivables Trust 2016-1   1.11%   521,930    0.12%
 700,000   9/16/19  Nissan Auto Lease Trust 2017-A   1.64%   699,774    0.16%
 406,217   5/15/19  Nissan Auto Receivables   1.07%   405,898    0.09%
 590,558   4/15/19  Nissan Auto Receivables 2016-B Owner Trust   1.05%   590,143    0.14%
 65,782   9/16/19  Santander Drive Auto Receivables Trust 2015-5   1.58%   65,837    0.02%
 290,049   11/15/19  Santander Drive Auto Receivables Trust 2016-3   1.34%   290,141    0.07%
 625,000   5/15/19  Santander Drive Auto Receivables Trust 2017-1   1.55%   625,074    0.14%
 281,000   2/18/20  Santander Drive Auto Receivables Trust 2017-1   1.49%   280,979    0.06%
 188,248   7/16/18  Toyota Auto Receivables 2016-A Owner Trust   1.03%   188,258    0.04%
 396,254   1/15/19  Toyota Auto Receivables 2016-C Owner Trust   1.00%   395,999    0.09%
 22,943   10/22/18  Volkswagen Auto Loan Enhanced Trust 2014-1   0.91%   22,937    0.01%
 Credit card                      
 1,500,000   4/15/20  American Express Credit Account Master Trust   1.49%   1,501,507    0.35%
 1,000,000   1/15/20  BA Credit Card Trust   1.45%   1,000,974    0.23%
 786,000   1/15/21  Capital One Multi-Asset Execution Trust   1.39%   786,149    0.18%
 350,000   11/16/20  Synchrony Credit Card Master Note Trust   1.61%   350,450    0.08%
 Other                      
 23,841   3/23/20  Dell Equipment Finance Trust 2015-1   1.30%   23,848    0.01%
 605,606   9/22/20  Dell Equipment Finance Trust 2015-2   1.72%   606,224    0.14%
 Student loans                      
 1,417,861   11/15/23  SMB Private Education Loan Trust 2016-B   1.81%   1,420,944    0.33%
Total U.S. asset backed securities (cost:  $29,199,087)         23,195,992    5.32%
Total investments in securities (cost:  $356,143,420)       $356,331,437    81.64%
                        
certificates of deposit               
U.S. Certificates of Deposit                  
 Face Value   Maturity Date  Name   Yield1          
Banks                       
$250,000   9/11/17  Agricultural Bank of China Limited   1.75%  $250,326    0.06%
 250,000   9/13/17  Agricultural Bank of China Limited   1.75%   250,264    0.06%

 

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

 

 6

 

 

Futures Portfolio Fund, Limited Partnership

Consolidated Condensed Schedule of Investments (continued)

June 30, 2017 (Unaudited)

 

       Description  Fair Value   % of Partners’
Capital (Net
Asset Value)
 
U.S. Certificates of Deposit (continued)            
Face Value   Maturity Date  Name  Yield1        
Banks (continued)                   
$1,000,000   1/24/18  Bank of Tokyo-Mitsubishi UFJ, Ltd.   1.70%  $1,008,930    0.23%
 1,000,000   12/6/17  Barclays Bank PLC   1.97%   1,003,578    0.23%
 1,000,000   6/6/18  BNP Paribas   1.59%   1,001,092    0.23%
 500,000   12/1/17  Chiba Bank, Ltd.   1.45%   500,595    0.11%
 1,650,000   9/12/17  Credit Suisse Group AG   1.75%   1,654,406    0.39%
 1,300,000   12/12/17  Lloyds Bank PLC   1.69%   1,303,417    0.30%
 400,000   12/20/17  Lloyds Bank PLC   1.73%   400,979    0.09%
 1,000,000   10/12/17  Sumitomo Mitsui Banking Corporation   1.50%   1,011,428    0.23%
 750,000   12/7/18  Sumitomo Mitsui Trust Bank Ltd   1.61%   750,698    0.17%
 1,500,000   7/30/18  Svenska Handelsbanken AB   1.39%   1,503,155    0.34%
Total U.S. certificates of deposit (cost:  $10,600,000)         10,638,868    2.44%
                        
Foreign Certificates of Deposit               
 Face Value   Maturity Date  Name   Yield1          
Diversified financial services                
$500,000   11/13/17  BP Capital Markets P.L.C.   2.96%   497,437    0.11%
 500,000   12/8/17  BP Capital Markets P.L.C.   3.08%   496,874    0.11%
Total Foreign certificates of deposit (cost:  $985,431)         994,311    0.22%
Total certificates of deposit (cost:  $11,585,431)       $11,633,179    2.66%
                        
                        
                        
OPEN FUTURES CONTRACTS               
Long U.S. Futures Contracts               
        Agricultural commodities       $315,774    0.07%
        Currencies        440,163    0.10%
        Energy        124,129    0.03%
        Equity indices        (1,299,757)   (0.30)%
        Interest rate instruments        (1,845,859)   (0.42)%
        Metals        6,344,863    1.46%
        Single stock futures        (22,060)   (0.01)%
Net unrealized gain (loss) on open long U.S. futures contracts       4,057,253    0.93%
                        
Short U.S. Futures Contracts               
        Agricultural commodities        (1,280,912)   (0.29)%
        Currencies        (341,636)   (0.08)%
        Energy        (3,464,999)   (0.79)%
        Equity indices        317,505    0.07%
        Interest rate instruments        565,081    0.13%
        Metals        (6,862,317)   (1.58)%
        Single stock futures        28,735    0.01%
 

Net unrealized gain (loss) on open short U.S. futures contracts

        (11,038,543)   (2.53)%
                        
Total U.S. Futures Contracts - Net unrealized gain (loss) on open U.S. futures contracts        (6,981,290)   (1.60)%

 

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

 

 7

 

 

Futures Portfolio Fund, Limited Partnership

Consolidated Condensed Schedule of Investments (continued)

June 30, 2017 (Unaudited)

                     
     

Description

  Fair Value  

% of Partners’
Capital (Net
Asset Value)

 
Long Foreign Futures Contracts              
      Agricultural commodities   $ (2,588 )   0.00 %
      Currencies     211,955     0.05 %
      Energy     23,534     0.01 %
      Equity indices     (4,547,131 )   (1.04 )%
      Interest rate instruments     (6,048,749 )   (1.40 )%
      Metals     (12,969 )   0.00 %
      Single stock futures     (11,689 )   0.00 %
Net unrealized gain (loss) on open long foreign futures contracts     (10,387,637 )   (2.38 )%
                     
Short Foreign Futures Contracts              
      Agricultural commodities     (12,714 )   0.00 %
      Currencies     73,876     0.02 %
      Energy     (213,261 )   (0.05 )%
      Equity indices     806,261     0.18 %
      Interest rate instruments     1,413,641     0.32 %
      Metals     (899 )   0.00 %
Net unrealized gain (loss) on open short foreign futures contracts     2,066,904     0.47 %
                     
Total foreign futures contracts - net unrealized gain (loss) on open foreign futures contracts     (8,320,733 )   (1.91 )%
                     
Net unrealized gain (loss) on open futures contracts   $ (15,302,023 )   (3.51 )%
                     

OPEN FORWARD CURRENCY CONTRACTS

             
U.S. Forward Currency Contracts              
      Long   $ 1,075,897     0.25 %
      Short     (1,774,192 )   (0.41 )%
Net unrealized gain (loss) on open U.S. forward currency contracts     (698,295 )   (0.16 )%
                     
Foreign Forward Currency Contracts              
      Long     (118,536 )   (0.03 )%
      Short     255,758     0.06 %
Net unrealized gain (loss) on open foreign forward currency contracts     137,222     0.03 %
                     
Net unrealized gain (loss) on open forward currency contracts   $ (561,073 )   (0.13 )%

 

1 Represents the annualized yield at date of purchase for zero-coupon 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.

 

 8

 

 

 

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.

 

9 

 

 

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.

 

10 

 

 

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.

 

11 

 

 

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.

 

12 

 

 

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.

 

 13

 

 

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.

 

 14

 

  

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.

 

 15

 

 

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.

 

 16

 

 

 

Futures Portfolio Fund, Limited Partnership

Consolidated Statements of Operations

For the Three and Six Months Ended June 30, 2017 and 2016 (unaudited)

 

  

Three Months Ended
June 30,

 

Six Months Ended 
June 30,

   2017    2016    2017    2016  
Realized and change in unrealized gain (loss) on investments                    
Net realized gain (loss) on:                    
Futures, forward currency and swap contracts  $(4,224,929)  $(22,350,265)  $7,791,104   $31,797,481 
Investments in securities and CDs   192,230    (420,406)   26,157    (312,981)
Net change in unrealized gain (loss) on:                    
Futures, forward currency and swap contracts   (17,018,180)   26,857,511    (25,210,102)   27,103,902 
Investments in securities and CDs   (68,314)   1,252,068    131,859    1,298,167 
Exchange membership   (14,250)       21,750     
Brokerage commissions and trading expenses   (1,210,746)   (1,381,656)   (2,495,472)   (2,574,262)
Net realized and changed in unrealized gain (loss) on investments   (22,344,189)   3,957,252    (19,734,704)   57,312,307 
                     
Net investment income (loss)                    
Income                    
Interest income (loss)   1,416,139    1,270,605    2,833,944    2,419,964 
                     
Expenses                    
Trading Advisor management fee   1,727,916    2,075,184    3,696,408    4,169,066 
Trading Advisor incentive fee   1,394,911    1,420,218    3,314,832    3,298,796 
Cash manager fees   90,673    125,110    193,889    248,931 
General Partner management and performance fees   1,655,913    2,295,847    3,568,939    4,773,385 
Selling agent and broker dealer servicing fees – General Partner   1,510,549    2,129,383    3,274,376    4,434,242 
General Partner 1% allocation   (265,452)   (41,963)   (310,148)   391,629 
Administrative expenses – General Partner   308,651    439,971    666,104    934,652 
Investment Manager fees   355,780    363,321    727,394    651,739 
Distribution (12b-1) fees   9,976    6,757    18,705    13,277 
Operating services fee   48,793    49,827    99,757    133,126 
Total expenses   6,837,710    8,863,655    15,250,256    19,048,843 
Net investment income (loss)   (5,421,571)   (7,593,050)   (12,416,312)   (16,628,879)
Net income (loss)   (27,765,760)   (3,635,798)   (32,151,016)   40,683,428 
Less:  net (income) loss attributable to non-controlling interest   1,485,976    (518,534)   1,446,372    (1,912,169)
Net income (loss) attributable to the Fund  $(26,279,784)  $(4,154,332)  $(30,704,644)  $38,771,259 

 

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

 

 17

 

Futures Portfolio Fund, Limited Partnership

 Consolidated Statements of Operations (continued)

 For the Three and Six Months Ended June 30, 2017 and 2016 (unaudited)

 

   Three Months Ended June 30,
   2017 
    Class A    Class B    Class I    Class R 
Increase (decrease) in net asset value per unit  $(242.33)  $(335.91)  $(52.14)  $(55.09)
Net income (loss) per unit†  $(243.36)  $(331.84)  $(55.43)  $(55.89)
Weighted average number of units outstanding   72,246.7089    23,403.2404    3,456.9558    13,240.7199 

 

   Three Months Ended June 30, 
   2016 
    Class A    Class B    Class I    Class R 
Increase (decrease) in net asset value per unit  $(32.63)  $(18.55)  $(0.37)  $ 
Net income (loss) per unit†  $(38.09)  $(19.45)  $(0.36)  $ 
Weighted average number of units outstanding   92,741.3442    31,881.5810    3,828.4541     

 

   Six Months Ended June 30,
   2017 
    Class A    Class B    Class I    Class R 
Increase (decrease) in net asset value per unit  $(283.55)  $(370.17)  $(55.25)  $(55.09)
Net income (loss) per unit†  $(274.32)  $(343.90)  $(54.96)  $(55.89)
Weighted average number of units outstanding   76,487.3173    25,554.7643    3,544.5508    13,240.7199 

 

   Six Months Ended June 30, 
   2016 
    Class A    Class B    Class I    Class R 
Increase (decrease) in net asset value per unit  $249.77   $422.59   $72.02   $ 
Net income (loss) per unit†  $258.59   $435.87   $72.03   $ 
Weighted average number of units outstanding   94,370.1251    32,330.7179    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.

 

 18

 

 

Futures Portfolio Fund, Limited Partnership
Consolidated Statements of Cash Flows
For the Six Months Ended June 30, 2017 and 2016
(Unaudited)
         

   2017   2016 
Cash flows from operating activities          
Net income (loss)  $(32,151,016)  $40,683,428 
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   25,614,478    (27,103,902)
Net realized and change in unrealized (gain) loss on securities and certificates of deposit   (158,016)   (985,186)
Purchases of securities, certificates of deposit and exchange membership   (411,485,129)   (493,632,646)
Proceeds from disposition of securities and certificates of deposit   503,506,354    488,986,782 
Changes in          
Exchange membership   (21,750)    
Trading Advisor management fee payable   (187,494)   (185,479)
Trading Advisor incentive fee payable   (186,269)   1,574,419 
Commissions and other trading fees payable on open contracts   (19,496)   (29,612)
Cash Managers fees payable   (15,919)   4,678 
General Partner management and performance fees payable   (164,534)   (5,585)
General Partner 1% allocation receivable/payable   (211,397)   663,059 
Selling agent and broker dealer servicing fees payable – General Partner   (156,705)   (11,435)
Administrative expenses payable – General Partner   (31,000)   (2,359)
Investment Manager fee payable   (13,189)   36,841 
Distribution (12b-1) fees payable   381    76 
Operating services fee payable   (1,809)   (16,997)
Net cash provided by (used in) operating activities   84,317,490    9,976,082 
           
Cash flows from financing activities          
Subscriptions   4,657,837    8,123,501 
Subscriptions received in advance   414,065    1,657,373 
Redemptions   (107,579,214)   (52,976,439)
Non-controlling interest – subscriptions   11,021,332    5,605,676 
Non-controlling interest – redemptions   (5,959,305)   (2,549,717)
Net cash provided by (used in) financing activities   (97,445,285)   (40,139,606)
           
Net increase (decrease) in cash and cash equivalents   (13,127,795)   (30,163,524)
Cash and cash equivalents, beginning of period   118,136,562    179,026,770 
Cash and cash equivalents, end of period  $105,008,767   $148,863,246