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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 
           
End of period cash and cash equivalents consists of          
Cash in broker trading accounts  $60,535,206   $114,257,286 
Cash and cash equivalents   44,473,561    34,605,960 
Total end of period cash and cash equivalents  $105,008,767   $148,863,246 
           
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  $17,526,506   $9,596,232 

 

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

 

19

 

 

Futures Portfolio Fund, Limited Partnership

Consolidated Statements of Changes in Partners’ Capital (Net Asset Value)
For the Six Months Ended June 30, 2017 and 2016
(Unaudited)

 

   Class A  Class B  Class I  Class R  Non-Controlling
Interest
    
   Units  Amount  Units  Amount  Units  Amount  Units  Amount  Amount  Total 
Six Months Ended June 30, 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)     (20,981,697)    (8,788,169)    (194,819)      (736,959  (1,446,372)  (32,151,016
Subscriptions   805.7079   3,267,328   480.0293   2,917,700   519.3249   500,000   669.9595   660,000   10,875,870   18,220,898 
Redemptions   (15,887.7809)  (63,814,810)  (6,895.6717)  (40,853,851)  (501.3295)  (500,000)  (1,018.3717)  (982,049)  (6,697,099)  (112,847,809)
Transfers   (237.1259)  (926,942)  (2044.7035)  (12,393,436)        13,321.4514   13,320,378       
Balance at June 30, 2017   69,505.8314  $264,989,636   20,733.4612  $118,394,318   3,846.4495  $3,568,962   12,973.0392  $12,258,370  $37,210,072  $436,421,358 
                                          
Six Months Ended June 30, 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)      24,403,386      14,092,124      275,749          1,912,169   40,683,428 
Subscriptions   1,051.8622   4,654,291   711.7583   4,556,175               5,725,091   14,935,557 
Redemptions   (7,266.2609)  (32,372,868)  (2,919.3809)  (19,003,573)              (2,602,746)  (53,979,187)
Transfers   (581.0258)  (2,519,419)  395.9536   2,519,419                   
Balance at June 30, 2016   91,239.5336  $407,113,938   31,453.9898  $206,493,177   3,828.4541  $4,043,579        $27,574,990  $645,225,684 

 

   Net Asset Value per Unit 
              
   Class A  Class B  Class I  Class R 
              
June 30, 2017  $3,812.48  $5,710.30  $927.86  $944.91 
December 31, 2016   4,096.03   6,080.47   983.11    
June 30, 2016   4,462.03   6,564.93   1056.19    
December 31, 2015   4,212.26   6,142.34   984.17    

 

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

 

20

 

 

 

Futures Portfolio Fund, Limited Partnership 

Notes to Consolidated Financial Statements

 

1.Organization and Summary of Significant Accounting Policies

 

Description of the Fund

 

Futures Portfolio Fund, Limited Partnership (“Fund”) is a Maryland limited partnership, which operates as a commodity investment pool that commenced trading operations on January 2, 1990. The Fund issues units of limited partner interests (“Units”) in six classes, Class A, A2, A3, 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 six 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. Class A2 Units may pay an up-front sales commission of up to 3% of the offering price and a 0.6% per annum selling agent fee. Class A3 Units may pay an up-front sales commission of up to 2% of the offering price and a 0.75% per annum selling agent fee. 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, and Class A2 and A3 Units were introduced in June 2017. On April 1, 2017, approximately $14 million in Class B Units transferred to R Units. There were no Class A2 or Class A3 Units outstanding on June 30, 2017.

 

During 2014, 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 June 30, 2017, the Fund owned 51% 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 half of 2017, the Fund redeemed $11 million of its investment in SMFSF, respectively, which is eliminated in consolidation.

 

 21

 

 

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 June 30, 2017 and year ended December 31, 2016, there were no such transfers between levels.

 

 22

 

 

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 memberships 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 June 30, 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 2013.

 

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. 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).

 

 23

 

 

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 occurred on January 1, 2017 and did not have a material impact on the consolidated financial statements.

 

2.Fair Value Disclosures

 

The Fund’s assets and liabilities, measured at fair value on a recurring basis, are summarized in the following tables by the type of inputs applicable to the fair value measurements:

 

At June 30, 2017

 

    
   Level 1   Level 2   Total 
Equity in broker trading accounts:               
Net unrealized gain (loss) on open futures contracts*  $(15,302,023)  $   $(15,302,023)
Net unrealized gain (loss) on open forward currency contracts*       (561,073)   (561,073)
Cash and cash equivalents:               
    Money market fund   36,297,485        36,297,485 
Investments in securities:               
    U.S. Treasury securities*   76,351,884        76,351,884 
    Asset backed securities*       23,195,992    23,195,992 
    Commercial paper*       59,646,022    59,646,022 
    Corporate notes*       197,137,539    197,137,539 
Certificates of deposit*       11,633,179    11,633,179 
Exchange membership       210,750    210,750 
Total  $97,347,346   $  291,262 ,409   $388,609,755 

*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 June 30, 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.

 

 24

 

3.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 June 30, 2017, the Fund’s derivative contracts had the following impact on the consolidated statements of financial condition:

 

June 30, 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  $1,469,594   $(2,450,034)  $(980,440)
Currencies   1,723,083    (1,338,725)   384,358 
Energy   636,302    (4,166,899)   (3,530,597)
Equity indices   1,912,322    (6,635,444)   (4,723,122)
Interest rate instruments   2,404,934    (8,320,820)   (5,915,886)
Metals   7,404,622    (7,935,944)   (531,322)
Single stock futures   200,121    (205,135)   (5,014)
Net unrealized gain (loss) on open futures contracts  $15,750,978   $(31,053,001)  $(15,302,023)
                
Net unrealized gain (loss) on open forward currency contracts  $3,161,394   $(3,722,467)  $(561,073)

 

At June 30, 2017, there were 50,501 open futures contracts and 2,970 open forward currency contracts.

 

The Fund’s financial assets, derivative assets, and cash collateral held by counterparties at June 30, 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  $(150,683)  $   $   $(150,683)
Deutsche Bank Securities, Inc.   (490,347)           (490,347)
JP Morgan Securities, LLC   (4,001,092)           (4,001,092)
SG Americas Securities, LLC   (10,810,584)           (10,810,584)
Société Générale International Limited   31,146            31,146 
UBS AG   (441,536)           (441,536)
Total  $(15,863,096)  $   $   $(15,863,096)

 

For the three and six months ended June 30, 2017, the Fund’s derivative contracts had the following impact on the consolidated statements of operations:

 

   Three Months Ended
June 30, 2017
   Six Months Ended
June 30, 2017
 
Types of Exposure  Net realized gain (loss)   Net change
in unrealized
gain (loss)
   Net realized gain (loss)   Net change
in unrealized
gain (loss)
 
Futures contracts                    
Agricultural commodities  $4,906,660   $(4,154,011)  $(54,900)  $(1,670,601)
Currencies   (7,324,909)   1,437,411    (7,756,779)   (754,333)
Energy   (9,413,472)   (824,709)   (17,765,828)   (5,777,635)
Equity indices   23,366,403    (8,549,229)   53,691,035    (7,947,065)
Interest rate instruments   (6,068,674)   (4,768,549)   (9,201,192)   (8,027,161)
Metals   (5,055,964)   (457,562)   (7,283,247)   (213,553)
Single stock futures   342,373    (162,705)   1,191,046    167,096 
Total futures contracts  $752,417   $(17,479,354)  $12,820,135   $(24,223,252)
                     
Forward currency contracts   (5,549,731)   209,172    (6,043,543)   (1,391,226)
Total futures, forward currency and swap contracts  $(4,797,314)  $(17,270,182)  $6,776,592   $(25,614,478)

 

25 

 

 

For the three months ended June 30, 2017, the number of futures contracts closed was 494,465 and the number of forward currency contracts closed was 55,431. For the six months ended June 30, 2017, the number of futures contracts closed was 987,690 and the number of forward currency contracts closed was 108,014.

 

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 

 

26 

 

 

For the three and six months ended June 30, 2016, the Fund’s derivative contracts had the following impact on the consolidated statements of operations:

 

 

   Three Months Ended
June 30, 2016
   Six Months Ended
June 30, 2016
 
Types of Exposure  Net realized gain (loss)   Net change
in unrealized
gain (loss)
  

Net realized

gain (loss)

   Net change
in unrealized
gain (loss)
 
Futures contracts                    
Agricultural commodities  $(190,529)  $2,408,534   $(2,910,407)  $1,741,058 
Currencies   (1,027,026)   4,914,015    (1,605,859)   3,401,221 
Energy   (8,811,210)   (40,256)   8,399,839    (3,814,995)
Equity indices   (17,611,068)   591,488    (18,256,874)   3,274,549 
Interest rate instruments   10,481,524    14,446,300    45,527,021    22,245,184 
Metals   (2,762,445)   2,062,809    (5,300,003)   (2,183,411)
Single stock futures   111,974    49,183    (53,896)   195,854 
Total futures contracts  $(19,808,780)  $24,432,073   $25,799,821   $24,859,460 
                     
Forward currency contracts   (2,497,769)   2,425,438    (2,854,376)   5,685,338 
                     
Swap contract           8,706,658    (3,440,896)
                     
Total futures, forward currency and swap contracts  $(22,306,549)  $26,857,511   $31,652,103   $27,103,902 

 

For the three months ended June 30, 2016, the number of futures contracts closed was 507,922 and the number of forward currency contracts closed was 42,773. For the six months ended June 30, 2016, the number of futures contracts closed was 944,150 and the number of forward currency contracts closed was 81,938.

 

4.General Partner

 

At June 30, 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:

 

   June 30,
2017
   December 31,
2016
 
Units Owned   254.4114    254.4114 
Value of Units  $236,058   $250,114 

 

The following fees are paid to the General Partner:

 

General Partner Management Fee – the Fund incurs a monthly fee on Class A, A2, A3, B and R Units equal to 1/12th of 1.5% of the month-end net asset value of the Class A, A2, A3, B and R Units, payable in arrears. The Fund incurs a monthly fee on Class I Units equal to 1/12th 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 1/12th 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 1/12th of 1.25% per month.

 

27 

 

 

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

 

Selling Agent Fees – the Class A, A2, A3, Units incur a monthly fee equal to 1/12th of 2%, 0.6%, and 0.75% of the month-end net asset value of the Class A, A2, and A3 Units, respectively. Selling agent fees amounted to $1,441,226 and $2,026,871 for the three months ended June 30, 2017 and 2016, respectively. Selling agent fees amounted to $3,118,551 and $4,222,372 for the six months ended June 30, 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 1/12th of 0.2% of the month-end net asset value of the Class B Units. Broker dealer servicing fees amounted to $69,323 and $102,512 for the three months ended June 30, 2017 and 2016, respectively. Broker dealer servicing fees amounted to $155,825 and $211,870 for the six months ended June 30, 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 1/12th 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 1/12th of 0.5% per month.

 

Administrative Expenses – the Fund incurs a monthly fee equal to 1/12th 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.

 

5.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 1/12th of 0.11% and 0.10% of the investments in securities and certificates of deposit as of the period ended June 30, 2017 and 2016, respectively.

 

6.Deposits with Brokers

 

To meet margin requirements, the Fund deposits funds with brokers, subject to CFTC regulations and various exchange and broker requirements. The Fund earns interest income on its assets deposited with brokers. At June 30, 2017 and December 31, 2016, the Fund had margin deposit requirements of $87,680,513 and $103,248,865, respectively.

 

7.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, A2, A3, 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, A2, A3, 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 June 30, 2017 and December 31, 2016, the Fund received advance subscriptions of $414,065 and $2,687,191, respectively, which were recognized as subscriptions to the Fund or returned, if applicable, subsequent to period-end.

 

28 

 

 

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, A2, A3, 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.

 

8.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.

 

29 

 

 

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 June 30, 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  $76,351,884   $49,204,155   $147,410,740   $23,195,992   $10,638,868   $306,801,639    70.30%
Netherlands           20,466,564            20,466,564    4.69%
France       2,691,472    7,895,798        994,311    11,581,581    2.65%
Canada           9,905,408            9,905,408    2.27%
Australia       2,098,724    5,042,235            7,140,959    1.64%
Luxumbourg       999,453    4,963,188            5,962,641    1.37%
Sweden       2,652,768    1,453,606            4,106,374    0.94%
Singapore       1,999,450                1,999,450    0.46%
Total  $76,351,884   $59,646,022   $197,137,539   $23,195,992   $11,633,179   $367,964,616    84.32%

 

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%

 

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9.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 June 30, 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 and six months ended June 30, 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 June 30, 2017, results of operations, cash flows and changes in partners’ capital (net asset value) for the three and six months ended June 30, 2017 and 2016. The results of operations for the three and six months ended June 30, 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 and six months ended June 30, 2017 and 2016, assuming the unit was outstanding throughout the entire period:

 

   Three Months Ended June 30, 2017 
   Class A   Class B   Class I   Class R 
Per Unit Operating Performance                    
                     
Net asset value per unit, beginning of period  $4,054.81   $6,046.21   $980.00   $1,000.00 
                     
Net realized and change in unrealized gain (loss) on investments(1)   (187.20)   (280.46)   (45.40)   (46.22)
Net investment income (loss)(1)   (55.13)   (55.45)   (6.74)   (8.87)
Total income (loss) from operations   (242.33)   (335.91)   (52.14)   (55.09)
                     
Net asset value per unit, end of period  $3,812.48   $5,710.30   $927.86   $944.91 
                     
Total return(4)   (5.98)%   (5.56)%   (5.32)%   (5.51)%
                     
Other Financial Ratios                    
Ratios to average net asset value                    
Expenses prior to General Partner 1% allocation(2)(3)   7.11%   5.25%   4.34%   5.16%
General Partner 1% allocation(4)   (0.06)%   (0.06)%   (0.06)%   (0.06)%
Net total expenses   7.05%   5.19%   4.28%   5.10%
                     
Net investment income (loss)(2)(3)(5)   (5.82)%   (3.97)%   (3.05)%   (3.86)%

 

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   Three Months Ended June 30, 2016 
   Class A   Class B   Class I   Class R 
Per Unit Operating Performance                    
                     
Net asset value per unit, beginning of period  $4,494.66   $6,583.48   $1,056.56   $ 
                     
Net realized and change in unrealized gain (loss) on investments(1)   28.03    42.29    6.78     
Net investment income (loss)(1)   (60.66)   (60.84)   (7.15)    
Total income (loss) from operations   (32.63)   (18.55)   (0.37)    
                     
Net asset value per unit, end of period  $4,462.03   $6,564.93   $1,056.19   $ 
                     
Total return(4)   (0.73)%   (0.28)%   (0.03)%    
                     
Other Financial Ratios                    
Ratios to average net asset value                    
Expenses prior to General Partner 1% allocation(2)(3)   6.42%   4.64%   3.60%    
General Partner 1% allocation(4)   (0.01)%   0.00%   0.00%    
Net total expenses   6.41%   4.64%   3.60%    
                     
Net investment income (loss)(2)(3)(5)   (5.59)%   (3.81)%   (2.78)%    

 

 

   Six Months Ended June 30, 2017 
   Class A   Class B   Class I   Class R 
Per Unit Operating Performance                    
                     
Net asset value per unit, beginning of period or at issuance  $4,096.03   $6,080.47   $983.11   $1,000.00 
                     
Net realized and change in unrealized gain (loss) on investments(1)   (164.72)   (246.66)   (40.16)   (46.22)
Net investment income (loss)(1)   (118.83)   (123.51)   (15.09)   (8.87)
Total income (loss) from operations   (283.55)   (370.17)   (55.25)   (55.09)
                     
Net asset value per unit, end of period  $3,812.48   $5,710.30   $927.86   $944.91 
                     
Total return(4)   (6.92)%   (6.09)%   (5.62)%   (5.51)%
                     
Other Financial Ratios                    
Ratios to average net asset value                    
Expenses prior to General Partner 1% allocation(2)(3)   7.27%   5.45%   4.43%   5.16%
General Partner 1% allocation(4)   (0.07)%   (0.06)%   (0.06)%   (0.06)%
Net total expenses   7.20%   5.39%   4.37%   5.10%
                     
Net investment income (loss)(2)(3)(5)   (6.06)%   (4.24)%   (3.23)%   (3.86)%

 

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   Six Months Ended June 30, 2016 
   Class A   Class B   Class I   Class R 
Per Unit Operating Performance                    
                     
Net asset value per unit, beginning of period  $4,212.26   $6,142.34   $984.17   $ 
                     
Net realized and change in unrealized gain (loss) on investments(1)   380.01    554.80    88.79     
Net investment income (loss)(1)   (130.24)   (132.21)   (16.77)    
Total income (loss) from operations   249.77    422.59    72.02     
                     
Net asset value per unit, end of period  $4,462.03   $6,564.93   $1,056.19   $ 
                     
Total return(4)   5.93%   6.88%   7.32%    
                     
Other Financial Ratios                    
Ratios to average net asset value                    
Expenses prior to General Partner 1% allocation(2)(3)   6.58%   4.74%   3.87%    
General Partner 1% allocation(4)   0.06%   0.07%   0.07%    
Net total expenses   6.64%   4.81%   3.94%    
                     
Net investment income (loss)(2)(3)(5)   (5.81)%   (3.97)%   (3.10)%    

 

Total returns are calculated based on the change in value of a Class A, B, I and R Units 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, I or R 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.

 

† Class R Units were first issued on April 1, 2017.

 

12. Subsequent Events

 

Subsequent to quarter end, there were $908,000 of contributions and $15,721,559 of redemptions from the Fund, and the Fund redeemed $2,000,000 of its investment in SMFF.

 

33 

 

  

Item 2.  Management’s Discussion and Analysis of Financial Condition and Results of Operations

 

Current Positioning

 

Sector risk allocations and net positioning as of June 30, 2017 and second quarter 2017 gross performance contribution by sector was as follows:

 

Risk Allocation 

Net

Position

  Sector  Gross Performance Contribution 
10%  Mixed  Agriculture   0.06%
17%  Long  Energy   (1.92)%
7%  Mixed  Metals   (1.02)%
24%  Long USD & EM  Currencies   (2.18)%
26%  Long  Equity indices   2.74%
16%  Short  Interest rates   (2.21)%

 

As of June 30, 2017, the Fund held a balanced mix of exposures across each of the major sectors. Equity exposure continues to be on the long side, primarily in the U.S. and Europe. The recent price appreciation of the Euro caused the Fund to switch from a short to long Euro posture. The Fund also has long positions in emerging market currencies and the Australian dollar, with a short position in the Japanese yen. Long positions in global bonds were reduced after the quarter-end sell off. Commodity exposure grew over the quarter, with short positions building in energy and agricultural commodities, accompanied by a long industrial metals position.

 

Results of Operations

 

The returns for each Class of Units for the six months ended June 30, 2017 and 2016 were:

 

Class of Units  2017   2016 
Class A   (6.92)%   5.93%
Class B   (6.09)%   6.88%
Class I   (5.62)%   7.32%
Class R   (5.51)%    

 

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. Overall, 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.

 

34 

 

 

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.

 

April

Heightened geopolitical uncertainty weighed on risk assets early in the month. Markets were focused on saber rattling from North Korea and U.S. airstrikes in Syria. Later in the month, the first round of the French Presidential elections concluded without surprise, making a Le Pen victory and potential French exit from the Eurozone less probable. As a result, equity markets traded higher and the euro rallied sharply. The euro finished April at 1.09 against the U.S. dollar and gained more than 2% during the month. Energy markets were volatile, as an early month rally quickly gave way to a sell-off, with crude oil ending April down 3.4%.

 

The Fund continued to make profits from its long equity positions, and experienced losses in currency and energy positions. Within the equity allocation, the Fund was particularly profitable trading futures contracts in Euro Stoxx, Nasdaq and the S&P 500. The Euro Stoxx position was supported by the French elections, while upbeat corporate earnings provided momentum in U.S. equity markets. A long U.S. dollar and short euro position detracted due to strength in the euro. The Fund was long live cattle futures and benefited from a 15% increase in cattle prices, driven by strong consumer demand and tighter beef supply. Overall, the Fund finished the month with a net loss of 1.61%, 1.46%, 1.38% and 1.45% for Class A, B, I and R Units, respectively.

 

May

In May, developed market equity indices drifted higher and valuations continued to inflate, spurred by U.S. tech sector earnings and a centrist victory in the French Presidential election. The appointment of a special counsel to investigate the Trump administration’s alleged Russian ties led to a brief stock sell-off, but investors quickly shrugged off the news. The VIX volatility index dipped back below 10, setting a new low for the year. In foreign exchange markets, the U.S. dollar weakened against most major currencies, erasing all of its gains since the U.S. election. Energy markets had a choppy month, with oil prices declining as OPEC failed to implement larger production cuts.

 

The Fund made gains in its long global equity positions, especially in the tech-heavy NASDAQ Index. Losses came primarily from commodities markets, as trend-following programs were whipsawed by reversals in oil and precious metals. Currencies also proved to be a detractor, as the Fund’s long U.S. dollar positions were hurt by a rebound in the euro and Japanese yen. Performance in fixed income futures was marginally positive during the month. Overall, the Fund finished the month with a net loss of 0.61%, 0.46%, 0.38% and 0.45% for Class A, B, I and R Units, respectively.

 

June

Global equity markets remained stable in the first half of the month, despite a number of major political events, ranging from former FBI Director James Comey’s congressional testimony to general elections in the UK. However, market sentiment shifted at month-end after European Central Bank President Mario Draghi discussed the return of reflationary forces and the potential need to end quantitative easing measures later this year. Comments from the Bank of England and Bank of Canada were also more hawkish than anticipated. Markets interpreted these statements as the first step towards a less accommodative monetary policy environment and the result was a sharp sell-off in government bond markets accompanied by a rally in the euro, British Pound and Canadian dollar.

 

The Fund made money from long equity positions early in the month, but the ECB and BOE comments led to a decline in European equity markets that caused the sector to finish down modestly. Interest rate contracts were challenging for the Fund, as global long bond positions were hurt by the fixed income sell-off in the last week of the month. Agricultural prices jumped at month-end after a U.S. Department of Agriculture report indicated plantings were short of expectations for wheat and soybean, hurting the Fund’s short positions in those markets. Overall, the Fund finished the month with a net loss of 3.85%, 3.71%, 3.63% and 3.69% for Class A, B, I and R Units, respectively.

 

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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.

 

April

Many of the macroeconomic trends that dominated the first quarter reversed course in April, as fixed income markets sold off and energy markets drifted higher. German 10-year Bund yields rose from a low of 9 basis points (bps) to a high of 30 bps during the month, as the European Central Bank held off on adding to its existing stimulus plan. Meanwhile, in the U.S., improving economic data also caused 10-year Treasury yields to climb, hurting bond prices. Oil prices registered their biggest monthly gain in a year, despite major exporting countries being unable to agree on output cuts.

 

36 

 

 

The Fund generated gains in the currency sector during the month, profiting from a Japanese yen rally after the Bank of Japan failed to deliver anticipated easing policies. The Fund was also able to capitalize on the rise in the price of gold and other precious metals. However, long exposures in fixed income led to losses, particularly in Europe, as bond prices declined. Short energy positions detracted from profits after an oil price rebound, while the equity sector was also a negative contributor given volatility in stock indices. Overall, the Fund finished the month with a loss of 3.84%, 3.70% and 3.62% for Class A, B and I Units, respectively.

 

May

May was a choppy month, as global stock indices declined in the first half of the month before recovering on improved U.S. economic data, with the MSCI World Index finishing the month up 0.2%. In fixed income markets, an early rally was reversed when minutes from the April Federal Open Market Committee Meeting suggested that the next U.S. interest rate hike could come as soon as June. The Fed’s more hawkish guidance also caused the U.S. dollar to appreciate against most currencies, and led to a sell-off in gold.

 

May market reversals proved challenging for trend-following programs. In particular, the currency sector saw losses as the Fund’s long positions in the Australian dollar and Japanese yen were hurt by the rebounding U.S. dollar. The prospect of tighter U.S. monetary policy also negatively impacted long positions in gold and silver, as demand waned for precious metals as a store of value. Trading was profitable in the agricultural sector, however, with gains from rising soybean prices. Overall, the Fund finished the month with a loss of 2.83%, 2.69% and 2.61% for Class A, B and I Units, respectively.

 

June

June was an exceptionally volatile month as global markets were unprepared for Britain’s referendum decision to leave the European Union. Investors reacted to Brexit by seeking the protection of safe haven assets such as bonds, while selling equities and the British Pound. The Pound fell 8.5% the day after the referendum, its largest one-day loss on record, which pushed the currency to its lowest level against the U.S. dollar since the mid-1980s. Bonds performed well in the flight to safety as yields on U.S. 10-year Treasuries declined from 1.85% at the end of May to 1.47% by the end of June.

 

The Fund began the month with mixed performance from choppy markets. However, the Brexit aftermath created strong trends that the Fund was able to successfully exploit. Long positions in UK, European and U.S. bonds, short positions in the British Pound, long positions in the Japanese yen and long precious metals positions all contributed to the Fund’s largest monthly gain since October 2008. Overall, the Fund finished the month with a gain of 6.25%, 6.41% and 6.49% 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%.

 

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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.

 

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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 June 30, 2017 and December 31, 2016. All open position trading risk exposures of the Fund have been included in calculating the figures set forth below.

 

   June 30, 2017   December 31, 2016 
Market Sector  Value at Risk  

% of Total
Capitalization

 

  Value at Risk  

% of Total
Capitalization

 

                 
Agricultural commodities  $5,523,616    1.27%  $5,685,505    1.01%
Currencies   17,910,012    4.10    25,932,828    4.60 
Energy   7,985,636    1.83    5,107,361    0.91 
Equity indices   34,428,184    7.89    42,931,048    7.63 
Interest rate instruments   9,375,379    2.15    9,986,445    1.77 
Metals   4,751,877    1.09    6,817,293    1.21 
Single stock futures   4,901,226    1.12    5,709,471    1.01 
Total  $84,875,930    19.45%  $102,169,951    18.14%

 

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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 June 30, 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.

 

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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 June 30, 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 June 30, 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.

 

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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 June 30, 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 June 30, 2017 were as follows:

 

   April   May   June   Total 
A Units                    
Units redeemed   3,471.2529    1,675.4957    1,408.5627    6,555.3113 
Average net asset value per unit  $3,989.56   $3,965.16   $3,812.48   $3,945.27 
                     

B Units 

                    
Units redeemed   735.1683    1,349.5706    1,836.0817    3,920.8206 
Average net asset value per unit  $5,957.78   $5,930.16   $5,710.30   $5,832.38 
                     
I Units                    
Units redeemed                
Average net asset value per unit                
                     
R Units                    
Units redeemed   42.4202    498.4790    477.4725    1,018.3717 
Average net asset value per unit  $985.54   $981.13   $944.91   $964.33 

 

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.

 

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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.

 

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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:  August 14, 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)

 

44