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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 CHIEF EXECUTIVE OFFICER - FUTURES PORTFOLIO FUND L.P.ex31-01.htm

 

 

 

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

 

FORM 10-Q

 

QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934

 

For the quarterly period ended March 31, 2020

 

Commission file number:  000-50728

 

FUTURES PORTFOLIO FUND, LIMITED PARTNERSHIP

 

Organized in Maryland

IRS Employer Identification No.:  52-1627106

 

Address:  c/o Steben & Company, LLC, 687 Excelsior Boulevard, Excelsior, MN  55331

Telephone: (952) 767-6900

 

Securities registered pursuant to Section 12(b) of the Act:  N/A

 

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 every Interactive Data File required to be submitted pursuant to Rule 405 of Regulation S-T (§232.405 of this chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit such files).    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 definition 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 

 

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

Statements of Financial Condition

March 31, 2020 (unaudited) and December 31, 2019

 

 

 

March 31,
2020

 

 

December 31,
2019

 

Assets

 

 

(unaudited)

 

 

 

 

 

Equity in broker trading accounts

 

 

 

 

 

 

 

 

Cash

 

$

37,373,064

 

 

$

64,814,573

 

Net unrealized gain (loss) on open futures contracts

 

 

5,209,865

 

 

 

187,200

 

Net unrealized gain (loss) on open forward currency contracts

 

 

879,999

 

 

 

(189,715

)

Total equity in broker trading accounts

 

 

43,462,928

 

 

 

64,812,058

 

Cash

 

 

17,957,919

 

 

 

5,174,304

 

Investments in securities, at fair value (cost $152,399,543 and $161,352,357)

 

 

152,597,275

 

 

 

162,552,581

 

Investment in SMFSF, at fair value (cost $-0- and $25,620,952)

 

 

 

 

 

22,738,951

 

General Partner 1% allocation receivable

 

 

242,554

 

 

 

 

Exchange membership, at fair value (cost $189,000 and $189,000)

 

 

80,000

 

 

 

62,500

 

Total assets

 

$

214,340,676

 

 

$

255,340,394

 

 

 

 

 

 

 

 

 

 

Liabilities and Partners’ Capital (Net Asset Value)

 

 

 

 

 

 

 

 

Liabilities

 

 

 

 

 

 

 

 

Trading advisor management fees payable

 

$

471,742

 

 

$

586,747

 

Trading advisor incentive fees payable

 

 

213,562

 

 

 

602,408

 

Commissions and other trading fees payable on open contracts

 

 

23,075

 

 

 

55,213

 

Cash Manager fees payble

 

 

99,781

 

 

 

48,576

 

General Partner management and performance fees payable

 

 

265,447

 

 

 

315,840

 

Selling agent fees payable - General Partner

 

 

239,787

 

 

 

285,554

 

Broker dealer servicing fees payable - General Partner

 

 

9,886

 

 

 

11,224

 

Administration fee payable - General Partner

 

 

74,066

 

 

 

58,569

 

General Partner 1% allocation payable

 

 

 

 

 

80,477

 

Redemptions payable

 

 

4,442,475

 

 

 

4,780,643

 

Subscriptions received in advance

 

 

121,911

 

 

 

266,000

 

Total liabilities

 

 

5,961,732

 

 

 

7,091,251

 

 

 

 

 

 

 

 

 

 

Partners’ Capital (Net Asset Value)

 

 

 

 

 

 

 

 

Class A interests - 39,200.7154 and 41,522.9804 units outstanding at March 31, 2020 and December 31, 2019, respectively

 

 

140,695,251

 

 

 

166,191,101

 

Class A2 interests - 621.0963 and 526.3226 units outstanding at March 31, 2020 and December 31, 2019, respectively

 

 

577,925

 

 

 

544,240

 

Class A3 interests - 86.0607 units outstanding at March 31, 2020 and December 31, 2019, respectively

 

 

77,820

 

 

 

86,512

 

Class B interests - 9,931.2280 and 10,608.5075 units outstanding at March 31, 2020 and December 31, 2019, respectively

 

 

56,074,695

 

 

 

66,498,788

 

Class I interests - 1,769.1082 units outstanding at March 31, 2020 and December 31, 2019, respectively

 

 

1,667,220

 

 

 

1,846,574

 

Class R interests - 9,884.7705 and 12,549.5403 units outstanding at March 31, 2020 and December 31, 2019, respectively

 

 

9,286,033

 

 

 

13,081,928

 

Total partners’ capital (net asset value)

 

 

208,378,944

 

 

 

248,249,143

 

Total liabilities and partners’ capital (net asset value)

 

$

214,340,676

 

 

$

255,340,394

 

 

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

 

 

1

 

 

Futures Portfolio Fund, Limited Partnership

Condensed Schedule of Investments

March 31, 2020 (Unaudited)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Description

 

Fair Value

 

 

% of Partners’
Capital
(Net Asset Value)

INVESTMENTS IN SECURITIES

 

 

 

 

 

 

 

 

U.S. Treasury Securities

 

 

 

 

 

 

 

 

 

Face Value

 

 

Maturity Date

 

Name

 

Yield

1

 

 

 

 

 

 

 

 

$

3,500,000

 

 

4/15/20

 

U.S. Treasury

 

 

1.50

%

 

$

3,523,148

 

 

 

1.69

%

 

8,500,000

 

 

5/15/20

 

U.S. Treasury

 

 

1.50

%

 

 

8,560,291

 

 

 

4.11

%

 

6,000,000

 

 

6/15/20

 

U.S. Treasury

 

 

1.50

%

 

 

6,040,620

 

 

 

2.90

%

 

6,000,000

 

 

8/31/20

 

U.S. Treasury

 

 

1.38

%

 

 

6,036,236

 

 

 

2.90

%

 

6,000,000

 

 

10/31/21

 

U.S. Treasury

 

 

2.00

%

 

 

6,208,877

 

 

 

2.98

%

Total U.S. Treasury securities (cost: $30,251,943)

 

 

 

 

 

 

30,369,172

 

 

 

14.58

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

U.S. Commercial Paper

 

 

 

 

 

 

 

 

 

 

 

 

 

Face Value

 

 

Maturity Date

 

Name

 

Yield

1

 

 

 

 

 

 

 

 

Automotive

 

 

 

 

 

 

 

 

 

 

 

 

 

$

1,300,000

 

 

4/9/20

 

PACCAR Financial Corp.

 

 

0.96

%

 

$

1,299,688

 

 

 

0.62

%

Banks

 

 

 

 

 

 

 

 

 

 

 

 

 

 

1,400,000

 

 

4/7/20

 

Nieuw Amsterdam Receivables Corporation B.V.

 

 

0.93

%

 

 

1,399,748

 

 

 

0.67

%

Beverages

 

 

 

 

 

 

 

 

 

 

 

 

 

 

1,300,000

 

 

4/29/20

 

Brown-Forman Corporation

 

 

1.08

%

 

 

1,298,868

 

 

 

0.62

%

Diversified financial services

 

 

 

 

 

 

 

 

 

 

 

 

 

1,400,000

 

 

4/6/20

 

DCAT, LLC

 

 

1.00

%

 

 

1,399,767

 

 

 

0.67

%

 

1,300,000

 

 

4/3/20

 

Gotham Funding Corporation

 

 

0.77

%

 

 

1,299,917

 

 

 

0.62

%

 

1,400,000

 

 

4/24/20

 

Intercontinental Exchange, Inc.

 

 

2.25

%

 

 

1,397,898

 

 

 

0.67

%

 

1,300,000

 

 

4/16/20

 

Manhattan Asset Funding Company LLC

 

 

1.53

%

 

 

1,299,117

 

 

 

0.62

%

Energy

 

 

 

 

 

 

 

 

 

 

 

 

 

 

1,400,000

 

 

4/2/20

 

Dominion Energy, Inc.

 

 

0.87

%

 

 

1,399,932

 

 

 

0.67

%

Food

 

 

 

 

 

 

 

 

 

 

 

 

 

 

1,400,000

 

 

4/7/20

 

Mondelez International, Inc.

 

 

1.49

%

 

 

1,399,594

 

 

 

0.68

%

Insurance

 

 

 

 

 

 

 

 

 

 

 

 

 

 

1,300,000

 

 

4/3/20

 

Nationwide Life Insurance Company

 

 

1.03

%

 

 

1,299,888

 

 

 

0.63

%

Machinery

 

 

 

 

 

 

 

 

 

 

 

 

 

 

1,400,000

 

 

6/1/20

 

Deere & Company

 

 

1.05

%

 

 

1,397,462

 

 

 

0.68

%

Media

 

 

 

 

 

 

 

 

 

 

 

 

 

 

1,300,000

 

 

4/14/20

 

The Walt Disney Company

 

 

1.24

%

 

 

1,299,376

 

 

 

0.63

%

Pharmaceuticals

 

 

 

 

 

 

 

 

 

 

 

 

 

 

1,300,000

 

 

5/11/20

 

Novartis Finance Corporation

 

 

1.54

%

 

 

1,297,718

 

 

 

0.62

%

 

1,400,000

 

 

4/16/20

 

Pfizer Inc.

 

 

1.52

%

 

 

1,399,055

 

 

 

0.67

%

Water

 

 

 

 

 

 

 

 

 

 

 

 

 

 

1,400,000

 

 

4/1/20

 

American Water Capital Corp.

 

 

0.00

%

 

 

1,400,000

 

 

 

0.67

%

Total U.S. commercial paper (cost: $20,261,482)

 

 

 

 

 

 

 20,288,028

 

 

 

9.74

%

 

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

 

2

 

 

Futures Portfolio Fund, Limited Partnership

Condensed Schedule of Investments (continued)

March 31, 2020 (Unaudited)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Description

 

 

Fair Value

 

 

% of Partners’
Capital (Net
Asset Value)

 

Foreign Commercial Paper

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Face Value

 

 

Maturity Date

 

Name

 

Yield

1

 

 

 

 

 

 

 

 

Banks

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

$

1,400,000

 

 

4/6/20

 

Skandinaviska Enskilda Banken AB (publ.)

 

 

1.47

%

 

$

1,399,656

 

 

 

0.67

%

 

1,300,000

 

 

4/22/20

 

Sumitomo Mitsui Banking Corporation

 

 

1.61

%

 

 

1,298,718

 

 

 

0.62

%

Chemicals

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

1,300,000

 

 

4/2/20

 

Nutrien Ltd.

 

 

0.87

%

 

 

1,299,937

 

 

 

0.62

%

Diversified financial services

 

 

 

 

 

 

 

 

 

 

 

 

 

 

1,300,000

 

 

5/6/20

 

Longship Funding Designated Activity Company

 

 

1.56

%

 

 

1,297,978

 

 

 

0.62

%

Energy

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

1,400,000

 

 

4/9/20

 

Engie SA

 

 

1.48

%

 

 

1,399,480

 

 

 

0.67

%

Insurance

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

1,400,000

 

 

4/28/20

 

Prudential plc

 

 

1.59

%

 

 

1,398,268

 

 

 

0.67

%

Total foreign commercial paper (cost: $8,073,452)

 

 

 

 

8,094,037

 

 

 

3.87

Total commercial paper (cost: $28,334,934)

 

 

 

 

28,382,065

 

 

 

13.61

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

U.S. Corporate Notes

 

 

 

 

 

 

 

 

 

 

 

 

Face Value

 

 

Maturity Date

 

Name

 

Yield

1

 

 

 

 

 

 

 

 

Aerospace

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

$

4,000,000

 

 

5/1/22

 

Boeing Company

 

 

2.70

%

 

 

3,843,196

 

 

 

1.84

%

Agriculture

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

4,850,000

 

 

5/5/21

 

Altria Group, Inc.

 

 

4.75

%

 

 

5,002,760

 

 

 

2.40

%

Banks

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

4,000,000

 

 

10/29/20

 

JPMorgan Chase & Co.

 

 

2.55

%

 

 

4,048,067

 

 

 

1.94

%

 

3,000,000

 

 

10/29/20

 

JPMorgan Chase & Co.

 

 

2.98

%

 

 

3,013,323

 

 

 

1.45

%

 

4,750,000

 

 

1/15/21

 

Wells Fargo Bank, National Association

 

 

2.60

%

 

 

4,800,638

 

 

 

2.30

%

Diversified financial services

 

 

 

 

 

 

 

 

 

 

 

 

 

 

4,250,000

 

 

4/26/22

 

Goldman Sachs Group, Inc.

 

 

3.00

%

 

 

4,316,668

 

 

 

2.07

%

 

4,000,000

 

 

5/17/22

 

SunTrust Bank

 

 

2.80

%

 

 

4,092,513

 

 

 

1.96

%

Energy

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

4,850,000

 

 

2/15/21

 

Enterprise Products Operating LLC

 

 

2.80

%

 

 

4,842,661

 

 

 

2.32

%

Food

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

3,000,000

 

 

4/16/21

 

General Mills, Inc.

 

 

3.20

%

 

 

3,077,303

 

 

 

1.48

%

Healthcare

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

5,000,000

 

 

9/17/21

 

Cigna Corporation

 

 

3.40

%

 

 

5,056,511

 

 

 

2.43

%

 

3,000,000

 

 

6/1/21

 

CVS Health Corporation

 

 

2.13

%

 

 

3,002,401

 

 

 

1.44

%

 

4,797,000

 

 

3/15/22

 

Medtronic, Inc.

 

 

3.15

%

 

 

4,977,027

 

 

 

2.39

%

Pharmaceuticals

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

4,200,000

 

 

5/11/20

 

Amgen Inc.

 

 

2.18

%

 

 

4,213,117

 

 

 

2.02

%

 

3,500,000

 

 

6/25/21

 

Bayer US Finance II LLC

 

 

1.85

%

 

 

3,387,650

 

 

 

1.63

%

 

4,000,000

 

 

5/16/22

 

Bristol-Myers Squibb Company

 

 

2.60

%

 

 

4,121,512

 

 

 

1.98

%

 

3,500,000

 

 

2/1/23

 

Zoetis Inc.

 

 

3.25

%

 

 

3,582,546

 

 

 

1.72

%

Telecommunications

 

 

 

 

 

 

 

 

 

 

 

 

 

 

4,000,000

 

 

2/9/22

 

Apple Inc.

 

 

2.50

%

 

 

4,125,148

 

 

 

1.98

%

 

3,500,000

 

 

6/30/22

 

AT&T Inc.

 

 

3.00

%

 

 

3,555,889

 

 

 

1.71

%

Total U.S. corporate notes (cost: $73,001,482)

 

 

 

 

73,058,930

 

 

 

35.06

%

 

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

 

3

 

 

Futures Portfolio Fund, Limited Partnership
Condensed Schedule of Investments (continued)
March 31, 2020 (Unaudited)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Description

 

 

 

 

 

Fair Value

 

 

% of Partners’
Capital (Net
Asset Value)

 

Foreign Corporate Notes

 

 

 

 

 

 

 

 

 

 

 

 

Face Value

 

 

Maturity Date

 

 

Name

 

 

Yield 1

 

 

 

 

 

 

 

 

Energy

 

 

 

 

 

 

 

 

 

 

 

$

2,500,000

 

 

5/11/20

 

 

Shell International Finance B.V.

 

 

2.13

%

 

$

2,517,968

 

 

 

1.21

%

Insurance

 

 

 

 

 

 

 

 

 

 

 

 

 

4,000,000

 

 

9/20/21

 

 

AIA Group Limited

 

 

1.64

%

 

 

3,947,181

 

 

 

1.89

%

Manufacturing

 

 

 

 

 

 

 

 

 

 

 

 

 

3,500,000

 

 

11/15/20

 

 

GE Capital International Funding Company

 

 

2.34

%

 

 

3,515,748

 

 

 

1.69

%

Total foreign corporate notes (cost: $9,933,690)

 

 

 

 

 

 

9,980,897

 

 

 

4.79

%

Total corporate notes (cost: $82,935,172)

 

 

 

 

 

 

83,039,827

 

 

 

39.85

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

U.S. Asset Backed Securities

 

 

 

 

 

 

 

 

 

 

 

 

 

Face Value

 

 

Maturity Date

 

 

Name

 

 

Yield 1

 

 

 

 

 

 

 

 

Automotive

 

 

 

 

 

 

 

 

 

 

 

 

$

572,529

 

 

2/18/22

 

 

Americredit Automobile Receivables Trust 2017-1

 

 

2.30

%

 

 

562,494

 

 

 

0.27

%

 

301,460

 

 

7/18/22

 

 

Americredit Automobile Receivables Trust 2017-4

 

 

2.04

%

 

 

300,927

 

 

 

0.14

%

 

122,334

 

 

1/18/22

 

 

Americredit Automobile Receivables Trust 2018-3

 

 

3.11

%

 

 

122,396

 

 

 

0.06

%

 

208,102

 

 

9/19/22

 

 

Americredit Automobile Receivales Trust 2019-2

 

 

2.43

%

 

 

207,250

 

 

 

0.10

%

 

1,296,764

 

 

1/18/23

 

 

Americredit Automobile Receivables Trust 2019-3

 

 

2.17

%

 

 

1,294,024

 

 

 

0.62

%

 

772,000

 

 

7/20/21

 

 

BMW Vehicle Lease Trust 2018-1

 

 

3.26

%

 

 

768,668

 

 

 

0.37

%

 

250,000

 

 

1/22/24

 

 

Capital Auto Receivables Asset Trust 2016-3

 

 

2.65

%

 

 

250,326

 

 

 

0.12

%

 

47,592

 

 

2/22/21

 

 

Capital Auto Receivables Asset Trust 2018-2

 

 

3.02

%

 

 

47,668

 

 

 

0.02

%

 

400,000

 

 

7/15/22

 

 

Carmax Auto Owner Trust 2016-4

 

 

2.26

%

 

 

400,581

 

 

 

0.19

%

 

76,924

 

 

6/21/21

 

 

GM Financial Automobile Leasing Trust 2018-3

 

 

3.18

%

 

 

77,033

 

 

 

0.04

%

 

600,000

 

 

6/20/22

 

 

Honda Auto Receivables 2019-4 Owner Trust

 

 

1.86

%

 

 

594,978

 

 

 

0.29

%

 

13,813

 

 

2/16/21

 

 

Mercedes- Benz Auto Lease Trust 2018-A

 

 

2.41

%

 

 

13,812

 

 

 

0.01

%

 

150,000

 

 

10/15/20

 

 

NextGear Floorplan Master Owner Trust , Series 2017-2

 

 

2.56

%

 

 

148,371

 

 

 

0.07

%

 

157,668

 

 

5/16/22

 

 

Santander Drive Auto Receivables Trust 2017-1

 

 

2.58

%

 

 

157,743

 

 

 

0.08

%

 

457,711

 

 

4/20/22

 

 

Santander Retail Auto Lease Trust 2019-B

 

 

2.29

%

 

 

455,448

 

 

 

0.22

%

 

525,000

 

 

4/20/22

 

 

Tesla Auto Lease Trust 2019-A

 

 

2.13

%

 

 

522,466

 

 

 

0.25

%

 

526,937

 

 

8/15/23

 

 

World Omni Select Auto Trust 2019-A

 

 

2.06

%

 

 

525,334

 

 

 

0.25

%

Banks

 

 

 

 

 

 

 

 

 

 

 

 

 

22,597

 

 

11/25/27

 

 

SLM Student Loan Trust 2011-2

 

 

1.55

%

 

 

22,443

 

 

 

0.01

%

Credit cards

 

 

 

 

 

 

 

 

 

 

 

 

 

400,000

 

 

7/15/20

 

 

Barclays Dryrock Issuance Trust, Series 2017-2

 

 

1.00

%

 

 

398,213

 

 

 

0.19

%

 

400,000

 

 

8/17/20

 

 

Discover Card Execution Note Trust

 

 

1.88

%

 

 

399,352

 

 

 

0.19

%

 

820,000

 

 

8/15/24

 

 

World Financial Network Credit Card Master Note Trust -
Series 2017-C

 

 

2.31

%

 

 

811,862

 

 

 

0.39

%

Equipment

 

 

 

 

 

 

 

 

 

 

 

 

 

11,804

 

 

10/22/20

 

 

Dell Equipment Finance Trust 2018-1

 

 

1.22

%

 

 

11,808

 

 

 

0.01

%

 

423,093

 

 

5/20/22

 

 

DLL 2019-2 LLC

 

 

2.27

%

 

 

419,945

 

 

 

0.20

%

 

349,484

 

 

6/15/21

 

 

GreatAmerica Leasing Receivables Funding LLC, Series 2019-1

 

 

2.97

%

 

 

351,689

 

 

 

0.17

%

 

825,000

 

 

6/15/22

 

 

GreatAmerica Leasing Receivables Funding, LLC

 

 

1.76

%

 

 

817,643

 

 

 

0.39

%

 

103,132

 

 

12/20/21

 

 

Verizon Owner Trust 2017-2

 

 

1.92

%

 

 

102,553

 

 

 

0.05

%

 

598,983

 

 

4/20/22

 

 

Verizon Owner Trust 2017-3

 

 

2.06

%

 

 

600,243

 

 

 

0.29

%

Student loans

 

 

 

 

 

 

 

 

 

 

 

 

 

435,036

 

 

8/25/47

 

 

Sofi Professional Loan Program 2018-B Trust

 

 

2.64

%

 

 

420,941

 

 

 

0.20

%

Total U.S. asset backed securities (cost: $10,877,494)

 

 

 

 

 

 

10,806,211

 

 

 

5.19

%

Total investments in securities (cost: $152,399,543)

 

 

 

 

 

$

152,597,275

 

 

 

73.23

%

 

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

 

4

 

 

Futures Portfolio Fund, Limited Partnership
Condensed Schedule of Investments (continued)
March 31, 2020 (Unaudited)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Description

 

 

 

 

 

Fair Value

 

 

% of Partners’

Capital
(Net Asset Value)

 

OPEN FUTURES CONTRACTS

 

 

 

 

 

 

 

 

 

 

 

Long U.S. Futures Contracts

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Agricultural commodities

 

 

 

 

 

$

44,058

 

 

 

0.02

%

 

 

 

 

 

 

 

Currencies

 

 

 

 

 

 

8,426

 

 

 

0.00

%

 

 

 

 

 

 

 

Energy

 

 

 

 

 

 

(107,618

)

 

 

(0.05

)%

 

 

 

 

 

 

 

Equity indices

 

 

 

 

 

 

165,339

 

 

 

0.08

%

 

 

 

 

 

 

 

Interest rate instruments

 

 

 

 

 

 

1,658,417

 

 

 

0.80

%

 

 

 

 

 

 

 

Metals(2)

 

 

 

 

 

 

(17,169,204

)

 

 

(8.24

)%

 

 

 

 

 

 

 

Single stock futures

 

 

 

 

 

 

49,655

 

 

 

0.02

%

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

 

 

 

 

 

(15,350,927

)

 

 

(7.37

)%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Short U.S. Futures Contracts

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Agricultural commodities

 

 

 

 

 

 

248,377

 

 

 

0.12

%

 

 

 

 

 

 

 

Currencies

 

 

 

 

 

 

119,184

 

 

 

0.06

%

 

 

 

 

 

 

 

Energy

 

 

 

 

 

 

1,900,792

 

 

 

0.91

%

 

 

 

 

 

 

 

Equity indices

 

 

 

 

 

 

45,837

 

 

 

0.02

%

 

 

 

 

 

 

 

Interest rate instruments

 

 

 

 

 

 

(85,449

)

 

 

(0.04

)%

 

 

 

 

 

 

 

Metals(2)

 

 

 

 

 

 

17,597,791

 

 

 

8.45

%

 

 

 

 

 

 

 

Single stock futures

 

 

 

 

 

 

(10,859

)

 

 

(0.01

)%

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

 

 

 

 

 

19,815,673

 

 

 

9.51

%

 

 

 

 

 

 

 

 

 

 

 

 

Total U.S. Futures Contracts - net unrealized gain (loss) on open U.S. futures contracts

 

 

 

 

 

4,464,746

 

 

 

2.14

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Long Foreign Futures Contracts

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Agricultural commodities

 

 

 

 

 

 

(13,907

)

 

 

(0.01

)%

 

 

 

 

 

 

 

Currencies

 

 

 

 

 

 

111,884

 

 

 

0.05

%

 

 

 

 

 

 

 

Energy

 

 

 

 

 

 

(487

)

 

 

0.00

%

 

 

 

 

 

 

 

Equity indices

 

 

 

 

 

 

435,721

 

 

 

0.21

%

 

 

 

 

 

 

 

Interest rate instruments

 

 

 

 

 

 

290,776

 

 

 

0.14

%

 

 

 

 

 

 

 

Metals

 

 

 

 

 

 

15,650

 

 

 

0.01

%

Net unrealized gain (loss) on open long foreign futures contracts

 

 

 

 

 

839,637

 

 

 

0.40

%

 

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

 

5

 

Futures Portfolio Fund, Limited Partnership
Condensed Schedule of Investments (continued)
March 31, 2020 (Unaudited) 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Description

 

 

 

 

 

Fair Value

 

 

% of Partners’

Capital
(Net Asset Value)

 

OPEN FUTURES CONTRACTS (continued)

 

 

 

 

 

 

 

 

 

 

 

Short Foreign Futures Contracts

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Agricultural commodities

 

 

 

 

 

$

(16,197

)

 

 

(0.01

)%

 

 

 

 

 

 

 

Currencies

 

 

 

 

 

 

(36,687

)

 

 

(0.02

)%

 

 

 

 

 

 

 

Energy

 

 

 

 

 

 

285,471

 

 

 

0.14

%

 

 

 

 

 

 

 

Equity indices

 

 

 

 

 

 

(183,504

)

 

 

(0.09

)%

 

 

 

 

 

 

 

Interest rate instruments

 

 

 

 

 

 

(143,601

)

 

 

(0.07

)%

Net unrealized gain (loss) on open short foreign futures contracts

 

 

 

 

 

 

(94,518

)

 

 

(0.05

)%

 

 

 

 

 

 

 

 

 

 

 

 

 

Total foreign futures contracts - net unrealized gain (loss) on open foreign futures contracts

 

 

 

 

 

 

745,119

 

 

 

0.35

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net unrealized gain (loss) on open futures contracts

 

 

 

 

 

$

5,209,865

 

 

 

2.49

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

OPEN FORWARD CURRENCY CONTRACTS

 

 

 

 

 

 

 

 

 

 

 

 

U.S. Forward Currency Contracts

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Long(2)

 

 

 

 

 

$

(3,453,234

)

 

 

(1.66

)%

 

 

 

 

 

 

 

Short(2)

 

 

 

 

 

 

4,073,635

 

 

 

1.95

%

Net unrealized gain (loss) on open U.S. forward currency contracts

 

 

 

 

 

 

620,401

 

 

 

0.29

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Foreign Forward Currency Contracts

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Long

 

 

 

 

 

 

1,148,479

 

 

 

0.55

%

 

 

 

 

 

 

 

Short

 

 

 

 

 

 

(888,881

)

 

 

(0.43

)%

Net unrealized gain (loss) on open foreign forward currency contracts

 

 

 

 

 

 

259,598

 

 

 

0.12

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net unrealized gain (loss) on open forward currency contracts

 

 

 

 

 

$

879,999

 

 

 

0.41

%

 

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

 

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 financial statements.

 

6

 

Futures Portfolio Fund, Limited Partnership
Condensed Schedule of Investments
December 31, 2019 

                                       
              Description     Fair Value    

% of Partners’


Capital

(Net Asset Value)

 
INVESTMENTS IN SECURITIES                        
U.S. Treasury Securities                        
  Face Value     Maturity Date     Name     Yield1                
$ 8,500,000     1/31/20     U.S. Treasury     1.38 %   $ 8,547,582       3.44 %
  6,000,000     2/15/20     U.S. Treasury     1.38 %     6,028,349       2.43 %
  4,000,000     3/15/20     U.S. Treasury     1.63 %     4,018,661       1.62 %
  8,000,000     4/15/20     U.S. Treasury     1.50 %     8,023,074       3.23 %
Total U.S. Treasury securities (cost: $26,521,176)           26,617,666       10.72 %
                                       
U.S. Commercial Paper                        
  Face Value     Maturity Date     Name     Yield1                
Automotive                        
$ 1,300,000     1/13/20     Hyundai Capital America     1.71 %   $ 1,299,198       0.52 %
  1,300,000     1/7/20     VW Credit, Inc.     1.67 %     1,299,578       0.52 %
Banks                        
  1,400,000     2/14/20     Mitsubishi UFJ Trust & Banking Corporation (U.S.A.)     1.82 %     1,396,817       0.56 %
Beverages                                    
  1,400,000     1/2/20     Brown-Forman Corporation     0.85 %     1,399,934       0.57 %
Diversified financial services                        
  1,300,000     2/19/20     American Express Credit Corporation     1.84 %     1,296,674       0.52 %
  1,400,000     1/15/20     CRC Funding, LLC     1.66 %     1,399,031       0.57 %
  1,300,000     1/8/20     DCAT, LLC     1.55 %     1,299,553       0.52 %
  1,300,000     3/3/20     Gotham Funding Corporation     1.84 %     1,295,813       0.52 %
  1,400,000     2/10/20     Manhattan Asset Funding Company LLC     1.80 %     1,397,122       0.56 %
  1,400,000     1/16/20     Regency Markets No 1 LLC     1.87 %     1,398,833       0.56 %
Energy                        
  1,400,000     1/9/20     Centerpoint Energy Resources Corp.     1.72 %     1,399,396       0.57 %
  1,500,000     2/4/20     Exxon Mobil Corporation     1.59 %     1,497,677       0.61 %
Manufacturing                        
  1,300,000     1/17/20     Koch Industries, Inc.     1.65 %     1,298,989       0.52 %
REIT                        
  1,300,000     1/29/20     Simon Property Group, L.P.     1.74 %     1,298,180       0.52 %
Total U.S. commercial paper (cost: $18,946,261)             18,976,795       7.64 %
                         
Foreign Commercial Paper                        
  Face Value     Maturity Date     Name     Yield1                
Automotive                        
$ 1,500,000     1/2/20     Nationwide Building Society     0.91 %   $ 1,499,924       0.61 %
Banks                        
  1,500,000     2/13/20     DNB Bank ASA     1.86 %     1,496,596       0.60 %
  1,300,000     1/27/20     Sumitomo Mitsui Banking Corporation     1.78 %     1,298,263       0.52 %
Beverages                        
  1,400,000     1/21/20     Diageo Capital plc     1.81 %     1,398,522       0.56 %
Chemicals                        
  1,400,000     1/10/20     Nutrien Ltd.     1.76 %     1,399,314       0.56 %
Diversified financial services                        
  1,500,000     1/8/20     Longship Funding Designated Activity Company     1.71 %     1,499,431       0.60 %
  1,400,000     2/3/20     Ontario Teachers Finance Trust     1.75 %     1,397,690       0.57 %
Insurance                        
  1,300,000     1/6/20     Prudential plc     1.58 %     1,299,657       0.52 %
Telecommunications                        
  1,300,000     1/7/20     Bell Canada, Inc.     1.63 %     1,299,588       0.52 %
  1,400,000     1/14/20     Rogers Communications Inc.     1.78 %     1,399,030       0.57 %
Total foreign commercial paper (cost: $13,963,862)             13,988,015       5.63 %
Total commercial paper (cost: $32,910,123)             32,964,810       13.27 %

 

 

 

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

7

 

 

Futures Portfolio Fund, Limited Partnership
Condensed Schedule of Investments (continued)

December 31, 2019

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Description

 

Fair Value

 

 

% of Partners’
Capital

(Net Asset Value)

 

U.S. Corporate Notes

 

 

 

 

 

 

 

 

 

 

 

 

 

Face Value

 

 

Maturity Date

 

 

Name

 

 

Yield1

 

 

 

 

 

 

 

 

Aerospace

 

 

 

 

 

 

 

 

 

 

 

 

$

4,000,000

 

 

5/1/22

 

 

Boeing Company

 

 

2.70

%

 

$

4,074,640

 

 

 

1.64

%

 

5,000,000

 

 

8/16/21

 

 

United Technologies Corporation

 

 

3.35

%

 

 

5,178,972

 

 

 

2.09

%

Agriculture

 

 

 

 

 

 

 

 

 

 

 

 

 

4,850,000

 

 

5/5/21

 

 

Altria Group, Inc.

 

 

4.75

%

 

 

5,053,651

 

 

 

2.04

%

Banks

 

 

 

 

 

 

 

 

 

 

 

 

 

4,000,000

 

 

10/29/20

 

 

JPMorgan Chase & Co.

 

 

2.55

%

 

 

4,030,675

 

 

 

1.62

%

 

3,000,000

 

 

10/29/20

 

 

JPMorgan Chase & Co.

 

 

3.13

%

 

 

3,040,470

 

 

 

1.22

%

 

4,000,000

 

 

5/17/22

 

 

SunTrust Bank

 

 

2.80

%

 

 

4,085,233

 

 

 

1.65

%

 

4,750,000

 

 

1/15/21

 

 

Wells Fargo Bank, National Association

 

 

2.60

%

 

 

4,833,343

 

 

 

1.95

%

Diversified financial services

 

 

 

 

 

 

 

 

 

 

 

 

 

4,250,000

 

 

4/26/22

 

 

Goldman Sachs Group, Inc.

 

 

3.00

%

 

 

4,329,852

 

 

 

1.75

%

Energy

 

 

 

 

 

 

 

 

 

 

 

 

 

4,850,000

 

 

2/15/21

 

 

Enterprise Products Operating LLC

 

 

2.80

%

 

 

4,945,364

 

 

 

1.99

%

Food

 

 

 

 

 

 

 

 

 

 

 

 

 

3,000,000

 

 

4/16/21

 

 

General Mills, Inc.

 

 

3.20

%

 

 

3,065,870

 

 

 

1.23

%

Healthcare

 

 

 

 

 

 

 

 

 

 

 

 

 

5,000,000

 

 

9/17/21

 

 

Cigna Corporation

 

 

3.40

%

 

 

5,161,766

 

 

 

2.08

%

 

3,000,000

 

 

6/1/21

 

 

CVS Health Corporation

 

 

2.13

%

 

 

3,006,261

 

 

 

1.21

%

Media

 

 

 

 

 

 

 

 

 

 

 

 

 

4,000,000

 

 

4/1/21

 

 

NBCUniversal Media, LLC

 

 

4.38

%

 

 

4,167,918

 

 

 

1.68

%

Pharmaceuticals

 

 

 

 

 

 

 

 

 

 

 

 

 

4,200,000

 

 

5/11/20

 

 

Amgen Inc.

 

 

2.35

%

 

 

4,217,523

 

 

 

1.70

%

 

3,500,000

 

 

6/25/21

 

 

Bayer US Finance II LLC

 

 

2.58

%

 

 

3,507,703

 

 

 

1.41

%

 

4,000,000

 

 

5/16/22

 

 

Bristol-Myers Squibb Company

 

 

2.60

%

 

 

4,077,500

 

 

 

1.64

%

Telecommunications

 

 

 

 

 

 

 

 

 

 

 

 

 

4,000,000

 

 

2/9/22

 

 

Apple Inc.

 

 

2.50

%

 

 

4,099,716

 

 

 

1.65

%

 

3,500,000

 

 

6/30/22

 

 

AT&T Inc.

 

 

3.00

%

 

 

3,578,314

 

 

 

1.44

%

Total U.S. corporate notes (cost: $73,603,993)

 

 

 

 

 

 

74,454,771

 

 

 

29.99

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Foreign Corporate Notes

 

 

 

 

 

 

 

 

 

 

 

 

Banks

 

 

 

 

 

 

 

 

 

 

 

 

$

5,500,000

 

 

3/2/20

 

 

Danske Bank A/S

 

 

2.20

%

 

$

5,539,634

 

 

 

2.23

%

Energy

 

 

 

 

 

 

 

 

 

 

 

 

 

2,500,000

 

 

5/11/20

 

 

Shell International Finance B.V.

 

 

2.13

%

 

 

2,507,384

 

 

 

1.01

%

Insurance

 

 

 

 

 

 

 

 

 

 

 

 

 

4,000,000

 

 

9/20/21

 

 

AIA Group Limited

 

 

2.43

%

 

 

4,003,233

 

 

 

1.61

%

Manufacturing

 

 

 

 

 

 

 

 

 

 

 

 

 

3,500,000

 

 

11/15/20

 

 

GE Capital International Funding Company

 

 

2.34

%

 

 

3,514,824

 

 

 

1.42

%

Pharmaceuticals

 

 

 

 

 

 

 

 

 

 

 

 

 

2,250,000

 

 

3/12/20

 

 

Allergan Funding SCS

 

 

3.14

%

 

 

2,259,476

 

 

 

0.91

%

Total foreign corporate notes (cost: $17,652,262)

 

 

 

 

 

 

17,824,551

 

 

 

7.18

%

Total corporate notes (cost: $91,256,255)

 

 

 

 

 

 

92,279,322

 

 

 

37.17

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

U.S. Asset Backed Securities

 

 

 

 

 

 

 

 

 

 

 

 

Automotive

 

 

 

 

 

 

 

 

 

 

 

 

$

900,000

 

 

2/18/22

 

 

Americredit Automobile Receivables Trust 2017-1

 

 

2.30

%

 

$

901,420

 

 

 

0.37

%

 

451,554

 

 

7/18/22

 

 

Americredit Automobile Receivables Trust 2017-4

 

 

2.04

%

 

 

451,795

 

 

 

0.18

%

 

253,596

 

 

1/18/22

 

 

Americredit Automobile Receivables Trust 2018-3

 

 

3.11

%

 

 

254,487

 

 

 

0.10

%

 

283,888

 

 

9/19/22

 

 

Americredit Automobile Receivales Trust 2019-2

 

 

2.43

%

 

 

284,678

 

 

 

0.11

%

 

772,000

 

 

7/20/21

 

 

BMW Vehicle Lease Trust 2018-1

 

 

3.26

%

 

 

779,225

 

 

 

0.31

%

 

250,000

 

 

1/22/24

 

 

Capital Auto Receivables Asset Trust 2016-3

 

 

2.65

%

 

 

250,578

 

 

 

0.10

%

 

220,524

 

 

2/22/21

 

 

Capital Auto Receivables Asset Trust 2018-2

 

 

3.02

%

 

 

220,927

 

 

 

0.09

%

 

400,000

 

 

7/15/22

 

 

Carmax Auto Owner Trust 2016-4

 

 

2.26

%

 

 

401,167

 

 

 

0.16

%

 

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

 

8

 

 

Futures Portfolio Fund, Limited Partnership 

Condensed Schedule of Investments (continued) 

December 31, 2019

 

      Description      Fair Value  

% of Partners’ 

Capital

(Net Asset Value) 

 
U.S. Asset Backed Securities (continued)        
Face Value  Maturity Date  Name  Yield 1        
Automotive (continued)                  
 55,198  9/21/20  GM Financial Automobile Leasing Trust 2018-3   2.89%  $55,266    0.02%
 100,000  6/21/21  GM Financial Automobile Leasing Trust 2018-3   3.18%   100,589    0.04%
 73,041  5/17/21  GM Financial Consumer Automobile Receivables Trust 2018-2   2.55%   73,153    0.03%
 52,232  2/16/21  Mercedes- Benz Auto Lease Trust 2018-A   2.41%   52,320    0.02%
 150,000  10/15/20  NextGear Floorplan Master Owner Trust , Series 2017-2   2.56%   150,672    0.06%
 333,632  5/16/22  Santander Drive Auto Receivables Trust 2017-1   2.58%   334,317    0.14%
 500,000  4/20/22  Santander Retail Auto Lease Trust 2019-B   2.29%   501,326    0.20%
 525,000  4/20/22  Tesla Auto Lease Trust 2019-A   2.13%   525,261    0.21%
Credit cards                    
 400,000  7/15/20  Barclays Dryrock Issuance Trust, Series 2017-2   2.04%   400,647    0.16%
 400,000  8/17/20  Discover Card Execution Note Trust   1.88%   400,350    0.16%
 820,000  8/15/24  World Financial Network Credit Card Master Note Trust - Series 2017-C   2.31%   822,189    0.34%
Equipment                     
 121,415  10/22/20  Dell Equipment Finance Trust 2018-1   2.09%   121,496    0.05%
 500,000  5/20/22  DLL 2019-2 LLC   2.27%   500,832    0.21%
 479,846  6/15/21  GreatAmerica Leasing Receivables Funding LLC, Series 2019-1   2.97%   482,010    0.19%
 806,676  1/10/22  MMAF Equipment Finance LLC Series 2019-A   2.84%   811,592    0.33%
 205,263  12/20/20  Verizon Owner Trust 2017-2   1.92%   205,342    0.08%
 922,784  4/20/22  Verizon Owner Trust 2017-3   2.06%   923,583    0.37%
Student loans                    
 26,574  11/25/27  SLM Student Loan Trust 2011-2   2.39%   26,622    0.01%
 657,427  8/25/47  Sofi Professional Loan Program 2018-B Trust   2.64%   658,939    0.27%
Total U.S. asset backed securities (cost: $10,664,803)        10,690,783    4.31%
Total investments in securities (cost: $161,352,357)       $162,552,581    65.47%
                       
OPEN FUTURES CONTRACTS               
Long U.S. Futures Contracts               
       Agricultural commodities       $275,964    0.11%
       Currencies        993,230    0.40%
       Energy        179,104    0.07%
       Equity indices        1,049,270    0.42%
       Interest rate instruments        (650,711)   (0.26)%
       Metals        (163,448)   (0.07)%
       Single stock futures        158,891    0.06%
Net unrealized gain (loss) on open long U.S. futures contracts        1,842,300    0.73%
                       
Short U.S. Futures Contracts               
       Agricultural commodities        (611,155)   (0.25)%
       Currencies        (1,107,362)   (0.45)%
       Energy        354,367    0.14%
       Equity indices        (10,129)   0.00%
       Interest rate instruments        7,668    0.00%
       Metals        485,172    0.20%
       Single stock futures        (6,634)   0.00%
Net unrealized gain (loss) on open short U.S. futures contracts        (888,073)   (0.36)%
                       
Total U.S. Futures Contracts - net unrealized gain (loss) on open U.S. futures contracts        954,227    0.37%

  

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

 

 

9 

 

 

Futures Portfolio Fund, Limited Partnership 

Condensed Schedule of Investments (continued) 

December 31, 2019

 

  Description  Fair Value  

% of Partners’ 

Capital (Net 

Asset Value) 

 
OPEN FUTURES CONTRACTS (continued)       
Long Foreign Futures Contracts          
  Agricultural commodities  $67,579    0.03%
  Currencies   (17,669)   (0.01)%
  Energy   (11,669)   0.00%
  Equity indices   (76,733)   (0.03)%
  Interest rate instruments   (1,754,938)   (0.71)%
  Metals   35,076    0.01%
  Single stock futures   185    0.00%
Net unrealized gain (loss) on open long foreign futures contracts   (1,758,169)   (0.71)%
           
Short Foreign Futures Contracts          
  Agricultural commodities  (914)   0.00%
  Currencies   80,885    0.03%
  Energy   623,914    0.25%
  Equity indices   143,496    0.06%
  Interest rate instruments   143,761    0.06%
Net unrealized gain (loss) on open short foreign futures contracts   991,142    0.40%
           
Total foreign futures contracts - net unrealized gain (loss) on open foreign futures contracts   (767,027)   (0.31)%
           
Net unrealized gain (loss) on open futures contracts  $187,200    0.06%
           
OPEN FORWARD CURRENCY CONTRACTS          
U.S. Forward Currency Contracts          
  Long  $1,142,214    0.46%
  Short   (1,328,398)   (0.54)%
Net unrealized gain (loss) on open U.S. forward currency contracts   (186,184)   (0.08)%
           
Foreign Forward Currency Contracts          
  Long   (145,721)   (0.06)%
  Short   142,190    0.06%
Net unrealized gain (loss) on open foreign forward currency contracts   (3,531)   0.00%
           
Net unrealized gain (loss) on open forward currency contracts  $(189,715)   (0.08)%

 

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.

 

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 financial statements.

 

 

10 

 

 

Futures Portfolio Fund, Limited Partnership 

Statements of Operations 

For the Three Months Ended March 31, 2020 and 2019 

(Unaudited)

 

 

 

Three Months Ended March 31,

 

 

 

2020

 

 

2019

 

Realized and Change in Unrealized Gain (Loss) on Investments

 

 

 

 

 

 

Net realized gain (loss) on:

 

 

 

 

 

 

Futures and forward contracts

 

$

(27,101,585

)

 

$

68,667

 

Investments in SMFSF

 

 

(2,753,150

)

 

 

(300,113

)

Investments in securities

 

 

278,233

 

 

 

(398,350

)

Net change in unrealized gain (loss) on:

 

 

 

 

 

 

Futures and forward contracts

 

 

6,092,379

 

 

 

6,652,512

 

Investments in SMFSF

 

 

2,882,001

 

 

 

152,355

 

Investments in securities

 

 

(1,146,766

)

 

 

1,198,061

 

       Exchange membership

 

 

17,500

 

 

 

(30,000

)

Brokerage commissions and trading expenses

 

 

(529,032

)

 

 

(830,492

)

Net realized and change in unrealized gain (loss) on investments

 

 

(22,260,420

)

 

 

6,512,640

 

 

 

 

 

 

 

 

Net Investment Income (Loss)

 

 

 

 

 

 

Income

 

 

 

 

 

 

Interest income (loss)

 

 

1,083,448

 

 

 

1,570,431

 

 

 

 

 

 

 

 

Expenses

 

 

 

 

 

 

Trading Advisor management fee

 

 

889,708

 

 

 

1,061,485

 

Trading Advisor incentive fee

 

 

213,562

 

 

 

1,226,335

 

Cash Manager fees

 

 

51,205

 

 

 

54,674

 

General Partner management and performance fees

 

 

875,437

 

 

 

1,036,488

 

Selling agent fees – General Partner

 

 

782,424

 

 

 

918,506

 

Broker dealer servicing fees – General Partner

 

 

32,098

 

 

 

38,727

 

General Partner 1% allocation

 

 

(242,554

)

 

 

35,440

 

Administrative expenses – General Partner

 

 

234,010

 

 

 

202,824

 

Total expenses

 

 

2,835,890

 

 

 

4,574,479

 

Net investment income (loss)

 

 

(1,752,442

)

 

 

(3,004,048

)

Net Income (Loss)

 

$

(24,012,862

)

 

$

3,508,592

 

 

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

 

11 

 

 

Futures Portfolio Fund, Limited Partnership 

Statements of Operations (continued) 

For the Three Months Ended March 31, 2020 and 2019 (unaudited)

 

 

 

 

 

 

 

 

 

Three Months Ended March 31, 2020

 

 

 

 

Class A

 

 

 

Class A2

 

 

 

Class A3

 

 

 

Class B

 

 

 

Class I

 

 

 

Class R

 

Increase (decrease) in net asset value per unit

 

$

(413.29

)

 

$

(103.55

)

 

$

(101.01

)

 

$

(622.14

)

 

$

(101.38

)

 

$

(102.99

)

Net income (loss) per unit†

 

$

(398.49

)

 

$

(107.66

)

 

$

(101.00

)

 

$

(618.84

)

 

$

(101.38

)

 

$

(88.13

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Weighted average number of units outstanding

 

 

40,634.2480

 

 

 

597.4029

 

 

 

86.0607

 

 

 

10,583,8129

 

 

 

1,769.1082

 

 

 

11,556.0472

 

 

 

 

 

 

 

 

 

 

 

Three Months Ended March 31, 2019

 

 

 

 

Class A

 

 

 

Class A2

 

 

 

Class A3

 

 

 

Class B

 

 

 

Class I

 

 

 

Class R

 

Increase (decrease) in net asset value per unit

 

$

46.76

 

 

$

15.42

 

 

$

 

 

$

99.20

 

 

$

18.88

 

 

$

16.96

 

Net income (loss) per unit†

 

$

43.47

 

 

$

38.88

 

 

$

 

 

$

89.64

 

 

$

19.23

 

 

$

17.48

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Weighted average number of units outstanding

 

 

47,015.4240

 

 

 

169.1293

 

 

 

 

 

 

12,892.3936

 

 

 

3,402.6750

 

 

 

13,565.6655

 

 

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

 

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

 

 

12 

 

 

Futures Portfolio Fund, Limited Partnership 

Statements of Cash Flows 

For the Three Months Ended March 31, 2019 and 2018 

(Unaudited)

 

 

 

Three Months Ended March 31,

 

 

 

2020

 

 

2019

 

Cash flows from operating activities

 

 

 

 

 

 

Net income (loss)

 

$

(24,012,862

)

 

$

3,508,592

 

Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities

 

 

 

 

 

 

Net change in unrealized (gain) loss from futures and forwards trading

 

 

(6,092,379

)

 

 

(6,652,512

)

Net realized and change in unrealized (gain) loss on SMFSF, securities and certificates of deposit

 

 

739,682

 

 

 

(651,953

)

Purchases of securities and certificates of deposit

 

 

(156,019,995

)

 

 

(109,548,291

)

Proceeds from disposition of SMFSF, securities and certificates of deposit

 

 

187,974,570

 

 

 

138,339,356

 

Changes in

 

 

 

 

 

 

Exchange membership

 

 

(17,500

)

 

 

30,000

 

Trading Advisor management fee payable

 

 

(115,005

)

 

 

28,137

 

Trading Advisor incentive fee payable

 

 

(388,846

)

 

 

733,788

 

Commissions and other trading fees payable on open contracts

 

 

(32,138

)

 

 

12,833

 

Cash Manager fees payable

 

 

51,205

 

 

 

(6,392

)

General Partner management and performance fees payable

 

 

(50,393

)

 

 

(11,178

)

General Partner 1% allocation receivable/payable

 

 

(323,031

)

 

 

200,972

 

Selling agent fees payable – General Partner

 

 

(45,767

)

 

 

(13,776

)

Broker dealer servicing fees payable – General Partner

 

 

(1,338

)

 

 

(536

)

Administrative fee payable – General Partner

 

 

15,497

 

 

 

957

 

Net cash provided by operating activities

 

 

1,681,700

 

 

 

25,969,997

 

 

 

 

 

 

 

 

Cash flows from financing activities

 

 

 

 

 

 

Subscriptions

 

 

248,803

 

 

 

2,234,300

 

Subscriptions received in advance

 

 

121,911

 

 

 

975,000

 

Redemptions

 

 

(16,710,308

)

 

 

(15,007,854

)

Net cash used in financing activities

 

 

(16,339,594

)

 

 

(11,798,554

)

 

 

 

 

 

 

 

Net increase (decrease) in cash and cash equivalents

 

 

(14,657,894

)

 

 

14,171,443

 

Cash and cash equivalents, beginning of period

 

 

69,988,877

 

 

 

46,185,781

 

Cash and cash equivalents, end of period

 

$

55,330,983

 

 

$

60,357,224

 

 

 

 

 

 

 

 

End of period cash and cash equivalents consists of

 

 

 

 

 

 

Cash in broker trading accounts

 

$

37,373,064

 

 

$

42,143,526

 

Cash and cash equivalents not in broker trading accounts

 

 

17,957,919

 

 

 

18,213,698

 

Total end of period cash and cash equivalents

 

$

55,330,983

 

 

$

60,357,224

 

 

 

 

 

 

 

 

Supplemental disclosure of cash flow information

 

 

 

 

 

 

Prior period redemptions paid

 

$

4,780,643

 

 

$

5,057,655

 

Prior period subscriptions received in advance

 

$

266,000

 

 

$

224,523

 

 

 

 

 

 

 

 

Supplemental schedule of non-cash financing activities

 

 

 

 

 

 

Redemptions payable

 

$

4,442,475

 

 

$

9,420,981

 

 

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

 

13 

 

 

Futures Portfolio Fund, Limited Partnership

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

For the Three Months Ended March 31, 2020 and 2019

(Unaudited)

 

 

 

Class A

 

 

Class A2

 

 

Class A3

 

 

Class B

 

 

Class I

 

 

Class R

 

 

Total

 

Three Months Ended March 31, 2020

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Balance at December 31, 2019

 

$

166,191,101

 

 

$

544,240

 

 

$

86,512

 

 

$

66,498,788

 

 

$

1,846,574

 

 

$

13,081,928

 

 

$

248,249,143

 

Net income (loss)

 

 

(16,192,422

)

 

 

(64,315

)

 

 

(8,692

)

 

 

(6,549,700

)

 

 

(179,354

)

 

 

(1,018,379

)

 

 

(24,012,862

)

Subscriptions

 

 

303,803

 

 

 

98,000

 

 

 

 

 

 

113,000

 

 

 

 

 

 

 

 

 

514,803

 

Redemptions

 

 

(9,387,547

)

 

 

 

 

 

 

 

 

(4,207,077

)

 

 

 

 

 

(2,777,516

)

 

 

(16,372,140

)

Transfers

 

 

(219,684

)

 

 

 

 

 

 

 

 

219,684

 

 

 

 

 

 

 

 

 

 

Balance at March 31, 2020

 

$

140,695,251

 

 

$

577,925

 

 

$

77,820

 

 

$

56,074,695

 

 

$

1,667,220

 

 

$

9,286,033

 

 

$

208,378,944

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Three Months Ended March 31, 2019

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Balance at December 31, 2018

 

$

189,019,997

 

 

$

146,018

 

 

$

 

 

$

79,984,663

 

 

$

3,440,608

 

 

$

13,667,838

 

 

$

286,259,124

 

Net income (loss)

 

 

2,043,816

 

 

 

6,575

 

 

 

 

 

 

1,155,708

 

 

 

65,428

 

 

 

237,065

 

 

 

3,508,592

 

Subscriptions

 

 

2,091,523

 

 

 

87,300

 

 

 

 

 

 

70,000

 

 

 

 

 

 

210,000

 

 

 

2,458,823

 

Redemptions

 

 

(12,881,564

)

 

 

 

 

 

 

 

 

(5,539,868

)

 

 

(257,330

)

 

 

(692,418

)

 

 

(19,371,180

)

Transfers

 

 

(169,415

)

 

 

 

 

 

 

 

 

169,415

 

 

 

 

 

 

 

 

 

 

Balance at March 31, 2019

 

$

180,104,357

 

 

$

239,893

 

 

$

 

 

$

75,839,918

 

 

$

3,248,706

 

 

$

13,422,485

 

 

$

272,855,359

 

 

 

 

 

Units

 

 

 

Class A

 

 

Class A2

 

 

Class A3

 

 

Class B

 

 

Class I

 

 

Class R

 

Three Months Ended March 31, 2020

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Balance at December 31, 2019

 

 

41,522.9804

 

 

 

526.3226

 

 

 

86.0607

 

 

 

10,608.5075

 

 

 

1,769.1082

 

 

 

12,549.5403

 

Subscriptions

 

 

78.0348

 

 

 

94.7737

 

 

 

 

 

 

18.1358

 

 

 

 

 

 

 

Redemptions

 

 

(2,342.9460

)

 

 

 

 

 

 

 

 

(731.9210

)

 

 

 

 

 

(2,664.7698

)

Transfers

 

 

(57.3538

)

 

 

 

 

 

 

 

 

36.5057

 

 

 

 

 

 

 

Balance at March 31, 2020

 

 

39,200.7154

 

 

 

621.0963

 

 

 

86.0607

 

 

 

9,931.228

 

 

 

1,769.1082

 

 

 

9,884.7705

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Three Months Ended March 31, 2019

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Balance at December 31, 2018

 

 

48,319.8508

 

 

 

146.5000

 

 

 

 

 

 

13,290.4576

 

 

 

3,466.2779

 

 

 

13,683.8897

 

Subscriptions

 

 

551.5426

 

 

 

90.5174

 

 

 

 

 

 

12.0124

 

 

 

 

 

 

217.0747

 

Redemptions

 

 

(3,329.8411

)

 

 

 

 

 

 

 

 

(934.0369

)

 

 

(254.4114

)

 

 

(687.1682

)

Transfers

 

 

(44.7181

)

 

 

 

 

 

 

 

 

28.9854

 

 

 

 

 

 

 

Balance at March 31, 2019

 

 

45,496.8342

 

 

 

237.0174

 

 

 

 

 

 

12,397.4185

 

 

 

3,211.8665

 

 

 

13,213.7962

 

 

 

Net Asset Value per Unit

 

 

 

Class A

 

 

Class A2

 

 

Class A3

 

 

Class B

 

 

Class I

 

 

Class R

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

March 31, 2020

 

$

3,589.10

 

 

$

930.49

 

 

$

904.24

 

 

$

5,646.30

 

 

$

942.41

 

 

$

939.43

 

December 31, 2019

 

 

4,002.39

 

 

 

1,034.04

 

 

 

1,005.25

 

 

 

6,268.44

 

 

 

1,043.79

 

 

 

1,042.42

 

March 31, 2019

 

 

3,958.61

 

 

 

1,012.13

 

 

 

 

 

 

6,117.40

 

 

 

1,011.47

 

 

 

1,015.79

 

December 31, 2018

 

 

3,911.85

 

 

 

996.71

 

 

 

 

 

 

6,018.20

 

 

 

992.59

 

 

 

998.83

 

 

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

 

14

 

 

Futures Portfolio Fund, Limited Partnership

Notes to 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 limited liability company 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.

 

At March 31, 2020, the Fund did not own any Class I shares of the Steben Managed Futures Strategy Fund (“SMFSF”), having fully liquidated its investment during the quarter. SMFSF was a non-diversified series of shares of beneficial interest of Steben Alternative Investment Funds (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 investment company. SMFSF reorganized into shares of another mutual fund and is no longer operating so the Fund will make no further investments in SMFSF. The General Partner served as the investment manager of SMFSF. SMFSF had 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.

 

Significant Accounting Policies

 

Accounting Principles

The Fund’s financial statements are prepared in conformity with U.S. generally accepted accounting principles (“GAAP”). Under 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.

15

 

 

Use of Estimates

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

 

Revenue Recognition

Futures, 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 gain (loss) in the statements of operations. Unrealized gains and losses on open contracts (the difference between contract trade price and fair value) are reported in the statements of financial condition as net unrealized gain or loss, as there exists a right of offset of any unrealized gains or losses. 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 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 mutual 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, commercial paper, corporate notes, asset backed securities and the exchange membership.

 

Level 3 –   Fair value is based on valuation techniques in which one or more significant inputs are unobservable. The Fund has no financial instruments utilizing Level 3 inputs.

 

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

 

The Fund assesses the classification of the instruments at each measurement date, and any transfers between levels are recognized on the actual date of the event or change in circumstances that caused the transfer in accordance with the Fund’s accounting policy regarding the recognition of transfers between levels of the fair value hierarchy. For the period ended March 31, 2020 and year ended December 31, 2019, there were no such transfers between levels.

 

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

 

U.S. Treasury securities are recorded at fair value based on bid and ask quotes for identical instruments. Commercial paper, certificates of deposit, corporate notes, asset backed securities and the exchange membership are recorded at fair value based on bid and ask quotes for similar, but not identical, instruments. Accordingly, U.S. Treasury securities are classified within Level 1, and commercial paper, certificates of deposit, corporate notes, asset backed securities and exchange memberships are classified within Level 2.

 

The investment in SMFSF (a mutual fund), a money market fund and futures contracts are valued using quoted market prices for identical assets in active markets, and are classified within Level 1. The money market fund is included in cash and cash equivalents in the statements of financial condition. 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.

16

 

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

The Fund incurs reduced fees for transactions on the Chicago Mercantile Exchange (CME) due to a membership interest in the CME. The membership is accounted at its fair value and changes in fair value are reported in net change in unrealized gain (loss) in exchange membership on the statement of operations.

 

Brokerage Commissions and Trading Expenses

Brokerage commissions and trading expenses include brokerage and other trading fees, and are charged to expense when contracts are opened and closed.

 

Redemptions Payable

Redemptions payable represent redemptions that meet the requirements of the Fund and have been approved by the General Partner prior to period-end. These redemptions have been recorded using the period-end net asset value per Unit.

 

Income Taxes

The Fund prepares calendar year U.S. and applicable state and local tax returns. The Fund is not subject to federal income taxes as each partner is individually liable for his or her allocable share of the Fund’s income, expenses and trading gains or losses. The Fund evaluates the tax positions taken or expected to be taken in the course of preparing the Fund’s tax returns to determine whether the tax positions are more-likely-than-not to be sustained when examined by the applicable tax authority. Tax positions not deemed to meet the more-likely-than-not threshold would be recorded as a tax benefit or expense and asset or liability in the current year. Management has determined there are no material uncertain income tax positions through March 31, 2020. 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 2016.

 

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 statements of operations.

 

Reclassification

Certain amounts reported in the 2019 financial statements may have been reclassified to conform to the 2020 presentation without affecting previously reported partners’ capital (net asset value) or net income (loss).

 

New Accounting Pronouncements

There are no relevant new accounting pronouncements to note for this period.

 

 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 March 31, 2020

 

 

 

 

 

Level 1

 

 

Level 2

 

 

Total

 

Equity in broker trading accounts:

 

 

 

 

 

 

 

 

 

 

 

 

Net unrealized gain (loss) on open futures contracts*

 

$

5,209,865

 

 

$

 

 

$

5,209,865

 

Net unrealized gain (loss) on open forward currency contracts*

 

 

 

 

 

879,999

 

 

 

879,999

 

Cash and cash equivalents:

 

 

 

 

 

 

 

 

 

 

 

 

Money market fund

 

 

10,636,377

 

 

 

 

 

 

10,636,377

 

Investments in securities:

 

 

 

 

 

 

 

 

 

 

 

 

U.S. Treasury securities*

 

 

30,369,172

 

 

 

 

 

 

30,369,172

 

Asset backed securities*

 

 

 

 

 

10,806,211

 

 

 

10,806,211

 

Commercial paper*

 

 

 

 

 

28,382,065

 

 

 

28,382,065

 

Corporate notes*

 

 

 

 

 

83,039,827

 

 

 

83,039,827

 

Exchange membership

 

 

 

 

 

80,000

 

 

 

80,000

 

Total

 

$

46,215,414

 

 

$

123,188,102

 

 

$

169,403,516

 

*See the condensed schedule of investments for further description.

17

 

 

At December 31, 2019

 

 

 

 

 

Level 1

 

 

Level 2

 

 

Total

 

Equity in broker trading accounts:

 

 

 

 

 

 

 

 

 

 

 

 

Net unrealized gain (loss) on open futures contracts*

 

$

187,200

 

 

$

 

 

$

187,200

 

Net unrealized gain (loss) on open forward currency contracts*

 

 

 

 

 

(189,715

)

 

 

(189,715

)

Cash and cash equivalents:

 

 

 

 

 

 

 

 

 

 

 

 

Money market fund

 

 

4,326,784

 

 

 

 

 

 

4,326,784

 

Investments in securities:

 

 

 

 

 

 

 

 

 

 

 

 

U.S. Treasury securities*

 

 

26,617,666

 

 

 

 

 

 

26,617,666

 

Asset backed securities*

 

 

 

 

 

10,690,783

 

 

 

10,690,783

 

Commercial paper*

 

 

 

 

 

32,964,810

 

 

 

32,964,810

 

Corporate notes*

 

 

 

 

 

92,279,322

 

 

 

92,279,322

 

Exchange membership

 

 

 

 

 

62,500

 

 

 

62,500

 

Total

 

$

53,870,601

 

 

$

135,807,700

 

 

$

189,678,301

 

*See the condensed schedule of investments for further description.

 

There were no Level 3 holdings at March 31, 2020 and December 31, 2019, or during the periods then ended.

 

In addition to the financial instruments listed above, substantially all of the Fund’s other assets and liabilities are considered financial instruments and are reflected at fair value, or at carrying amounts that approximate fair value because of the short maturity of the instruments.

 

3.      Derivative Instruments Disclosures

 

The Fund’s derivative contracts are comprised of futures and forward currency contracts, none of which are designated as hedging instruments. At March 31, 2020, the Fund’s derivative contracts had the following impact on the statement of financial condition:

 

March 31, 2020

 

Derivative Assets and Liabilities, at fair value

 

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

 

$

657,377

 

 

$

(395,046

)

 

$

262,331

 

Currencies

 

 

401,048

 

 

 

(198,241

)

 

 

202,807

 

Energy

 

 

2,254,154

 

 

 

(175,996

)

 

 

(2,078,158

)

Equity indices

 

 

1,059,399

 

 

 

(596,006

)

 

 

463,393

 

Interest rate instruments

 

 

2,449,244

 

 

 

(729,101

)

 

 

1,720,143

 

Metals

 

 

18,015,868

 

 

 

(17,571,631

)

 

 

444,237

 

Single stock futures

 

 

79,757

 

 

 

(40,961

)

 

 

38,796

 

Net unrealized gain (loss) on open futures contracts

 

$

24,916,847

 

 

$

(19,706,982

)

 

$

5,209,865

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net unrealized gain (loss) on open forward currency contracts

 

$

7,266,287

 

 

$

(6,386,288

)

 

$

879,999

 

 

18

 

 

At March 31, 2020, there were 12,308 open futures contracts and 3,756 open forward currency contracts,

 

The Fund’s financial assets, derivative assets, and cash collateral held by counterparties at March 31, 2020 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

 

$

923,682

 

 

$

 

 

$

 

 

$

923,682

 

Deutsche Bank Securities, Inc,

 

 

1,105,087

 

 

 

 

 

 

 

 

 

1,105,087

 

JP Morgan Securities, LLC

 

 

(128,772

)

 

 

 

 

 

 

 

 

(128,772

)

SG Americas Securities, LLC

 

 

4,427,201

 

 

 

 

 

 

 

 

 

4,427,201

 

Société Générale International Limited

 

 

(237,334

)

 

 

 

 

 

 

 

 

(237,334

)

Total

 

$

6,089,864

 

 

$

 

 

$

 

 

$

6,089,864

 

 

For the three months ended March 31, 2020, the Fund’s derivative contracts had the following impact on the statements of operations:

 

 

 

Three Months Ended
March 31, 2020

 

Types of Exposure

 

Net realized
gain (loss)

 

 

Net change
in unrealized
gain (loss)

 

Futures contracts

 

 

 

 

 

 

 

 

Agricultural commodities

 

$

(938,879

)

 

$

534,958

 

Currencies

 

 

(1,151,820

)

 

 

253,725

 

Energy

 

 

12,909,252

 

 

 

927,610

 

Equity indices

 

 

(50,708,920

)

 

 

(642,511

)

Interest rate instruments

 

 

13,209,473

 

 

 

3,975,093

 

Metals

 

 

1,489,447

 

 

 

87,436

 

Single stock futures

 

 

(431,297

)

 

 

(113,646

)

Total futures contracts

 

 

(25,622,744

)

 

 

5,022,665

 

 

 

 

 

 

 

 

 

 

Forward currency contracts

 

 

(1,487,948

)

 

 

1,069,714

 

 

 

 

 

 

 

 

 

 

Total futures and forward currency contracts

 

$

(27,110,692

)

 

$

6,092,379

 

 

For the three months ended March 31, 2020, the number of futures contracts closed was 227,913 and the number of forward currency contracts closed was 158,865.

 

19

 

 

At December 31, 2019, the Fund’s derivative contracts had the following impact on the statements of financial condition:

 

December 31, 2019

 

Derivative Assets and Liabilities, at fair value

 

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

 

$

495,307

 

 

$

(763,833

)

 

$

(268,526

)

Currencies

 

 

1,281,520

 

 

 

(1,332,436

)

 

 

(50,916

)

Energy

 

 

1,418,955

 

 

 

(273,239

)

 

 

1,145,716

 

Equity indices

 

 

1,802,335

 

 

 

(696,431

)

 

 

1,105,904

 

Interest rate instruments

 

 

335,541

 

 

 

(2,609,761

)

 

 

(2,254,220

)

Metals

 

 

9,213,100

 

 

 

(8,856,300

)

 

 

356,800

 

Single stock futures

 

 

188,986

 

 

 

(36,544

)

 

 

152,442

 

Net unrealized gain (loss) on open futures contracts

 

$

14,755,744

 

 

$

(14,568,544

)

 

$

187,200

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net unrealized gain (loss) on open forward currency contracts

 

$

1,810,575

 

 

$

(2,000,290

)

 

$

(189,715

)

 

At December 31, 2019, there were 24,843 open futures contracts and 4,249 open forward currency contracts.

 

The Fund’s financial assets, derivative assets, and cash collateral held by counterparties at December 31, 2019 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

 

$

(173,480

)

 

$

 

 

$

 

 

$

(173,480

)

Deutsche Bank Securities, Inc,

 

 

(223,065

)

 

 

 

 

 

 

 

 

(223,065

)

JP Morgan Securities, LLC

 

 

548,538

 

 

 

 

 

 

 

 

 

548,538

 

SG Americas Securities, LLC

 

 

(165,943

)

 

 

 

 

 

 

 

 

(165,943

)

Société Générale International Limited

 

 

11,435

 

 

 

 

 

 

 

 

 

11,435

 

Total

 

$

(2,515

)

 

$

 

 

$

 

 

$

(2,515

)

 

20

 

 

 

For the three months ended March 31, 2019, the Fund’s derivative contracts had the following impact on the statements of operations:

 

 

 

Three Months Ended
March 31, 2019

 

Types of Exposure

 

Net realized
gain (loss)

 

 

Net change
in unrealized
gain (loss)

 

Futures contracts

 

 

 

 

 

 

 

 

Agricultural commodities

 

$

82,565

 

 

$

1,069,647

 

Currencies

 

 

(63,910

)

 

 

276,872

 

Energy

 

 

(4,407,779

)

 

 

(769,454

)

Equity indices

 

 

(1,434,933

)

 

 

1,575,505

 

Interest rate instruments

 

 

7,070,733

 

 

 

4,737,850

 

Metals

 

 

(473,138

)

 

 

(27,919

)

Single stock futures

 

 

(178,512

)

 

 

178,521

 

Total futures contracts

 

 

595,026

 

 

 

7,041,022

 

 

 

 

 

 

 

 

 

 

Forward currency contracts

 

 

(529,991

)

 

 

(388,510

)

 

 

 

 

 

 

 

 

 

Total futures and forward currency contracts

 

$

65,035

 

 

$

6,652,512

 

 

For the three months ended March 31, 2019, the number of futures contracts closed was 362,350 and the number of forward currency contracts closed was 254,667.

 

4.

General Partner

 

The General Partner does not maintain a capital balance in the Fund.  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 statements of financial condition and as General Partner 1% allocation in the statements of operations.  The majority shareholder of the General Partner did not have an investment in the Fund at March 31, 2020.   

 

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.

 

Selling Agent Fees – the Class A Units incur a monthly fee equal to 1/12th of 2% of the month-end net asset value of the Class A Units.  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.  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.  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.

 

 

21

 

 

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).

 

5.

Trading Advisors and Cash Manager

 

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).

 

Principal Global Investors, LLC serves as the cash manager for the Fund.  The Fund incurs monthly fees, payable in arrears to the Cash Manager, equal to approximately 1/12th of 0.13% and 0.11% of the investments in securities and certificates of deposit as of the period ended March 31, 2020 and 2019, respectively.

 

6.

Deposits with Brokers

 

To meet margin requirements, the Fund maintains assets, including cash, equity in futures and forward currency contracts, and investments in securities, with brokers, subject to CFTC regulations and various exchange and broker requirements.  At March 31, 2020 and December 31, 2019, the Fund had assets totaling $43,462,928 and $64,812,057, respectively, with brokers and margin deposit requirements of $18,728,842 and $40,682,048, 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.

 

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.

 

The Portfolios are subject to investment and operational risks associated with financial, economic and other global market developments and disruptions, including those arising from war, terrorism, market manipulation, government interventions, defaults and shutdowns, political changes or diplomatic developments, public health emergencies (such as the spread of infectious diseases, pandemics and epidemics) and natural/environmental disasters, which can all negatively impact the securities markets and cause a Portfolio to lose value. These events can also impair the technology and other operational systems upon which the Portfolios’ service providers rely, and could otherwise disrupt the ability of the Portfolios’ service providers to perform essential tasks.

 

 

22

 

 

The recent spread of an infectious respiratory illness caused by a novel strain of coronavirus (known as COVID-19) has caused volatility, severe market dislocations and liquidity constraints in many markets, including markets for the securities the Portfolios hold, and may adversely affect the Portfolios’ investments and operations. The transmission of COVID-19 and efforts to contain its spread have resulted in, among other things: quarantines and travel restrictions, including border closings, strained healthcare systems, event cancellations, disruptions to business operations and supply chains, and a reduction in consumer and business spending, as well as general concern and uncertainty that has negatively affected the economy. These disruptions have led to instability in the market place, including equity and debt market losses and overall volatility, and the jobs market. The impact of COVID-19, and other infectious illness outbreaks, epidemics or pandemics that may arise in the future, could adversely affect the economies of many nations or the entire global economy, the financial well-being and performance of individual issuers, borrowers and sectors and the health of the markets generally in potentially significant and unforeseen ways. In addition, the impact of infectious illnesses, such as COVID-19, in emerging market countries may be greater due to generally less established healthcare systems. This crisis or other public health crises may exacerbate other pre-existing political, social and economic risks in certain countries or globally.

 

The foregoing could lead to a significant economic downturn or recession, increased market volatility, a greater number of market closures, higher default rates and adverse effects on the values and liquidity of securities or other assets. Such impacts, which may vary across asset classes, may adversely affect the performance of the Portfolios. In certain cases, an exchange or market may close or issue trading halts on specific securities or even the entire market, which may result in the Portfolios being, among other things, unable to buy or sell certain securities or financial instruments or to accurately price their investments.

 

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.  The Fund uses Société Générale International Limited, Deutsche Bank AG, and UBS 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.

 

 

23

 

 

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

 

Through its investments in debt securities and certificates of deposit, the Fund has exposure to U.S. and foreign enterprises. 

The following table presents the exposure at March 31, 2020,

 

Country or Region  U.S. Treasury Securities  Commercial Paper  Corporate Notes  Asset Backed Securities  Total  % of Partners' Capital (Net Asset Value)
United States  $30,369,172   $20,288,028   $73,058,930   $10,806,211   $134,522,341    64.56%
Canada   —      1,299,937    —      —      1,299,937    0.63%
Ireland   —      1,297,978    3,515,748    —      4,813,726    2.31%
United Kingdom   —      1,398,268    —      —      1,398,268    0.67%
Hong Kong   —      —      3,947,181    —      3,947,181    1.89%
Netherlands   —      —      2,517,968    —      2,517,968    1.21%
Sweden   —      1,399,656    —      —      1,399,656    0.67%
France   —      1,399,480    —      —      1,399,480    0.67%
Japan   —      1,298,718    —      —      1,298,718    0.62%
  Total  $30,369,172   $28,382,065   $83,039,827   $10,806,211   $152,597,275    73.23%

  

The following table presents the exposure at December 31, 2019.

 

Country or Region  U.S. Treasury Securities  Commercial Paper  Corporate Notes  Asset Backed Securities  Total  % of Partners' Capital (Net Asset Value)
United States  $26,617,666   $18,976,795   $74,454,771   $10,690,783   $130,740,015    52.66%
Denmark   —      —      5,539,634    —      5,539,634    2.23%
Canada   —      5,495,622    —      —      5,495,622    2.22%
Ireland   —      1,499,431    3,514,824    —      5,014,255    2.02%
United Kingdom   —      4,198,103    —      —      4,198,103    1.69%
Hong Kong   —      —      4,003,233    —      4,003,233    1.61%
Luxumbourg   —      —      2,259,476    —      2,259,476    0.91%
Netherlands   —      —      2,507,384    —      2,507,384    1.01%
Norway   —      1,496,596    —      —      1,496,596    0.60%
Japan   —      1,298,263    —      —      1,298,263    0.52%
  Total  $26,617,666   $32,964,810   $92,279,322   $10,690,783   $162,552,581    65.47%

  

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 financial statements for such indemnifications.

 

 

24

 

 

10.Interim Financial Statements

 

The statements of financial condition, including the condensed schedule of investments, at March 31, 2020, the statements of operations, the statements of cash flows, and statement of changes in partners’ capital (net asset value) for the three months ended March 31, 2020  and 2019, and the accompanying notes to the financial statements are unaudited.  Certain information and footnote disclosures normally included in financial statements prepared in accordance with GAAP may be omitted pursuant to such rules and regulations.  In the opinion of management, such financial statements and accompanying disclosures reflect all adjustments, which were of a normal and recurring nature, necessary to present fairly the financial position at March 31, 2020, results of operations, cash flows and changes in partners’ capital (net asset value) for the three months ended March 31, 2020  and 2019.  The results of operations for the three months ended March 31, 2020 and 2019 are not necessarily indicative of the results to be expected for the full year or any other period.  These financial statements should be read in conjunction with the audited financial statements and the notes thereto included in the Fund’s Form 10-K as filed with the SEC.

 

11.

Financial Highlights

 

The following information presents per unit operating performance data and other ratios for the three months ended March 31, 2020 and 2019, assuming the unit was outstanding throughout the entire period:

 

 

 

Three Months Ended March 31, 2020

 

 

 

Class A

 

 

Class A2

 

 

Class A3

 

 

Class B

 

 

Class I

 

 

Class R

 

Per Unit Operating Performance

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net asset value per unit, beginning of period

 

$

4,002.39

 

 

$

1,034.04

 

 

$

1,005.25

 

 

$

6,268.44

 

 

$

1,043.79

 

 

$

1,042.42

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net realized and change in unrealized gain (loss) on investments (1)

 

 

(378.57

)

 

 

(98.03

)

 

 

(95.49

)

 

 

(595.73

)

 

 

(99.40

)

 

 

(98.25

)

Net investment income (loss) (1)

 

 

(34.72

)

 

 

(5.52

)

 

 

(5.52

)

 

 

(26.41

)

 

 

(1.98

)

 

 

(4.74

)

Total income (loss) from operations

 

 

(413.29

)

 

 

(103.55

)

 

 

(101.01

)

 

 

(622.14

)

 

 

(101.38

)

 

 

(102.99

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net asset value per unit, end of period

 

$

3,589.10

 

 

$

930.49

 

 

$

904.24

 

 

$

5,646.30

 

 

$

942.41

 

 

$

939.43

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total return (4)

 

 

(10.33

)%

 

 

(10.01

)%

 

 

(10.05

)%

 

 

(9.92

)%

 

 

(9.71

)%

 

 

(9.88

)%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Other Financial Ratios

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Ratios to average net asset value

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Expenses prior to General Partner 1% allocation (2) (3)

 

 

5.89

%

 

 

4.53

%

 

 

4.50

%

 

 

4.03

%

 

 

3.01

%

 

 

4.25

%

General Partner 1% allocation

 

 

(0.10

)%

 

 

(0.11

)%

 

 

(0.10

)%

 

 

(0.10

)%

 

 

(0.10

)%

 

 

(0.09

)%

Net total expenses

 

 

5.79

%

 

 

4.42

%

 

 

4.40

%

 

 

3.93

%

 

 

2.91

%

 

 

4.16

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income (loss) (2) (3) (5)

 

 

(4.04

)%

 

 

(2.62

)%

 

 

(2.67

)%

 

 

(2.17

)%

 

 

(1.18

)%

 

 

(2.34

)%

 

 

 

 

Three Months Ended March 31, 2019

 

 

 

Class A

 

 

Class A2

 

 

Class B

 

 

Class I

 

 

Class R

 

Per Unit Operating Performance

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net asset value per unit, beginning of period

 

$

3,911.85

 

 

$

996.71

 

 

$

6,018.20

 

 

$

992.59

 

 

$

998.83

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net realized and change in unrealized gain (loss)
on investments(1)

 

 

95.09

 

 

 

26.16

 

 

 

146.48

 

 

 

24.36

 

 

 

24.45

 

Net investment income (loss)(1)

 

 

(48.33

)

 

 

(10.74

)

 

 

(47.28

)

 

 

(5.48

)

 

 

(7.49

)

Total income (loss) from operations

 

 

46.76

 

 

 

15.42

 

 

 

99.20

 

 

 

18.88

 

 

 

16.96

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net asset value per unit, end of period

 

$

3,958.61

 

 

$

1,012.13

 

 

$

6,117.40

 

 

$

1,011.47

 

 

$

1,015.79

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total return(4)

 

 

1.20

%

 

 

1.55

%

 

 

1.65

%

 

 

1.90

%

 

 

1.70

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Other Financial Ratios

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Ratios to average net asset value

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Expenses prior to General Partner 1% 
allocation (2) (3)

 

 

7.25

%

 

 

6.54

%

 

 

5.40

%

 

 

4.45

%

 

 

5.25

%

General Partner 1% allocation

 

 

0.01

%

 

 

0.04

%

 

 

0.02

%

 

 

0.02

%

 

 

0.02

%

Net total expenses

 

 

7.26

%

 

 

6.58

%

 

 

5.42

%

 

 

4.47

%

 

 

5.27

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income (loss) (2) (3) (5)

 

 

(4.97

)%

 

 

(4.19

)%

 

 

(3.12

)%

 

 

(2.16

)%

 

 

(2.96

)%

 

 

25

 

 

Total returns are calculated based on the change in value of a Class A, Class A2, Class A3, Class B, Class I or Class R Unit during the period.  An individual partner’s total returns and ratios may vary from the above total returns and ratios based on the timing of subscriptions and redemptions.

 

†Class A3 Units were introduced in July 2019.

 

(1) The net investment income (loss) per unit is calculated by dividing the net investment income (loss) by the average number of Class A, A2, A3, 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 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 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.

 

12. Subsequent Events

 

Subsequent to quarter end, there were $121,911 of contributions and $7,673,791 of redemptions from the Fund.

 

 

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

 

Current Positioning

 

Sector risk allocations and net positioning as of March 31, 2020 and first quarter 2020 gross performance contribution by sector was as follows:

 

    Net       Gross Performance
Risk Allocation   Position   Sector   Contribution
  8%   Short   Agriculture   (0.22)%
26%   Short   Energy      6.16%
  9%   Short Base, Long Precious   Metals      0.53%
20%   Long USD   Currencies   (0.71)%
13%   Long   Equity indices   (19.94)%  
24%   Long   Interest rates      6.67%

 

The bearish trends at year-end in stock indices, crude oil and other risk assets reversed sharply in the first quarter of 2019.  Last year’s fears over a tightening bias at global central banks gave way to relief as the Fed signaled it would pause interest rate hikes and could end its quantitative tightening policy relatively soon.  As the quarter progressed, weakening global growth projections led investors to anticipate further central bank monetary accommodation in the U.S. and Europe, leading to a drop in yields and a rally in bond prices.

 

Sudden market reversals like these can be challenging for the Fund’s trend-following strategies.  The Fund came into 2019 defensively positioned, and saw initial losses through short stock and short oil positions during the market recovery in January.  However, the Fund systematically repositioned to track the new market trends and made profits in March through both long bond and long stock positions.

 

 

26

 

 

At the end of the first quarter, the Fund was positioned to be significantly long interest rates and bonds, moderately long equity indices and the U.S. Dollar (primarily against the Euro), short agricultural commodities (mainly grains), and with very modest exposure in energy and metals.

 

Results of Operations

 

The returns for each Class of Units for the three months ended March 31, 2020 and 2019 were:

 

Class of Units

 

2020

 

2019 

  Class A

 

 

(10.33

)%

 

 

1.20

%

  Class A2

 

 

(10.01

)%

 

 

1.55

%

  Class A3

 

 

(10.05

)%

 

 

 

  Class B

 

 

(9.92

)%

 

 

1.65

%

  Class I

 

 

(9.71

)%

 

 

1.90

%

  Class R

 

 

(9.88

)%

 

 

1.70

%

 

Class A2 units and Class A3 units did not begin reflecting a return until December 1, 2018 and July 1, 2019, respectively. 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.

 

2020

January

In January, capital markets were impacted by two significant developments. Early in the month, Iranian General Qassem Soleimani was killed in a U.S. airstrike. Iran responded with their own missile attack against a U.S. military base in Iraq, though tensions de-escalated from there. While global equity markets shrugged off these events, they fell later in the month as mounting concerns regarding the coronavirus outbreak fueled a risk-off stance by market participants. Speculation regarding the virus’ future effect on Chinese and global economic growth helped drive rates lower/bond prices higher. Gold also continued to surge as investors sought safe haven assets while oil prices sold-off sharply.

The Fund enjoyed a strong start to the year with the largest gains from long fixed income positions, which were boosted by falling rates. Foreign currency trading was profitable as long U.S. Dollar positions benefitted from the greenback’s strength. Long positions in equities were unprofitable, as stocks were hurt by the coronavirus fears during the second half of January. In commodities, long precious metals exposure was profitable. Energy trading also enjoyed gains as plunging natural gas prices provided a lift to short positions. Trading in agricultural commodities was not a significant factor. The Fund finished with a net gain of 3.19%, 3.31%, 3.30%, 3.34%, 3.43% and 3.36% for Class A, A2, A3, B, I, and R Units, respectively.

 

February

After the S&P 500 reached a new high in mid-February, intensifying coronavirus fears contributed to a massive sell-off in equities while the U.S. 10-year Treasury yield fell to an all-time low. The rapidity of the correction in the S&P 500 was historic as the Index experienced its fastest ever 10% sell-off. With the outbreak spreading outside of China and cases in Italy, Iran, and South Korea soaring, investors fled risk assets in droves as they grappled with how deeply and for how long quarantines, reduced travel, factories shutting down, school closures, etc. will negatively impact economic growth and corporate profitability. While the severity of the economic toll may be unknowable at this time, some recent datapoints, like the official Chinese PMI indicator which plunged to an all-time low of 35.7 in February, are certainly worrisome. As expectations for the Fed to take action quickly ramped, bond yields plunged. The U.S. dollar weakened and failed to act as a traditional safe haven asset. Meanwhile, the Japanese Yen and Euro rallied. In commodities, oil prices continued their collapse while gold, another traditional safe haven asset, declined during the market correction.

 

The Fund finished with a negative return for the month as the massive risk-off move by investors hurt long exposure in equities. Overall, foreign currency trading was not a significant factor during February though during the market correction a long U.S. dollar position was hurt by softness in the greenback. In commodities, short energy positions benefitted from declining oil and natural gas prices as economic growth concerns weighed heavily. Fixed income trading was the largest positive contributor for the Fund as weakening growth and rate cut expectations fueled the collapse in yields which benefitted long positions. The Fund finished with a net loss of (6.57)%, (6.46)%, (6.48)%, (6.43)%, (6.36)% and (6.42)% for Class A, A2, A3, B, I, and R Units, respectively.

 

27

 

 

March

As the COVID-19 global pandemic worsened and the world economy was brought to its knees, the stock market continued to plummet. At the steepest point of its drawdown, the S&P 500 fell -33.8% from its high before recovering late in the month. The actions taken to stem the advance of the virus are having an unprecedented effect on business activity. Second quarter GDP growth estimates are as dire as -40% while unemployment is expected to exceed the post-World War II high of 10.8%. In response to the crisis, massive stimulus measures have been undertaken by central banks and governments around the globe to inject liquidity and stabilize markets. U.S. Treasury yields reached historical lows in March. Briefly during the month, bonds failed to act as a safe haven asset as yields unexpectedly moved higher when bond prices fell. Meanwhile, oil prices collapsed as OPEC failed to reach a production cut agreement with Russia, resulting in an oil price war that coincided with an historic collapse in demand.

 

Positive returns during the 2nd half of March, were not enough to offset losses during the first two weeks of the month. While equity exposure had shifted neutral by the end of the month, the Fund was hurt by long positions during that transition as stock prices continued their collapse. Fixed income trading has been highly profitable in 2020, but had small losses in March as gains from positions in U.S. Treasuries were offset by losses from overseas trading.  Foreign currency trading was unprofitable while in commodities, short positions in energy were highly profitable as oil prices plummeted.  The Fund finished with a net loss of (6.99)%, (6.88)%, (6.89)%, (6.85)%, (6.77)% and (6.83)% for Class A, A2, A3, B, I, and R Units, respectively.

 

2019

January

January saw a sharp rebound in equity indices following December’s sell-off.  The Federal Reserve moderated its previous hawkish language and suggested it could pause interest rate hikes, which boosted investor optimism.  Milder market expectations for U.S. monetary tightening led to a weakening of the U.S. Dollar and a helped to boost industrial commodities such as oil and metals.  In Europe, concerns over the economic impact of an uncertain Brexit process led to a rally in bonds.

 

The month’s trend reversal in risk assets such as equities and oil proved challenging for the Fund’s trend-following programs, which began the year with defensive net short positioning.  U.S. Dollar weakness, especially against commodity exporter currencies as the Canadian Dollar, also detracted from performance.  The Fund did make gains in fixed income trading with long positions in European bonds, which rallied during the month.  The Fund finished with a net loss of 3.31%, 3.20%, 3.16%, 3.08, and 3.15% for Class A, A2, B, I, and R Units, respectively.

 

February

In February, the Federal Reserve and the European Central Bank affirmed they would be flexible and could adopt a less hawkish monetary policy stance in the near term as a result of softness in economic data.  This led to a rally in global equity indices despite slowing GDP growth.  U.S. and German bond yields were choppy, ending the month slightly higher, while the U.S. Dollar gained against most developed market currencies.  In commodities, oil prices rose on global supply cuts, while agricultural commodities trended lower.

 

The Fund made gains with short positions in agricultural markets, particularly wheat and coffee, which saw large price declines.  In currencies, long U.S. Dollar positions against the Euro were profitable.  However, long U.S. and European bond positions detracted from performance.  There were also modest losses in stock indices, as trend-following systems gradually transitioned out of short positions.  The Fund finished with a net loss of 0.16%, 0.04%, 0.01% for Class A, A2, and B Units, respectively, and a net gain of 0.07% and 0.01% for Class I and R Units, respectively.

 

March

In March, investors grew increasingly worried about potential recession risks over the coming year, due to soft global economic data, as well as Brexit uncertainty and the unresolved trade conflict between the U.S. and China.  As a result, the Federal Reserve indicated that it would pause rate hikes, while the European Central Bank signaled an accommodative stance.  This caused a yield curve inversion in the U.S. with 10-Year Treasury yields falling below 3-Month rates, and it led to German 10-Year yields turning negative for the first time since 2016.

 

The Fund had a strong month, profiting from long positions in bonds, particularly in Europe, which rallied as a result of economic growth concerns.  Long positions in stocks also added to performance, as equity markets were lifted by supportive central bank statements.  In currencies, long U.S. Dollar positions against the Euro made a positive contribution.  Performance in commodities was relatively flat with modest losses in energy markets.  The Fund finished with a net gain of 4.82%, 4.94%, 4.98%, 5.07%, and 5.00% for Class A, A2, B, I, and R 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.

 

28

 

 

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. 

 

Contractual Obligations

 

The Fund does not have any contractual obligations of the type contemplated by Item 303(a)(5) of Regulation S-K.  The Fund’s sole business is trading futures and forward currency contracts, both long (contracts to buy) and short (contracts to sell).

 

Off-Balance Sheet Risk

 

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

 

In addition to subjecting the Fund to market risk, upon entering into futures and forward currency contracts there is a risk that the counterparty will not be able to meet its obligations to the Fund.  The counterparty for futures contracts traded in the U.S. and on most foreign exchanges is the clearinghouse associated with such exchange.  In general, clearinghouses are backed by the corporate members of the clearinghouse who are required to share any financial burden resulting from the non-performance by one of their members and, as such, should significantly reduce this risk.  In cases where the clearinghouse is not backed by the clearing members, as is the case with some foreign exchanges, it is normally backed by a consortium of banks or other financial institutions.

 

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

 

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

 

Significant Accounting Policies

 

A summary of the Fund’s significant accounting policies is included in Note 1 to the 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.

 

29

 

 

Item 3.  Quantitative and Qualitative Disclosures about Market Risk

 

Introduction

 

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

 

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

 

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

 

Standard of Materiality

 

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

 

Quantifying the Fund’s Trading Value at Risk

 

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

 

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

 

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

 

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

 

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

 

30

 

 

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

 

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

 

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

 

The following table indicates the trading Value at Risk associated with the Fund’s open positions by market sector at March 31, 2020 and December 31, 2019.  All open position trading risk exposures of the Fund have been included in calculating the figures set forth below.

 

 

 

March 31, 2020

 

 

December 31, 2019

 

Market Sector

 

Value at Risk 

 

 

% of Total
Capitalization 

 

 

Value at Risk 

 

 

% of Total
Capitalization 

 

Agricultural commodities

 

$

382,042

 

 

 

0.18

%

 

$

469,643

 

 

 

0.19

%

Currencies

 

 

983,466

 

 

 

0.46

 

 

 

1,857,755

 

 

 

0.73

 

Energy

 

 

1,278,571

 

 

 

0.60

 

 

 

1,648,619

 

 

 

0.65

 

Equity indices

 

 

647,919

 

 

 

0.30

 

 

 

2,357,891

 

 

 

0.93

 

Interest rate instruments

 

 

1,202,141

 

 

 

0.57

 

 

 

1,492,979

 

 

 

0.59

 

Metals

 

 

441,743

 

 

 

0.21

 

 

 

1,805,322

 

 

 

0.71

 

Single stock futures

 

 

28,036

 

 

 

0.01

 

 

 

58,059

 

 

 

0.02

 

Total

 

$

4,963,938

 

 

 

2.34

%

 

$

9,690,268

 

 

 

3.83

%

 

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.

 

31

 

 

The following were the primary trading risk exposures of the Fund as of March 31, 2020, by market sector.

 

Agricultural Commodities

The Fund takes positions in a broad range of agricultural futures, including soybeans, wheat, corn, sugar, and cotton among others. Prices in these markets can be affected by changes in demand, as well changes in supply factors such as weather and inventory levels.

 

Currencies

The Fund trades in foreign exchange markets by taking positions in currency futures and forward contracts for a large number of developed and emerging market currencies. Exposures may take the form of direct exchange rates against the U.S. dollar, or cross-rates between two foreign currencies. Exchange rates can be impacted by economic differences between regions (such as interest rate differentials or economic growth differentials), political events, as well as investor risk sentiment.

 

Energy

The Fund gains trading exposure in energy markets through oil and gas futures, which include WTI crude oil, Brent crude oil, distillates such as heating oil, and natural gas. Prices have historically been highly volatile, driven by demand side factors such as global economic growth and weather conditions, as well as supply side factors such as Middle East conflicts, OPEC production agreements, and shale production.

 

Equity Indices

The Fund has exposure to major stock market indices around the world through equity index futures. Primary exposures are in developed markets such as the U.S., the UK, Germany, Japan, Hong Kong and Australia, but there can also be exposure to smaller developing market stock indices. Equity index price movements can be affected by microeconomic factors such as corporate earnings, by macroeconomic factors such as government fiscal and monetary policy, as well as by investor sentiment.

 

Interest Rate Instruments

The Fund has exposure to global fixed income markets through bond futures and interest rate futures in countries such as the U.S., the UK, Germany, Japan and Australia. The Fund has exposure across the yield curve with positions in the futures for both short term and long-term instruments. The yield curve (and futures prices) can be affected by economic growth, inflation expectations, monetary policy and investor risk aversion.

 

Metals

The Fund has exposure to metals futures, including both precious metals such as gold, silver and platinum, as well as industrial metals such as copper, aluminum and zinc. Metals prices can be volatile. Precious metals prices are often driven by inflation expectations, risk aversion, and mining output. Industrial metals prices tend to be impacted by industrial demand relative to production.

 

Single Stock Futures

The Fund has a small exposure to single stock futures, with positions primarily in companies that trade on U.S. exchanges. The price drivers here tend to be more microeconomic with corporate earnings and industry trends being important. However, macroeconomic and market-wide factors can also affect single stock futures prices.

 

Qualitative Disclosures Regarding Non-Trading Risk Exposure

 

The following were the only non-trading risk exposures of the Fund as of March 31, 2020.

 

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.

 

32

 

 

Qualitative Disclosures Regarding Means of Managing Risk Exposure 

 

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

 

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

 

Item 4.  Controls and Procedures

 

The General Partner, with the participation of the Chief Executive Officer and Chief Financial Officer, evaluated the effectiveness of the design and operation of the Fund’s disclosure controls and procedures at March 31, 2020 (the “Evaluation Date”).  Based on their evaluation, the Chief Executive Officer and Chief Financial Officer of the General Partner concluded that, as of the Evaluation Date, the Fund’s disclosure controls and procedures were effective. 

 

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

 

 

PART II:  OTHER INFORMATION

 

Item 1.  Legal Proceedings.

 

None.

 

Item 1A. Risk Factors.

 

As mentioned in Note 8 in the Notes to the Financial Statements, we note the market disruption risk such as what has been experienced with the COVID virus outbreak.  Other than that market disruption risk, there have been no material changes from risk factors disclosed in the Fund’s Form 10-K for year ended December 31, 2019.

 

33

 

 

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

 

There were no sales of unregistered securities of the Fund during the three months ended March 31, 2020.  Under the Fund’s Partnership Agreement, limited partners may redeem their Units at the end of each calendar month at the then current month-end net asset value per Unit.  Redemptions of Units during the three months ended March 31, 2020 were as follows:

 

 

January

 

 

February

 

 

March

 

 

Total

 

A Units

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Units redeemed

 

 

(1,536.0874

)

 

 

(547.0972

)

 

 

(259.7612

)

 

 

(2,342.9458

)

Average net asset value per unit

 

$

4,130.09

 

 

$

3,858.66

 

 

$

3,589.10

 

 

$

4,006.73

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

A2 Units

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Units redeemed

 

 

 

 

 

 

 

 

 

 

 

 

Average net asset value per unit

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

A3 Units

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 Units redeemed

 

 

 

 

 

 

 

 

 

 

 

 

 Average net asset value per unit

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

B Units

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Units redeemed

 

 

(31.9115

)

 

 

(115.3816

)

 

 

(584.6279

)

 

 

(731.9210

)

Average net asset value per unit

 

$

6,478.07

 

 

$

6,061.35

 

 

$

5,646.30

 

 

$

5,747.99

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

I Units

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Units redeemed

 

 

 

 

 

 

 

 

 

 

 

 

Average net asset value per unit

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

R Units

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Units redeemed

 

 

(1,531.8714

)

 

 

(910.2292

)

 

 

(222.6692

)

 

 

(2,664.7698

)

Average net asset value per unit

 

$

1,077.46

 

 

$

1,008.32

 

 

$

939.43

 

 

$

1,042.31

 

 

Item 3.  Defaults Upon Senior Securities

 

Not applicable.

 

Item 4.  Mine Safety Disclosures

 

Not applicable.

 

Item 5.  Other Information

 

None.

 

34

 

 

Item 6.  Exhibit

 

The following exhibits are filed herewith of incorporated by reference.

 

Exhibit No.

 

Description of Exhibit

1.1(a)

 

Form of Selling Agreement

3.1(a)

 

Maryland Certificate of Limited Partnership

4.1(a)

 

Limited Partnership Agreement

10.1(a)

 

Form of Subscription Agreement

31.01

 

Certification of Chief Executive Officer of the General Partner in accordance with Section 302 of the Sarbanes-Oxley Act of 2002

31.02

 

Certification of Chief Financial Officer of the General Partner in accordance with Section 302 of the Sarbanes-Oxley Act of 2002

32.01

 

Certification of Chief Executive Officer of the General Partner in accordance with Section 906 of the Sarbanes-Oxley Act of 2002

32.02

 

Certification of Chief Financial Officer of the General Partner in accordance with Section 906 of the Sarbanes-Oxley Act of 2002 

101 INS   XBRL Instance Document
101 SCH   XBRL Taxonomy Extension Schema Document
101 CAL   XBRL Taxonomy Calculation Linkbase Document
101 LAB   XBRL Taxonomy Labels Linkbase Document
101 PRE   XBRL Taxonomy Presentation Linkbase Document
101 DEF   XBRL Taxonomy Extension Definition 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:  May 14, 2020

Futures Portfolio Fund, Limited Partnership

 

       

 

 

 

 

 

By:

Steben & Company, LLC

 

 

 

General Partner

 

 

 

 

 

 

By:

/s/ Kevin M, Kinzie

 

 

Name:

Kevin M. Kinzie

 

 

Title:

President, Chief Executive Officer and Director of the General Partner

 

 

 

(Principal Executive Officer)

 

       

 

 

 

 

 

By:

/s/ Jon C, Essen

 

 

Name:

Jon C. Essen

 

 

Title:

Chief Financial Officer

 

 

 

(Principal Financial and Accounting Officer)

 

 

36