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

Attached files

file	filename
EX-32.02 - CERTIFICATION OF CHIEF FINANCIAL OFFICER OF THE GENERAL PARTNER - FUTURES PORTFOLIO FUND L.P.	ex32-02.htm
EX-32.01 - CERTIFICATION OF CHIEF EXECUTIVE OFFICER OF THE GENERAL PARTNER - FUTURES PORTFOLIO FUND L.P.	ex32-01.htm
EX-31.02 - CERTIFICATION OF CHIEF FINANCIAL OFFICER OF THE GENERAL PARTNER - FUTURES PORTFOLIO FUND L.P.	ex31-02.htm
EX-31.01 - CERTIFICATION OF CHIEF EXECUTIVE OFFICER OF THE GENERAL PARTNER - FUTURES PORTFOLIO FUND L.P.	ex31-01.htm

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM 10-K

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

For the Fiscal Year Ended December 31, 2020

Commission file number: 000-50728

FUTURES PORTFOLIO FUND, LIMITED PARTNERSHIP

Organized in Maryland

IRS Employer Identification No.: 52-1627106

c/o Steben & Company, LLC
687 Excelsior Boulevard
Excelsior, MN 55331
Telephone: (952) 767-6900

Securities to be registered pursuant to Section 12(b) of the Act: None

Securities to be registered pursuant to Section 12(g) of the Act: Limited partner interests

Indicate by check mark if the registrant is a well-known seasoned issuer, as defined in Rule 405 of the Securities Act. Yes ☐ No ☒

Indicate by check mark if the registrant is not required to file reports pursuant to Section 13 or Section 15(d) of the Act. Yes ☐ No ☒

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, or a smaller reporting company. See definition of “accelerated filer,” “large accelerated filer” and “smaller reporting company” in Rule 12b-2 of the Exchange Act. (Check one):

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 ☒

Aggregate market value of the voting and non-voting common equity held by non-affiliates: N/A.

Table of Contents

Part I
Item 1.	Business	3
Item 1A.	Risk Factors	7
Item 1B.	Unresolved Staff Comments	12
Item 2.	Properties	13
Item 3.	Legal Proceedings	13
Item 4.	Mine Safety Disclosures	13

Part II

Item 5.	Market for Registrant's Common Equity, Related Stockholder Matters and Issuer Purchases of Equity Securities	13
Item 6.	Selected Financial Data	14
Item 7.	Management's Discussion and Analysis of Financial Condition and Results of Operations	18
Item 7A.	Quantitative and Qualitative Disclosures About Market Risk	29
Item 8.	Financial Statements and Supplementary Data	32
Item 9.	Changes in and Disagreements with Accountants on Accounting and Financial Disclosures	32
Item 9A.	Controls and Procedures	32
Item 9B.	Other Information	33

Part III

Item 10.	Directors, Executive Officers, and Corporate Governance	33
Item 11.	Executive Compensation	34
Item 12.	Security Ownership of Certain Beneficial Owners and Management and Related Stockholder Matters	35
Item 13.	Certain Relationships and Related Transactions, and Director Independence	35
Item 14.	Principal Accountant Fees and Services	36

Part IV

Item 15.	Exhibits and Financial Statement Schedules	36
Signatures		38

PART I

Item 1.

Business

Futures Portfolio Fund, Limited Partnership (“Fund”) is a Maryland limited partnership, was formed on May 11, 1989 and began trading on January 2, 1990. Using professional trading advisors, the Fund engages 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 primarily trades within seven market sectors: agricultural commodities, currencies, energy products, equity indices, interest rate instruments, metals and single stock futures.

The Fund’s fiscal year ends each December 31, and 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”). At December 31, 2020, the capitalization of the Fund and net asset value per limited partner interest (“Units”) was as follows:

Class of Units	Capitalization		Net Asset Value per Unit
Class A	$	118,745,248	$	3,818.95
Class A2		523,333		1,000.45
Class A3		83,577		971.15
Class B		45,043,756		6,088.92
Class I		262,500		1,023.49
Class R		7,779,218		1,014.58
Total	$	172,437,632

The Fund’s assets are allocated among professional trading advisors (“Trading Advisors”). Portions of the Fund’s assets may be allocated to other investment funds or pools at the discretion of Steben & Company, LLC (“General Partner”). The General Partner is responsible for selecting and monitoring the Trading Advisors, and the General Partner may add new Trading Advisors in the future, terminate the current Trading Advisors, and will, in general, allocate and reallocate the Fund’s assets among the Trading Advisors as it deems is in the best interests of the Fund and without prior notice to investors.

Through year-end, the Fund no longer held an interest in Class I shares of the Steben Managed Futures Strategy Fund (“SMFSF”). SMFSF was a non-diversified series of shares of beneficial interest of Steben Alternative Investment Fund (the “Trust”), a statutory trust organized under the laws of the State of Delaware, and was registered under the Investment Company Act of 1940, as amended (the "1940 Act"), as an open-end investment company. 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. For financial reporting purposes, SMFSF is treated as a related party. On January 24, 2020, SMFSF was merged into the LoCorr Macro Strategies Fund and on January 27, 2020, the Fund redeemed its interest in the LoCorr Macro Strategies Fund.

The Fund maintains margin deposits and reserves in cash, U.S. Treasury securities, registered U.S. money market funds, commercial paper, certificates of deposit, asset backed securities and corporate notes in accordance with Commodity Futures Trading Commission (“CFTC”) rules. All related income earned accrues to the benefit of the Fund.

The Fund’s business constitutes only one segment for financial reporting purposes. The Fund does not engage in material operations in foreign countries, although it does trade on international futures markets, nor is a material portion of its revenues derived from foreign customers.

General Partner

Under the Partnership Agreement, management of all aspects of the Fund’s business and administration is carried out exclusively by the General Partner, a Maryland limited liability company originally organized in February 1989. The General Partner is registered with the CFTC as a commodity pool operator and is also registered with the U.S. Securities and Exchange Commission (“SEC”) as an investment adviser and a broker dealer. The General Partner is a member of the National Futures Association (“NFA”).

The General Partner manages all aspects of the Fund’s business, including selecting the Fund’s trading advisors; allocating the Fund’s assets among them; investing a portion of the Fund’s assets in other investment pools; selecting the Fund’s futures broker(s), accountants and attorneys; computing the Fund’s net assets; reporting to limited partners; directing the allocation of excess margin monies; and processing subscriptions and redemptions. The General Partner maintains office facilities for and furnishes administrative and clerical services to the Fund. There have been no material administrative, civil or criminal actions within the past five years against the General Partner or its principals, and no such actions currently are pending.

Trading Advisors

As of February 28, 2021, the Trading Advisors of the Fund and the allocation of the Fund’s trading level are reflected as follows:

	% of Total Allocation
Crabel Capital Management, LLC		26
Millburn Ridgefield Corporation		25
Graham Capital Management, LP		17
FORT, LP		14
East X, LLP		9
Transtrend BV		9
Fulcrum Asset Management LLP		0

These allocations are subject to change at the General Partner’s sole discretion.

An objective of the Fund’s multi-manager approach is to reduce the Fund’s volatility without sacrificing overall rates of return. Trading Advisors are selected by the General Partner based on a number of operational and performance factors.

Selling Agents

The General Partner acts as a selling agent for the Fund. The General Partner has and intends to continue to appoint certain other broker-dealers registered under the Securities Exchange Act of 1934, as amended (“1934 Act”), and members of FINRA, to act as additional selling agents with respect to Class A, A2, A3, B, I and R Units. Selling agents are selected to assist in the making of offers and sales of Class A, A2, A3, B, I and R Units. The Fund currently has approximately 100 selling agents. The selling agents are not required to purchase any Class A, A2, A3, B, I or R Units, or sell any specific number or dollar amount of Class A, A2, A3, B, I and R Units, but instead use their best efforts to sell such Units. Where the General Partner acts as the selling agent it may retain any selling agent fees.

Futures Brokers and Forward Currency Counterparties

The Fund’s futures trading is currently conducted with SG Americas Securities, LLC (“SGAS”), J.P. Morgan Securities LLC (“JPMS”) and Deutsche Bank Securities, Inc. (“DBSI”). The Fund’s forward currency trading is conducted with Société Générale International Limited (“SGIL”) and Deutsche Bank AG. SGAS and SGIL are wholly owned subsidiaries of Société Générale. Société Générale is a one of the largest financial institutions in Europe. JPMS is an indirect, wholly owned subsidiary of JPMorgan Chase & Co., one of the largest bank holding companies in the U.S. DBSI is an indirect, wholly owned subsidiary of Deutsche Bank AG, one of the largest bank holding companies in Europe.

The General Partner may, in its discretion, have the Fund use other futures brokers, swap or forward currency counterparties if it deems it to be in the best interest of the Fund.

Cash Managers

The Fund has engaged Principal Global Investors, LLC (“PGI” or the “Cash Manager”) to provide cash management services to the Fund. PGI manages the Fund’s cash and excess margin through investments in fixed income instruments, pursuant to investment parameters established by the General Partner.

Description of Current Charges

Charges	Amount
Trading Advisor Management Fees	Each class of Units incurs monthly trading advisor management fees, payable monthly or quarterly in arrears, to the Trading Advisors (based on the assets under their management). The fees range from 0% to 3% annually.
Trading Advisor Incentive Fees	Each class of Units incurs quarterly or annual trading advisor incentive fees, payable in arrears to the Trading Advisors, for any “Net New Trading Profits” generated on the portion of the Fund the respective Trading Advisor manages. The incentive fees range from 0% to 30%. Net New Trading Profits are calculated based on formulas defined in each Trading Advisor’s trading agreement. In determining Net New Trading Profits, any trading losses generated by the respective Trading Advisor for the Fund in prior periods are carried forward, so that the incentive fee is assessed only if and to the extent the profits generated by the Trading Advisor for the period exceed any losses from prior periods. The loss carry-forward is proportionally reduced if and to the extent the Fund reduces the amount of assets allocated to the Trading Advisor.
Brokerage Commissions and Trading Expenses	The Fund incurs brokerage commissions and expenses on U.S. futures exchanges at an average of $2.79 per “round-turn” futures transaction (includes NFA, execution, clearing and exchange fees). Brokerage commissions and expenses may be higher for trades executed on certain foreign exchanges.
Cash Manager Fees	Each class of Units incurs a monthly cash manager fee, payable in arrears to the Cash Manager, equal to approximately 1/12^thof 0.15% of the investments in securities and certificates of deposit.
General Partner Management Fee	The Fund incurs a monthly fee on Class A, A2, A3, B, and R Units equal to 1/12^th 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 1/12^th of 0.75% of the month-end net asset value of the Class I Units, payable in arrears.
General Partner Performance Fee	The Fund incurs a monthly fee on Class I Units equal to 7.5% of any Net Profits of the Class I Units calculated monthly. The general partner performance fee is payable quarterly in arrears. In determining Net Profits, any net losses incurred by the Class I Units in prior periods are 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.
General Partner 1 percent allocation	Each year, the General Partner receives an annual allocation of 1% of net income earned by the Fund, or pays to the Fund 1% of any net loss incurred by the Fund.
Selling Agent Fees and Broker Dealer Servicing Fees	The General Partner charges monthly selling agent fees and/or broker dealer servicing fees to certain classes of units, as follows: ● Class A Units pay 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 pay a 0.2% per annum broker dealer servicing fee. The General Partner, in turn, pays selling agent fees and broker dealer servicing fees to the respective selling agents. If selling agent fees are not paid to the selling agents, such portions of the selling agent fees may be retained by the General Partner.

Charges

Amount

Administrative Fee

Each class of Units incur a monthly General Partner administrative fee equal to 1/12^th of 0.45% of Fund net assets at the end of each month, payable in arrears. 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 commodity pools with which the Fund may have investments). The General Partner uses a portion of this fee to pay third party service providers.

Market Sectors

The Fund trades speculatively, through the allocation of its assets to Trading Advisors, in U.S. and international futures markets, and may trade or hold futures, forwards, swaps or options. Specifically, the Fund trades futures on agricultural commodities, currencies, energy products, equity indices, interest rate instruments, metals and single stock futures. The Fund also trades forward currency contracts and may trade options, swaps and other forwards other than currencies in the future.

Market Types

The Fund trades on a variety of U.S. and international futures exchanges. As in the case of its market sector allocations, the Fund’s commitments to different types of markets - U.S. and non-U.S., regulated and non-regulated - differ substantially from time to time, as well as over time, and may change at any time if a Trading Advisor, with the approval of the General Partner, determines such change to be in the best interests of the Fund.

Regulations

The Fund is a registrant with the SEC pursuant to the 1934 Act. As a registrant, the Fund is subject to the regulations of the SEC and the reporting requirements of the 1934 Act. As a commodity pool, the Fund is subject to the regulations of the CFTC, an agency of the U.S. government, which regulates most aspects of the commodity futures industry; rules of the NFA, 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 futures commission merchants, futures brokers and Interbank market makers through which the Fund trades.

Commodity exchanges in the U.S. are subject to regulation under the Commodity Exchange Act (“CEAct”), by the CFTC, the governmental agency having responsibility for regulation of commodity exchanges and commodity interest trading conducted thereon. The function of the CFTC is to implement the objectives of the CEAct of preventing price manipulation and excessive speculation and promoting orderly and efficient commodities markets. In addition, the various commodity exchanges themselves exercise regulatory and supervisory authority over their members.

The CFTC has exclusive authority to designate exchanges for the trading of specific futures contracts and options on futures contracts and physicals and to prescribe rules and regulations for the marketing of each. The CFTC also possesses exclusive jurisdiction to regulate the activities of commodity trading advisors, commodity pool operators, introducing brokers, futures commodity merchants, swap dealers and floor brokers, among others, and may suspend, modify or terminate the registration of any registrant for failure to comply with CFTC rules or regulations. Furthermore, the CEAct establishes an administrative procedure under which commodity customers may institute complaints for damages arising from alleged violations of the CEAct by persons registered with the CFTC (“reparations”). The CEAct also gives the states certain powers to enforce its provisions and the regulations of the CFTC.

Pursuant to authority in the CEAct, the NFA has been formed and registered with the CFTC as a “registered futures association.” At the present time, the NFA is the only non-exchange self-regulatory organization for commodities professionals. The CFTC has delegated to the NFA responsibility for certain registration processing. The General Partner, the Fund’s futures brokers and swap dealers are members of the NFA (the Fund itself is not required to become a member of the NFA). As members, they are subject to NFA standards relating to fair trade practices, financial condition and consumer protection. As the self-regulatory body of the commodities industry, the NFA promulgates rules governing the conduct of commodity professionals and disciplines those professionals which do not comply with such standards. The NFA also arbitrates disputes between members and their customers and conducts registration and fitness screening of applicants for membership and audits of its existing members.

The regulations of the CFTC and the NFA prohibit any representation by a person registered with the CFTC or by any member of the NFA that such registration or membership, respectively, in any respect indicates that the CFTC or the NFA, as the case may be, has approved or endorsed such person or such person’s trading program or objectives. The registrations and memberships described above must not be considered as constituting any such approval or endorsement. No commodity exchange has given or will give any such approval or endorsement.

The regulation of commodity trading in the U.S. and other countries is an evolving area of law, particularly in the context of implementing various aspects of Dodd-Frank and similar laws being implemented in other countries. The various statements made herein are subject to modification by legislative action and changes in the rules and regulations of the CFTC, NFA, and commodity exchanges or other regulatory bodies.

Competition

The Fund operates in a competitive environment in which it faces several forms of competition, including, without limitation, the following:

	●	The Fund competes with other commodity pools and other investment vehicles for investors.

	●	The Trading Advisors may compete with other traders in the markets in establishing or liquidating positions on behalf of the Fund.

Available Information

The Fund files Forms 10-Q, 10-K, 8-K, 3 and 4, as required, with the SEC. The public may read and copy any materials filed with the SEC at the SEC’s Public Reference Room at 100 F Street, N.E., Washington, D.C. 20549. Additional information about the Reference Room may be obtained by calling the SEC at (800) SEC-0330. Reports filed electronically with the SEC may be found at http://www.sec.gov.

Reports to Security Holders

None.

Enforceability of Civil Liabilities Against Foreign Persons

None.

Item 1A.

Risk Factors

No Limitations on Trading Policies

The Fund’s Partnership Agreement places no limitation on the trading policies the General Partner may pursue for the Fund.

Potential Increase in Leverage

The General Partner may increase the leverage used with a particular Trading Advisor by the use of notional funds. Notional funds are used when a Trading Advisor is instructed to trade an account according to its trading system under the assumption that the account is larger than the actual cash or securities on hand. This additional leverage, while creating additional profit potential which the General Partner feels may be appropriate with certain Trading Advisors in light of the Fund’s multi-trader diversification, also increases the risk of loss to the Fund. It is anticipated that the General Partner will allocate between $1 and $2 to the Trading Advisors for every $1 of equity in the Fund. Throughout 2020, the Fund maintained a notional trading level of approximately $1.60 for every $1 of equity in the Fund.

Volatility

The volatility of the Fund is expected to be similar to what it has been in the past, although it could be more or less volatile in the future depending upon the volatility of the market, the success of the Trading Advisors and the level of notional funding used by the General Partner in its allocations to the Trading Advisors.

Liquidity

Although the Fund offers monthly redemptions, the Fund may delay payment if special circumstances require, such as a market emergency that prevents the liquidation of commodity positions or a delay or default in payment to the Fund by a futures broker or a counterparty.

Coronavirus (COVID-19) Pandemic

The ongoing coronavirus situation could cause unpredictable rapid market changes and increased volatility, which could negatively affect the trading programs of the Trading Advisors.

Fund Expenses Will Be Substantial

The Fund is obligated to pay brokerage expenses, Trading Advisor management and incentive fees, General Partner management and incentive fees, ongoing selling agent fees, Cash Manager fees and other administrative fees, regardless of whether it realizes profits. The Fund will need to make substantial trading profits to avoid depletion of its assets from these expenses.

Reliance on General Partner

The Fund’s success depends significantly on the General Partner’s ability to select Trading Advisors and support the operations of the Fund.

Dependence on Key Personnel

The General Partner is dependent on the services of key management personnel.

Reliance on the Trading Advisors

The Fund’s success depends largely on the ability of its Trading Advisors. There can be no assurance that their trading methods will produce profits (or not generate losses). Past performance is not necessarily indicative of future results.

Reliance on Futures Brokers’ Financial Condition

If one of the futures brokers becomes insolvent, the Fund might incur a loss of all or a portion of the funds it had deposited directly or indirectly with such futures broker. There is no government insurance for commodity brokerage accounts. Such a loss could occur if one of the futures brokers unlawfully failed to segregate its customers’ funds or if a customer failed to pay a deficiency in its account.

Use of Cash Manager

A significant percentage of the Fund’s assets not placed as margin with the futures brokers are managed by PGI. Using investment guidelines established by the General Partner, PGI may invest the excess margin in U.S. Treasury securities, U.S. and foreign government sponsored enterprise notes, commercial paper, corporate notes, asset backed securities 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.

Investment in Other Investment Pools

Although it does not do so currently, the Fund may invest in other pools. The Fund expects to be liable to those pools (e.g., limited partners), only for the amount of its investment plus any undistributed profits. However, there can be no assurance in this regard, and the Fund might invest as a general partner if the situation warranted, and thus be liable for additional amounts. If the Fund does invest in other pools, investors in the Fund could be subject to additional fees, as the Fund would be charged fees by the other pools.

During 2020, the Fund held an investment in Class I shares of the Steben Managed Futures Strategy Fund (“SMFSF”). SMFSF was a non-diversified series of shares of beneficial interest of Steben Alternative Investment Fund, a statutory trust organized under the laws of the State of Delaware, and was registered under the Investment Company Act of 1940, as amended (the "1940 Act"), as an open-end management investment company. SMFSF had a similar investment strategy to the Fund, using trading advisors to engage in the speculative trading of futures contracts, forward currency contracts and other financial instruments. The General Partner served as the investment manager of SMFSF. The General Partner reduced the administration fees charged to the Fund to offset the management fee that the General Partner received from SMFSF related to the Fund’s investment in SMFSF. On January 24, 2020, SMFSF was merged into the LoCorr Macro Strategies Fund and on January 27, 2020, the Fund redeemed its interest in the LoCorr Macro Strategies Fund.

Investment in pools (or similar investment vehicles), as distinguished from direct participation in the markets, has several potential disadvantages. Those investments may increase the Fund’s expenses, since the Fund will have to pay its pro rata share of the expenses borne by the investors in the pools, and the pools may have higher expenses. The Fund will generally be a minority investor in those pools and thus lack control over the pools. The pools might (a) change trading policies, strategies and trading advisors without prior notice to the Fund; (b) substantially restrict the ability of their investors to withdraw their capital from the pools; (c) be new ventures with little or no operating history; (d) be general rather than limited partnerships, thus increasing the Fund’s liability; and/or (e) use aggressive leveraging policies.

Use of Electronic Trading

The Trading Advisors may use electronic trading while implementing their strategies on behalf of the Fund. Electronic trading differs from traditional methods of trading. Electronic system transactions are subject to the rules and regulations of the exchanges offering the system or listing the specific contracts. Attributes of electronic trading may vary widely among the various electronic trading systems with respect to order requirements, processes and administration. There may also be differences regarding conditions for access and reasons for termination and limitations on the types of orders that may be placed into the system. These factors may present various risk factors with respect to trading on or using a specific system. Electronic trading systems may also possess particular risks related to system access, varying response times and security procedures. Internet enabled systems may also have additional risks associated with service providers and the delivery and monitoring of electronic communications.

Electronic trading may also be subject to risks associated with system or component failure. In the event of system or component failure, it is possible that a Trading Advisor may not be able to initiate new orders, fill existing orders or modify or cancel orders that were previously entered, as well as exit existing positions. System or component failure may also result in loss of orders or order priority. Some contracts offered on an electronic trading system may also be traded electronically and through open outcry during the same trading hours. Exchanges offering an electronic trading system which lists contracts may have implemented rules to limit their liability, the liability of futures brokers, as well as software and communication system vendors and the damages that may be collected for system inoperability and delays. These limitations of liability provisions may vary among the various exchanges.

Changes in Trading Strategies

The trading strategies of the Trading Advisors are continually developing. The Trading Advisors are free to make any changes in their trading strategies, without notice, if they feel that doing so will be in the Fund’s best interest. The General Partner will notify the limited partners of any such changes that the General Partner considers material. Changes in commodities or the markets traded shall not be deemed a change in trading strategy.

Disadvantages of Periodic Incentive Fees

Because the Trading Advisor incentive fees (if any) are paid on a quarterly or annual basis, they could receive incentive fees for a period even though their trading for the year was unprofitable. Once an incentive fee is paid, the Trading Advisors retain the fee regardless of their subsequent performance, but no new incentive fees will be paid until after all previous losses have been recovered.

Disadvantages of Multi-Trader Structure

The Fund’s use of multiple Trading Advisors to conduct its trading has several potential disadvantages. Each Trading Advisor is paid incentive fees solely on the basis of its trading for the Fund. The Fund, therefore, could have periods in which it pays fees to one or more Trading Advisors even though the Fund, as a whole, has a loss for the period (because the losses incurred by the Fund from unprofitable Trading Advisors exceed the profits earned by the Fund from profitable Trading Advisors).

Because the Trading Advisors trade independently of each other, they may establish offsetting positions for the Fund. For example, one Trading Advisor may sell 12 March wheat contracts at the same time another Trading Advisor buys 12 March wheat contracts. The net effect for the Fund will be the incurring of two brokerage commissions without the potential for earning a profit (or incurring a loss).

Under certain unusual circumstances, the Fund might have to direct a Trading Advisor to liquidate positions in order to generate funds needed to meet margin calls, to fund the redemption of Units, or to permit the reallocation of funds to another Trading Advisor. Such liquidations could disrupt the Trading Advisor’s trading system or method.

Disadvantages of Replacing Trading Advisors

The General Partner has the authority to reallocate the Fund’s assets among the Trading Advisors, terminate Trading Advisors and allocate assets to new Trading Advisor(s), or invest the Fund’s assets in other investment funds or commodity pools.

Trading Advisors generally have to “make up” previous trading losses incurred by the Fund on portions of the Fund the Trading Advisors are managing, before they can earn an incentive fee. However, a Trading Advisor might terminate its services to the Fund or the General Partner might decide to replace a Trading Advisor when it has such a loss carry-forward. The Fund might have to pay a new Trading Advisor higher advisory fees than are currently being paid to the current Trading Advisor. In addition, the Fund would lose the potential benefit of not having to pay the Trading Advisor an incentive fee during the time that the Trading Advisor was generating profits that made up for the prior losses. The replacement Trading Advisor would “start from scratch,” that is, the Fund would have to pay a new Trading Advisor an incentive fee for each dollar of profit it generated for the Fund, regardless of the Fund’s previous experience.

Limited Partners Do Not Participate in Management

Limited partners are not entitled to participate in the management of the Fund or the conduct of its business.

Non-Transferability of Units

Investors may acquire Units only for investment and not for resale, and the Units are transferable only with the General Partner’s consent, provided that the economic benefits of ownership of a limited partner may be transferred or assigned without the consent of the General Partner. There will be no resale market for the Units. However, limited partners may redeem all or (subject to certain limitations) any portion of their Units at the end of any month, on five business days’ written notice to the General Partner.

Possible Adverse Effect of Large Redemptions

The Trading Advisors’ trading strategies could be disrupted by large redemptions by limited partners. For example, such redemptions could require the Trading Advisors to prematurely liquidate futures positions they had established for the Fund.

Mandatory Redemptions

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 nonexempt 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 state, federal, or other self-regulatory organization regulations.

Cybersecurity Breaches

The Fund and Traders are subject to risks associated with a breach in their cybersecurity. Cybersecurity is a generic term used to describe the technology, processes and practices designed to protect networks, systems, computers, programs and data from “hacking” by other computer users, other unauthorized access and the resulting damage and disruption of hardware and software systems, loss or corruption of data as well as misappropriation of confidential information. If a cybersecurity breach occurs, the Fund may incur substantial costs, including (without limitation) those associated with: forensic analysis of the origin and scope of the breach; increased and upgraded cybersecurity; investment losses from sabotaged trading systems; identity theft; unauthorized use of proprietary information; litigation; adverse investor reaction; the unauthorized dissemination of confidential and proprietary information; and reputational damage. Any such breach could expose each of the General Partner, the applicable Trader, and/or the Fund to civil liability as well as regulatory inquiry and/or action. In addition, any such breach could cause substantial withdrawals from the Fund.

Indemnification

The Fund is required to indemnify the General Partner, the Trading Advisors and the futures brokers, and their affiliates, against various liabilities they may incur in providing services to the Fund, provided the indemnified party met the standard of conduct specified in the applicable indemnification clause. The Fund’s indemnification obligations could require the Fund to make substantial indemnification payments.

Termination of Fund

The Fund will automatically terminate on December 31, 2025, unless terminated earlier as provided in the Partnership Agreement. For example, the General Partner can withdraw as general partner on 90 days’ prior written notice, and such a withdrawal could result in termination of the Fund. The General Partner has no present intention of withdrawing and intends to continue the Fund business as long as it believes that it is in the best interest of all partners to do so. In addition, certain other events may occur which could result in early termination.

Lack of Regulation

The Fund is not an investment company under the federal securities laws. Thus, limited partners will not have the benefits of federal regulation of investment companies.

Conflicts of Interest

The General Partner and its principals have organized and are involved in other business ventures, and may have incentives to favor certain of these ventures over the Fund. The Fund will not share in the risks or rewards of such other ventures. However, such other ventures will compete for the General Partner’s and its principals’ time and attention, which might create other conflicts of interest. The Partnership Agreement does not require the General Partner to devote any particular amount of time to the Fund.

The General Partner or any of its affiliates or any person connected with it may invest in, directly or indirectly, or manage or advise other investment funds or accounts which invest in assets which may also be purchased or sold by the Fund. Neither the General Partner nor any of its affiliates nor any person connected with it is under any obligation to offer investment opportunities of which any of them becomes aware to the Fund or to account to the Fund in respect of (or share with the Fund or inform the Fund of) any such transaction or any benefit received by any of them from any such transaction, but will allocate such opportunities on an equitable basis between the Fund and other clients.

Payment of Incentive Fees to the Trading Advisors

The Trading Advisors are entitled to incentive fees, therefore the Trading Advisors may have an incentive to cause the Fund to make riskier or more speculative investments than it otherwise would.

Personal Trading

The Trading Advisors, the futures brokers, the General Partner and the principals and affiliates thereof may trade commodity interests for their own account. In such trading, positions might be taken which are opposite those of the Fund, or that compete with the Fund’s trades.

Trades by the Trading Advisors and their Principals

The Trading Advisors and their principals may trade for their own accounts in addition to directing trading for client accounts. Therefore, the Trading Advisors and their principals may be deemed to have a conflict of interest concerning the sequence in which orders for transactions will be transmitted for execution. Additionally, a potential conflict may occur when the Trading Advisors and their principals, as a result of a neutral allocation system, testing a new trading system, trading their own proprietary account(s) more aggressively, or any other actions that would not constitute a violation of fiduciary duties, take positions in their own proprietary account(s) which are opposite, or ahead of, the position(s) taken for a client. Proprietary accounts, in trading a new or experimental system, may enter the same markets earlier than (either days before or on the same day) client accounts traded at the same or other futures commission merchants. Since the principals of the Trading Advisors trade futures and foreign exchange for their own accounts, there is potentially a conflict of interest between these principals and the Trading Advisors’ clients when allocating prices on trades that are executed by a futures commission merchant at multiple prices. In such instances, the Trading Advisors use a non-preferential method of fill allocation. The clients of the Trading Advisors will not be permitted to inspect the personal trading records of the Trading Advisors, futures brokers and forward currency counterparties, or their respective principals, or the written policies relating to such trading. Client records are not available for inspection due to their confidential nature.

Effects of Speculative Position Limits

The CFTC and domestic exchanges have established speculative position limits on the maximum net long or net short futures position which any person, or group of persons, or group of persons acting in concert, may hold or control in particular futures contracts or options on futures traded on U.S. commodity exchanges. All commodity accounts owned or controlled by the Trading Advisors and their principals are combined for speculative position limits. Because speculative position limits allow the Trading Advisors and their principals to control only a limited number of contracts in any one commodity, the Trading Advisors and their principals are potentially subject to a conflict among the interests of all accounts the Trading Advisors and their principals control which are competing for shares of that limited number of contracts. There exists a conflict between the Trading Advisors’ interest in maintaining a smaller position in an individual client’s account in order to also provide positions in the specific commodity to other accounts under management and the personal accounts of the Trading Advisors and their principals. The General Partner does not believe, however, that the position limits are likely to impair the Trading Advisors’ trading for the Fund, although it is possible the issue could arise in the future.

To the extent that position limits restrict the total number of commodity positions which may be held by the Fund and those other accounts, the Trading Advisors will allocate the orders equitably between the Fund and such other accounts. Similarly, where orders for the same commodity given on behalf of both the Fund and other accounts managed by the Trading Advisors cannot be executed in full, the Trading Advisors will equitably allocate between the Fund and such other accounts that portion of the total quantity able to be executed.

Other Activities of the Principals of the Advisors

Certain principals of the Trading Advisors are currently engaged, and expect in the future to be engaged, in other activities, some of which may involve other business activities in the futures industry. In addition, each principal of the Trading Advisors may be engaged in trading for his own personal account. The principals will have a conflict of interest between their obligations to devote all of their attention to client accounts and their interests in engaging in other activities. However, the principals of the Trading Advisors intend to devote substantial attention to the operation and activities of the Trading Advisors consistent with the division of responsibilities among them as is described herein.

Fiduciary Responsibility of the General Partner

The General Partner has a fiduciary duty to the Fund to exercise good faith and fairness in all dealings affecting the Fund. If a limited partner believes this duty has been violated, he/she may seek legal relief under applicable law, for himself/herself and other similarly situated partners, or on behalf of the Fund. However, it may be difficult for limited partners to obtain relief because of the changing nature of the law in this area, the vagueness of standards defining required conduct and the broad discretion given the General Partner in the Partnership Agreement and the exculpatory provisions therein.

Selling Agents

The receipt by the selling agents and their registered representatives of continued sales commissions and/or servicing fees for outstanding Units may give them an incentive to advise limited partners to remain investors in the Fund. These payments cease to the extent the limited partners withdraw from the Fund.

The General Partner Serving as Selling Agent

The General Partner also serves as a selling agent for the Fund. As a result, the fees and other compensation received by the General Partner as selling agent have not been independently negotiated.

Futures Brokers

The futures brokers affect transactions for customers (including public and private commodity pools), including the Fund, who may compete with the Fund’s transactions including with respect to priorities or order entry. Since the identities of the purchaser and seller are not disclosed until after the trade, it is possible that the futures brokers could affect transactions for the Fund in which the other parties to the transactions are the futures brokers’ officers, directors, employees, customers or affiliates. Such persons might also compete with the Fund in making purchases or sales of commodities without knowing that the Fund is also bidding on such commodities. Since orders are filled in the order in which they are received by a particular floor broker, transactions for any of such persons might be executed when similar trades for the Fund are not executed or are executed at less favorable prices. However, in entering orders for the Fund and other customer accounts, including with respect to priorities of order entry and allocations of executed trades, CFTC regulations prohibit a futures commission merchant from utilizing its knowledge of one customer’s trades for its own or its other customer’s benefit.

Item 1B.

Unresolved Staff Comments

None.

Item 2.

Properties

The Fund does not use any physical properties in the conduct of its business. Its assets currently consist of futures and other contracts, cash and fixed income instruments.

The General Partner’s principal business office is in Excelsior, Minnesota.

Item 3.

Legal Proceedings

None.

Item 4.

Mine Safety Disclosures

Not applicable.

PART II

Item 5.

Market for Registrant’s Common Equity, Related Stockholder Matters and Issuer Purchases of Equity Securities

Market Information

No class of Units of the Fund is publicly traded. Interests in the Fund may be transferred or redeemed subject to the conditions imposed by the Partnership Agreement.

Each class of Units is offered continuously by selling agents on a best-efforts basis at subsequent closing dates at a price equal to the net asset value per unit as of the close of business on each applicable closing date, which is the first business day of each month. The minimum investment for Class A, A2, A3, B and R Units is $10,000, and for Class I Units it is $2,000,000.

Holders

As of February 28, 2021, the number of holder of units by class were:

Unit Class	Unit Holders
A		1,716
A2		5
A3		2
B		684
I		2
R		89

Dividends

The General Partner has sole discretion in determining what distributions, if any, the Fund will make to its limited partners. From inception through the date of this filing, the General Partner has not made any distributions.

Securities Authorized for Issuance under Equity Compensation Plans

No Units were authorized for issuance under equity compensation plans.

Recent Sales of Unregistered Securities and Use of Proceeds from Registered Securities

There were no sales of unregistered securities of the Fund during the year ended December 31, 2020.

The proceeds of the sale of registered securities are deposited in the Fund’s bank and brokerage accounts for the purpose of engaging in trading activities in accordance with the Fund’s trading policies and the Trading Advisors’ trading programs.

Issuer Purchases of Equity Securities

All classes of Units are eligible for redemption on a continuous basis at subsequent closing dates at a price equal to the net asset value per unit as of the close of business on each applicable closing date, which is the last business day of each month. Redemptions may be made by a limited partner as of the last business day of any month at the net asset value on such redemption date of the redeemed Units (or portion thereof) on that date, on five business days’ prior written notice to the General Partner. Partial redemptions must be for at least $1,000, unless such requirement is waived by the General Partner. In addition, if making a partial redemption, the limited partner must maintain at least $10,000 or his or her original investment amount, whichever is less, in the Fund unless such requirement is waived by the General Partner.

Redemptions of Units during the fourth quarter 2020 were as follows:

	October		November		December		Total
A Units
Units redeemed		1,275.1364		1,795.0373		1,027.1696		4,097.3433
Average net asset value per unit	$	3,546.46	$	3,648.65	$	3,818.95	$	3,659.54

A2 Units
Units redeemed		—		—		93.8215		93.8215
Average net asset value per unit	$	—	$	—	$	1,000.45	$	1,000.45

B Units
Units redeemed		126.3121		111.9580		257.6965		495.9666
Average net asset value per unit	$	5,637.65	$	5,808.73	$	6,088.92	$	5,910.74

R Units
Units redeemed		371.3848		38.1590		—		409.5438
Average net asset value per unit	$	939.07	$	967.73	$	—	$	941.74

There were no redemptions of Class A3 or I Units during the fourth quarter.

Item 6.

Selected Financial Data

The following selected financial data of the Fund as of and for the years ended December 31, 2020, 2019, 2018, 2017 and 2016 is derived from the financial statements that have been audited by RSM US LLP, the Fund’s independent registered public accountant. This financial data should be read in conjunction with “Management’s Discussion and Analysis of Financial Condition and Results of Operations,” and with the Fund’s financial statements and notes thereto, included elsewhere in this Annual Report on Form 10-K.

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


	For the Year Ended December 31,
	2020			2019			2018			2017			2016
Income Statement Items
Net gain (loss) from trading	$	(4,322,350	)	$	17,387,610		$	(6,364,577	)	$	22,703,022		$	21,931,511
Interest income		2,478,658			7,294,584			5,924,353			5,288,556			5,047,602
Net total expenses		(10,023,816	)		(16,714,998	)		(15,947,441	)		(26,412,159	)		(35,522,528	)
Net income (loss)	$	(11,867,508	)	$	7,967,196		$	(16,387,665	)	$	1,579,419		$	(8,543,415	)

Balance Sheet Items
Total assets	$	178,880,992		$	255,340,394		$	293,278,322		$	372,685,946		$	588,385,437
Total partners’ capital (net asset value)	$	172,437,632		$	284,249,143		$	286,259,124		$	357,535,425		$	563,199,285

Class A Units
Net asset value per unit	$	3,818.95		$	4,002.39		$	3,911.85		$	4,146.91		$	4,096.03
Increase (decrease) in net asset value per unit	$	(183.44	)	$	90.54		$	(235.06	)	$	50.88		$	(116.23	)
Total return		(4.58	)%		2.31	%		(5.67	)%		1.24	%		(2.76	)%
Class A2 Units
Net asset value per unit (begin trading 11/1/18)	$	1,000.45		$	1,034.04		$	996.71		$	—		$	—
Increase (decrease) in net asset value per unit	$	(33.59	)	$	37.33		$	(3.29	)	$	—		$	—
Total return¹		(3.25	)%		3.75	%		(0.33	)%		—			—
Class A3 Units (began trading 7/1/19)
Net asset value per unit	$	971.15		$	1,005.25		$	—		$	—		$	—
Increase (decrease) in net asset value per unit	$	(34.10	)	$	5.25		$	—		$	—		$	—
Total return²		(3.39	)%		0.53	%		—			—			—
Class B Units
Net asset value per unit	$	6,088.92		$	6,268.44		$	6,018.20		$	6,266.93		$	6,080.47
Increase (decrease) in net asset value per unit	$	(179.52	)	$	250.24		$	(248.73	)	$	186.46		$	(61.87	)
Total return		(2.86	)%		4.16	%		(3.97	)%		3.07	%		(1.01	)%
Class I Units
Net asset value per unit	$	1,023.49		$	1,043.79		$	992.59		$	1,023.37		$	983.11
Increase (decrease) in net asset value per unit	$	(20.30	)	$	51.20		$	(30.78	)	$	40.26		$	(1.06	)
Total return		(1.94	)%		5.16	%		(3.01	)%		4.10	%		(0.11	)%
Class R Units (began trading 4/1/17)
Net asset value per unit	$	1,014.58		$	1,042.42		$	998.83		$	1,038.05		$	—
Increase (decrease) in net asset value per unit	$	(27.84	)	$	43.59		$	(39.22	)	$	38.05		$	—
Total return³		(2.67	)%		4.36	%		(3.78	)%		3.80	%		—

Results from past periods are not necessarily indicative of results that may be expected for any future period.

¹Class A2 Units were introduced in December 2018. Total return for 2018 is for the period from introduction to year end and is not annualized.

²Class A3 Units were introduced in July 2019. Total return for 2019 is for the period from introduction to year end and is not annualized.

³Class R Units were introduced in April 2017. Total return is for 2017 is for the period from introduction to year end and is not annualized.

The following unaudited supplementary summarized quarterly data are presented for the three-months ended March 31, June 30, September 30 and December 31, 2020 and 2019.

	March 31, 2020
	Class A			Class A2			Class A3			Class B			Class I			Class R
Net income (loss)	$	(16,192,422	)	$	(64,315	)	$	(8,692	)	$	(6,549,700	)	$	(179,353	)	$	(1,018,379	)
Increase (decrease) in net asset value per unit		(413.29	)		(103.55	)		(101.01	)		(622.14	)		(101.38	)		(102.99	)
Net asset value per unit		3,589.10			930.49			904.24			5,646.30			942.41			939.43
Ending net asset value		140,695,251			577,924			77,820			56,074,695			1,667,220			9,286,033

	June 30, 2020
		Class A		Class A2		Class A3		Class B		Class I		Class R
Net income (loss)	$	1,477,399	$	8,956	$	1,018	$	842,989	$	37,036	$	145,467
Increase (decrease) in net asset value per unit		35.71		12.53		11.84		81.70		15.89		14.06
Net asset value per unit		3,624.81		943.02		916.08		5,728.00		958.30		953.49
Ending net asset value		133,988,250		674,181		78,838		50,268,161		245,781		8,323,374

	September 30, 2020
		Class A			Class A2			Class A3			Class B			Class I			Class R
Net income (loss)	$	(887,661	)	$	480		$	(349	)	$	(47,530	)	$	(176	)	$	(12,039	)
Increase (decrease) in net asset value per unit		(27.22	)		(3.82	)		(4.06	)		(17.57	)		(0.69	)		(2.45	)
Net asset value per unit		3,597.59			939.20			912.02			5,710.43			957.61			951.04
Ending net asset value		126,428,830			579,406			78,489			45,026,867			245,604			7,681,538

	December 31, 2020
		Class A		Class A2		Class A3		Class B		Class I		Class R
Net income (loss)	$	7,138,206	$	37,791	$	5,088	$	2,898,420	$	16,896	$	483,365
Increase (decrease) in net asset value per unit		221.36		61.25		59.13		378.49		65.88		63.54
Net asset value per unit		3,818.95		1,000.45		971.15		6,088.92		1,023.49		1,014.58
Ending net asset value		118,745,248		523,333		83,577		45,043,756		262,500		7,779,218

	March 31, 2019
	Class A		Class A2		Class A3		Class B		Class I		Class R
Net income (loss)	$	2,043,815	$	6,575	$	—	$	1,155,707	$	65,428	$	237,065
Increase (decrease) in net asset value per unit		46.76		15.42		—		99.20		18.88		16.96
Net asset value per unit		3,958.61		1,012.13		—		6,117.40		1,011.47		1,015.79
Ending net asset value		180,104,357		239,893		—		75,839,918		3,248,707		13,422,485

	June 30, 2019
	Class A		Class A2		Class A3		Class B		Class I		Class R
Net income (loss)	$	2,036,793	$	10,669	$	—	$	1,166,729	$	4,936	$	225,073
Increase (decrease) in net asset value per unit		47.66		15.75		—		101.34		19.18		14.86
Net asset value per unit		4,006.27		1,027.88		—		6,218.74		1,030.65		1,030.65
Ending net asset value		177,125,746		446,562		—		71,243,852		1,823,330		13,806,521

	September 30, 2019
	Class A		Class A2		Class A3		Class B		Class I		Class R
Net income (loss)	$	6,637,777	$	18,473	$	1,533	$	3,064,684	$	80,635	$	587,025
Increase (decrease) in net asset value per unit		148.74		41.87		40.35		259.75		45.58		46.17
Net asset value per unit		4,155.01		1,069.75		1,040.35		6,478.49		1,076.23		1,076.82
Ending net asset value		178,595,581		563,035		39,533		69,680,276		1,903,966		14,276,507

	December 31, 2019
	Class A			Class A2			Class A3			Class B			Class I			Class R
Net income (loss)	$	(6,552,054	)	$	(18,795	)	$	(3,021	)	$	(2,288,419	)	$	(57,392	)	$	(456,040	)
Increase (decrease) in net asset value per unit		(152.62	)		(35.71	)		(35.10	)		(210.05	)		(32.44	)		(34.40	)
Net asset value per unit		4,002.39			1,034.04			1,005.25			6,268.44			1,043.79			1,042.42
Ending net asset value		166,191,101			544,240			86,512			66,498,788			1,846,574			13,081,928

Item 7.

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

Current Positioning

The outcome of the ongoing coronavirus situation is uncertain and could have a positive or negative impact on the performance of the Fund. In addition to the tragic human impacts of the virus, the resulting economic fallout appears recessionary. The past two U.S. recessions, in 2000 and 2008, were two of the best performing periods for the Fund. However, the future will not unfold exactly like the past and the Fund’s performance in the future is unknowable.

The Fund’s exposures evolve dynamically based on the tactical opportunities perceived by the underlying systematic trading programs. As macroeconomic trends change course, for example becoming more bearish, we would expect the portfolio’s exposures to adapt accordingly. For example, the Fund’s current positioning has changed substantially from year end.

During January and February 2020, the Fund redeemed its interest in the LoCorr Macro Strategies Fund, removed Mondiale Asset Management Ltd., PGR Capital LLP and Winton Capital Management Ltd. as Trading Advisors and added Graham Capital Management, LP. Additionally, the Fund modified the trading program that Millburn Ridgefield Corporation used for the Fund to a program with higher volatility. In August, the Fund removed Synergie Capital Management, LLC as Trading Advisor.

Results of Operations

The returns for each class of Units for the years ended, or periods ended from inception to, December 31, 2020, 2019 and 2018 were:

Class of Units	2020			2019			2018
Class A		(4.58	)%		2.31	%		(5.67	)%
Class A2†		(3.25	)%		3.75	%		(0.33	)%
Class A3††		(3.39	)%		0.53	%		—
Class B		(2.86	)%		4.16	%		(3.97	)%
Class I		(1.94	)%		5.16	%		(3.01	)%
Class R		(2.67	)%		4.36	%		(3.78	)%

† Inception date: November 1, 2018.

†† Inception date: July 1, 2019.

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.

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 2^nd 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.

April

Optimism regarding the potential for re-opening the economy sparked a massive relief rally in equities during April. After reaching its 2020 low on March 23^rd, the S&P 500 continued its recovery in April by gaining +12.8% and recouping much of its year-to-date losses. For now, market participants are looking past the disruption to the economy that has seen the number of individuals filing unemployment claims reach 33.5 million since mid-March, wiping out all of the post-Global Financial Crisis job creation. Instead, positive news on the COVID-19 treatment front, including Gilead’s Remdesivir and the push to re-open in the U.S. and abroad, buoyed investor spirits. U.S. bond yields were relatively stable during the month while yields in international instruments like the UK Gilt and German Bund declined. In an unprecedented development, the May 2020 West Texas Intermediate crude contract closed at -$37.63 the day prior to expiration as a collapse in demand and oil storage at capacity caused companies to pay buyers to take oil off their hands.

The Fund posted a positive return during April. While positioning fluctuated between long and short, trading in equities generated the largest profits. Long positions in fixed income also produced gains led by positions in U.S. Treasuries and the Euro Bund. Trading in commodities was also profitable, as long positions in precious metals and short positions in agricultural markets provided a boost. Trading in energy was not a significant performance driver as falling prices in the first half of the month reversed course during the latter half. Foreign currency trading was unprofitable in April, particularly a short position in the Australian Dollar. The Aussie dollar’s rally is likely attributable to the relative success that country has had containing the coronavirus and accordingly, a faster timeline to successfully reopening its economy. The Fund finished with a net gain of 2.08%, 2.20%, 2.19%, 2.23%, 2.31%, and 2.25% for Class A, A2, A3, B, I, and R Units, respectively.

May

May saw a continuation of the shift back toward risk assets as investors looked past the current economic weakness and the climbing number of COVID-19 cases. Instead, investors focused on the reopening of the global economy and path towards a return to “normal”. Continued responsiveness by central banks to support asset prices and indications that more can be done if necessary, further buoyed investor confidence. With investor enthusiasm surging, equities, as measured by the S&P 500, have now rallied nearly +40% off their March 23^rd low. In commodities, West Texas Intermediate (“WTI”) oil had its best monthly gain in its history, climbing an astounding ~90% in May to approximately $35/barrel. Bond yields were relatively unchanged at the shorter end of the curve which are anchored by the Fed. Yields for longer duration instruments pushed higher reflecting improving optimism regarding the economic outlook. The U.S. Dollar weakened, notably against the Euro which moved higher on improving risk appetite and passage of the $825 billion Coronavirus Recovery Fund by the EU.

The Fund had a slightly positive return in May led by profitable trading in equities, though exposure shifted between long and short during the month. In commodities, there were losses from short positions in the energy and agricultural sectors as prices rallied on hopes that the economy had bottomed. The Fund had small losses in fixed income and currency trading, as declining bond prices and a depreciation of the safe haven U.S. Dollar negatively impacted long positions in these markets. The Fund finished with a net gain of 0.21%, 0.32%, 0.31%, 0.35%, 0.43%, and 0.37% for Class A, A2, A3, B, I, and R Units, respectively.

June

Indications that economic conditions are bottoming helped buoy risk assets during June. Early in the month, equities surged following a remarkable U.S. employment report showing 2.5 million jobs added in May. Volatility returned intra-month, however, as concerns regarding a resurgence in COVID-19 cases as lock-downs were relaxed and heightened U.S./China trade tension ramped. Risk assets resumed their upward trajectory in the second half of June as accommodative monetary policy, improving economic data, and a belief that politicians would not re-impose strict lock-downs again, buoyed risk appetite. With investors looking at a global recovery, the world’s reserve currency (U.S. Dollar) weakened while cyclical commodity prices moved higher. Within fixed income markets, yields were relatively unchanged.

The Fund had slight losses in June led by unprofitable trading in currencies. While positioning shifted mid-month, long U.S. dollar exposure in the first half of the month detracted as the greenback weakened versus other major currencies. Long positions in fixed income and equities were profitable but were largely offset by losses from trading in commodities. While trading in energy has generated robust gains in 2020, short positions during June were unprofitable. The Fund finished with a net loss of (1.27)%, (1.15)%, (1.16)%, (1.12)%, (1.04)%, and (1.10)% for Class A, A2, A3, B, I, and R Units , respectively.

July

Despite Q2 U.S. GDP plunging -32.9% on an annualized basis, investors in July remained optimistic. Instead, focusing on the recovery in economic data from its Q2 bottom and progress toward a COVID-19 vaccine. While economic activity continued to rebound, the daily number of new COVID-19 cases has been rising since mid-June. Accordingly, a growing number of states in the U.S. have paused or reversed their re-openings, threatening to slow or derail the fledgling recovery. Against this backdrop, however, risk assets including global stocks moved higher. Bond yields were lower with the U.S. 3- and 5-year Treasuries reaching historic lows. The U.S. Dollar Index had its largest monthly drop since 2010, as lower U.S. rates, lack of progress on additional fiscal stimulus, and the increasing number of COVID-19 cases weighed on the greenback. The weakening dollar and risk-on sentiment spurred cyclical commodity prices higher. Despite the move in risk assets, gold surged to an all-time high as dollar weakness, political tension and worsening U.S./China relations provided a lift to the safe haven asset.

The Fund had positive returns in July led by gains from equities and metals trading. In equities, long positions in the U.S. and developed Asian markets more than offset losses from short positions in Europe. In metals trading, the bulk of the gains were from long precious metal exposure, notably positions in gold and silver. Trading in fixed income was also profitable during the month, primarily attributable to long exposure in the U.S. In currency trading, long FX vs. U.S. dollar positions were slightly profitable, benefiting from the weakness in the greenback. Trading in energy and agricultural markets were slightly unprofitable during July. The Fund finished with a net gain of 2.95%, 3.07%, 3.06%, 3.11%, 3.19%, and 3.12% for Class A, A2, A3, B, I, and R Units, respectively.

August

Buoyed by solid economic data, strong corporate earnings, and a decline in new COVID-19 cases in the U.S., stock prices surged in August as the S&P 500 again reached an all-time high. Against this backdrop, government bond yields rose (bond prices fell) and the U.S. 10-year Treasury yield moved back above 0.70% before settling at 0.67% at the end of the month. Late in the month, the Fed announced a major policy shift, targeting a 2% average inflation rate, signaling that easy monetary policy will remain in place for the foreseeable future. As a result, the U.S. dollar continued its decline, reaching its lowest level since April 2018. The weakening dollar and improving economic sentiment helped lift commodity prices during the month, evidenced by strong gains in metals and in most agricultural commodities. In energy markets, natural gas prices surged as hot weather increased the demand for cooling, and Hurricane Laura shut down much of the Gulf Coast’s production.

The Fund finished the month with a negative return, as long bond positions in the U.S. and Europe were hurt by the rise in rates. Energy trading was also unprofitable, with short positions in natural gas impacted by the rise in demand and supply interruption. Somewhat offsetting these losses however were gains in long U.S. equity positions, and long exposure in base and precious metals, particularly silver and iron ore. Finally, long foreign currency positions, notably the Euro, Australian and New Zealand dollars, were profitable as the greenback continued to weaken versus other major currencies. The Fund finished with a net loss of (2.12)%, (2.01)%, (2.02)%, (1.98)%, (1.90)%, and (1.96)% for Class A, A2, A3, B, I, and R Units, respectively.

September

Investor appetite for risk was negatively impacted by economic growth concerns as the rising number of COVID-19 cases in Europe sparked fears of the potential for new lockdown measures. The likelihood of additional fiscal stimulus measures in the U.S. were dampened as Democrats and Republicans sparred over a replacement on the Supreme Court following the death of Supreme Court Justice Ruth Bader Ginsberg. Finally, AstraZeneca’s Phase 3 COVID-19 vaccine trial was put on hold following an adverse reaction by a participant in the UK. Against this backdrop, the S&P 500 fell nearly 10% from September 3^rd to September 23^rdwhile the tech-heavy NASDAQ Composite reached an official correction during that period. With stimulus efforts stalled and investors seeking safe-haven assets, the U.S. dollar rallied to a two-month high contributing to weakness in commodity prices which were also impacted by economic growth concerns. Yields in Europe generally declined slightly during the month while U.S. yields ended September little changed.

The Fund had negative returns during September. With investors migrating toward safe-haven assets, the Fund’s largest losses were from long foreign currency exposure versus the U.S. dollar which rallied off its August low. In precious metals, long silver positions were hurt as prices retreated sharply from multi-year highs on the strengthening dollar and increased uncertainty regarding the economic outlook. Finally, in equities the sell-off in stocks led to losses from long positions in Europe which were partially offset by gains from trading in U.S. markets. Long exposure in fixed income was profitable led by gains from positions in European markets. Short positions in oil and oil product also helped offset the aforementioned losses. The Fund finished with a net loss of (1.51)%, (1.39)%, (1.40)%, (1.36)%, (1.28)% and (1.34)% for Class A, A2, A3, B, I, and R Units, respectively.

October

During October, investors were focused on the U.S. presidential election and rising COVID-19 cases in both the U.S. and Europe which set new record daily highs. Market participants’ anxiety increased as the surging case count caused several European countries to reintroduce national lockdown measures which will likely stifle economic growth. As the U.S. drew closer to the presidential election, stimulus negotiations broke down once again, creating additional uncertainty with respect to the sustainability of economic growth. Against this backdrop, the S&P 500 finished down -2.7% during October. This modest decline masked considerable volatility during the month, however, as the Index declined -7.4% from October 13th through October 30th. In fixed income markets, the U.S. 10-year yield moved higher, though yields in Europe fell as lockdown measures were implemented. The escalating coronavirus case count in Europe contributed to a move toward safe-haven currencies including the Japanese Yen and the U.S. dollar toward the end of the month. In commodities, oil prices declined as the outlook for economic growth weakened.

The Fund posted a negative return for October as losses during the back half of the month more than offset gains experienced in the first half. Long exposure in equities was the primary culprit, as positions were hurt by the sell-off in stocks that began mid-October. Losses were most acute in U.S. and European equity indices. Trading in currency markets produced the largest gains as short Euro and long Yen exposure benefited from the move towards safe-haven currencies. Elsewhere, trading in fixed income was profitable as long exposure in European markets where yields generally declined more than offset losses in the U.S where yields rose. In commodities, gains were made from short energy positions while long precious metals exposure detracted. Overall, the Fund finished the month with a net loss of (1.42)%, (1.31)%, (1.32)%, (1.27)%, (1.20)% and (1.26)% for Class A, A2, A3, B, I and R Units, respectively.

November

News of the Pfizer Phase 3 study showing its COVID-19 vaccine had more than 90% efficacy helped propel risk assets higher in November. This positive development helped assuage investor anxiety regarding new lockdown measures introduced by some states in the U.S. and in Europe as cases surged. This bullish sentiment suggested market participants were increasingly looking toward the other side of the pandemic and a recovery in the global economy. Despite the ongoing challenge by the Trump campaign, the conclusion of the U.S. Presidential election also seemed to reduce investor anxiety. Against this backdrop, global stock prices surged, enjoying double-digit percentage gains. Global bond yields also moved higher on prospects for an improving economy. The lack of progress on fiscal stimulus in the U.S., a rising COVID-19 case count in the U.S. versus Europe, and increased risk appetite all contributed to U.S. dollar weakness. Finally, prospects for an improving economy contributed to a surge in commodity prices, particularly oil, as West Texas Intermediate crude jumped to nearly $45 per barrel.

The Fund posted a positive return for November as long positions in equities benefitted from the big risk-on rally. Gains were particularly robust in the U.S., but also included solid contributions from positions in Japan and continental Europe. Though short positions in energy were significantly reduced during the month, trading in energy generated the largest losses. Long exposure in fixed income, particularly the long end of the curve also detracted. Finally, long positions in grain and base metal markets were profitable but were offset by losses from trading in currencies and precious metals. Overall, the Fund finished the month with a net gain of 2.88%, 3.00%, 2.99%, 3.03%, 3.12% and 3.05% for Class A, A2, A3, B, I and R Units, respectively.

December

In December, investor sentiment was buoyed by approvals of the first COVID-19 vaccines and optimism toward a post-pandemic economic recovery. Market participants looked past political uncertainty caused by President Trump’s ongoing challenge of the U.S. Presidential election as well as the surge in COVID-19 cases and increased lockdown measures. With investor sentiment toward risk assets remaining favorable, global stocks climbed higher. Commodity prices also advanced on recovery hopes with agricultural markets particularly strong due to dry weather in South America and an Argentinian export ban. Optimism regarding a global economic recovery, heightened appetite for risk, and progress toward a Brexit trade deal between the EU and UK contributed to U.S. dollar weakness.

The Fund posted a positive return for December as profitable trading in agricultural, metals, and equity indices more than offset losses from fixed income. Gains from trading in agricultural commodities were led by long soybean positions which were aided by dry weather in South America and strong demand which helped lift prices. In metals, a rebound in gold prices boosted long positions while long copper positions were buoyed by hopes for a cyclical recovery which led to copper prices reaching their highest level since 2012. In equity trading, the largest contributors were from long U.S. and Asian positions. Losses in fixed income were primarily from positions in the longer end of the curve, particularly in the US and Europe. Overall, the Fund finished the month with a net gain of 4.67%%, 4.79%, 4.78%, 4.82%, 4.91% and 4.84% 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.

April

In April, better economic data propelled risk assets higher. U.S. first quarter GDP growth beat estimates, coming in at 3.2%, while Chinese economic activity also surprised to the upside. This led to a sell-off in bonds and perceived safe haven currencies such as the Japanese Yen and Swiss Franc, and a rally in pro-cyclical assets such as global equities, oil and emerging market currencies.

The Fund made a profit during the month across a range of sectors. In equities, gains came from net long positions in stock indices, as well as a short position in VIX futures. Currencies were also a positive contributor, through short positions in the Yen and the Franc, and long positions in a range of emerging markets. In energy, long positions in crude oil and refined oil products were profitable. Meanwhile, in the agricultural sector, the Fund benefited from downward trends in grain prices through short positions. The largest negative contribution came from long bond positions, which gave back some of the prior month’s gains. The Fund finished with a net gain of 1.28%, 1.40%, 1.43%, 1.51%, and 1.45% for Class A, A2, B, I, and R Units, respectively.

May

Escalating trade tensions dominated financial headlines in May. With the U.S. increasing its pressure on Chinese phone maker Huawei, trade negotiations between the two countries devolved into heated rhetoric and political brinksmanship.

In addition, the U.S. threatened Mexico with punitive tariffs if it did not help to reduce illegal immigration. Trade concerns fed fears of faltering economic growth over the coming year, leading to an inversion of the front end of the yield curve as investors priced in the potential need for interest rate cuts by the Federal Reserve. Equities reversed their bullish trend and saw a sharp drop, with the S&P 500 Total Return Index falling 6.35% in May. Other risk assets such as oil and emerging market currencies also retreated during the month.

Reversals in global equity and energy markets had a negative impact on the Fund’s predominantly trend-following strategy, which came into the month with long positions in those markets. These losses were partially offset by gains in bonds as a rotation into defensive assets helped the Fund’s long fixed income positions. Short positions in agricultural commodities detracted from performance as poor weather in growing regions caused a rise in grain prices. The Fund finished with a net loss of 3.38%, 3.27%, 3.24%, 3.16%, and 3.22% for Class A, A2, B, I, and R Units, respectively.

June

In June, several leading indicators for economic growth weakened, prompting central banks around the world to make increasingly dovish policy signals. Global bond prices rallied as a result, with yields falling in most developed markets.

German 10-year Bund yields tumbled further below zero, setting an all-time record low of -0.33%. Expectations that the Fed might cut U.S. interest rates more than other countries led to a weakening of the U.S. Dollar. Despite economic risks on the horizon, equity investors were focused on the potential for more monetary stimulus and progress in U.S./China trade talks, leading to a strong rise in stock indices.

The largest contributions in June came from long positions in global bonds and stocks. These gains were somewhat offset by losses in currencies, as a rebound in the Euro hurt the Fund’s short Euro positions. Commodities were a minor detractor, as oil and other markets saw trendless, choppy moves. Overall however, the Fund benefitted from sustained, sizable trends, and finished the month with strong positive performance. The Fund finished with a net gain of 3.42%, 3.54%, 3.57%, 3.65%, and 3.59% for Class A, A2, B, I, and R Units, respectively.

July

In July, financial markets focused their attention on anticipated central bank action. In Europe, investors expected further easing from both the European Central Bank and the Bank of England in response to weakening economic growth and the prospect of a hard Brexit under new UK Prime Minister Boris Johnson. As a result, bond yields fell in Germany and the UK, while the Euro and Pound Sterling depreciated against the U.S. Dollar. In the U.S., the Federal Reserve delivered its first interest rate cut in 10 years, in an attempt to offset risks from worsening business confidence indicators and deteriorating trade relations between the US and China. Global equity indices rose on the prospect of more central bank support, while gold rallied to its highest level since 2013 on the expectation of looser monetary policies.

Amid all this uncertainty and volatility, the Fund had a strong month. The currency sector was the largest contributor, as gains came from short positions in the Euro and Pound Sterling. The Fund was also profitable in the fixed income sector, as long positions benefited from the rally in European and UK bonds. Gains were also made in long equity positions, while performance was flat in physical commodities. The Fund finished with a net gain of 3.66%, 3.78%, 3.76%, 3.81%, 3.89%, and 3.83% for Class A, A2, A3, B, I, and R Units, respectively.

August

In August, financial markets became increasingly concerned about the potential impact of a trade war on global growth. The U.S. and China threatened each other with additional tariffs, and the Chinese currency depreciated to its weakest level since 2008. Meanwhile, in Europe, the prospect of a “no deal” Brexit became more likely. Global bonds rallied strongly in an environment of rising macroeconomic risks. U.S. 30-year Treasury bond yields declined to an all-time low of 1.95% during the month, while 10-year bond yields dropped further into negative territory in Japan, Germany and 11 other European countries. Global equities sold off during the month, while gold rallied.

The Fund enjoyed a strong month, even as risk assets like equities sold off. The largest gains came from long positions in a range of global bond futures. Modest long equity positions detracted from performance. However, the Fund profited in foreign exchange markets, through long U.S. Dollar positions against the Euro and emerging market currencies. Commodities were also a positive contributor, benefiting from short agricultural exposures, as well as long gold and short copper positions in the metals sector. The Fund finished with a net gain of 3.04%, 3.16%, 3.15%, 3.20%, 3.28%, and 3.21% for Class A, A2, A3, B, I, and R Units, respectively.

September

In September, investor risk appetite grew after signs of progress in U.S.-China trade relations, leading to a rise in global equity indices. Central banks in the U.S., Europe and Japan precipitated a sell-off in bonds after signaling that they saw limits on how much more they could push down interest rates and bond yields to support economic growth. In energy markets, a drone attack on Saudi facilities caused a temporary 15% spike in crude oil prices, the largest one day jump in over 10 years.

Some of the profitable trends from July and August made partial reversals in September. While the Fund made gains in long stock index positions, there were losses in fixed income futures as a result of a correction in bond prices. In the commodities sector, short positions in grains, short positions in energy and long positions in precious metals all saw declines on market reversals. The Fund finished with a net loss of 2.90%, 2.79%, 2.80%, 2.76%, 2.68% and 2.74% for Class A, A2, A3, B, I, and R Units, respectively.

October

In October, the Federal Reserve made its third interest rate cut of the year as global growth data continued to underwhelm. Market sentiment improved, however, as a result of apparent progress in both Brexit negotiations and the U.S.-China trade conflict. The UK was given a 3-month Brexit deadline extension, allowing time for a general election and a chance for the UK Prime Minister to try to build a parliamentary majority to approve a draft Brexit deal. This led to a “risk-on” rally in European stocks, a rebound in European currencies, particularly the British Pound, and a sell-off in global bonds. Meanwhile, the U.S. and China appeared willing to compromise in the first phase of trade talks towards a possible long-term agreement. This positive development led to a rotation out of bonds and into stocks in the U.S. and Asia.

The Fund saw declines in its long positions in global bonds, as investors rolled out of perceived safe-haven assets, reversing a bullish bond trend from earlier in the year. In the foreign exchange sector, short positions in the Euro and British Pound were also detractors as those currencies recovered. Commodities also saw a modest giveback as a result of choppy price action. However, the Fund did make gains in its long equity positions, capitalizing on stronger investor risk appetite during the month. The Fund finished with a net loss of 3.66%, 3.54%, 3.56%, 3.51%, 3.54%, and 3.50% for Class A, A2, A3, B, I, and R Units, respectively.

November

In November, global equities rallied as the U.S. and China appeared to make progress in trade negotiations. Better U.S. economic data made it likely the Federal Reserve would pause interest rate cuts, which led to a rally in the U.S. dollar against most currencies. Meanwhile, pre-election polls in the UK pointed to a likely Conservative Party victory, raising the likelihood of a soft rather than hard Brexit. Investors became less risk averse, rotating away from perceived safe-haven assets such as bonds and gold, and into stocks.

The Fund enjoyed a positive month, with the strongest gains coming from long positions in global stock indices. Currencies were also a positive contributor, as the Fund’s long U.S. dollar/short Euro position benefited from a dollar rally. Greater investor risk appetite caused bonds to sell off, negatively impacting long exposures in fixed income futures. In commodities, metals were the primary detractor due to price reversals in gold and nickel. Trading in agricultural and energy contracts saw mixed results. The Fund finished with a net gain of 1.05%, 1.17%, 1.16%, 1.20%, 1.28% and 1.22% for Class A, A2, A3, B, I, and R Units, respectively.

December

December saw a continued rally in global equities and other risk assets. Rising investor risk tolerance was driven by a preliminary U.S.-China trade agreement, as well as a Conservative Party win in the UK elections, which resolved much of the policy uncertainty surrounding Brexit. In domestic politics, the passage of articles of impeachment against President Trump did little to dampen market optimism. Monetary policy across the globe remained largely expansionary, while international economic growth data improved. This macroeconomic boost, together with rising oil prices, spurred an increase in inflation expectations, which pushed gold prices higher and caused bonds to sell off.

The Fund made gains during the month from its long positions in equities. However, there were declines in fixed income and currency trading, as falling bond prices and a depreciation of the U.S. Dollar negatively impacted the Fund’s long positions in these markets. In commodities, the Fund profited from long oil and long precious metals exposures. There were modest losses from short positions in the agricultural sector as the re-opening of the Chinese market to U.S. exports caused prices to rise. While the Fund saw a net decline in December, it finished the year with a positive return.

2018

January

Global equity markets rallied sharply in January, driven higher by investor euphoria over economic growth data and U.S. tax cuts. This pushed already rich valuations further towards historic extremes. By the end of the month, the S&P 500’s Shiller P/E ratio exceeded its high during the 1929 stock market bubble. Meanwhile, anticipation of sustained monetary tightening by the Federal Reserve pushed the U.S. 10-year bond yield up to 2.7%, its highest level since 2014. In foreign exchange markets, the U.S. Dollar weakened against a broad set of developed and emerging market currencies.

The Fund enjoyed a strong start to 2018, following a solid fourth quarter finish last year. Profits were made in long equity positions, particularly in Asia and the U.S. Gains were also made in currencies through short positions in the U.S. dollar against long positions in the Euro, British pound, and Australian dollar. In commodities, energy was a positive contributor as long oil positions benefited from a rise in the price of crude from $60 to $65 per barrel. Detractors for the month included long bond positions in the U.S. and Europe, as well as short positions in grains. The Fund finished with a net gain of 5.65%, 5.81%, 5.90%, and 5.83% for Class A, B, I, and R Units, respectively.

February

Following a period of historic calm in markets, volatility jumped higher in February as equities sold off and bond yields increased. The S&P 500 Total Return Index had closed higher for 15 consecutive months prior to February’s decline. Market participants attributed the February spike in volatility to several factors including high equity valuations, the potential for faster than expected interest rate hikes and fears that inflation was rising too quickly. The decline in stocks spilled over into other sectors as well. Oil prices ended January at nearly $65 per barrel, fell as low as $59 by mid-February, before recovering to $61 at month-end. Bond markets did not provide safety for investors either. The Bloomberg Barclays US Aggregate Bond Index was down more than 2% this year through February, after posting its first back-to-back monthly losses since 2016.

After strong performance in the fourth quarter of 2017 and into January, the Fund experienced a reversal of those gains in February. Positions that led to the Fund’s previous performance gains contributed to losses for the month. In particular, the Fund had losses from long exposure in equity and oil contracts. The currency sector was also challenging due to the Fund’s short bias positioning in the U.S. dollar, which strengthened against most major currencies. Interest rate markets were a positive contributor as the Fund recently shifted towards a short bias in those markets and bond prices declined. The Fund finished with a net loss of 9.12%, 8.99%, 8.91%, and 8.97% for Class A, B, I, and R Units, respectively.

March

Global equities declined again in March, with the MSCI World Index falling 2.4%, as President Trump announced a range of import tariffs, which investors feared could spark a trade war with China and Europe. Technology stocks were also hit over privacy concerns, as it was reported that large datasets of Facebook user activity had been used in political advertising. Meanwhile, the Federal Reserve raised U.S. interest rates by 25 basis points, the first of several expected hikes this year. Long-term bond yields dipped in Europe on disappointment in economic growth indicators.

The Fund finished the month with a positive return. Gains came primarily from long positions in the energy sector as crude oil prices rose to $65 per barrel on rising Mideast tensions and continued tight supply. In currencies, the Fund also benefited from short U.S. dollar positions, particularly against the British pound. Modestly-sized long equity positions detracted from performance, as did long positions in base metals. Fixed income sector returns were relatively flat as declines in short U.S. bond positions were offset by gains in long European bond positions. The Fund finished with a net gain of 0.55%, 0.70%, 0.79%, and 0.72% for Class A, B, I, and R Units, respectively.

April

Inflation expectations continued to drift higher in April pushing U.S. 10-year bond yields above the symbolic 3% threshold for the first time since 2014, as the market anticipated the Fed would continue to pursue monetary tightening. Oil prices also rose to their highest level in four years on the possibility of new Iranian sanctions. Equity markets stabilized from their early year declines as the trade spat between the U.S. and China subsided and as first quarter earnings proved to be relatively robust.

The Fund was profitable in April, with the strongest returns coming from long positions in the oil complex. Gains were also made in modestly sized long equity index positions, particularly in France. Short bond positions in the U.S. contributed positively as yields rose and prices declined. Currencies were the primary detractor as trends reversed with a weakening of the British pound and Japanese yen. The Fund finished with a net gain of 1.32%, 1.47%, 1.55%, and 1.48% for Class A, B, I, and R Units, respectively.

May

In May, hawkish Federal Reserve monetary policy expectations pushed the U.S. 10-year bond yield to a 7- year high of 3.1%, before reversing course in the second half of the month. While global stocks made early gains, trade disputes over U.S. import tariffs caused a late month dip, particularly in Asia and Europe. Meanwhile, President Trump’s withdrawal from the Iran nuclear deal and tight supply conditions led to a further rise in oil prices to a high of $72 per barrel, before moderating on an agreement between Russia and OPEC to expand output. Italian politics dominated financial headlines at month-end, as a newly formed populist government stoked fears of fiscal indiscipline and weakening loyalties to the Eurozone. This caused the Euro to weaken and Italian stocks and bonds to sell off.

While the Fund made gains early in May, these were followed by declines at month-end as a number of trends reversed. The political crisis in Italy caused losses in long Italian bond and stock positions as well as in currency trading, with the Euro falling to its weakest level of the year. Long positions in other European and Asian stock indices also detracted from performance as trade relations with the U.S. deteriorated. The strongest positive contributor for the Fund came from long oil positions, which profited from the continued rise in energy prices. The Fund finished with a net loss of 1.30%, 1.15%, 1.07%, and 1.13% for Class A, B, I, and R Units, respectively.

June

In June, the U.S. Government’s economic policies continued to stoke global trade tensions. The threat of tariffs hurt Asian and European stocks, while the prospect of retaliatory measures from China caused U.S. grain prices to slump. Economic data remained strong, however, leading the Fed to make its second interest rate hike of 2018, with the potential for two more hikes before year-end. Tightening U.S. monetary policy also caused a strengthening of the U.S. dollar against major currencies. Meanwhile, OPEC increased production less than expected, leading to a further rise in oil prices.

The Fund made a net profit for the month, with the largest positive contribution coming in the agricultural sector. Highlighting the Fund’s ability to profit from declining markets, short positions in soybeans and corn benefited from price declines ahead of potential Chinese import reductions. In currencies, the Fund made gains on long U.S. dollar positions against the Euro, Japanese yen and British pound. Fed tightening helped short positions in U.S. bonds. In energy, long positions in crude oil gained as its price hit a high for the year of $74 per barrel. The Fund finished with a net gain of 0.84%, 0.99%, 1.08%, and 1.01% for Class A, B, I, and R Units, respectively.

July

U.S. stocks rose in July as a result of strong earnings and solid second quarter GDP growth, which were boosted by fiscal stimulus from this year’s tax cuts. The month saw a sharp rotation from high momentum technology stocks into value-oriented stocks. In international markets, Chinese equities continued to slump as a result of both central bank tightening and an ongoing trade spat with the U.S. In the energy sector, increased supply from Saudi Arabia and Libya caused a pullback in oil prices. Fixed income markets saw a reversal during the month. Bond yields rose in Europe and Japan (and bond prices fell) in anticipation of announcements of the gradual withdrawal of easy monetary policy.

The Fund’s trading style is primarily trend-following, leading to profits in markets where trends are sustained and losses in markets where trends reverse. In July, the Fund made gains in long positions in stock indices and short positions in precious metals. However, these profits were offset by declines in other sectors. Long positions in oil and refined oil products were impacted by a reversal of bullish price trends in the energy sector. In bond futures, long German and Japanese positions saw losses as a result of a rise in yields in anticipation of less accommodative central bank policy. Choppiness in the U.S. dollar led to a giveback in the currency sector. The Fund finished with a net loss of 1.41%, 1.26%, 1.18%, and 1.24% for Class A, B, I, and R Units, respectively.

August

August saw a panic in emerging markets, as countries with large USD-denominated debt buckled under the strength of the U.S. dollar and rising U.S. interest rates. A politically induced trade spat with the U.S. proved to be an additional catalyst in Turkey as the Lira fell 25% during August. Fear spread to other emerging markets, culminating in a dramatic drop in the Argentine peso at month end. Investor risk aversion caused a decline in European and Asian stocks and a rotation into bonds. Despite this international turmoil, U.S. equity markets proved robust, with the S&P 500 rising on strong earnings and a rally in technology stocks.

The Fund had a strong month and was profitable in each of the sectors it trades. Metals were the biggest positive contributor, as the Fund made gains in short positions in gold, which declined with U.S. dollar strength, and in short positions in industrial metals, which fell on weaker Chinese demand. In energy, long positions profited from a rise in crude oil prices. In agricultural markets, short coffee positions saw the strongest gains. Turning to financial futures markets, the Fund profited from long exposure to U.S. stock indices, long exposure to European bonds and broadly long U.S. dollar exposure against other currencies. The Fund finished with a net gain of 2.81%, 2.96%, 3.05%, and 2.98% for Class A, B, I, and R Units, respectively.

September

With U.S. economic data continuing to show strength in September, the Federal Reserve made its third interest rate hike of the year and signaled four more hikes by the end of 2019. U.S. Treasury yields rose and bonds sold off as Fed minutes dropped long-standing references to an “accommodative” monetary policy. The European Central Bank’s plans to move ahead with tapering of their quantitative easing policy caused European bonds to decline as well. The trade conflict between the U.S. and

China escalated with U.S. tariffs announced on $200 billion of Chinese goods. U.S. equity markets were relatively unfazed by these developments, but many Asian stock markets fell. Oil prices continued to climb with looming U.S. sanctions on Iran, a major producer.

The Fund’s biggest gains in the month came from the energy sector with long positions in crude oil. However, the interest rates sector detracted from performance. The Fund had a positive contribution from short U.S. positions, but saw losses from long European bond futures positions. In currencies, the Fund benefited from the continued depreciation of the Japanese yen, but saw reversals in other markets. Stock index trading saw a balance between gains in the U.S. and declines in Europe. The Fund finished with a net loss of 1.02%, 0.87%, 0.79%, and 0.86% for Class A, B, I, and R Units, respectively.

October

Global equities reversed sharply in October, in the second major sell-off this year. The S&P 500 fell 6.84% during the month, as fears mounted over the pace of monetary policy tightening by the Federal Reserve. Investor expectations for earnings and economic growth also moderated during the month, hurting the high growth technology sector as well as traditional cyclical sectors such as consumer discretionary, industrials, materials and energy. As part of a broad decline in risk assets, crude oil prices fell from $73 to $65 per barrel. What may be viewed as a safe haven, currencies such as the U.S. dollar and Japanese yen rallied. Bonds rallied in Europe and Japan, but not in the U.S. where quantitative tightening gathered pace.

The Fund employs a range of managed futures strategies but has a concentration in trend-following. Trend-based strategies may profit during extended bullish or bearish trends but tend to see declines at turning points when markets reverse course. October saw a sharp reversal of the 6-month bullish trend in stock indices, causing losses in the equities sector. The Fund’s positions adjusted from long to neutral in stocks as a result, ready to move onto the next trend, long or short. In commodities, reversals in oil prices and sugar prices also detracted from performance. The Fund made gains in the fixed income sector, being short the U.S. and long international bond futures. The currency sector profited from long U.S.. dollar positioning. The Fund finished with a net loss of 2.89%, 2.74%, 2.66%, and 2.73% for Class A, B, I, and R Units, respectively.

November

November was a choppy month for stocks, as markets reacted to the U.S. mid-term elections, U.S.-China trade relations and tightening monetary policy. The S&P 500 traded in a wide 7% range between its intra-month high and low, finishing on an up note, as Fed Chairman Jerome Powell commented that interest rates may now be close to neutral, hinting at more limited rate hikes going forward. In Europe, concerns over a messy Brexit deal and an impasse over the Italian budget caused a flight to quality and a rally in bonds. Commodities saw significant volatility as crude oil prices dropped more than 20% on high production and weakening demand, while natural gas prices spiked on low inventories and a projected cold winter in North America.

The Fund profited from the large price moves in the energy sector, benefiting from short positions in oil and long positions in natural gas. In equity indices, small long positions in U.S. stocks were positive. The fixed income sector saw mixed performance as gains were made in long positions in European bonds, but these were offset by losses in short U.S. bond exposures. Currencies were the main detractor for the month as a rebound in the Australian dollar and New Zealand dollar hurt the Fund’s short positions. The Fund finished with a net gain of 0.14%, 0.29%, 0.37%, and 0.31% for Class A, B, I, and R Units, respectively.

December

The year finished in a turbulent fashion for equities, as investors worried about slowing global growth, monetary tightening by the Fed, and the trade conflict between the U.S. and China. In December, the S&P 500 Total Return Index experienced an intra-month drop of 15.6% before making a partial recovery. That index finished the month down 9.0% and ended the year down 4.4%. Low demand and increased supply hit oil prices, which declined from $51 to $45 per barrel. Government bonds rallied in a flight to quality, while perceived safe haven currencies like the Japanese yen appreciated.

The Fund had significantly less volatility than the broader markets due to its low net exposure to equity indices. The Fund’s foreign exchange positioning was long the U.S. dollar against other major currencies, which led to a loss as the Japanese yen rallied. In energy markets, the Fund made gains in short oil positions, but saw offsetting losses in long natural gas positions which declined with warmer than expected weather. In other commodities, the Fund was profitable in short grain positions, but saw a modest loss in short precious metals positions. The Fund ended the year with relatively defensive positioning, being net long global bonds, short most industrial commodities, and with little equity exposure. The Fund finished with a net loss of 0.70%, 0.59%, 0.55%, 0.47% and 0.54% 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.

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 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 strategies, and maintenance of a margin-to-equity ratio that rarely exceeds 35%.

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

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

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

Significant Accounting Policies

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

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

Item 7A.

Quantitative and Qualitative Disclosures about Market Risk

Introduction

The Fund is a speculative commodity pool. The market-sensitive instruments held by it are acquired for speculative trading purposes, and all or a substantial amount 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 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 acquires and liquidates both long and short positions in a wide range of different markets. Consequently, it is not possible to predict how a particular future market scenario will affect performance, and the Fund's past performance cannot be relied on as indicative of its future results.

Standard of Materiality

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

Quantifying the Fund’s Trading Value at Risk

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

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

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

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

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

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

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

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 approximately 1% and 15% 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 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 to the Fund as a whole. 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, corporate notes, asset backed securities and certificates of deposit. Although these investments are considered to be high quality, some of the securities purchased are neither guaranteed by the U.S. government nor supported by the full faith and credit of the U.S. government. There is some risk that a security issuer may fail to pay the interest and principal in a timely manner, or that negative perceptions about the issuer’s ability to make such payments will cause the price of these instruments to decline in value.

Qualitative Disclosures Regarding Primary Trading Risk Exposures

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

The following were the primary trading risk exposures of the Fund as of December 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 significant non-trading risk exposures of the Fund as of December 31, 2020 and 2019.

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

Qualitative Disclosures Regarding Means of Managing Risk Exposure

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

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

Item 8.

Financial Statements and Supplementary Data

Financial statements meeting the requirements of Regulation S-X appear in Part IV of this report. The supplementary financial information specified by Item 302 of Regulation S-K is included in this report under the heading "Selected Financial Data" above.

Item 9.

Changes in and Disagreements with Accountants on Accounting and Financial Disclosures

None.

Item 9A.

Controls and Procedures

Evaluation of Disclosure Controls and Procedures

The General Partner of the Fund, 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 December 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.

Management’s Annual Report on Internal Control over Financial Reporting

The management of the General Partner is responsible for establishing and maintaining adequate internal control over financial reporting by the Fund.

The Fund’s internal control over financial reporting is a process designed to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with accounting principles generally accepted in the United States. The Fund’s internal control over financial reporting includes those policies and procedures that (i) pertain to the maintenance of records that, in reasonable detail, accurately and fairly reflect the transactions and dispositions of the assets of the Fund; (ii) provide reasonable assurance that transactions are recorded as necessary to permit preparation of financial statements in accordance with accounting principles generally accepted in the United States, and that receipts and expenditures of the Fund are being made only in accordance with authorizations of management of the Fund; and (iii) provide reasonable assurance regarding prevention or timely detection of unauthorized acquisition, use, or disposition of the Fund’s assets that could have a material effect on the financial statements.

Because of its inherent limitations, internal control over financial reporting may not prevent or detect misstatements. All internal control systems, no matter how well designed, have inherent limitations, including the possibility of human error and the circumvention of overriding controls. Accordingly, even effective internal control over financial reporting can provide only reasonable assurance with respect to financial statement preparation. Also, projections of any evaluation of effectiveness to future periods are subject to the risk that controls may become inadequate because of changes in conditions, or that the degree of compliance with the policies or procedures may deteriorate.

Management assessed the effectiveness of the Fund’s internal control over financial reporting as of December 31, 2020, based on the framework set forth by the Committee of Sponsoring Organizations of the Treadway Commission (COSO) in Internal Control-Integrated Framework published in 2013. Based on that assessment, management concluded that, as of December 31, 2020, the Fund’s internal control over financial reporting is effective based on the criteria established in Internal Control-Integrated Framework published in 2013.

Changes in Internal Control Over Financial Reporting

There has been no change in internal control over financial reporting that occurred during the year ended December 31, 2020 that has materially affected, or is reasonably likely to materially affect, the Fund’s internal control over financial reporting.

Item 9B.

Other Information

None.

PART III

Item 10.

Directors, Executive Officers and Corporate Governance

Directors and Executive Officers

The Fund itself has no directors or officers and has no employees. It is managed by the General Partner in its capacity as General Partner. The General Partner is a wholly owned subsidiary of Octavus Group, LLC. The directors and executive officers of the General Partner are Kevin Kinzie and Jon Essen. Their respective biographies are set forth below.

Kevin Kinzie is the General Partner’s Chairman and Chief Executive Officer. Mr. Kinzie founded the LoCorr Investment Trust (“LIT”), a family of mutual funds, in November 2010 and founded LoCorr Fund Management (“LFM”), a CPO, in March 2011. He has served as Chairman and Trustee of LIT and as Chairman and CEO of LFM, since their inception. He has been listed as a Principal of LoCorr Distributors (“LD”), an IB, since November 2005, and registered with the NFA as an Associated Person of LD since November 2007. He has been listed as a Principal of LFM, a CPO since March 2013, and listed as a Principal of Steben & Company since November 9, 2019. Mr. Kinzie holds a B.S. in Business and Marketing from the University of Colorado. He holds the FINRA series 6, 7, 24, 31 and 63 licenses and the CLU designation.

Jon C. Essen is Chief Financial Officer at Steben & Company. He has served as Chief Financial Officer of LoCorr Fund Management, a CPO, since March 2011. He has also served as Trustee, Treasurer, Chief Financial Officer and Portfolio Manager of the LoCorr Investment Trust, a family of mutual funds, since March 2011. Mr. Essen has been listed as a Principal of LoCorr Distributors LLC, an Introducing Broker, since April 2008. He has been registered as an Associated Person, approved as a Swap Associated Person, and listed as a CFTC Principal of LoCorr Fund Management LLC, a CPO, since June 2013, August 2014 and May 2013 respectively. Mr. Essen became registered as an Associated Person and listed as a CFTC principal of Steben & Company on February 10, 2020.Mr. Essen received a Bachelor of Science in Business Administration from Minnesota State University Mankato, is a CPA (inactive), and holds FINRA Series 3, 7, 24, 28 & 99 licenses.

The General Partner has acted as the investment manager for Steben Managed Futures Strategy Fund, an open-end mutual fund, which merged into the LoCorr Macro Strategies Fund in January 2020. The General Partner also acted as either the general partner or investment manager for the Steben Select Multi-Strategy funds. The Steben Select Multi-Strategy funds operated in a master feeder structure involving two registered closed-end funds and a limited partnership. All of those funds liquidated during 2019. Because Steben & Company, LLC served as the general partner or investment manager of these funds, the officers and directors of Steben & Company, LLC effectively managed the respective funds.

Significant Employees

The General Partner is dependent on the services of key management personnel. If their services became unavailable, another principal of the firm or a new principal (whose experience cannot be known at this time) would need to take charge of the General Partner.

Family Relationships

None.

Business Experience

See “Item 10. Directors, Executive Officers and Corporate Governance” above.

Involvement in Certain Legal Proceedings

None.

Promoters and Control Persons

Not applicable.

Section 16 (A) Beneficial Ownership Reporting Compliance

Section 16(a) of the 1934 Act requires that reports of beneficial ownership of limited partner interests and changes in such ownership be filed with the SEC by Section 16 “reporting persons.” The Fund is required to disclose in this annual report on Form 10-K each reporting person whom it knows to have failed to file any required reports under Section 16(a) on a timely basis during the year ended December 31, 2020. During the year ended December 31, 2020, all reporting persons complied with all Section 16(a) filing requirements applicable to them.

Code of Ethics

The General Partner has adopted a code of ethics, as of the period covered by this report, which applies to the Fund’s principal executive officer and principal financial officer, or persons performing similar functions. A copy of the code of ethics is available without charge upon request by calling 952-767-2600.

Item 11.

Executive Compensation

The Fund does not have any officers, directors or employees. The managing officers of the General Partner are remunerated by the General Partner in their respective positions. The directors and managing officers of the General Partner receive no other compensation from the Fund.

The following fees were paid by the Fund 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 1/12^th 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 1/12^th of 0.75% of the month-end net asset value of the Class I Units, payable in arrears. During 2020, 2019 and 2018, the General Partner earned $3,033,908, $4,033,876 and $4,848,144, respectively, in General Partner management fees.

▪

General Partner Performance Fee – the Fund incurs a monthly fee on Class I Units equal to 7.5% of new profits of the Class I Units. The general partner performance fee is payable quarterly in arrears. During 2020, 2019 and 2018, the General Partner did not earn any General Partner performance fees.

▪

Selling Agent Fees – the Class A Units incur a monthly fee equal to 1/12^th of 2% of the month-end net asset value of the Class A Units. 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. Such amounts are included in selling agent and broker dealer servicing fees – General Partner in the statements of operations. The General Partner, in turn, pays the selling agent fee to the respective selling agents. If there is no designated selling agent or the General Partner was the selling agent, such portions of the selling agent fee are retained by the General Partner. During 2020, 2019 and 2018, the General Partner earned $2,775,636, $3,606,761 and $4,349,989, respectively, in selling agent fees.

▪

Broker Dealer Servicing Fees – the Class B Units incur a monthly fee equal to 1/12^thof 0.2% of the month-end net asset value of the Class B Units and such amounts are included in selling agent and broker dealer servicing fees – General Partner in the statements of operations. The General Partner, in turn, pays the fee to the respective selling agents. If there is no designated selling agent or the General Partner was the selling agent, such portions of the broker dealer servicing fee are retained by the General Partner. During 2020, 2019 and 2018, the General Partner earned $107,087, $146,324 and $181,268, respectively, in broker dealer servicing fees.

▪

Administrative Fee – each class of Units incur a monthly General Partner administrative fee equal to 1/12^th of 0.45% of Fund net assets at the end of each month, payable in arrears. 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 commodity pools with which the Fund may have investments). The General Partner uses a portion of this fee to pay third party service providers. During 2020, 2019, and 2018, the General Partner earned $882,491, $791,800 and $936,489, respectively, in administrative fees.

Additionally, each year the General Partner receives from the Fund 1% of any net income earned by the Fund or pays to the Fund 1% of any net loss incurred by the Fund. For the years ended December 31, 2020, 2019 and 2018, the General Partner received from or paid the Fund the following amounts:

Year	Received from the Fund		Paid to the Fund
2020	$	—	$	119,874
2019		80,477		—
2018		—		165,532
Total	$	80,477	$	285,406

Item 12.

Security Ownership of Certain Beneficial Owners and Management and Related Stockholder Matters

The Fund has no officers or directors as its affairs are managed by the General Partner, and there are no securities authorized for issuance under an equity compensation plan.

At February 28, 2021, neither the General Partner, nor any of its officers owned any Units. The General Partner does participate in the profits or losses of the Fund through its general partner 1 percent allocation, in which it receives 1 percent of the profits or losses of the Fund.

At February 28, 2021, no person or group is known to have been the beneficial owner of more than 5% of the Units.

On October 31, 2019, and the General Partner was acquired by Octavus. See Item 2. for additional information.

Item 13.

Certain Relationships and Related Transactions, and Director Independence

See “Item 1. Business” for a description of the relationships between the General Partner, the Fund, the Trading Advisor, the futures brokers and the Cash Managers. See “Item 11. Executive Compensation” and “Item 12. Security Ownership of Certain Beneficial Owners and Management and Related Stockholder Matters.”

Item 14.

Principal Accountant Fees and Services

The following table sets forth the fees billed to the Fund for professional audit services provided by RSM US LLP, the Fund’s independent registered public accountant, for the audits of the Fund’s annual financial statements for the years ended December 31, 2020 and 2019, and fees billed for other professional services rendered by RSM US LLP during those years.

Fee Category	2020		2019
Audit fees⁽¹⁾	$	200,000	$	196,000
Audit-related fees		—		—
Tax fees⁽²⁾		24,000		27,000
All other fees		—		—
Total fees	$	224,000	$	223,000

(1)

Audit fees consist of fees for professional services rendered for the audit of the Fund’s financial statements and review of financial statements included in the Fund’s quarterly reports, as well as services normally provided by the independent accountant in connection with statutory and regulatory filings or engagements.


(2)	Tax fees consist of fees for the preparation of original tax returns.

The General Partner’s Board of Directors pre-approves all audit and permitted non-audit services of the Fund’s independent accountants, including all engagement fees and terms. The General Partner’s Board of Directors approved all the services provided by RSM US LLP during 2020 and 2019 to the Fund described above. The General Partner’s Board of Directors has determined that the payments made to RSM US LLP for these services during 2020 and 2019 are compatible with maintaining that firm’s independence.

PART IV

Item 15.

Exhibits and Financial Statement Schedules

Financial Statements

Futures Portfolio Fund, Limited Partnership

Report of Independent Registered Public Accounting Firm

Statements of Financial Condition as of December 31, 2020 and 2019

Condensed Schedule of Investments as of December 31, 2020

Condensed Schedule of Investments as of December 31, 2019

Statements of Operations for the Years Ended December 31, 2020, 2019 and 2018

Statements of Cash Flows for the Years Ended December 31, 2020, 2019 and 2018

Statements of Changes in Partners’ Capital (Net Asset Value) for the Years Ended December 31, 2020, 2019 and 2018

Notes to Financial Statements

Financial statement schedules not included in this Form 10-K have been omitted for the reason that they are not required or are not applicable or that equivalent information has been included in the financial notes or statements thereto.

Exhibits.

The following exhibits are filed herewith or 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

16.1^(a)		Letter regarding change in certifying accountant.

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

(a)

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

SIGNATURES

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

Name

Title

Date

/s/ Kevin Kinzie

Kevin Kinzie

Chief Executive Officer and managing member of the General Partner

March 29, 2021

/s/ Jon Essen

Jon Essen

Chief Financial Officer of the General Partner

March 29, 2021

Pursuant to the requirements of Section 13 or 15(d) of the Securities Exchange Act of 1934, as amended, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

	Futures Portfolio Fund, Limited Partnership
Dated March 29, 2021
	By:	Steben & Company, LLC
		General Partner

	By:	/s/ Kevin Kinzie
	Name:	Kevin Kinzie
	Title:	Chief Executive Officer and managing member of the General Partner

Report of Independent Registered Public Accounting Firm

To the Partners of Futures Portfolio Fund, Limited Partnership

Opinion on the Financial Statements

We have audited the accompanying consolidated statements of financial condition, including the condensed schedules of investments, of Futures Portfolio Fund, Limited Partnership (the Fund) as of December 31, 2020 and 2019, the related consolidated statements of operations, cash flows and changes in partners’ capital (net asset value) for the three years ended December 31, 2020, and the related notes to the financial statements (collectively, the financial statements). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund as of December 31, 2020 and 2019, and the results of its operations for each of the three years in the period ended December 31, 2020, in conformity with accounting principles generally accepted in the United States of America.

Basis for Opinion

These financial statements are the responsibility of the Fund’s management. Our responsibility is to express an opinion on the Fund’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Company in accordance with U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether du to error or fraud. The Fund is not required to have, nor were we engaged to perform, and audit of its internal control over financial reporting. As part of our audits, we are required to obtain an understanding of internal control over financial reporting but not for the purpose of expressing an opinion on the effectiveness of the Fund’s internal control over financial reporting. Accordingly, we express no such opinion.

Our audits included performing procedures to assess the risks of material misstatement of financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audits provide a reasonable basis for our opinion.

Critical Audit Matters

Critical audit matters are matters arising from the current period audit of the financial statements that were communicated or required to be communicated to the audit committee and that: (1) relate to accounts or disclosures that are material to the financial statements and (2) involved our especially challenging, subjective, or complex judgements. We determined that there are no crucial audit matters.

/s/ RSM US LLP

We have served as the Fund’s auditor since 2007.

Chicago, Illinois

March 29, 2021

F-1

Futures Portfolio Fund, Limited Partnership

Statements of Financial Condition

December 31, 2020 and 2019

	2020			2019
Assets
Equity in broker trading accounts
Cash	$	44,519,197		$	64,814,573
Net unrealized gain (loss) on open futures contracts		8,169,982			187,200
Net open future options contracts (net premium paid $308,675)		150,900			—
Net unrealized gain (loss) on open forward currency contracts		(17,929	)		(189,715	)
Total equity in broker trading accounts		52,822,150			64,812,058
Cash and cash equivalents		6,050,682			5,174,304
Investment in SMFSF, at fair value (cost $0 and $25,620,952)		—			22,738,951
Investment in securities, at fair value (cost $119,021,021 and $161,352,357)		119,837,286			162,552,581
General Partner 1% allocation receivable		119,874			—
Exchange membership, at fair value (cost $189,000 and $189,000)		51,000			62,500
Total assets	$	178,880,992		$	255,340,394

Liabilities and Partners' Capital (Net Asset Value)
Liabilities
Trading Advisor management fees payable	$	254,786		$	586,747
Trading Advisor incentive fees payable		—			602,408
Commissions and other trading fees payable on open contracts		30,761			55,213
Cash Managers fees payable		36,558			48,576
General Partner management and performance fees payable		223,028			315,840
General Partner 1% allocation payable		—			80,477
Selling Agent payable – General Partner		205,514			285,554
Broker dealer servicing fees payable – General Partner		7,784			11,224
Administrative fee payable – General Partner		66,263			58,569
Redemption payable		5,585,666			4,780,643
Subscriptions received in advance		33,000			266,000
Total liabilities		6,443,360			7,091,251

Partners' Capital (Net Asset Value)
Class A Interests – 31,093.6904 and 41,522.9804 units
outstanding at December 31, 2020 and December 31, 2019, respectively		118,745,248			166,191,101
Class A2 Interests – 523.0963 and 526.3226 units
outstanding at December 31, 2020 and December 31, 2019, respectively		523,333			544,240
Class A3 Interests – 86.0607 and 86.0607 units
outstanding at December 31, 2020 and December 31, 2019, respectively		83,577			86,512
Class B Interests – 7,397.6585 and 10,608.5075 units
outstanding at December 31, 2020 and December 31, 2019, respectively		45,043,756			66,498,788
Class I Interests – 256.4767 and 1,769.1082 units
outstanding at December 31, 2020 and December 31, 2019, respectively		262,500			1,846,574
Class R Interests – 7,667.4336 and 12,549.5403 units
outstanding at December 31, 2020 and December 31, 2019, respectively		7,779,218			13,081,928
Total partners' capital (net asset value)		172,437,632			248,249,143

Total liabilities and partners' capital (net asset value)	$	178,880,992		$	255,340,394

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

F-2

Futures Portfolio Fund, Limited Partnership

Condensed Schedule of Investments

December 31, 2020

		Description				Fair Value	% of Partners' Capital (Net Asset Value)
INVESTMENTS IN SECURITIES
U.S. Treasury Securities
Face Value	Maturity Date	Name	Yield¹
6,000,000	10/31/21	U.S. Treasury	2.00	%	$	6,113,365	3.55	%
6,000,000	1/31/22	U.S. Treasury	1.38	%		6,115,149	3.55	%
Total U.S. Treasury securities (cost: $12,320,011)						12,228,514	7.10	%

U.S. Commercial Paper
Face Value	Maturity Date	Name	Yield¹
Banks
1,200,000	1/21/21	Mitsubishi UFJ Trust & Banking Corporation (U.S.A.)	0.19	%		1,199,867	0.70	%
1,200,000	2/8/21	Mizuho Bank Ltd., New York Branch	0.20	%		1,199,734	0.69	%
1,200,000	2/3/21	United Overseas Bank Limited	0.17	%		1,199,802	0.70	%
Diversified financial services
1,200,000	2/1/21	DCAT, LLC	0.15	%		1,199,845	0.70	%
1,200,000	2/5/21	Manhattan Asset Funding Company LLC	0.18	%		1,199,790	0.70	%
Manufacturing
1,200,000	3/2/21	Koch Industries, Inc.	0.18	%		1,199,640	0.69	%
1,200,000	2/3/21	Sheffield Receivables Company LLC	0.20	%		1,199,769	0.69	%
Total U.S. commercial paper (cost: $8,397,259)						8,398,447	4.87	%

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

F-3

Futures Portfolio Fund, Limited Partnership

Condensed Schedule of Investments (continued)

December 31, 2020

			Description			Fair Value		% of Partners' Capital (Net Asset Value)
Foreign Commercial Paper
Face Value		Maturity Date	Name	Yield¹
Automotive
$	1,200,000	1/5/21	Nationwide Building Society	0.14	%	$	1,199,977		0.70	%
Banks
	1,200,000	2/11/21	DBS Bank Ltd.	0.19	%		1,199,740		0.69	%
	1,200,000	2/23/21	Commonwealth Bank of Australia	0.22	%		1,199,611		0.69	%
	1,200,000	1/21/21	National Australia Bank Limited	0.16	%		1,199,887		0.70	%
	1,200,000	3/1/21	Skandinaviska Enskilda Banken AB (publ.)	0.20	%		1,199,597		0.69	%
	1,200,000	1/22/21	Standard Chartered Bank	0.17	%		1,199,874		0.70	%
	1,200,000	3/24/21	The Toronto-Dominion Bank	0.25	%		1,199,303		0.69	%
	1,200,000	1/12/21	Westpac Banking Corporation	0.14	%		1,199,945		0.70	%
Diversified financial services
	1,200,000	1/19/21	Anglesea Funding Plc	0.19	%		1,199,880		0.70	%
	1,200,000	1/8/21	Longship Funding Designated Activity Company	0.13	%		1,199,965		0.70	%
Energy
	1,200,000	1/28/21	Total Capital Canada Ltd.	0.14	%		1,199,874		0.69	%
Telecommunications
Total foreign commercial paper (cost: $13,195,645)							13,197,653		7.65	%
Total commercial paper (cost: $21,592,904)							21,596,100		12.52	%

U.S. Corporate Notes
Face Value		Maturity Date	Name	Yield¹
Aerospace
$	4,000,000	5/1/22	Boeing Company	2.70	%		4,115,948		2.39	%
	600,000	8/16/23	Raytheon Technologies Corporation	3.65	%		654,625		0.38	%
Agriculture
	4,850,000	5/5/21	Altria Group, Inc.	4.75	%		4,955,274		2.87	%
Banks
	4,000,000	5/5/23	Credit Suisse AG, New York Branch	1.00	%		4,069,774		2.36	%
	5,000,000	4/25/23	JPMorgan Chase & Co.	2.78	%		5,187,922		3.01	%
	4,000,000	5/17/22	SunTrust Bank	2.80	%		4,144,297		2.40	%
	4,750,000	1/15/21	Wells Fargo Bank, National Association	2.60	%		4,806,985		2.79	%
Diversified financial services
	4,250,000	4/26/22	Goldman Sachs Group, Inc.	3.00	%		4,308,632		2.50	%
	600,000	12/7/23	The Bank of New York Mellon Corporation	0.35	%		600,814		0.35	%
Energy
	4,850,000	2/15/21	Enterprise Products Operating LLC	2.80	%		4,907,287		2.85	%
Equipment
	3,500,000	4/24/23	Micron Technology, Inc.	2.50	%		3,667,014		2.13	%
Food
	2,000,000	4/16/21	General Mills, Inc.	3.20	%		2,029,905		1.18	%
Healthcare
	5,000,000	9/17/21	Cigna Corporation	3.40	%		5,157,401		2.99	%
	3,000,000	6/1/21	CVS Health Corporation	2.13	%		3,024,078		1.75	%
Pharmaceuticals
	3,500,000	6/25/21	Bayer US Finance II LLC	0.88	%		3,507,152		2.03	%
	4,000,000	5/16/22	Bristol-Myers Squibb Company	2.60	%		4,127,928		2.39	%
	3,500,000	2/1/23	Zoetis Inc.	3.25	%		3,731,114		2.16	%
Telecommunications
	4,000,000	2/9/22	Apple Inc.	2.50	%		4,132,312		2.40	%
	3,500,000	6/30/22	AT&T Inc.	3.00	%		3,621,045		2.10	%
Total U.S. corporate notes (cost: $69,880,261)							70,749,507		41.03	%

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

F-4

Futures Portfolio Fund, Limited Partnership

Condensed Schedule of Investments (continued)

December 31, 2020

			Description			Fair Value		% of Partners' Capital (Net Asset Value)
Foreign Corporate Notes
Face Value		Maturity Date	Name	Yield¹
Banks
$	3,000,000	6/9/23	Nordea Bank Abp	1.00	%	$	3,038,160		1.76	%
Insurance
	4,000,000	9/20/21	AIA Group Limited	0.76	%		4,000,771		2.32	%
Total foreign corporate notes (cost: $6,996,909)							7,038,931		4.08	%
Total corporate notes (cost: $76,877,170)							77,788,438		45.11	%

U.S. Asset Backed Securities
Face Value		Maturity Date	Name	Yield¹
Automotive
	33,44	9/19/22	Americredit Automobile Receivales Trust 2019-2	2.43	%		33,725		0.02	%
	440,163	1/18/23	Americredit Automobile Receivables Trust 2019-3	2.17	%		442,057		0.26	%
	86,991	7/20/21	BMW Vehicle Lease Trust 2018-1	3.26	%		87,186		0.05	%
	400,000	7/15/22	Carmax Auto Owner Trust 2016-4	2.26	%		400,607		0.23	%
	353,042	6/20/22	Honda Auto Receivables 2019-4 Owner Trust	1.86	%		355,128		0.21	%
	248,998	4/20/22	Santander Retail Auto Lease Trust 2019-B	2.29	%		250,474		0.15	%
	186,490	5/15/23	Santander Drive Auto Receivables Trust 2020-2	0.62	%		186,689		0.11	%
	354,181	4/20/22	Tesla Auto Lease Trust 2019-A	2.13	%		358,011		0.21	%
	199,302	8/15/23	World Omni Select Auto Trust 2019-A	2.06	%		200,366		0.12	%
	450,000	12/15/23	World Omni Auto Receivables Trust 2020-C	0.35	%		450,177		0.26	%
	562,000	6/17/24	World Omni Select Auto Trust 2020-A	0.47	%		563,057		0.33	%
Credit cards
	575,000	4/15/24	American Express Credit Account Master Trust 2018 - 8	3.18	%		587,735		0.34	%
	250,000	5/17/24	Synchrony Credit Card Master Note Trust 2016-2	2.21	%		251,619		0.15	%
Equipment
	600,000	10/22/24	Dell Equipment Finance Trust 2019-2	1.91	%		610,611		0.35	%
	826,000	6/22/22	Dell Equipment Finance Trust 2020-1	2.26	%		836,041		0.48	%
	84,761	5/20/22	DLL 2019-2 LLC	2.27	%		85,024		0.04	%
	752,245	6/15/22	GreatAmerica Leasing Receivables Funding, LLC	1.76	%		757,972		0.44	%
	775,000	7/22/30	HPEFS Equipment Trust 2020-2	0.69	%		777,815		0.45	%
	585,609	4/20/23	Verizon Owner Trust 2018-A	3.23	%		593,710		0.34	%
	375,000	7/22/24	Verizon Owner Trust 2020-A	1.85	%		383,342		0.22	%
Student loans
	12,900	11/25/27	SLM Student Loan Trust 2011-2	0.75	%		12,888		0.01	%
Total U.S. asset backed securities (cost: $8,230,936)							8,224,234		4.77	%
Total investments in securities (cost: $119,021,021)						$	119,837,286		69.50	%

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

F-5

Futures Portfolio Fund, Limited Partnership

Condensed Schedule of Investments (continued)

December 31, 2020

	Description	Fair Value			% of Partners' Capital (Net Asset Value)
OPEN FUTURES CONTRACTS
Long U.S. Futures Contracts
	Agricultural commodities	$	2,135,596			1.24	%
	Currencies		185,459			0.11	%
	Energy		247,270			0.14	%
	Equity indices		1,377,249			0.80	%
	Interest rate instruments		176,792			0.10	%
	Metals		7,267,230			4.21	%
Net unrealized gain (loss) on open long U.S. futures contracts			11,389,596			6.60	%

Short U.S. Futures Contracts
	Agricultural commodities		(341,526	)		(0.20	)%
	Currencies		(16,365	)		(0.01	)%
	Energy		35,440			0.02	%
	Equity indices		(230,173	)		(0.13	)%
	Interest rate instruments		(128,860	)		(0.07	)%
	Metals		(5,147,831	)		(2.99	)%
Net unrealized gain (loss) on open short U.S. futures contracts			(5,829,315	)		(3.38	)%

Total U.S. Futures Contracts - net unrealized gain (loss) on open U.S. futures contracts			5,560,281			3.22	%

Long Foreign Futures Contracts
	Agricultural commodities		270,069			0.16	%
	Currencies		(7,733	)		0.00	%
	Energy		251,686			0.15	%
	Equity indices		1,477,092			0.86	%
	Interest rate instruments		466,173			0.27	%
	Metals		2,942			0.00	%
	Single stock futures		403			0.00	%
Net unrealized gain (loss) on open long foreign futures contracts			2,460,632			1.44	%

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

F-6

Futures Portfolio Fund, Limited Partnership

Condensed Schedule of Investments (continued)

December 31, 2020

	Description	Fair Value			% of Partners' Capital (Net Asset Value)
OPEN FUTURES CONTRACTS (continued)
Short Foreign Futures Contracts
	Agricultural commodities	$	(1,367	)		0.00	%
	Currencies		57,417			0.03	%
	Energy		(71,502	)		(0.04	)%
	Equity indices		104,496			0.06	%
	Interest rate instruments		60,025			0.03	%
Net unrealized gain (loss) on open short foreign futures contracts			149,069			0.08	%

Total foreign futures contracts - net unrealized gain (loss) on open foreign futures contracts			2,609,701			1.52	%

Net unrealized gain (loss) on open futures contracts		$	8,169,982			4.74	%

OPEN FUTURE OPTIONS CONTRACTS
Long U.S. Future Options Contracts
	Equity indices (premium paid $588,413)	$	264,100			0.15	%

Short U.S. Future Options Contracts
	Equity indices (premium received $279,738)		(113,200	)		(0.07	)%

Net unrealized gain (loss) on open future options contracts		$	150,900			0.08	%

OPEN FORWARD CURRENCY CONTRACTS
U.S. Forward Currency Contracts
	Long	$	2,003,451			1.16	%
	Short		(2,376,232	)		(1.38	)%
Net unrealized gain (loss) on open U.S. forward currency contracts			(372,781	)		(0.22	)%

Foreign Forward Currency Contracts
	Long		189,777			0.11	%
	Short		165,075			0.10	%
Net unrealized gain (loss) on open foreign forward currency contracts			354,852			0.21	%

Net unrealized gain (loss) on open forward currency contracts		$	(17,929	)		(0.01	)%

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

F-7

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.

F-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. 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: $72,986,920)							74,454,771		29.99	%

Foreign Corporate Notes
Face Value		Maturity Date	Name	Yield¹
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
Face Value		Maturity Date	Name	Yield¹
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 Receivables 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.

F-9

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
Face Value		Maturity Date	Name	Yield¹
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.

F-10

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	)%

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

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.

F-11

Futures Portfolio Fund, Limited Partnership

Statements of Operations

Years Ended December 31, 2020, 2019 and 2018

	2020			2019			2018
Realized and Change in Unrealized Gain (Loss) on Investments
Net realized gain (loss) on:
Futures, future options, forward and swap contracts	$	(11,543,475	)	$	21,717,540		$	8,358,826
Investment in SMFSF		(2,753,150	)		(600,755	)		(64,475	)
Investments in securities		770,117			(228,885	)		(584,903	)
Net change in unrealized gain (loss) on:
Futures, future options and forward contracts		7,996,793			(2,305,685	)		(8,037,263	)
Investment in SMFSF		2,882,001			354,381			(1,694,792	)
Investments in securities and certificates of deposit		(221,257	)		1,643,633			(6,890	)
Exchange membership		(11,500	)		(83,000	)		(86,500	)
Brokerage commissions and trading expenses		(1,441,879	)		(3,109,619	)		(4,248,580	)
Net realized and change in unrealized gain (loss) on investments		(4,322,350	)		17,387,610			(6,364,577	)

Net Investment Income (Loss)
Income
Interest income		2,478,658			7,294,584			5,924,353

Expenses
Trading Advisor management fees		2,946,151			4,250,373			4,929,797
Trading Advisor incentive fees		213,562			3,602,010			626,857
Cash Managers fees		184,855			203,377			240,429
General Partner management and performance fees		3,033,908			4,033,876			4,848,144
Selling agent fees – General Partner		2,775,636			3,606,761			4,349,989
Broker dealer servicing fees – General Partner		107,087			146,324			181,268
General Partner 1% allocation		(119,874	)		80,477			(165,532	)
Adminstrative fee – General Partner		882,491			791,800			936,489
Total expenses		10,023,816			16,714,998			15,947,441
Net investment (income)(loss)		(7,545,158	)		(9,420,414	)		(10,023,088	)
Net income (loss)		(11,867,508	)		7,967,196			(16,387,665	)
Less: net (income) loss attributable to non-controlling interest		—			—			—
Net Income (Loss) attributable to the Fund	$	(11,867,508	)	$	7,967,196		$	(16,387,665	)

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

F-12

Futures Portfolio Fund, Limited Partnership

Statements of Operations (continued)

Years Ended December 31, 2020, 2019 and 2018

	Class A Units								Class A2 Units
		2020			2019		2018			2020			2019		2018
Increase (decrease) in net asset value per unit for the year	$	(183.44	)	$	90.54	$	(235.06	)	$	(33.59	)	$	37.33	$	(3.29	)

Net income (loss) per unit†	$	(225.64	)	$	93.62	$	(233.32	)	$	(26.66	)	$	47.30	$	(3.29	)

Weighted average number of units outstanding		37,512.6638			53,296.7889		53,296.7889			641.0670			357.7741		146.5000

	Class A3 Units								Class B Units
		2020			2019^††			2018		2020			2019		2018
Increase (decrease) in net asset value per unit for the year	$	(34.10	)	$	5.25		$	—	$	(179.52	)	$	250.24	$	(248.73	)

Net income (loss) per unit†	$	(34.10	)	$	(23.98	)	$	—	$	(310.00	)	$	265.77	$	(230.40	)

Weighted average number of units outstanding		86.0607			62.0304			—		9,212.4717			11,659.4612		14,571.3605

	Class I Units								Class R Units
		2020			2019		2018			2020		2019		2018
Increase (decrease) in net asset value per unit for the year	$	(20.30	)	$	51.20	$	(30.78	)	$	—	$	43.59	$	(39.22	)

Net income (loss) per unit†	$	(149.83	)	$	38.97	$	(30.78	)	$	0.11	$	44.52	$	(37.43	)

Weighted average number of units outstanding		838.2581			2,401.7383		3,466.2779			9,490.8198		13,323.0893		13,031.4414

† based on weighted average number of units outstanding during the year.

†† Inception date: July 1, 2019.

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

F-13

Futures Portfolio Fund, Limited Partnership

Statements of Cash Flows

Years Ended December 31, 2020, 2019 and 2018

	2020			2019			2018
Cash flows from operating activities
Net income (loss)	$	(11,867,508	)	$	7,967,196		$	(16,387,665	)
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
Net change in unrealized (gain) loss from futures, future options, forwards and swap trading		(8,305,468	)		2,305,685			8,529,763
Net realized and change in unrealized (gain) loss on SMFSF, securities and certificates of deposit		(677,711	)		(1,168,374	)		2,351,060
Purchases of securities and certificates of deposit		(507,449,211	)		(547,522,944	)		(544,118,416	)
Proceeds from disposition of SMFSF and securities and certificates of deposit		573,581,168			607,878,125			568,768,969
Changes in
Exchange Membership		11,500			83,000			86,500
Trading Advisor management fee payable		(331,961	)		217,699			(200,141	)
Trading Advisor incentive fee payable		(602,408	)		109,861			(805,151	)
Commissions and other trading fees payable on open contracts		(24,452	)		5,139			(33,239	)
Cash Manager fees Payable		(12,018	)		(7,314	)		(19,481	)
General Partner management and performance fees payable		(92,812	)		(46,818	)		(97,878	)
General Partner 1% allocation receivable / payable		(200,351	)		246,009			(194,288	)
Selling Agent fees payable – General Partner		(80,040	)		(42,785	)		(94,876	)
Broker dealer servicing fees payable – General Partner		(3,440	)		-			-
Administrative fee payable – General Partner		7,694			(8,671	)		(21,302	)
Net cash provided by (used in) operating activities		43,952,982			70,015,808			17,763,855

Cash flows from financing activities
Subscriptions		856,252			11,469,433			6,256,533
Subscriptions received in advance		33,000			266,000			224,523
Redemptions		(64,261,232	)		(57,948,145	)		(68,200,191	)
Net cash provided by (used in) financing activities		(63,371,980	)		(46,212,712	)		(61,719,135	)

Net increase (decrease) in cash and cash equivalents		(19,418,998	)		23,803,096			(43,955,280	)
Cash and cash equivalents, beginning of year		69,988,877			46,185,781			90,141,061
Cash and cash equivalents, end of year	$	50,569,879		$	69,988,877		$	46,185,781

End of year cash and cash equivalents consists of
Cash in broker trading accounts	$	44,519,197		$	64,814,573		$	27,926,584
Cash and cash equivalents		6,050,682			5,174,304			18,259,197
Total end of year cash and cash equivalents	$	50,569,879		$	69,988,877		$	46,185,781

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

F-14

Futures Portfolio Fund, Limited Partnership

Statements of Cash Flows (continued)

Years Ended December 31, 2020, 2019 and 2018

Supplemental disclosure of cash flow information
Prior year redemptions paid	$	4,780,643	$	5,057,655	$	11,825,677
Prior year subscriptions received in advance	$	266,000	$	244,523	$	287,000

Supplemental schedule of non-cash financing activities
Redemptions payable	$	5,585,666	$	4,780,643	$	5,057,655

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

F-15

Futures Portfolio Fund, Limited Partnership

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

Years Ended December 31, 2020, 2019 and 2018

	Class A			Class A2			Class A3			Class B			Class I			Class R			Total
Balance at December 31, 2017	$	240,860,323		$	—		$	—		$	100,657,081		$	3,547,299		$	12,470,722		$	357,535,425
Net income (loss)		(12,435,444	)		(482	)		—			(3,357,247	)		(106,691	)		(487,801	)		(16,387,665	)
Subscriptions		2,101,833			146,500			—			1,998,200			—			2,297,000			6,543,533
Redemptions		(39,247,936	)		—			—			(21,572,150	)		—			(612,083	)		(61,432,169	)
Transfers		(2,258,779	)		—			—			2,258,779			—			—			—
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)		4,166,331			16,922			(1,488	)		3,098,701			93,607			593,123			7,967,196
Subscriptions		8,416,056			381,300			88,000			1,938,600			250,000			620,000			11,693,956
Redemptions		(35,037,434	)		—			—			(18,897,025	)		(1,937,641	)		(1,799,033	)		(57,671,133	)
Transfers		(373,849	)		—			—			373,849			—			—			—
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)		(8,464,478	)		(17,088	)		(2,935	)		(2,855,822	)		(125,598	)		(401,587	)		(11,867,508	)
Subscriptions		773,952			185,300			—			163,000			—			—			1,122,252
Redemptions		(38,722,802	)		(189,119	)		—			(19,794,735	)		(1,458,476	)		(4,901,123	)		(65,066,255	)
Transfers		(1,032,525	)		—			—			1,032,525			—			—			—
Balance at December 31, 2020	$	118,745,248		$	523,333		$	83,577		$	45,043,756		$	262,500		$	7,779,218		$	172,437,632

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

F-16

Futures Portfolio Fund, Limited Partnership

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

Years Ended December 31, 2020, 2019 and 2018

Units

	Class A			Class A2			Class A3		Class B			Class I			Class R
Balance at December 31, 2017		58,081.8421			—			—		16,061.6377			3,466.2779			12,013.6394
Subscriptions		517.9846			146.5000			—		326.3758			—			2,274.1270
Redemptions		(9,717.5796	)		—			—		(3,466.3744	)		—			(603.8767	)
Transfers		(562.3963	)		—			—		368.8185			—			—
Balance at December 31, 2018		48,319.8508			146.5000			—		13,290.4576			3,466.2779			13,683.8897
Subscriptions		2,129.9459			379.8226			86.0607		303.1254			247.1650			612.4237
Redemptions		(8,832.8800	)		—			—		(3,045.6841	)		(1,944.3347	)		(1,746.7731	)
Transfers		(93.9364	)		—			—		60.6087			—			—
Balance at December 31, 2019		41,522.9804			526.3226			86.0607		10,608.5075			1,769.1082			12,549.5403
Subscriptions		207.5480			188.5952			—		26.7436			—			—
Redemptions		(10,363.1889	)		(191.82	)		—		(3,410.3371	)		(1,512.6315	)		(4,882.1067	)
Transfers		(273.6491	)		—			—		172.7445			—			—
Balance at December 31, 2020		31,093.6904			523.0963			86.0607		7,397.6585			256.4767			7,667.4336

Net Asset Value per Unit

	Class A		Class A2		Class A3		Class B		Class I		Class R
December 31, 2020	$	3,818.95	$	1,000.45	$	971.15	$	6,088.92	$	1,023.49	$	1,014.58
December 31, 2019		4,002.39		1,034.04		1005.25		6,268.44		1,043.79		1,042.42
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.

F-17

Futures Portfolio Fund, Limited Partnership

Notes to Financial Statements

Organization and Summary of Significant Accounting Policies

Description of the Fund

Futures Portfolio Fund, Limited Partnership (“Fund”) is a Maryland limited partnership, which operates as a commodity investment pool that commenced trading operations on January 2, 1990. The Fund issues units of limited partner interests (“Units”) in 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, LLC (“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. The General Partner manages all aspects of the Fund’s business and serves as one of the Fund’s selling agents.

Octavus Group is the parent company of LoCorr Fund Management LLC, which serves as the investment advisor to multiple alternative investment mutual funds. LoCorr Fund Management LLC operates alternative investment funds with a low correlation to traditional asset classes.

The six classes of Units in the Fund differ only in the fees applicable to each class. Class A Units are subject to a 2% per annum selling agent fee. Class A2 Units may pay an up-front sales commission of up to 3% of the offering price and a 0.6% per annum selling agent fee. Class A3 Units may pay an up-front sales commission of up to 2% of the offering price and a 0.75% per annum selling agent fee. Class B Units are subject to a 0.2% per annum broker dealer servicing fee. Class I Units are subject to higher minimum investments requirements and lower General Partner management fees (0.75% per annum instead of 1.50% per annum) as well as a General Partner performance fee (7.5% of new profits, described more fully in Footnote 4). Class R Units do not pay selling compensation or servicing fees to selling agents and are generally intended for clients of registered investment advisors. Class R Units were introduced in March 2017, and on April 1, 2017, approximately $14 million in Class B Units transferred to R Units. Class A2 and A3 Units were introduced in June 2017.

At December 31, 2020, the Fund no longer owned any Class I shares of the Steben Managed Futures Strategy Fund (“SMFSF”) after liquidating its position in January 2020. SMFSF was a non-diversified series of shares of beneficial interest of Steben Alternative Investment Fund (the “Trust”), a statutory trust organized under the laws of the State of Delaware, and was registered under the Investment Company Act of 1940, as amended (the "1940 Act"), as an open-end investment company. 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.

Until January 2020, the Fund held an investment in SMFSF and any changes in the fair value of its investment in SMFSF are reported on the Statement of Operations. The investment in SMFSF is reported on the statements of financial condition as investment in SMFSF. For financial reporting purposes, SMFSF is treated as a related party. For the years ended December 31, 2019 and 2018, the Fund redeemed $6 million and $5 million, respectively, of its investment in SMFSF. In January 2020 SMFSF was merged into the LoCorr Macro Strategies Fund and the Fund fully redeemed its investment following the merger.

F-18

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.

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 and change in unrealized 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, swaps, commercial paper, corporate notes, certificates of deposit, asset backed securities and the exchange membership.

Level 3 –

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

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

The Fund assesses the classification of the instruments at each measurement date, and any transfers between levels are recognized on the actual date of the event or change in circumstances that caused the transfer in accordance with the Fund’s accounting policy regarding the recognition of transfers between levels of the fair value hierarchy. For the years ended December 31, 2020 and 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.

F-19

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 fair values of forward currency contracts are based upon third-party quoted dealer values on the interbank market and are classified within Level 2.

Cash and Cash Equivalents

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

Exchange Membership

During 2017, the Fund purchased a membership interest in the Chicago Mercantile Exchange (CME). By purchasing the membership, the Fund will incur reduced fees for transactions on the CME. 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 year-end. These redemptions have been recorded using the year 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 December 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 2017.

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 in the 2019 and 2018 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

Fair Value Disclosures

In August 2018, the FASB issued guidance updating the disclosure requirements for fair value measurement and the fair value hierarchy. Primarily, the guidance added or modified certain disclosures regarding Level 3 fair value measurements and removed certain disclosures involving transfers between Level 1 and Level 2 of the fair value hierarchy. Historically, the Fund has not had any Level 3 fair value measurements and has not had any transfers between Level 1 and Level 2 on the fair value hierarchy. The update is effective beginning after December 15, 2019, although early adoption is permitted. The Fund adopted this guidance for the year ended December 31, 2020 with no significant impact.

In March 2020, the FASB issued ASU 2020-04, Reference Rate Reform (“ASU 2020-04”). The amendments in ASU 2020-04 provide optional expedients and exceptions for applying GAAP to contracts, hedging relationships, and other transactions affected by reference rate reform if certain criteria are met. The standard is effective as of March 12, 2020 through December 31, 2022. Management is currently evaluating the impact of the optional guidance on the Company’s consolidated financial statements and disclosures. The Company did not utilize the optional expedients and exceptions provided by ASU 2020-04 during the nine months ended September 30, 2020.

F-20

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 December 31, 2020
	Level 1		Level 2			Total
Equity in broker trading accounts:
Net unrealized gain (loss) on open futures contracts*	$	8,169,982	$	—		$	8,169,982
Net open future options contracts*		150,900		—			150,900
Net unrealized gain (loss) on open forward currency contracts*		—		(17,929	)		(17,929	)
Cash and cash equivalents:
Money market funds		1,413,139		—			1,413,139
Investment in securities:
U.S. Treasury securities*		12,228,514		—			12,228,514
Asset backed securities*		—		8,224,234			8,224,234
Commercial paper*		—		21,596,100			21,596,100
Corporate notes*		—		77,788,438			77,788,438
Exchange membership		—		51,000			51,000
Total	$	21,962,535	$	107,641,843		$	129,604,378

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 funds		4,326,784		—			4,326,784
Investment in SMFSF		22,738,951		—			22,738,951
Investment 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 December 31, 2020 and 2019, or during the three years ended December 31, 2020.

In addition to the financial instruments listed above, substantially all 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.

F-21

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 December 31, 2020 and 2019, the Fund’s derivative contracts had the following impact on the statements of financial condition:

December 31, 2020	Derivative Assets and Liabilities, at fair value
Statements of Financial Condition Location	Gross Amounts of Recognized Assets		Gross Amounts Offset in the Statement of Financial Condition			Net Amount of Assets Presented in the Statement of Financial Condition
Equity in broker trading accounts: Net unrealized gain (loss) on open futures contracts
Agricultural commodities	$	2,470,055	$	(407,283	)	$	2,062,772
Currencies		361,197		(142,419	)		218,778
Energy		744,460		(281,566	)		462,894
Equity indices		3,161,199		(432,535	)		2,728,664
Interest rate instruments		1,141,875		(567,745	)		574,130
Metals		8,252,934		(6,130,593	)		2,122,341
Single stock futures		403		—			403
Net unrealized gain (loss) on open futures contracts	$	16,132,123	$	(7,962,141	)	$	8,169,982

Net open future options contracts
Equity indices	$	264,100	$	(113,200	)	$	150,900

Net unrealized gain (loss) on open forward currency contracts	$	3,468,798	$	(3,486,727	)	$	(17,929	)

At December 31, 2020, there were 15,961 open futures contracts, 476 open futures options contracts and 4,292 open forward currency contracts.

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

At December 31, 2020	Net Amount of Liabilities in the		Gross Amounts Not Offset in the Statements of Financial Condition
Counterparty	Statements of Financial Condition		Financial Instruments		Cash Collateral Received		Net Amount
Deutsche Bank, AG	$	635,784	$	—	$	—	$	635,784
Deutsche Bank Securities, Inc.		1,914,073		—		—		1,914,073
JP Morgan Securities, LLC		128,687		—		—		128,687
SG Americas Securities, LLC		5,624,409		—		—		5,624,409
Total	$	8,302,953	$	—	$	—	$	8,302,953

F-22

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 Statement of Financial Condition			Net Amount of Assets Presented in the Statement 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		355,541		(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:

At December 31, 2019	Net Amount of Assets			Gross Amounts Not Offset in the Statements of Financial Condition
Counterparty	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	)
Societe Generale International Limited		11,435			—		—		11,435
Total	$	(2,515	)	$	—	$	—	$	(2,515	)

F-23

For the years ended December 31, 2020, 2019 and 2018, the Fund’s futures and forwards contracts had the following impact on the statements of operations:

	2020						2019
Types of Exposure	Net realized gain (loss)			Net change in unrealized gain (loss)			Net realized gain (loss)			Net change in unrealized gain (loss)
Futures contracts
Agricultural commodities	$	(1,585,826	)	$	2,331,298		$	(2,676,743	)	$	(1,144,375	)
Currencies		(2,732,086	)		269,693			(475,972	)		161,853
Energy		7,186,515			(682,821	)		(8,168,871	)		582,233
Equity indices		(27,524,737	)		1,622,759			9,018,161			1,474,506
Interest rate instruments		12,327,898			2,828,350			23,349,604			(3,969,669	)
Metals		3,809,617			1,765,542			(380,443	)		797,346
Single stock futures		527,148			(152,039	)		274,580			137,194
Total futures contracts		(7,991,471	)		7,982,782			20,940,316			(1,960,912	)

Future options contracts
Equity indices		—			(157,775	)		—			—
Interest rate instruments		446,632			—			—			—
Total future options contracts		446,632			(157,775	)		—			—

Forward currency contracts		(4,113,043	)		171,786			680,518			(344,773	)

Total futures and forward currency	$	(11,657,882	)	$	7,996,793		$	21,620,834		$	(2,305,685	)

	2018
Types of Exposure	Net realized gain (loss)			Net change in unrealized gain (loss)
Futures contracts
Agricultural commodities	$	(2,561,835	)	$	(89,298	)
Currencies		(788,025	)		(912,945	)
Energy		14,523,103			(3,362,912	)
Equity indices		(4,387,205	)		(2,541,388	)
Interest rate instruments		1,473,055			3,062,855
Metals		1,917,247			(2,919,410	)
Single stock futures		(102,236	)		(19,207	)
Total futures contracts		10,074,104			(6,782,305	)

Forward currency contracts		(1,375,239	)		(1,747,458	)

Total futures and forward currency	$	8,698,865		$	(8,529,763	)

For the years ended December 31, 2020, 2019 and 2018, the number of futures contracts closed was 558,733, 988,640 and 1,846,304, respectively, the number of futures options contracts closed was 3,700, 0 and 0, respectively and the number of forward currency contracts closed was 353,527, 1,141,483 and 449,669, respectively.

F-24

General Partner

At December 31, 2020, 2019 and 2018, and for the years then ended, the General Partner did not maintain a capital balance in the Fund.

The following fees are paid to the General Partner:

▪

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 1/12^th 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 1/12^thof 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.

▪

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

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

Trading Advisors and Cash Managers

The Fund has advisory agreements with various 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 as the amount of Fund assets deposited in the account maintained with the broker plus any notional funds which may be allocated to the Trading Advisor, which, in aggregate, is typically greater than the Fund's net assets), 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 “Cash Manager”). The Fund incurs monthly fees, payable in arrears to the Cash Manager, equal to approximately 1/12th of 0.15% and 1/12th of 0.11% of the investments in securities and certificates of deposit as of the period ended December 31, 2020 and 2019, respectively.

Deposits with Brokers

To meet margin requirements, the Fund deposits funds with brokers, subject to CFTC regulations and various exchange and broker requirements. The Fund earns interest income on its assets deposited with brokers. At December 31, 2020 and 2019, the Fund had assets totaling $52,822,150 and $64,812,057, respectively, with brokers and margin deposit requirements of $31,615,705 and $40,682,048, respectively.

F-25

Subscriptions, Distributions and Redemptions

Investments in the Fund are made by subscription agreement and must be received within five business days of the end of the month, subject to acceptance by the General Partner. The minimum investment is $10,000 for Class A, A2, A3, B and R units and $2,000,000 for Class I units. Units are sold at the respective net asset value per unit for Class A, A2, A3, B, I or R interests as of the close of business on the last day of the month in which the subscription is accepted. Investors whose subscriptions are accepted are admitted as limited partners as of the beginning of the month following the month in which their subscriptions were accepted. At December 31, 2020 and 2019, the Fund received advance subscriptions of $33,000 and $266,000, respectively, which were recognized as subscriptions to the Fund subsequent to period-end.

The Fund is not required to make distributions but may do so at the sole discretion of the General Partner. A limited partner may request and receive redemption of Class A, 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.

Trading Activities and Related Risks

The Fund engages in the speculative trading of futures, options and over-the-counter contracts, including forward currency contracts traded in the U.S. and internationally. Trading in derivatives exposes the Fund to both market risk, the risk arising from a change in the fair value of a contract, and credit risk, the risk of failure by another party to perform according to the terms of a contract.

Purchase and sale of futures contracts requires margin deposits with the futures brokers. Additional deposits may be necessary for any loss of contract value. The Commodity Exchange Act (“CEAct”) requires a broker to segregate all customer transactions and assets from such broker’s proprietary activities. A customer’s cash and other property (for example, U.S. Treasury securities) deposited with a broker are considered commingled with all other customer funds subject to the broker’s segregation requirements. In the event of a broker’s insolvency, recovery may be limited to a pro rata share of segregated funds available. It is possible that the recovered amount could be less than (or none of) the total cash and other property deposited. The Fund uses SG Americas Securities, LLC, JP Morgan Securities, LLC, and Deutsche Bank Securities, Inc. as its futures brokers. The Fund uses Société Générale International Limited and Deutsche Bank AG as its forward currency counterparties.

For futures contracts, risks arise from changes in the fair value of the contracts. Theoretically, the Fund is exposed to a market risk equal to the value of futures and forward currency contracts purchased, and unlimited liability on such contracts sold short.

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

In the case of forward currency contracts, which are traded on the interbank or other institutional market rather than on exchanges, the counterparty is generally a single bank or other financial institution, rather than a clearinghouse backed by a group of financial institutions; thus, there likely will be greater counterparty credit risk. While the Fund trades only with those counterparties that it believes to be creditworthy, there can be no assurance that any clearing member, clearinghouse or other counterparty will be able to meet its obligations to the Fund.

F-26

The Fund trades forward currency contracts in unregulated markets between principals and assumes the risk of loss from counterparty non-performance. Accordingly, the risks associated with forward currency contracts are generally greater than those associated with exchange-traded contracts because of the greater risk of counterparty default. Additionally, the trading of forward currency contracts typically involves delayed cash settlement.

The Fund has a portion of its assets on deposit with interbank market makers and other financial institutions in connection with its trading of forward currency contracts and its cash management activities. In the event of an interbank market maker’s or financial institution’s insolvency, recovery of Fund assets on deposit may be limited to account insurance or other protection afforded such deposits.

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

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

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

F-27

The following table presents the exposure at December 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	$	12,228,514	$	8,398,447	$	70,749,507	$	8,224,234	$	99,600,702		57.76	%
Canada		—		2,399,177		—		—		2,399,177		1.39	%
Ireland		—		2,399,845		—		—		2,399,845		1.39	%
United Kingdom		—		2,399,851		—		—		2,399,851		1.39	%
Hong Kong		—		—		4,000,771		—		4,000,771		2.32	%
Sweden		—		1,199,597		—		—		1,199,597		0.70	%
Finland		—		—		3,038,160		—		3,038,160		1.76	%
Australia		—		3,599,443		—		—		3,599,443		2.09	%
Singapore		—		1,199,740		—		—		1,199,740		0.70	%
Total	$	12,228,514	$	21,596,100	$	77,788,438	$	8,224,234	$	119,837,286		69.50	%

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.

F-28

10.

Financial Highlights

The following information presents per unit operating performance data and other ratios for the years ended December 31, 2020, 2019 and 2018, assuming the unit was outstanding throughout the entire year:

	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⁾		(24.30	)		(4.76	)		(5.17	)		(35.27	)		(9.60	)		(5.02	)
Net investment income (loss)⁽¹⁾		(159.14	)		(28.83	)		(28.93	)		(144.25	)		(10.70	)		(22.82	)
Total income (loss) from operations		(183.44	)		(33.59	)		(34.10	)		(179.52	)		(20.30	)		(27.84	)

Net asset value per unit, end of period	$	3,818.95		$	1,000.45		$	971.15		$	6,088.92		$	1,023.49		$	1,014.58

Total return		(4.58	)%		(3.25	)%		(3.39	)%		(2.86	)%		(1.94	)%		(2.67	)%

Other Financial Ratios
Ratios to average net asset value
Expenses prior to General Partner 1% allocation⁽²⁾		5.64	%		4.30	%		4.29	%		3.81	%		3.02	%		3.71	%
General Partner 1% allocation		(0.06	)%		(0.03	)%		(0.04	)%		(0.05	)%		(0.17	)%		(0.05	)%
Net total expenses		5.58	%		4.27	%		4.25	%		3.76	%		2.85	%		3.66	%

Net investment income (loss)^{(2) (3)}		(4.41	)%		(3.07	)%		(3.10	)%		(2.56	)%		(1.41	)%		(2.45	)%

	2019
	Class A			Class A2			Class A3††			Class B			Class I			Class R
Per Unit Operating Performance

Net asset value per Unit, beginning of period	$	3,911.85		$	996.71		$	1,000.00		$	6,018.20		$	992.59		$	998.83

Net realized and change in unrealized gain (loss) on investments⁽¹⁾		256.20			63.88			12.50			397.19			66.35			65.24
Net investment income (loss)⁽¹⁾		(165.66	)		(26.55	)		(7.25	)		(146.95	)		(15.15	)		(21.65	)
Total income (loss) from operations		90.54			37.33			5.25			250.24			51.20			43.59

Net asset value per unit, end of period	$	4,002.39		$	1,034.04		$	1,005.25		$	6,268.44		$	1,043.79		$	1,042.42

Total return		2.31	%		3.75	%		0.53	%		4.16	%		5.16	%		4.36	%

Other Financial Ratios
Ratios to average net asset value
Expenses prior to General Partner 1% allocation⁽²⁾		6.87	%		5.58	%		2.70	%		5.06	%		4.14	%		4.82	%
General Partner 1% allocation		0.02	%		0.05	%		(0.03	%)		0.04	%		0.04	%		0.04	%
Net total expenses		6.89	%		5.63	%		2.67	%		5.10	%		4.18	%		4.86	%

Net investment income (loss)^{(2) (3)}		(4.13	)%		(2.51	)%		(0.78	)%		(2.33	)%		(1.45	)%		(2.06	)%

F-29

	2018
	Class A			Class A2†			Class B			Class I			Class R
Per Unit Operating Performance

Net asset value per Unit, beginning of period	$	4,146.91		$	1,000.00		$	6,266.93		$	1,023.37		$	1,038.05

Net realized and change in unrealized gain (loss) on investments⁽¹⁾		(84.38	)		(1.80	)		(129.61	)		(21.82	)		(21.91	)
Net investment income (loss)⁽¹⁾		(150.68	)		(1.49	)		(119.12	)		(8.96	)		(17.31	)
Total gain (loss) from operations		(235.06	)		(3.29	)		(248.73	)		(30.78	)		(39.22	)

Net asset value per unit, end of period	$	3,911.85		$	996.71		$	6,018.20		$	992.59		$	998.83

Total return		(5.67	)%		(0.33	)%		(3.97	)%		(3.01	)%		(3.78	)%

Other Financial Ratios
Ratios to average net asset value
Expenses prior to General Partner 1% allocation⁽²⁾		5.62	%		0.54	%		3.81	%		2.76	%		3.60	%
General Partner 1% allocation		(0.06	)%		0.00	%		(0.04	)%		(0.03	)%		(0.04	)%
Net total expenses		5.56	%		0.54	%		3.77	%		2.73	%		3.56	%

Net investment income (loss)^{(2) (3)}		(3.78	)%		(0.15	)%		(1.97	)%		(0.92	)%		(1.73	)%

† Class A2 Units were introduced in December 2018. Total return for 2018 is for the period from introduction to year end and is not annualized.

†† Class A3 Units were introduced in July 2019. Total return for 2019 is for the period from introduction to year end and is not annualized.

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

⁽¹⁾ The net investment income (loss) per unit is calculated by dividing the net investment income (loss) by the average number of Class A, A2, 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⁾ Ratio excludes General Partner 1% allocation.

11. Subsequent Events

The recent global outbreak of COVID-19 has disrupted economic markets. The extent of the economic impact is uncertain at this time, and it is unclear if this event will have a positive or negative impact on the performance of the Fund.

After year end, there were $169,000 of contributions and $6,246,025 of redemptions from the Fund.

F-30

FUTURES PORTFOLIO FUND L.P. - FORM 10-K - March 30, 2021

Attached files

FUTURES PORTFOLIO FUND L.P. Reports