UNITED STATES

SECURITIES AND EXCHANGE COMMISSION 

Washington, D.C. 20549

 

FORM 10-Q

 

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

 

For the quarterly period ended March 31, 2021

 

Commission file number: 000-50728

 

FUTURES PORTFOLIO FUND, LIMITED PARTNERSHIP

 

Organized in Maryland

IRS Employer Identification No.: 52-1627106

 

Address: c/o Steben & Company, LLC,

687 Excelsior Boulevard,

Excelsior, MN 55331

Telephone: (952) 767-6900

 

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

 

Indicate by check mark whether the Registrant (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the Registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days. Yes ☒  No ☐

 

Indicate by check mark whether the registrant has submitted electronically every Interactive Data File required to be submitted pursuant to Rule 405 of Regulation S-T (§232.405 of this chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit such files).  Yes ☒  No ☐

 

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

 

	Large accelerated filer	☐	Accelerated filer	☐
	Non-accelerated filer	☒	Smaller reporting company	☐
			Emerging growth company	☐

 

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

 

Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Exchange Act).

Yes ☐  No ☒

 

 

PART I: FINANCIAL INFORMATION

Item 1. Financial Statements

 

Futures Portfolio Fund, Limited Partnership

Statements of Financial Condition

March 31, 2021 (unaudited) and December 31, 2020

 

		March 31,
		2021				December 31,
		(Unaudited)				2020
Assets
Equity in broker trading accounts
Cash		$	40,788,575			$	44,519,197
Net unrealized gain (loss) on open futures contracts			819,764				8,169,982
Net open futures options contracts (net premium paid $0 and $308,675)			—				150,900
Net unrealized gain (loss) on open forward currency contracts			510,294				(17,929	)
Net unrealized gain (loss) on swap contracts			97				—
Total equity in broker trading accounts			42,118,730				52,822,150
Cash and cash equivalents			8,632,899				6,050,682
Investment in private investment company, at fair value (cost$ 4,166,667 and $0)			3,986,132				—
Investment in securities, at fair value (cost $114,155,430 and $119,021,021)			114,711,526				119,837,286
General Partner 1% allocation receivable			—				119,874
Exchange membership, at fair value (cost $189,000 and $189,000)			46,000				51,000
Total assets		$	169,495,287			$	178,880,992
Liabilities and Partners’ Capital (Net Asset Value)
Liabilities
Trading Advisor management fees payable		$	255,835			$	254,786
Trading Advisor incentive fees payable			304,999				—
Commissions and other trading fees payable on open contracts			25,288				30,761
Cash Managers fees payable			34,881				36,558
General Partner management and performance fees payable			210,467				223,028
General Partner 1% allocation payable			17,380				—
Selling Agent payable - General Partner			192,789				205,514
Broker dealer servicing fees payable - General Partner			7,439				7,784
Administrative fee payable - General Partner			62,444				66,263
Dividend and interest payable			2,510				—
Redemption payable			5,191,505				5,585,666
Subscriptions received in advance			300,000				33,000
Total liabilities			6,605,537				6,443,360
Partners’ Capital (Net Asset Value)
Class A Interests – 28,924.7788 and 31,093.6904 units outstanding at March 31, 2021 and December 31, 2020, respectively			111,465,264				118,745,248
Class A2 Interests – 340.7057 and 523.0963 units outstanding at March 31, 2021 and December 31, 2020, respectively			345,152				523,333
Class A3 Interests – 38.0000 and 86.0607 units outstanding at March 31, 2021 and December 31, 2020, respectively			37,354				83,577
Class B Interests – 7,037.5313 and 7,397.6585 units outstanding at March 31, 2021 and December 31, 2020, respectively			43,433,557				45,043,756
Class I Interests – 256.4767 and 256.4767 units outstanding at March 31, 2021 and December 31, 2020, respectively			266,696				262,500
Class R Interests – 7,135.6299 and 7,667.4336 units outstanding at March 31, 2021 and December 31, 2020, respectively			7,341,727				7,779,218
Total partners’ capital (net asset value)			162,889,750				172,437,632
Total liabilities and partners’ capital (net asset value)		$	169,495,287			$	178,880,992

 

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

 

 

Futures Portfolio Fund, Limited Partnership

Condensed Schedule of Investments 

March 31, 2021 (Unaudited)

 

												% of Partners’
												Capital (Net
			Description						Fair Value			Asset Value)
INVESTMENTS IN SECURITIES
U.S. Treasury Securities
	Face Value	Maturity Date	Name		Yield 1
$	6,000,000	10/31/21	U.S. Treasury		2.00%			$	6,117,887			3.76	%
	6,000,000	1/31/22	U.S. Treasury		1.38%				6,078,362			3.73	%
Total U.S. Treasury securities (cost: $12,264,375)									12,196,249			7.49	%
U.S. Commercial Paper
	Face Value	Maturity Date	Name		Yield 1
Diversified financial services
$	1,200,000	5/3/21	DCAT, LLC		0.15%				1,199,840			0.73	%
	1,200,000	4/27/21	Gotham Funding Corporation		0.12%				1,199,896			0.73	%
	1,200,000	4/5/21	Manhattan Asset Funding Company LLC		0.10%				1,199,984			0.74	%
Energy
	1,200,000	4/13/21	ONE Gas, Inc.		0.13%				1,199,944			0.74	%
Healthcare
	1,200,000	4/21/21	UnitedHealth Group Incorporated		0.12%				1,199,913			0.74	%
Manufacturing
	1,200,000	4/6/21	Sheffield Receivables Company LLC		0.12%				1,199,977			0.74	%
Water
	1,200,000	4/5/21	American Water Capital Corp.		0.10%				1,199,984			0.74	%
Total U.S. commercial paper (cost: $8,398,358)									8,399,538			5.16	%

 

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

 

 

Futures Portfolio Fund, Limited Partnership 

Condensed Schedule of Investments (continued)

March 31, 2021 (Unaudited)

 

												% of Partners’
												Capital (Net
			Description						Fair Value			Asset Value)
Foreign Commercial Paper
	Face Value	Maturity Date	Name		Yield 1
Banks
$	1,200,000	4/22/21	DBS Bank Ltd.		0.11%			$	1,199,923			0.74	%
	1,200,000	4/23/21	KfW		0.10%				1,199,927			0.74	%
	1,200,000	5/10/21	National Bank of Canada		0.14%				1,199,818			0.73	%
	1,200,000	4/20/21	Nordea Bank Abp		0.14%				1,199,905			0.74	%
	1,200,000	6/16/21	Skandinaviska Enskilda Banken AB (publ.)		0.00%				1,199,620			0.73	%
	1,200,000	6/2/21	United Overseas Bank Limited		0.10%				1,199,793			0.73	%
	1,200,000	4/12/21	Westpac Banking Corporation		0.15%				1,199,941			0.74	%
Chemicals
	1,200,000	5/25/21	BASF SE		0.18%				1,199,676			0.73	%
Diversified financial services
	1,200,000	4/7/21	Nieuw Amsterdam Receivables Corporation B.V.		0.12%				1,199,972			0.74	%
Energy
	1,200,000	4/28/21	Total Capital Canada Ltd.		0.14%				1,199,874			0.74	%
Insurance
	1,200,000	4/7/21	Prudential plc		0.06%				1,199,986			0.74	%
Total foreign commercial paper (cost: $13,196,500)									13,198,435			8.10	%
Total commercial paper (cost: $21,594,858)									21,597,973			13.26	%
U.S. Corporate Notes
	Face Value	Maturity Date	Name		Yield 1
Aerospace
$	4,000,000	5/1/22	Boeing Company		2.70%				4,130,256			2.54	%
	1,600,000	8/16/23	Raytheon Technologies Corporation		3.65%				1,716,198			1.05	%
Agriculture
	4,850,000	5/5/21	Altria Group, Inc.		4.75%				4,961,569			3.05	%
Banks
	4,000,000	5/5/23	Credit Suisse AG, New York Branch		1.00%				4,035,742			2.48	%
	5,000,000	4/25/23	JPMorgan Chase & Co.		2.78%				5,178,222			3.18	%
	4,000,000	5/17/22	SunTrust Bank		2.80%				4,146,545			2.55	%
	4,250,000	1/24/24	Wells Fargo & Company		3.75%				4,625,701			2.84	%
Diversified financial services
	4,000,000	1/8/24	Athene Global Funding		0.95%				4,009,209			2.46	%
	4,250,000	4/26/22	Goldman Sachs Group, Inc.		3.00%				4,310,200			2.65	%
	600,000	12/7/23	The Bank of New York Mellon Corporation		0.35%				599,868			0.37	%
Equipment
	3,500,000	4/24/23	Micron Technology, Inc.		2.50%				3,669,035			2.25	%
Food
	2,000,000	4/16/21	General Mills, Inc.		3.20%				2,031,105			1.25	%
Healthcare
	3,000,000	6/1/21	CVS Health Corporation		2.13%				3,024,700			1.86	%
Pharmaceuticals
	3,500,000	6/25/21	Bayer US Finance II LLC		0.83%				3,502,879			2.15	%
	4,000,000	5/16/22	Bristol-Myers Squibb Company		2.60%				4,136,084			2.54	%
	3,500,000	2/1/23	Zoetis Inc.		3.25%				3,667,323			2.25	%
Telecommunications
	4,000,000	2/9/22	Apple Inc.		2.50%				4,083,952			2.51	%
	3,500,000	6/30/22	AT&T Inc.		3.00%				3,624,272			2.22	%
Total U.S. corporate notes (cost: $64,852,871)									65,452,860			40.20	%

 

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

 

 

Futures Portfolio Fund, Limited Partnership 

Condensed Schedule of Investments (continued)

March 31, 2021 (Unaudited)

 

												% of Partners’
												Capital (Net
			Description						Fair Value			Asset Value)
Foreign Corporate Notes
	Face Value	Maturity Date	Name		Yield 1
Banks
$	3,000,000	6/9/23	Nordea Bank Abp		1.00%			$	3,035,526			1.86	%
Insurance
	4,000,000	9/20/21	AIA Group Limited		0.71%				4,004,273			2.46	%
Total foreign corporate notes (cost: $6,996,910)									7,039,799			4.32	%
Total corporate notes (cost: $71,849,781)									72,492,659			44.52	%
U.S. Asset Backed Securities
	Face Value	Maturity Date	Name		Yield 1
Automotive
$	190,733	1/18/23	Americredit Automobile Receivables Trust 2019-3		2.17%				191,248			0.12	%
	371,000	8/15/28	Ford Credit Auto Owner Trust 2017-Rev1		2.62%				378,828			0.23	%
	203,062	6/20/22	Honda Auto Receivables 2019-4 Owner Trust		1.86%				203,830			0.13	%
	108,504	5/15/23	Santander Drive Auto Receivables Trust 2020-2		0.62%				108,597			0.07	%
	146,319	4/20/22	Santander Retail Auto Lease Trust 2019-B		2.29%				146,731			0.09	%
	700,000	3/20/25	TESLA 2021-A A2		0.36%				699,874			0.43	%
	276,922	4/20/22	Tesla Auto Lease Trust 2019-A		2.13%				279,172			0.17	%
	111,316	8/15/23	World Omni Select Auto Trust 2019-A		2.06%				111,704			0.07	%
	427,860	12/15/23	World Omni Auto Receivables Trust 2020-C		0.35%				428,219			0.26	%
	462,811	6/17/24	World Omni Select Auto Trust 2020-A		0.47%				463,289			0.27	%
Credit cards
	575,000	9/15/21	American Express Credit Account Master Trust 2018 - 8		3.18%				583,615			0.36	%
	250,000	9/15/24	Synchrony Card Issuance Trust, Series 2018-1		3.38%				253,915			0.16	%
	250,000	5/15/24	Synchrony Credit Card Master Note Trust 2016-2		2.21%				250,848			0.15	%
Equipment
	600,000	10/22/24	Dell Equipment Finance Trust 2019-2		1.91%				607,204			0.37	%
	604,470	6/22/22	Dell Equipment Finance Trust 2020-1		2.26%				610,155			0.37	%
	546,293	6/15/22	GreatAmerica Leasing Receivables Funding, LLC		1.76%				549,543			0.34	%
	775,000	7/22/30	HPEFS Equipment Trust 2020-2		0.69%				777,083			0.48	%
	1,000,000	3/20/31	HPEFS Equipment Trust 2021-1		0.27%				1,000,060			0.61	%
	383,907	4/20/23	Verizon Owner Trust 2018-A		3.23%				388,447			0.24	%
	375,000	7/22/24	Verizon Owner Trust 2020-A		1.85%				382,573			0.23	%
Student loans
	9,704	11/25/27	SLM Student Loan Trust 2011-2		0.71%				9,710			0.01	%
Total U.S. asset backed securities (cost: $8,446,416)									8,424,645			5.16	%
Total investments in securities (cost: $114,155,430)								$	114,711,526			70.43	%

  

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

 

 

Futures Portfolio Fund, Limited Partnership
Condensed Schedule of Investments (continued)
March 31, 2021 (Unaudited)

 

			Description		Fair Value			% of Partners’  Capital (Net Asset Value)
OPEN FUTURES CONTRACTS Long U.S. Futures Contracts
			Agricultural commodities		$	582,708			0.36	%
			Currencies			(80,825	)		(0.05	)%
			Energy			(578,310	)		(0.36	)%
			Equity indices			291,641			0.18	%
			Interest rate instruments			(707,270	)		(0.43	)%
			Metals2			2,123,542			1.30	%
Net unrealized gain (loss) on open long U.S. futures contracts						1,631,486			1.00	%
Short U.S. Futures Contracts
			Agricultural commodities			(16,676	)		(0.01	)%
			Currencies			98,276			0.06	%
			Energy			41,253			0.03	%
			Equity indices			122,583			0.08	%
			Interest rate instruments			468,909			0.29	%
			Metals2			(1,846,380	)		(1.14	)%
Net unrealized gain (loss) on open short U.S. futures contracts						(1,132,035	)		(0.69	)%
Total U.S. Futures Contracts - net unrealized gain (loss) on open U.S. futures contracts						499,451			0.31	%
Long Foreign Futures Contracts
			Agricultural commodities			(31,070	)		(0.02	)%
			Currencies			33,094			0.02	%
			Energy			257,619			0.16	%
			Equity indices			550,635			0.34	%
			Interest rate instruments			(351,726	)		(0.22	)%
			Metals			343			0.00	%
Net unrealized gain (loss) on open long foreign futures contracts						458,895			0.28	%
Short Foreign Futures Contracts
			Agricultural commodities			(1,614	)		0.00	%
			Currencies			27,410			0.02	%
			Equity indices			(242,218	)		(0.15	)%
			Interest rate instruments			80,351			0.05	%
			Metals			(2,511	)		0.00	%
Net unrealized gain (loss) on open short foreign futures contracts						(138,582	)		(0.08	)%
Total foreign futures contracts - net unrealized gain (loss) on open foreign futures contracts						320,313			0.20	%
Net unrealized gain (loss) on open futures contracts					$	819,764			0.51	%

 

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

 

 

Futures Portfolio Fund, Limited Partnership
Condensed Schedule of Investments (continued)
March 31, 2021 (Unaudited)

 

			Description		Fair Value			% of Partners’  Capital (Net Asset Value)
OPEN FORWARD CURRENCY CONTRACTS U.S. Forward Currency Contracts
			Long2		$	(2,463,374	)		(1.51	)%
			Short2			2,779,594			1.71	%
Net unrealized gain (loss) on open U.S. forward currency contracts						316,220			0.20	%
Foreign Forward Currency Contracts
			Long			179,930			0.11	%
			Short			14,144			0.01	%
Net unrealized gain (loss) on open foreign forward currency contracts						194,074			0.12	%
Net unrealized gain (loss) on open forward currency contracts					$	510,294			0.32	%
TOTAL RETURNS SWAP CONTRACTS
			Long		$	97			0.00	%
INVESTMENT IN PRIVATE INVESTMENT COMPANY 3
			Investment in private investment company (cost :$4,166,667)			3,986,132			2.45	%

 

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

 

² No individual futures or forward currency contract position constituted one percent or greater of partners’ capital (net asset value). Accordingly, the number of contracts and expiration dates are not presented.

 

³ Private investment company is managed by a Commodity Trading Advisor (“CTA”) that trades global commodities markets primarily through futures contracts. The CTA is paid a management fee of up to 1.00% and a 20% share of the trading profits. The Fund may redeem any portion of its investment on a daily basis. Any requested redemption will be satisfied within two days. There are no restrictions on liquidity for the Fund.

  

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

 

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.

 

 

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			1/2/20			Nationwide Building Society			0.14	%	$	1,199,977			0.70	%
Banks
	1,200,000			2/11/21			DNB Bank ASA			0.19	%		1,199,740			0.69	%
	1,200,000			2/23/21			Commonwealth Bank of America			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 Enskida 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- Domomion 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	%
	3,000,000			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.

 

 

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
$	33,644			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 Drive Auto Receivables Trust 2019-B			2.29	%		250,474			0.15	%
	186,940			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 Selecgt 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 Auto Receivables 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			5/15/24			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 EquipmentTrust 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)													8,224,834			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.

 

 

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			(5,147,830)			(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			14,770,692			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.

 

 

 

 

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 paid $279,738)
				(113,200)			(0.07)	%
Net unrealized gain (loss) on open futures options contracts			$	150,900			0.08	%
OPEN FORWARD CURRENCY CONTRACTS
U.S. Forward Currency Contracts
	Long2		$	2,003,451			1.16	%
	Short2			(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)	%

 

 

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

 

² No individual futures or forward currency contract position constituted one percent or greater of partners’ capital (net asset value). Accordingly, the number of contracts and expiration dates are not presented.

 

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

 

 

Futures Portfolio Fund, Limited Partnership

Statements of Operations

For the Three Months Ended March 31, 2021 and 2020

(Unaudited)

 

		Three Months Ended March 31,
		2021				2020
Realized and Change in Unrealized Gain (Loss) on Investments
Net realized gain (loss) on:
Futures, swaps and forward contracts		$	11,273,818			$	(27,101,585	)
Investments in SMFSF			—				(2,753,150	)
Investments in securities			263,047				278,233
Net change in unrealized gain (loss) on:
Futures, swaps and forward contracts			(6,664,122	)			6,092,379
Investments in SMFSF			—				2,882,001
Investment in private investment company			(180,535	)			—
Investments in securities			(603,832	)			(1,146,766	)
Exchange membership			(5,000	)			17,500
Brokerage commissions and trading expenses			(269,129	)			(529,032	)
Net realized and change in unrealized gain (loss) on investments			3,814,247				(22,260,420	)
Net Investment Income (Loss)
Income
Interest income (loss)			328,865				1,083,448
Expenses
Trading Advisor management fee			626,580				889,708
Trading Advisor incentive fee			304,999				213,562
Cash Manager fees			39,491				51,205
General Partner management and performance fees			636,442				875,437
Selling agent fees – General Partner			584,079				782,424
Broker dealer servicing fees – General Partner			22,340				32,098
General Partner 1% allocation			17,380				(242,554	)
Administrative expenses – General Partner			191,153				234,010
Total expenses			2,422,464				2,835,890
Net investment income (loss)			(2,093,599	)			(1,752,442	)
Net Income (Loss)		$	1,720,648			$	(24,012,862	)

 

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

 

 

Futures Portfolio Fund, Limited Partnership

Statements of Operations (continued)

For the Three Months Ended March 31, 2021 and 2020

(unaudited)

 

		Three Months Ended March 31, 2021
			Class A			Class A2			Class A3			Class B			Class I			Class R
Increase (decrease) in net asset value per unit		$	34.68		$	12.60		$	11.86		$	82.78		$	16.36		$	14.30
Net income (loss) per unit†		$	32.59		$	12.25		$	12.67		$	80.28		$	16.36		$	14.26
Weighted average number of units outstanding			30,085.4184			454.8693			62.0304			7,242.2796			256.4767			7,456.7224

 

		Three Months Ended March 31, 2020
			Class A			Class A2			Class A3			Class B			Class I			Class R
Increase (decrease) in net asset value per unit		$	(413.29	)	$	(103.55	)	$	(101.01	)	$	(622.14	)	$	(101.38	)	$	(102.99	)
Net income (loss) per unit†		$	(398.49	)	$	(107.66	)	$	(101.00	)	$	(618.84	)	$	(101.38	)	$	(88.13	)
Weighted average number of units outstanding			40,634.2480			597.4029			86.0607			10,583,8129			1,769.1082			11,556.0472

 

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

 

 

Futures Portfolio Fund, Limited Partnership

Statements of Cash Flows

For the Three Months Ended March 31, 2021 and 2020

(Unaudited)

 

		Three Months Ended March 31,
		2021				2020
Cash flows from operating activities
Net income (loss)		$	1,720,648			$	(24,012,862	)
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities
Net change in unrealized (gain) loss from futures and forwards trading			6,972,798				(6,092,379	)
Net realized and change in unrealized (gain) loss on SMFSF, securities and certificates of deposit			521,320				739,682
Purchases of securities, private investment company and certificates of deposit			(83,697,426	)			(156,019,995	)
Proceeds from disposition of SMFSF, securities and certificates of deposit			84,315,734				187,974,570
Changes in
Exchange membership			5,000				(17,500	)
Trading Advisor management fee payable			1,049				(115,005	)
Trading Advisor incentive fee payable			304,999				(388,846	)
Commissions and other trading fees payable on open contracts			(5,473	)			(32,138	)
Cash Manager fees payable			(1,677	)			51,205
General Partner management and performance fees payable			(12,561	)			(50,393	)
General Partner 1% allocation receivable/payable			137,254				(323,031	)
Selling agent fees payable – General Partner			(12,725	)			(45,767	)
Broker dealer servicing fees payable – General Partner			(345	)			(1,338	)
Administrative fee payable – General Partner			(3,819	)			15,497
Dividend and interest payable			2,510				—
Net cash provided by operating activities			10,247,286				1,681,700
Cash flows from financing activities
Subscriptions			136,000				248,803
Subscriptions received in advance			300,000				121,911
Redemptions			(11,831,691	)			(16,710,308	)
Net cash used in financing activities			(11,395,691	)			(16,339,594	)
Net increase (decrease) in cash and cash equivalents			(1,148,405	)			(14,657,894	)
Cash and cash equivalents, beginning of period			50,569,879				69,988,877
Cash and cash equivalents, end of period		$	49,421,474			$	55,330,983
End of period cash and cash equivalents consists of
Cash in broker trading accounts		$	40,788,575			$	37,373,064
Cash and cash equivalents not in broker trading accounts			8,632,899				17,957,919
Total end of period cash and cash equivalents		$	49,421,474			$	55,330,983
Supplemental disclosure of cash flow information
Prior period redemptions paid		$	5,585,666			$	4,780,643
Prior period subscriptions received in advance		$	33,000			$	266,000
Supplemental schedule of non-cash financing activities
Redemptions payable		$	5,191,505			$	4,442,475

 

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

 

 

Futures Portfolio Fund, Limited Partnership

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

For the Three Months Ended March 31, 2021 and 2020

(Unaudited)

 

		Class A				Class A2				Class A3				Class B				Class I				Class R				Total
Three Months Ended
March 31, 2021
Balance at December 31, 2020		$	118,745,248			$	523,333			$	83,577			$	45,043,756			$	262,500			$	7,779,218			$	172,437,632
Net income (loss)			1,006,946				6,418				939				593,906				4,196				108,243				1,720,648
Subscriptions			136,000				—				—				33,000				—				—				169,000
Redemptions			(8,297,140	)			(184,599	)			(47,162	)			(2,362,895	)			—				(545,734	)			(11,437,530	)
Transfers			(125,790	)			—				—				125,790				—				—				—
Balance at March 31, 2021		$	111,465,264			$	345,152			$	37,354			$	43,433,557			$	266,696			$	7,341,727			$	162,889,750
Three Months Ended
March 31, 2020
Balance at December 31, 2019		$	166,191,101			$	544,240			$	86,512			$	66,498,788			$	1,846,574			$	13,081,928			$	248,249,143
Net income (loss)			(16,192,422	)			(64,315	)			(8,692	)			(6,549,700	)			(179,354	)			(1,018,379	)			(24,012,862	)
Subscriptions			303,803				98,000				—				113,000				—				—				514,803
Redemptions			(9,387,547	)			—				—				(4,207,077	)			—				(2,777,516	)			(16,372,140	)
Transfers			(219,684	)			—				—				219,684				—				—				—
Balance at March 31, 2020		$	140,695,251			$	577,925			$	77,820			$	56,074,695			$	1,667,220			$	9,286,033			$	208,378,944

 

		Units
		Class A				Class A2				Class A3				Class B				Class I				Class R
Three Months Ended
March 31, 2021
Balance at December 31, 2020			31,093.6903				523.0963				86.0607				7,397.6586				256.4767				7,667.4336
Subscriptions			36.3455				—				—				5.4197				—				—
Redemptions			(2,171.6400	)			(182.39	)			(48.06	)			(386.6001	)			—				(531.8037	)
Transfers			(33.6170	)			—				—				21.0531