| Closing Price ($) | Shares Out (MM) | Market Cap ($MM) |
| $0.00 | -0 | $-0 |
| 8-K | 2020-01-01 | |
| 8-K | 2019-11-01 | |
| 8-K | 2019-10-31 | Control |
| 8-K | 2019-10-01 | |
| 8-K | 2019-09-01 | |
| 8-K | 2019-08-01 | |
| 8-K | 2019-07-01 | |
| 8-K | 2019-07-01 | Officers |
| 8-K | 2019-06-01 | |
| 8-K | 2019-04-01 | |
| 8-K | 2019-04-01 | |
| 8-K | 2019-03-01 | |
| 8-K | 2019-02-01 | |
| 8-K | 2019-01-01 | |
| 8-K | 2018-12-01 | |
| 8-K | 2018-11-01 | |
| 8-K | 2018-10-01 | |
| 8-K | 2018-08-01 | |
| 8-K | 2018-08-01 | |
| 8-K | 2018-06-01 | |
| 8-K | 2018-06-01 | |
| 8-K | 2018-04-01 | |
| 8-K | 2018-04-01 | |
| 8-K | 2018-03-01 | |
| 8-K | 2018-02-01 | |
| 8-K | 2018-01-01 |
| Part I: Financial Information |
| Item 1. Financial Statements |
| Item 2. Management’S Discussion and Analysis of Financial Condition and Results of Operations |
| Item 3. Quantitative and Qualitative Disclosures About Market Risk |
| Item 4. Controls and Procedures |
| Part Ii: Other Information |
| Item 1. Legal Proceedings. |
| Item 1A. Risk Factors. |
| Item 2. Unregistered Sales of Equity Securities and Use of Proceeds |
| Item 3. Defaults Upon Senior Securities |
| Item 4. Mine Safety Disclosures |
| Item 5. Other Information |
| Item 6. Exhibits |
| EX-31.01 | ex31-01.htm |
| EX-31.02 | ex31-02.htm |
| EX-32.01 | ex32-01.htm |
| EX-32.02 | ex32-02.htm |
| Balance Sheet | Income Statement | Cash Flow |
|---|---|---|
| Comparables ($MM TTM) | |||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|
| Ticker | M Cap | Assets | Liab | Rev | G Profit | Net Inc | EBITDA | EV | G Margin | EV/EBITDA | ROA |
| HCXY | |||||||||||
| PBB | |||||||||||
| PLL | |||||||||||
| MMD | |||||||||||
| DFP | 8,634 | 6,855 | 1,926 | 0 | 183 | 273 | -0 | 0% | -0.0 | 2% | |
| NMS | 7,359 | 6,982 | 4,689 | 316 | -164 | 475 | 4,943 | 7% | 10.4 | -2% | |
| GEF | 5,552 | 4,354 | 4,351 | 906 | 170 | 448 | 2,808 | 21% | 6.3 | 3% | |
| GSAH | 703 | 25 | 0 | 0 | 10 | 13 | -701 | -54.9 | 1% | ||
| FPF | 271 | 6 | 0 | 0 | -2 | -2 | -63 | 37.9 | -1% | ||
| IFRX | 159 | 8 | 0 | 0 | 0 | 0 | -0 | 0% | |||
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 September 30, 2019
Commission file number: 000-50728
FUTURES PORTFOLIO FUND, LIMITED PARTNERSHIP
| Organized in Maryland | IRS Employer Identification No.: 52-1627106 |
c/o Steben & Company LLC
9711 Washingtonian Blvd., Suite 400
Gaithersburg, Maryland 20878
(240) 631-7600
Indicate by check mark whether the Registrant (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the Registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days.
Yes ☒ No ☐
Indicate by check mark whether the registrant has submitted electronically 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 ☒
Securities registered pursuant to Section 12(b) of the Act: N/A
PART I: FINANCIAL INFORMATION
Item 1. Financial Statements
Futures Portfolio Fund, Limited Partnership
Statements of Financial Condition
September 30, 2019 (Unaudited) and December 31, 2018
| September 30, 2019 (Unaudited) | December 31, 2018 | |||||||
| Assets | ||||||||
| Equity in broker trading accounts | ||||||||
| Cash | $ | 40,909,461 | $ | 27,926,584 | ||||
| Net unrealized gain (loss) on open futures contracts | 1,464,146 | 2,148,112 | ||||||
| Net unrealized gain (loss) on open forward currency contracts | 228,167 | 155,058 | ||||||
| Total equity in broker trading accounts | 42,601,774 | 30,229,754 | ||||||
| Cash and cash equivalents | 19,662,377 | 18,259,197 | ||||||
| Investment in SMFSF, at fair value (cost $24,659,678 and $30,659,588) | 22,982,700 | 27,423,206 | ||||||
| Investments in securities, at fair value (cost $184,022,271 and $217,418,518) | 185,436,402 | 217,055,133 | ||||||
| General Partner 1% allocation receivable | — | 165,532 | ||||||
| Exchange membership, at fair value (cost $189,000 and $189,000) | 82,750 | 145,500 | ||||||
| Total assets | $ | 270,766,003 | $ | 293,278,322 | ||||
| Liabilities and Partners’ Capital (Net Asset Value) | ||||||||
| Liabilities | ||||||||
| Trading Advisor management fees payable | $ | 326,244 | $ | 369,048 | ||||
| Trading Advisor incentive fees payable | 538,776 | 492,547 | ||||||
| Commissions and other trading fees payable on open contracts | 60,091 | 50,074 | ||||||
| Cash Manager fees payable | 45,179 | 55,890 | ||||||
| General Partner management and performance fees payable | 333,994 | 362,658 | ||||||
| General Partner 1% allocation payable | 175,181 | — | ||||||
| Selling agent fees payable – General Partner | 302,011 | 326,024 | ||||||
| Broker dealer servicing fees payable – General Partner | 11,721 | 13,539 | ||||||
| Administrative fee payable – General Partner | 64,449 | 67,240 | ||||||
| Redemptions payable | 2,537,859 | 5,057,655 | ||||||
| Subscriptions received in advance | 1,311,600 | 224,523 | ||||||
| Total liabilities | 5,707,105 | 7,019,198 | ||||||
| Partners’ Capital (Net Asset Value) | ||||||||
| Class A Interests – 42,983.1627 and 48,319.8508 units outstanding at September 30, 2019 and December 31, 2018, respectively | 178,595,581 | 189,019,997 | ||||||
| Class A2 Interests – 526.3226 and 146.5000 units outstanding at September 30, 2019 and December 31, 2018, respectively | 563,035 | 146,018 | ||||||
| Class A3 Interests – 38.0000 and no units outstanding at September 30, 2019 and December 31, 2018, respectively | 39,533 | — | ||||||
| Class B Interests – 10,755.6323 and 13,290.4576 units outstanding at September 30, 2019 and December 31, 2018, respectively | 69,680,276 | 79,984,663 | ||||||
| Class I Interests – 1,769.1082 and 3,466.2779 units outstanding at September 30, 2019 and December 31, 2018, respectively | 1,903,966 | 3,440,608 | ||||||
| Class R Interests – 13,258.0232 and 13,683.8897 units outstanding at September 30, 2019 and December 31, 2018, respectively | 14,276,507 | 13,667,838 | ||||||
| Total partners’ capital (net asset value) | 265,058,898 | 286,259,124 | ||||||
| Total liabilities and partners’ capital (net asset value) | $ | 270,766,003 | $ | 293,278,322 | ||||
The accompanying notes are an integral part of these financial statements.
1
Futures Portfolio Fund, Limited Partnership
Condensed Schedule of Investments
September 30, 2019 (Unaudited)
| Description | Fair Value | % of Partners’ Capital (Net Asset Value) | ||||||||||||||||
| INVESTMENTS IN SECURITIES | ||||||||||||||||||
| U.S. Treasury Securities | ||||||||||||||||||
| Face Value | Maturity Date | Name | Yield1 | |||||||||||||||
| $ | 8,000,000 | 10/17/19 | U.S. Treasury | 2.09 | % | $ | 7,993,294 | 3.02 | % | |||||||||
| 6,000,000 | 10/31/19 | U.S. Treasury | 1.25 | % | 6,028,573 | 2.27 | % | |||||||||||
| 8,000,000 | 11/21/19 | U.S. Treasury | 1.92 | % | 7,979,174 | 3.01 | % | |||||||||||
| 3,000,000 | 11/30/19 | U.S. Treasury | 1.75 | % | 3,016,237 | 1.14 | % | |||||||||||
| 8,000,000 | 12/15/19 | U.S. Treasury | 1.38 | % | 8,023,709 | 3.03 | % | |||||||||||
| 8,000,000 | 12/26/19 | U.S. Treasury | 1.87 | % | 7,965,442 | 3.01 | % | |||||||||||
| 8,500,000 | 1/31/20 | U.S. Treasury | 1.38 | % | 8,503,753 | 3.20 | % | |||||||||||
| Total U.S. Treasury securities (cost: $49,356,853) | 49,510,182 | 18.68 | % | |||||||||||||||
| U.S. Commercial Paper | ||||||||||||||||||
| Face Value | Maturity Date | Name | Yield1 | |||||||||||||||
| Automotive | ||||||||||||||||||
| $ | 1,300,000 | 10/16/19 | Harley-Davidson Financial Services, Inc. | 2.30 | % | 1,298,673 | 0.49 | % | ||||||||||
| Banks | ||||||||||||||||||
| 1,300,000 | 11/26/19 | Credit Suisse AG, New York Branch | 2.06 | % | 1,295,753 | 0.49 | % | |||||||||||
| 1,300,000 | 10/1/19 | Mitsubishi UFJ Trust and Banking Corp. (NY Branch) | 0.00 | % | 1,300,000 | 0.49 | % | |||||||||||
| Beverages | ||||||||||||||||||
| 1,500,000 | 10/30/19 | Brown-Forman Corporation | 2.05 | % | 1,497,438 | 0.56 | % | |||||||||||
| Chemicals | ||||||||||||||||||
| 1,400,000 | 10/10/19 | DuPont de Nemours, Inc. | 1.97 | % | 1,399,233 | 0.53 | % | |||||||||||
| 1,400,000 | 10/15/19 | DuPont de Nemours, Inc. | 2.07 | % | 1,398,791 | 0.53 | % | |||||||||||
| Diversified financial services | ||||||||||||||||||
| 1,400,000 | 11/12/19 | CRC Funding, LLC | 2.05 | % | 1,396,570 | 0.53 | % | |||||||||||
| 1,300,000 | 10/7/19 | DCAT, LLC | 1.80 | % | 1,299,545 | 0.49 | % | |||||||||||
| 1,500,000 | 10/4/19 | Gotham Funding Corporation | 1.59 | % | 1,499,735 | 0.56 | % | |||||||||||
| 1,500,000 | 12/16/19 | Intercontinental Exchange, Inc. | 2.09 | % | 1,493,287 | 0.56 | % | |||||||||||
| 1,400,000 | 11/15/19 | Manhattan Asset Funding Company LLC | 2.05 | % | 1,396,325 | 0.53 | % | |||||||||||
| 1,400,000 | 10/16/19 | Regency Markets No 1 LLC | 2.02 | % | 1,398,746 | 0.53 | % | |||||||||||
| Energy | ||||||||||||||||||
| 1,300,000 | 10/21/19 | Thunder Bay Funding, LLC | 1.98 | % | 1,298,498 | 0.49 | % | |||||||||||
| 1,300,000 | 10/28/19 | CenterPoint Energy, Inc. | 2.14 | % | 1,297,836 | 0.49 | % | |||||||||||
| 1,300,000 | 10/18/19 | Consolidated Edison, Inc. | 2.08 | % | 1,298,649 | 0.49 | % | |||||||||||
| 1,400,000 | 10/3/19 | NextEra Energy Capital Holdings, Inc. | 1.47 | % | 1,399,829 | 0.53 | % | |||||||||||
| Total U.S. commercial paper (cost: $21,939,963) | 21,968,908 | 8.29 | % | |||||||||||||||
| Foreign Commercial Paper | ||||||||||||||||||
| Face Value | Maturity Date | Name | Yield1 | |||||||||||||||
| Automotive | ||||||||||||||||||
| $ | 1,400,000 | 11/1/19 | Nationwide Building Society | 2.12 | % | 1,397,360 | 0.53 | % | ||||||||||
| 1,500,000 | 10/17/19 | Skandinaviska Enskilda Banken AB | 2.09 | % | 1,498,520 | 0.56 | % | |||||||||||
| 1,300,000 | 12/5/19 | United Overseas Bank Ltd | 2.05 | % | 1,295,118 | 0.48 | % | |||||||||||
| Diversified financial services | ||||||||||||||||||
| 1,300,000 | 10/1/19 | Anglesea Funding PLC | 0.00 | % | 1,300,000 | 0.49 | % | |||||||||||
| Energy | ||||||||||||||||||
| 1,400,000 | 10/31/19 | Engie SA | 2.10 | % | 1,397,468 | 0.53 | % | |||||||||||
| 1,400,000 | 12/9/19 | Schlumberger Investment SA | 2.03 | % | 1,394,472 | 0.53 | % | |||||||||||
| Telecommunication | ||||||||||||||||||
| 1,400,000 | 10/8/19 | Rogers Communications Inc. | 1.96 | % | 1,399,390 | 0.53 | % | |||||||||||
| 1,300,000 | 11/20/19 | Telstra Corporation Limited | 2.08 | % | 1,296,172 | 0.49 | % | |||||||||||
| Total foreign commercial paper (cost: $10,960,496) | 10,978,500 | 4.14 | % | |||||||||||||||
| Total commercial paper (cost: $32,900,459) | 32,947,408 | 12.43 | % | |||||||||||||||
The accompanying notes are an integral part of these financial statements.
2
Futures Portfolio Fund, Limited Partnership
Condensed Schedule of Investments (continued)
September 30, 2019 (Unaudited)
| 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 | % | 4,123,828 | 1.56 | % | ||||||||||
| 5,000,000 | 8/16/21 | United Technologies Corporation | 3.35 | % | 5,132,043 | 1.93 | % | |||||||||||
| Agricultural | ||||||||||||||||||
| 4,850,000 | 5/5/21 | Altria Group, Inc. | 4.75 | % | 5,134,510 | 1.93 | % | |||||||||||
| Banks | ||||||||||||||||||
| 4,250,000 | 1/10/20 | Citigroup Inc. | 3.13 | % | 4,286,734 | 1.62 | % | |||||||||||
| 4,000,000 | 10/29/20 | JPMorgan Chase & Co. | 2.55 | % | 4,063,663 | 1.53 | % | |||||||||||
| 3,000,000 | 10/29/20 | JPMorgan Chase & Co. | 3.46 | % | 3,047,305 | 1.15 | % | |||||||||||
| 4,000,000 | 5/17/22 | SunTrust Bank | 2.80 | % | 4,114,021 | 1.55 | % | |||||||||||
| 4,750,000 | 1/15/21 | Wells Fargo Bank, National Association | 2.60 | % | 4,811,027 | 1.82 | % | |||||||||||
| Energy | ||||||||||||||||||
| 4,850,000 | 2/15/21 | Enterprise Products Operating LLC | 2.80 | % | 4,913,912 | 1.85 | % | |||||||||||
| Food | ||||||||||||||||||
| 3,000,000 | 4/16/21 | General Mills, Inc. | 3.20 | % | 3,088,118 | 1.17 | % | |||||||||||
| Healthcare | ||||||||||||||||||
| 5,000,000 | 9/17/21 | Cigna Corporation | 3.40 | % | 5,109,266 | 1.93 | % | |||||||||||
| 3,000,000 | 6/1/21 | CVS Health Corporation | 2.13 | % | 3,017,902 | 1.14 | % | |||||||||||
| Media | ||||||||||||||||||
| 4,000,000 | 4/1/21 | NBCUniversal Media, LLC | 4.38 | % | 4,229,044 | 1.60 | % | |||||||||||
| Pharmaceutical | ||||||||||||||||||
| 4,200,000 | 5/11/20 | Amgen Inc. | 2.63 | % | 4,222,244 | 1.59 | % | |||||||||||
| 3,500,000 | 6/25/21 | Bayer US Finance II LLC | 2.74 | % | 3,502,951 | 1.32 | % | |||||||||||
| 4,000,000 | 5/16/22 | Bristol-Myers Squibb Company | 2.60 | % | 4,104,992 | 1.55 | % | |||||||||||
| Software | ||||||||||||||||||
| 3,500,000 | 10/8/19 | Oracle Corporation | 2.25 | % | 3,537,973 | 1.33 | % | |||||||||||
| Telecommunications | ||||||||||||||||||
| 4,000,000 | 2/9/22 | Apple Inc. | 2.50 | % | 4,074,038 | 1.54 | % | |||||||||||
| Total U.S. corporate notes (cost: $73,508,836) | 74,513,571 | 28.11 | % | |||||||||||||||
| Foreign Corporate Notes | ||||||||||||||||||
| Face Value | Maturity Date | Name | Yield1 | |||||||||||||||
| Banks | ||||||||||||||||||
| $ | 5,500,000 | 3/2/20 | Danske Bank A/S | 2.20 | % | 5,507,531 | 2.08 | % | ||||||||||
| Energy | ||||||||||||||||||
| 2,500,000 | 5/11/20 | Shell International Finance B.V. | 2.13 | % | 2,524,030 | 0.95 | % | |||||||||||
| Insurance | ||||||||||||||||||
| 4,000,000 | 9/20/21 | AIA Group Limited | 2.68 | % | 4,003,143 | 1.51 | % | |||||||||||
| Manufacturing | ||||||||||||||||||
| 3,500,000 | 11/15/20 | GE Capital International Funding Company | 2.34 | % | 3,521,254 | 1.33 | % | |||||||||||
| Pharmaceuticals | ||||||||||||||||||
| 2,250,000 | 3/12/20 | Allergan Funding SCS | 3.39 | % | 2,262,495 | 0.85 | % | |||||||||||
| Total foreign corporate notes (cost: $17,652,263) | 17,818,453 | 6.72 | % | |||||||||||||||
| Total corporate notes (cost: $91,161,099) | 92,332,024 | 34.83 | % | |||||||||||||||
The accompanying notes are an integral part of these financial statements.
3
Futures Portfolio Fund, Limited Partnership
Condensed Schedule of Investments (continued)
September 30, 2019 (Unaudited)
| Description | Fair Value | % of Partners’ Capital (Net Asset Value) | ||||||||||||||||
| 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 | % | 900,841 | 0.34 | % | ||||||||||
| 612,593 | 7/18/22 | Americredit Automobile Receivables Trust 2017-4 | 2.04 | % | 612,628 | 0.23 | % | |||||||||||
| 388,643 | 1/18/22 | Americredit Automobile Receivables Trust 2018-3 | 3.11 | % | 390,320 | 0.15 | % | |||||||||||
| 300,000 | 9/19/22 | Americredit Automobile Receivables Trust 2019-2 | 2.43 | % | 300,915 | 0.11 | % | |||||||||||
| 772,000 | 7/20/21 | BMW Vehicle Lease Trust 2018-1 | 3.26 | % | 781,763 | 0.29 | % | |||||||||||
| 425,762 | 2/22/21 | Capital Auto Receivables Asset Trust 2018-2 | 3.02 | % | 426,872 | 0.16 | % | |||||||||||
| 400,000 | 7/15/22 | Carmax Auto Owner Trust 2016-4 | 2.26 | % | 400,741 | 0.15 | % | |||||||||||
| 700,000 | 4/15/26 | Ford Credit Auto Owner Trust 2014-REV2 | 2.31 | % | 700,755 | 0.26 | % | |||||||||||
| 304,747 | 9/21/20 | GM Financial Automobile Leasing Trust 2018-3 | 2.89 | % | 305,273 | 0.12 | % | |||||||||||
| 100,000 | 6/21/21 | GM Financial Automobile Leasing Trust 2018-3 | 3.18 | % | 100,831 | 0.04 | % | |||||||||||
| 162,022 | 5/17/21 | GM Financial Consumer Automobile Receivables Trust 2018-2 | 2.55 | % | 162,296 | 0.06 | % | |||||||||||
| 84,593 | 2/16/21 | Mercedes- Benz Auto Lease Trust 2018-A | 2.41 | % | 84,741 | 0.03 | % | |||||||||||
| 533,575 | 5/16/22 | Santander Drive Auto Receivables Trust 2017-1 | 2.58 | % | 534,318 | 0.20 | % | |||||||||||
| 500,000 | 4/20/22 | Santander Retail Auto Lease Trust 2019-B | 2.29 | % | 501,410 | 0.19 | % | |||||||||||
| 7,201 | 12/20/19 | Tesla Auto Lease Trust 2018-A | 2.32 | % | 7,206 | 0.00 | % | |||||||||||
| Credit card | ||||||||||||||||||
| 400,000 | 7/15/20 | Barclays Dryrock Issuance Trust, Series 2017-2 | 2.33 | % | 400,709 | 0.15 | % | |||||||||||
| 400,000 | 8/17/20 | Discover Card Execution Note Trust | 1.88 | % | 399,904 | 0.15 | % | |||||||||||
| Equipment | ||||||||||||||||||
| 231,075 | 10/22/20 | Dell Equipment Finance Trust 2018-1 | 2.35 | % | 231,228 | 0.09 | % | |||||||||||
| 500,000 | 5/20/22 | DLL 2019-2 LLC | 2.27 | % | 500,239 | 0.19 | % | |||||||||||
| 525,000 | 6/15/21 | GreatAmerica Leasing Receivables Funding LLC, Series 2019-1 | 2.97 | % | 527,716 | 0.20 | % | |||||||||||
| 830,000 | 1/10/22 | MMAF Equipment Finance LLC Series 2019-A | 2.84 | % | 836,102 | 0.32 | % | |||||||||||
| Other | ||||||||||||||||||
| 334,112 | 12/20/20 | Verizon Owner Trust 2017-2 | 1.92 | % | 334,008 | 0.13 | % | |||||||||||
| 1,175,000 | 4/20/22 | Verizon Owner Trust 2017-3 | 2.06 | % | 1,175,172 | 0.45 | % | |||||||||||
| Student loans | ||||||||||||||||||
| 30,705 | 11/25/27 | SLM Student Loan Trust 2011-2 | 2.62 | % | 30,800 | 0.01 | % | |||||||||||
| Total U.S. asset backed securities (cost: $10,603,860) | 10,646,788 | 4.02 | % | |||||||||||||||
| Total investments in securities (cost: $184,022,271) | $ | 185,436,402 | 69.96 | % | ||||||||||||||
| OPEN FUTURES CONTRACTS | ||||||||||||||||||
| Long U.S. Futures Contracts | ||||||||||||||||||
| Agricultural commodities | $ | 13,155 | 0.00 | % | ||||||||||||||
| Currencies | (38,970 | ) | (0.01 | )% | ||||||||||||||
| Energy | (554,480 | ) | (0.21 | )% | ||||||||||||||
| Equity indices | (469,224 | ) | (0.18 | )% | ||||||||||||||
| Interest rate instruments | (506,409 | ) | (0.19 | )% | ||||||||||||||
| Metals | 702,637 | 0.27 | % | |||||||||||||||
| Single stock futures | 3,099 | 0.00 | % | |||||||||||||||
| Net unrealized gain (loss) on open long U.S. futures contracts | (850,192 | ) | (0.32 | )% | ||||||||||||||
The accompanying notes are an integral part of these financial statements.
4
Futures Portfolio Fund, Limited Partnership
Condensed Schedule of Investments (continued)
September 30, 2019 (Unaudited)
| Description | Fair Value | % of Partners’ Capital (Net Asset Value) | |||||||
| Short U.S. Futures Contracts | |||||||||
| Agricultural commodities | (747,046 | ) | (0.28 | )% | |||||
| Currencies | 1,430,230 | 0.53 | % | ||||||
| Energy | 663,151 | 0.25 | % | ||||||
| Equity indices | 251,943 | 0.10 | % | ||||||
| Interest rate instruments | 263,423 | 0.10 | % | ||||||
| Metals | (567,400 | ) | (0.21 | )% | |||||
| Single stock futures | 46,730 | 0.02 | % | ||||||
| Net unrealized gain (loss) on open short U.S. futures contracts | 1,341,031 | 0.51 | % | ||||||
| Total U.S. Futures Contracts - net unrealized gain (loss) on open U.S. futures contracts | 490,839 | 0.19 | % | ||||||
| Long Foreign Futures Contracts | |||||||||
| Agricultural commodities | 34,455 | 0.01 | % | ||||||
| Currencies | 200,845 | 0.08 | % | ||||||
| Energy | (76,575 | ) | (0.03 | )% | |||||
| Equity indices | 520,671 | 0.20 | % | ||||||
| Interest rate instruments | 231,167 | 0.09 | % | ||||||
| Metals | 5,265 | 0.00 | % | ||||||
| Single stock futures | 1,488 | 0.00 | % | ||||||
| Net unrealized gain (loss) on open long foreign futures contracts | 917,316 | 0.35 | % | ||||||
| Short Foreign Futures Contracts | |||||||||
| Agricultural commodities | (22,528 | ) | (0.01 | )% | |||||
| Currencies | 56,932 | 0.02 | % | ||||||
| Energy | 215,630 | 0.09 | % | ||||||
| Equity indices | (43,396 | ) | (0.02 | )% | |||||
| Interest rate instruments | (150,698 | ) | (0.06 | )% | |||||
| Metals | 51 | 0.00 | % | ||||||
| Net unrealized gain (loss) on open short foreign futures contracts | 55,991 | 0.02 | % | ||||||
| Total foreign futures contracts - net unrealized gain (loss) on open foreign futures contracts | 973,307 | 0.37 | % | ||||||
| Net unrealized gain (loss) on open futures contracts | $ | 1,464,146 | 0.56 | % | |||||
| OPEN FORWARD CURRENCY CONTRACTS | |||||||||
| U.S. Forward Currency Contracts | |||||||||
| Long | $ | (978,344 | ) | (0.37 | )% | ||||
| Short | 782,686 | 0.30 | % | ||||||
| Net unrealized gain (loss) on open U.S. forward currency contracts | (195,658 | ) | (0.07 | )% | |||||
| Foreign Forward Currency Contracts | |||||||||
| Long | 153,129 | 0.06 | % | ||||||
| Short | 270,696 | 0.10 | % | ||||||
| Net unrealized gain (loss) on open foreign forward currency contracts | 423,825 | 0.16 | % | ||||||
| Net unrealized gain (loss) on open forward currency contracts | $ | 228,167 | 0.09 | % | |||||
1 Represents 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.
5
Futures Portfolio Fund, Limited Partnership
Condensed Schedule of Investments (continued)
December 31, 2018
| Description | Fair Value | % of Partners’ Capital (Net Asset Value) | ||||||||||||||||
| INVESTMENTS IN SECURITIES | ||||||||||||||||||
| U.S. Treasury Securities | ||||||||||||||||||
| Face Value | Maturity Date | Name | Yield1 | |||||||||||||||
| $ | 10,000,000 | 1/17/19 | U.S. Treasury | 2.29 | % | $ | 9,989,327 | 3.49 | % | |||||||||
| 10,000,000 | 2/28/19 | U.S. Treasury | 1.50 | % | 10,036,567 | 3.50 | % | |||||||||||
| 10,000,000 | 2/14/19 | U.S. Treasury | 2.34 | % | 9,970,594 | 3.48 | % | |||||||||||
| 6,000,000 | 3/15/19 | U.S. Treasury | 1.00 | % | 6,001,041 | 2.10 | % | |||||||||||
| 10,000,000 | 3/21/19 | U.S. Treasury | 2.35 | % | 9,948,667 | 3.48 | % | |||||||||||
| 9,000,000 | 4/30/19 | U.S. Treasury | 1.25 | % | 8,982,278 | 3.14 | % | |||||||||||
| 3,975,000 | 5/15/19 | U.S. Treasury | 0.88 | % | 3,956,063 | 1.38 | % | |||||||||||
| 8,500,000 | 7/31/19 | U.S. Treasury | 1.38 | % | 8,490,770 | 2.97 | % | |||||||||||
| Total U.S. Treasury securities (cost: $67,200,708) | 67,375,307 | 23.54 | % | |||||||||||||||
| U.S. Commercial Paper | ||||||||||||||||||
| Face Value | Maturity Date | Name | Yield1 | |||||||||||||||
| Aerospace | ||||||||||||||||||
| $ | 1,500,000 | 1/9/19 | General Dynamics Corporation | 2.54 | % | 1,499,158 | 0.52 | % | ||||||||||
| 500,000 | 1/16/19 | Northrop Grumman Corporation | 2.71 | % | 499,440 | 0.17 | % | |||||||||||
| Automotive | ||||||||||||||||||
| 1,300,000 | 1/8/19 | Hyundai Capital America | 2.69 | % | 1,299,325 | 0.45 | % | |||||||||||
| 300,000 | 1/7/19 | Nissan Motor Acceptance Corporation | 2.44 | % | 299,879 | 0.11 | % | |||||||||||
| 800,000 | 1/14/19 | Nissan Motor Acceptance Corporation | 2.45 | % | 799,298 | 0.28 | % | |||||||||||
| 1,200,000 | 3/20/19 | VW Credit, Inc. | 3.19 | % | 1,191,810 | 0.42 | % | |||||||||||
| Banks | ||||||||||||||||||
| 1,200,000 | 1/11/19 | Cafco, LLC | 2.47 | % | 1,199,183 | 0.42 | % | |||||||||||
| 1,500,000 | 1/30/19 | Mitsubishi UFJ Trust & Banking Corporation (U.S.A.) | 2.62 | % | 1,496,858 | 0.52 | % | |||||||||||
| 300,000 | 1/7/19 | Nieuw Amsterdam Receivables Corporation | 2.52 | % | 299,875 | 0.11 | % | |||||||||||
| Beverages | ||||||||||||||||||
| 1,700,000 | 1/11/19 | Brown-Forman Corporation | 2.67 | % | 1,698,749 | 0.59 | % | |||||||||||
| Diversified financial services | ||||||||||||||||||
| 1,400,000 | 2/7/19 | American Express Credit Corporation | 2.69 | % | 1,396,158 | 0.49 | % | |||||||||||
| 1,500,000 | 1/3/19 | CME Group Inc. | 2.50 | % | 1,499,793 | 0.52 | % | |||||||||||
| 1,500,000 | 2/4/19 | DCAT, LLC | 2.67 | % | 1,496,246 | 0.52 | % | |||||||||||
| 1,000,000 | 1/16/19 | Fairway Financial Corporation | 2.54 | % | 998,950 | 0.35 | % | |||||||||||
| 1,400,000 | 1/10/19 | Gotham Funding Corporation | 2.52 | % | 1,399,125 | 0.49 | % | |||||||||||
| 1,500,000 | 3/1/19 | Liberty Street Funding LLC | 2.78 | % | 1,493,240 | 0.52 | % | |||||||||||
| 1,400,000 | 2/15/19 | Manhattan Asset Funding Company LLC | 2.65 | % | 1,395,398 | 0.49 | % | |||||||||||
| 1,300,000 | 2/6/19 | National Rural Utilities Cooperative Finance Corp. | 2.60 | % | 1,296,646 | 0.45 | % | |||||||||||
| 1,400,000 | 2/19/19 | Thunder Bay Funding, LLC | 2.72 | % | 1,394,855 | 0.49 | % | |||||||||||
| Energy | ||||||||||||||||||
| 1,200,000 | 1/10/19 | NextEra Energy Capital Holdings, Inc. | 2.72 | % | 1,199,190 | 0.42 | % | |||||||||||
| 1,500,000 | 1/15/19 | One Gas, Inc. | 2.52 | % | 1,498,542 | 0.52 | % | |||||||||||
| 1,500,000 | 1/18/19 | WEC Energy Group Inc. | 3.02 | % | 1,497,875 | 0.52 | % | |||||||||||
| Machinery | ||||||||||||||||||
| 1,600,000 | 1/25/19 | Caterpillar Financial Services Corporation | 2.67 | % | 1,597,173 | 0.56 | % | |||||||||||
| 400,000 | 1/2/19 | Parker-Hannifin Corporation | 2.67 | % | 399,971 | 0.15 | % | |||||||||||
| REIT | ||||||||||||||||||
| 1,500,000 | 1/7/19 | Simon Property Group, L.P. | 2.47 | % | 1,499,388 | 0.52 | % | |||||||||||
| Total U.S. commercial paper (cost: $30,285,187) | 30,346,125 | 10.60 | % | |||||||||||||||
The accompanying notes are an integral part of these financial statements.
6
Futures Portfolio Fund, Limited Partnership
Condensed Schedule of Investments (continued)
December 31, 2018
| Description | Fair Value | % of Partners’ Capital (Net Asset Value) | ||||||||||||||||
| Foreign Commercial Paper | ||||||||||||||||||
| Face Value | Maturity Date | Name | Yield1 | |||||||||||||||
| Automotive | ||||||||||||||||||
| $ | 1,300,000 | 1/8/19 | Magna International Inc. | 3.02 | % | $ | 1,299,242 | 0.45 | % | |||||||||
| Banks | ||||||||||||||||||
| 1,200,000 | 2/5/19 | Sumitomo Mitsui Banking Corporation | 2.67 | % | 1,196,908 | 0.42 | % | |||||||||||
| Chemicals | ||||||||||||||||||
| 1,100,000 | 1/7/19 | Nutrien Ltd. | 2.69 | % | 1,099,511 | 0.38 | % | |||||||||||
| Diversified financial services | ||||||||||||||||||
| 1,200,000 | 1/2/19 | Anglesea Funding Plc | 2.56 | % | 1,199,915 | 0.42 | % | |||||||||||
| 800,000 | 1/14/19 | Ontario Teachers’ Finance Trust | 2.53 | % | 799,275 | 0.28 | % | |||||||||||
| Engineering | ||||||||||||||||||
| 1,500,000 | 1/22/19 | La Compagnie De Telephone Bell Du Canada Ou Bell Ca. | 2.77 | % | 1,497,594 | 0.53 | % | |||||||||||
| Total foreign commercial paper (cost: $7,073,489) | 7,092,445 | 2.48 | % | |||||||||||||||
| Total commercial paper (cost: $37,358,676) | 37,438,570 | 13.08 | % | |||||||||||||||
| U.S. Corporate Notes | ||||||||||||||||||
| Face Value | Maturity Date | Name | Yield1 | |||||||||||||||
| Aerospace | ||||||||||||||||||
| $ | 5,000,000 | 8/16/21 | United Technologies Corporation | 3.35 | % | 5,049,063 | 1.77 | % | ||||||||||
| Agriculture | ||||||||||||||||||
| 4,850,000 | 5/5/21 | Altria Group, Inc. | 4.75 | % | 4,992,536 | 1.74 | % | |||||||||||
| Banks | ||||||||||||||||||
| 4,250,000 | 1/10/20 | Citigroup Inc. | 3.20 | % | 4,287,007 | 1.50 | % | |||||||||||
| 5,000,000 | 10/29/20 | JPMorgan Chase & Co. | 2.55 | % | 4,965,408 | 1.73 | % | |||||||||||
| 3,000,000 | 10/29/20 | JPMorgan Chase & Co. | 3.71 | % | 3,047,949 | 1.06 | % | |||||||||||
| 4,750,000 | 1/15/21 | Wells Fargo Bank, National Association | 2.60 | % | 4,747,762 | 1.66 | % | |||||||||||
| Beverages | ||||||||||||||||||
| 1,954,000 | 2/1/21 | Anheuser-Busch InBev Finance Inc. | 2.65 | % | 1,942,162 | 0.68 | % | |||||||||||
| Diversified financial services | ||||||||||||||||||
| 2,600,000 | 2/15/19 | Goldman Sachs Group, Inc. | 7.50 | % | 2,686,173 | 0.94 | % | |||||||||||
| 2,250,000 | 4/25/19 | Goldman Sachs Group, Inc. | 3.53 | % | 2,268,737 | 0.79 | % | |||||||||||
| 3,000,000 | 2/1/19 | Morgan Stanley | 2.45 | % | 3,029,155 | 1.06 | % | |||||||||||
| Energy | ||||||||||||||||||
| 4,850,000 | 2/15/21 | Enterprise Products Operating LLC | 2.80 | % | 4,847,904 | 1.69 | % | |||||||||||
| Food | ||||||||||||||||||
| 3,000,000 | 4/16/21 | General Mills, Inc. | 3.20 | % | 3,004,190 | 1.05 | % | |||||||||||
| Healthcare | ||||||||||||||||||
| 3,000,000 | 6/1/21 | CVS Health Corporation | 2.13 | % | 2,907,453 | 1.02 | % | |||||||||||
| 5,000,000 | 9/17/21 | Halfmoon Parent, Inc. | 3.40 | % | 5,037,511 | 1.77 | % | |||||||||||
| Media | ||||||||||||||||||
| 3,000,000 | 9/20/19 | Discovery Communications, LLC | 3.50 | % | 3,000,982 | 1.05 | % | |||||||||||
| Pharmaceuticals | ||||||||||||||||||
| 4,200,000 | 5/11/20 | Amgen Inc. | 3.06 | % | 4,212,691 | 1.47 | % | |||||||||||
| 3,500,000 | 6/25/21 | Bayer US Finance II LLC | 3.45 | % | 3,455,729 | 1.21 | % | |||||||||||
| Software | ||||||||||||||||||
| 3,500,000 | 10/8/19 | Oracle Corporation | 2.25 | % | 3,501,671 | 1.22 | % | |||||||||||
| Telecommunications | ||||||||||||||||||
| 3,000,000 | 2/22/19 | Apple Inc. | 3.50 | % | 3,014,395 | 1.05 | % | |||||||||||
| 2,500,000 | 9/20/19 | Cisco Systems, Inc. | 3.13 | % | 2,503,085 | 0.87 | % | |||||||||||
| Total U.S. corporate notes (cost: $72,986,920) | 72,501,563 | 25.33 | % | |||||||||||||||
The accompanying notes are an integral part of these financial statements.
7
Futures Portfolio Fund, Limited Partnership
Condensed Schedule of Investments (continued)
December 31, 2018
| Description | Fair Value | % of Partners’ Capital (Net Asset Value) | ||||||||||||||||
| Foreign Corporate Notes | ||||||||||||||||||
| Face Value | Maturity Date | Name | Yield1 | |||||||||||||||
| Banks | ||||||||||||||||||
| $ | 4,000,000 | 1/18/19 | ABN AMRO Bank N.V. | 3.08 | % | $ | 4,026,145 | 1.41 | % | |||||||||
| 5,500,000 | 3/2/20 | Danske Bank A/S | 2.20 | % | 5,421,142 | 1.89 | % | |||||||||||
| Energy | ||||||||||||||||||
| 5,500,000 | 5/3/19 | BP Capital Markets P.L.C. | 1.68 | % | 5,488,176 | 1.92 | % | |||||||||||
| 1,000,000 | 9/12/19 | Shell International Finance B.V. | 1.38 | % | 993,303 | 0.35 | % | |||||||||||
| 2,500,000 | 5/11/20 | Shell International Finance B.V. | 2.13 | % | 2,481,653 | 0.87 | % | |||||||||||
| Insurance | ||||||||||||||||||
| 4,000,000 | 9/20/21 | AIA Group Limited | 3.31 | % | 3,985,136 | 1.39 | % | |||||||||||
| Manufacturing | ||||||||||||||||||
| 3,500,000 | 11/15/20 | GE Capital International Funding Company | 2.34 | % | 3,388,044 | 1.18 | % | |||||||||||
| Pharmaceuticals | ||||||||||||||||||
| 2,250,000 | 3/12/20 | Allergan Funding SCS | 4.03 | % | 2,261,856 | 0.79 | % | |||||||||||
| Total foreign corporate notes (cost: $28,176,810) | 28,045,455 | 9.80 | % | |||||||||||||||
| Total corporate notes (cost: $101,163,730) | 100,547,018 | 35.13 | % | |||||||||||||||
| U.S. Asset Backed Securities | ||||||||||||||||||
| Face Value | Maturity Date | Name | Yield1 | |||||||||||||||
| Automotive | ||||||||||||||||||
| $ | 535,461 | 1/8/21 | AmeriCredit Automobile Receivables Trust 2015-2 | 2.40 | % | 535,220 | 0.19 | % | ||||||||||
| 675,000 | 1/18/22 | AmeriCredit Automobile Receivables Trust 2018-3 | 3.11 | % | 676,258 | 0.24 | % | |||||||||||
| 745,000 | 2/22/21 | Capital Auto Receivables Asset Trust 2018-2 | 3.02 | % | 745,278 | 0.26 | % | |||||||||||
| 141,983 | 9/15/20 | CarMax Auto Owner Trust 2017-3 | 1.64 | % | 141,716 | 0.05 | % | |||||||||||
| 575,000 | 6/15/21 | Drive Auto Receivables Trust 2018-2 | 2.88 | % | 575,081 | 0.20 | % | |||||||||||
| 500,000 | 11/15/21 | Drive Auto Receivables Trust 2018-3 | 3.01 | % | 500,019 | 0.17 | % | |||||||||||
| 700,000 | 4/15/26 | Ford Credit Auto Owner Trust 2014-REV2 | 2.31 | % | 695,819 | 0.24 | % | |||||||||||
| 89,815 | 1/21/20 | GM Financial Automobile Leasing Trust 2017-2 | 1.72 | % | 89,650 | 0.03 | % | |||||||||||
| 406,675 | 4/20/20 | GM Financial Automobile Leasing Trust 2018-1 | 2.39 | % | 405,845 | 0.14 | % | |||||||||||
| 800,000 | 9/21/20 | GM Financial Automobile Leasing Trust 2018-3 | 2.89 | % | 799,834 | 0.28 | % | |||||||||||
| 450,153 | 5/17/21 | GM Financial Consumer Auto Receivables Trust 2018-2 | 2.55 | % | 449,389 | 0.16 | % | |||||||||||
| 36,011 | 2/18/20 | Hyundai Auto Receivables Trust 2017-A | 1.48 | % | 36,010 | 0.01 | % | |||||||||||
| 470,747 | 4/15/20 | Mercedes- Benz Auto Lease Trust 2018-A | 2.20 | % | 470,176 | 0.16 | % | |||||||||||
| 43,358 | 8/15/19 | Mercedes-Benz Auto Lease Trust 2017-A | 2.66 | % | 43,407 | 0.02 | % | |||||||||||
| 163,259 | 9/16/19 | Nissan Auto Lease Trust 2017-A | 1.64 | % | 163,162 | 0.06 | % | |||||||||||
| 96,418 | 2/16/21 | Santander Drive Auto Receivables Trust 2016-2 | 2.08 | % | 96,438 | 0.03 | % | |||||||||||
| 208,158 | 3/20/20 | Santander Retail Auto Lease Trust 2017-A | 2.02 | % | 207,518 | 0.07 | % | |||||||||||
| 128,432 | 12/20/19 | Tesla Auto Lease Trust 2018-A | 2.32 | % | 128,170 | 0.04 | % | |||||||||||
| Credit cards | ||||||||||||||||||
| 325,000 | 4/15/19 | Capital One Multi-Asset Execution Trust | 2.91 | % | 325,686 | 0.11 | % | |||||||||||
| 175,000 | 5/15/19 | Chase Issuance Trust | 2.87 | % | 175,352 | 0.06 | % | |||||||||||
| 600,000 | 8/15/19 | Chase Issuance Trust | 1.58 | % | 595,537 | 0.21 | % | |||||||||||
| 600,000 | 1/15/19 | Discover Card Execution Note Trust | 1.64 | % | 599,987 | 0.21 | % | |||||||||||
| Equipment | ||||||||||||||||||
| 171,137 | 4/15/21 | CNH Equipment Trust 2015-A | 1.85 | % | 170,566 | 0.06 | % | |||||||||||
| 135,325 | 11/16/20 | CNH Equipment Trust 2017-B | 1.59 | % | 135,008 | 0.05 | % | |||||||||||
| 263,997 | 2/24/20 | Dell Equipment Finance Trust 2017-2 | 1.97 | % | 263,234 | 0.09 | % | |||||||||||
| 500,000 | 10/22/20 | Dell Equipment Finance Trust 2018-1 | 2.80 | % | 500,952 | 0.17 | % | |||||||||||
| 475,000 | 12/20/20 | Verizon Owner Trust 2017-2 | 1.92 | % | 470,419 | 0.16 | % | |||||||||||
| 1,175,000 | 4/20/22 | Verizon Owner Trust 2017-3 | 2.06 | % | 1,161,674 | 0.41 | % | |||||||||||
The accompanying notes are an integral part of these financial statements.
8
Futures Portfolio Fund, Limited Partnership
Condensed Schedule of Investments (continued)
December 31, 2018
| Description | Fair Value | % of Partners’ Capital (Net Asset Value) | |||||||||||||||
| U.S. Asset Backed Securities (continued) | |||||||||||||||||
| Face Value | Maturity Date | Name | Yield1 | ||||||||||||||
| Student loans | |||||||||||||||||
| $ | 213,293 | 3/25/67 | Navient Student Loan Trust 2018-1 | 2.70 | % | $ | 213,387 | 0.07 | % | ||||||||
| 278,555 | 3/25/67 | Navient Student Loan Trust 2018-2 | 2.75 | % | 278,705 | 0.10 | % | ||||||||||
| 44,538 | 11/25/27 | SLM Student Loan Trust 2011-2 | 3.11 | % | 44,741 | 0.02 | % | ||||||||||
| Total U.S. asset backed securities (cost: $11,695,404) | 11,694,238 | 4.07 | % | ||||||||||||||
| Total investments in securities (cost: $217,418,518) | $ | 217,055,133 | 75.82 | % | |||||||||||||
| OPEN FUTURES CONTRACTS | |||||||||||||||||
| Long U.S. Futures Contracts | |||||||||||||||||
| Agricultural commodities | $ | 66,814 | 0.02 | % | |||||||||||||
| Currencies | 182,729 | 0.06 | % | ||||||||||||||
| Energy | (1,434,763 | ) | (0.50 | )% | |||||||||||||
| Equity indices | (188,683 | ) | (0.07 | )% | |||||||||||||
| Interest rate instruments | 698,695 | 0.24 | % | ||||||||||||||
| Metals2 | (6,940,650 | ) | (2.42 | )% | |||||||||||||
| Single stock futures | (36,683 | ) | (0.01 | )% | |||||||||||||
| Net unrealized gain (loss) on open long U.S. futures contracts | (7,652,541 | ) | (2.68 | )% | |||||||||||||
| Short U.S. Futures Contracts | |||||||||||||||||
| Agricultural commodities | 865,115 | 0.30 | % | ||||||||||||||
| Currencies | (413,137 | ) | (0.14 | )% | |||||||||||||
| Energy | 1,978,283 | 0.69 | % | ||||||||||||||
| Equity indices | 1,261,593 | 0.44 | % | ||||||||||||||
| Interest rate instruments | (1,223,198 | ) | (0.43 | )% | |||||||||||||
| Metals2 | 6,492,571 | 2.27 | % | ||||||||||||||
| Single stock futures | 51,931 | 0.02 | % | ||||||||||||||
| Net unrealized gain (loss) on open short U.S. futures contracts | 9,013,158 | 3.15 | % | ||||||||||||||
| Total U.S. Futures Contracts - net unrealized gain (loss) on open U.S. futures contracts | 1,360,617 | 0.47 | % | ||||||||||||||
| Long Foreign Futures Contracts | |||||||||||||||||
| Agricultural commodities | 10,178 | 0.00 | % | ||||||||||||||
| Currencies | (78,283 | ) | (0.03 | )% | |||||||||||||
| Energy | 19,962 | 0.01 | % | ||||||||||||||
| Equity indices | (1,520,967 | ) | (0.53 | )% | |||||||||||||
| Interest rate instruments2 | 2,938,406 | 1.03 | % | ||||||||||||||
| Metals | 2,710 | 0.00 | % | ||||||||||||||
| Net unrealized gain (loss) on open long foreign futures contracts | 1,372,006 | 0.48 | % | ||||||||||||||
The accompanying notes are an integral part of these financial statements.
9
Futures Portfolio Fund, Limited Partnership
Condensed Schedule of Investments (continued)
December 31, 2018
| Description | Fair Value | % of Partners’ Capital (Net Asset Value) | |||||||
| OPEN FUTURES CONTRACTS (continued) | |||||||||
| Short Foreign Futures Contracts | |||||||||
| Agricultural commodities | $ | (66,257 | ) | (0.02 | )% | ||||
| Currencies | 95,922 | 0.03 | % | ||||||
| Equity indices | 79,455 | 0.03 | % | ||||||
| Interest rate instruments | (698,453 | ) | (0.24 | )% | |||||
| Metals | 4,822 | 0.00 | % | ||||||
| Net unrealized gain (loss) on open short foreign futures contracts | (584,511 | ) | (0.20 | )% | |||||
| Total foreign futures contracts - net unrealized gain (loss) on open foreign futures contracts | 787,495 | 0.28 | % | ||||||
| Net unrealized gain (loss) on open futures contracts | $ | 2,148,112 | 0.75 | % | |||||
| OPEN FORWARD CURRENCY CONTRACTS | |||||||||
| U.S. Forward Currency Contracts | |||||||||
| Long | $ | 519,445 | 0.18 | % | |||||
| Short | (549,732 | ) | (0.19 | )% | |||||
| Net unrealized gain (loss) on open U.S. forward currency contracts | (30,287 | ) | (0.01 | )% | |||||
| Foreign Forward Currency Contracts | |||||||||
| Long | (197,500 | ) | (0.07 | )% | |||||
| Short | 382,845 | 0.13 | % | ||||||
| Net unrealized gain (loss) on open foreign forward currency contracts | 185,345 | 0.06 | % | ||||||
| Net unrealized gain (loss) on open forward currency contracts | $ | 155,058 | 0.05 | % | |||||
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.
10
Futures Portfolio Fund, Limited Partnership
Statements of Operations
For the Three and Nine Months Ended September 30, 2019 and 2018
(Unaudited)
|
|
| Three Months Ended |
|
| Nine Months Ended |
| ||||||||||
|
|
| 2019 |
|
| 2018 |
|
| 2019 |
|
| 2018 |
| ||||
| Realized and change in unrealized gain (loss) on investments |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Net realized gain (loss) on: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Futures and forward contracts |
| $ | 18,591,663 |
|
| $ | 1,993,988 |
|
| $ | 26,051,728 |
|
| $ | 7,433,694 |
|
| Investments in SMFSF |
|
| (118,449 | ) |
|
| (108,152 | ) |
|
| (600,755 | ) |
|
| 50,355 |
|
| Investments in securities |
|
| 75,948 |
|
|
| (197,105 | ) |
|
| (225,739 | ) |
|
| 12,229 |
|
| Net change in unrealized gain (loss) on: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Futures and forward contracts |
|
| (5,966,945 | ) |
|
| 2,665,912 |
|
|
| (727,294 | ) |
|
| (642,185 | ) |
| Investments in SMFSF |
|
| 1,085,884 |
|
|
| 678,607 |
|
|
| 2,160,249 |
|
|
| (1,276,876 | ) |
| Investments in securities |
|
| 52,659 |
|
|
| 154,429 |
|
|
| 1,662,079 |
|
|
| (369,520 | ) |
| Exchange membership |
|
| (29,250 | ) |
|
| (44,500 | ) |
|
| (62,750 | ) |
|
| (81,500 | ) |
| Brokerage commissions and trading expenses |
|
| (758,792 | ) |
|
| (1,044,027 | ) |
|
| (2,350,535 | ) |
|
| (3,268,371 | ) |
| Net realized and changed in unrealized gain (loss) on investments |
| 12,932,718 |
|
|
| 4,099,152 |
|
|
| 25,906,983 |
|
|
| 1,857,828 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Net investment income (loss) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Income |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Interest income (loss) |
|
| 1,436,021 |
|
|
| 1,546,031 |
|
|
| 4,536,471 |
|
|
| 4,232,665 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Expenses |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Trading Advisor management fee |
|
| 1,094,171 |
|
|
| 1,211,614 |
|
|
| 3,239,184 |
|
|
| 3,806,949 |
|
| Trading Advisor incentive fee |
|
| 538,775 |
|
|
| 325,613 |
|
|
| 2,995,000 |
|
|
| 458,847 |
|
| Cash manager fees |
|
| 49,438 |
|
|
| 61,891 |
|
|
| 153,110 |
|
|
| 182,527 |
|
| General Partner management and performance fees |
|
| 1,027,479 |
|
|
| 1,187,700 |
|
|
| 3,076,111 |
|
|
| 3,737,716 |
|
| Selling agent fees – General Partner |
|
| 923,908 |
|
|
| 1,063,991 |
|
|
| 2,746,080 |
|
|
| 3,360,170 |
|
| Broker dealer servicing fees – General Partner |
|
| 36,682 |
|
|
| 44,330 |
|
|
| 112,302 |
|
|
| 139,856 |
|
| General Partner 1% allocation |
|
| 104,951 |
|
|
| 15,187 |
|
|
| 175,181 |
|
|
| (63,230 | ) |
| Administrative expenses – General Partner |
|
| 203,210 |
|
|
| 231,314 |
|
|
| 603,569 |
|
|
| 727,416 |
|
| Total expenses |
|
| 3,978,614 |
|
|
| 4,141,639 |
|
|
| 13,100,537 |
|
|
| 12,350,251 |
|
| Net investment income (loss) |
|
| (2,542,593 | ) |
|
| (2,595,608 | ) |
|
| (8,564,066 | ) |
|
| (8,117,586 | ) |
| Net income (loss) |
| $ | 10,390,125 |
|
| $ | 1,503,544 |
|
| $ | 17,342,917 |
|
| $ | (6,259,760 | ) |
The accompanying notes are an integral part of these financial statements.
11
Futures Portfolio Fund, Limited Partnership
Statements of Operations (continued)
For the Three and Nine Months Ended September 30, 2019 and 2018 (unaudited)
|
|
| Three Months Ended September 30, 2019 |
| |||||||||||||||||||||
|
|
| Class A |
|
| Class A2 |
|
| Class A3 |
|
| Class B |
|
| Class I |
|
| Class R |
| ||||||
| Increase (decrease) in net asset value per unit |
| $ | 148.74 |
|
| $ | 41.87 |
|
| $ | 40.35 |
|
| $ | 259.75 |
|
| $ | 45.58 |
|
| $ | 43.69 |
|
| Net income (loss) per unit† |
| $ | 152.16 |
|
| $ | 38.45 |
|
| $ | 40.35 |
|
| $ | 276.40 |
|
| $ | 45.58 |
|
| $ | 44.14 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Weighted average number of units outstanding |
|
| 43,622.9499 |
|
|
| 480.3860 |
|
|
| 38.0000 |
|
|
| 11,087.6943 |
|
|
| 1,769.1082 |
|
|
| 13,299.5886 |
|
|
|
| Three Months Ended September 30, 2018 |
| |||||||||||||||||||||
|
|
| Class A |
|
| Class A2 |
|
| Class A3 |
|
| Class B |
|
| Class I |
|
| Class R |
| ||||||
| Increase (decrease) in net asset value per unit |
| $ | 13.17 |
|
|
| — |
|
|
| — |
|
| $ | 47.72 |
|
| $ | 10.37 |
|
| $ | 8.42 |
|
| Net income (loss) per unit† |
| $ | 13.00 |
|
|
| — |
|
|
| — |
|
| $ | 47.74 |
|
| $ | 10.37 |
|
| $ | 8.46 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Weighted average number of units outstanding |
|
| 52,086.2201 |
|
|
| — |
|
|
| — |
|
|
| 14,217.0063 |
|
|
| 3,466.2779 |
|
|
| 13,223.7049 |
|
|
|
| Nine Months Ended September 30, 2019 |
| |||||||||||||||||||||
|
|
| Class A |
|
| Class A2 |
|
| Class A3 |
|
| Class B |
|
| Class I |
|
| Class R |
| ||||||
| Increase (decrease) in net asset value per unit |
| $ | 243.16 |
|
| $ | 73.04 |
|
| $ | 40.35 |
|
| $ | 460.29 |
|
| $ | 83.64 |
|
| $ | 77.99 |
|
| Net income (loss) per unit† |
| $ | 237.14 |
|
| $ | 116.26 |
|
| $ | 40.35 |
|
| $ | 450.77 |
|
| $ | 58.27 |
|
| $ | 78.22 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Weighted average number of units outstanding |
|
| 45,199.0588 |
|
|
| 307.2096 |
|
|
| 38.0000 |
|
|
| 11,950.9502 |
|
|
| 2,591.5273 |
|
|
| 13,413.4574 |
|
|
|
| Nine Months Ended September 30, 2018 |
| |||||||||||||||||||||
|
|
| Class A |
|
| Class A2 |
|
| Class A3 |
|
| Class B |
|
| Class I |
|
| Class R |
| ||||||
| Increase (decrease) in net asset value per unit |
| $ | (96.11 | ) |
|
| — |
|
|
| — |
|
| $ | (62.72 | ) |
| $ | (2.64 | ) |
| $ | (8.86 | ) |
| Net income (loss) per unit† |
| $ | (98.94 | ) |
|
| — |
|
|
| — |
|
| $ | (52.51 | ) |
| $ | (2.65 | ) |
| $ | (6.03 | ) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Weighted average number of units outstanding |
|
| 54,483.8423 |
|
|
| — |
|
|
| — |
|
|
| 14,898.0888 |
|
|
| 3,466.2779 |
|
|
| 12,857.6758 |
|
† (based on weighted average number of units outstanding during the period)
The accompanying notes are an integral part of these financial statements.
12
Futures Portfolio Fund, Limited Partnership
Statements of Cash Flows
For the Nine Months Ended September 30, 2019 and 2018
(Unaudited)
|
|
| 2019 |
|
| 2018 |
| ||
| Cash flows from operating activities |
|
|
|
|
|
|
|
|
| Net income (loss) |
| $ | 17,342,917 |
|
| $ | (6,259,760 | ) |
| 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 |
|
| 610,857 |
|
|
| 1,134,685 |
|
| Net realized and change in unrealized (gain) loss on SMFSF and securities |
|
| (2,995,834 | ) |
|
| 1,583,812 |
|
| Purchases of securities |
|
| (422,890,452 | ) |
|
| (433,829,676 | ) |
| Proceeds from disposition of SMFSF and securities |
|
| 461,945,527 |
|
|
| 449,354,416 |
|
| Changes in |
|
|
|
|
|
|
|
|
| Exchange membership |
|
| 62,750 |
|
|
| 81,500 |
|
| Trading Advisor management fee payable |
|
| (42,807 | ) |
|
| (77,172 | ) |
| Trading Advisor incentive fee payable |
|
| 46,229 |
|
|
| (973,162 | ) |
| Commissions and other trading fees payable on open contracts |
|
| 10,017 |
|
|
| (7,818 | ) |
| Cash Manager fees payable |
|
| (10,711 | ) |
|
| (18,756 | ) |
| General Partner management and performance fees payable |
|
| (28,664 | ) |
|
| (70,272 | ) |
| General Partner 1% allocation receivable/payable |
|
| 340,713 |
|
|
| (91,986 | ) |
| Selling agent fees payable – General Partner |
|
| (24,013 | ) |
|
| (68,250 | ) |
| Broker dealer servicing fees payable – General Partner |
|
| (1,818 | ) |
|
| (2,732 | ) |
| Administrative fee payable – General Partner |
|
| (2,791 | ) |
|
| (10,803 | ) |
| Net cash provided by (used in) operating activities |
|
| 54,361,920 |
|
|
| 10,744,026 |
|
|
|
|
|
|
|
|
|
|
|
| Cash flows from financing activities |
|
|
|
|
|
|
|
|
| Subscriptions |
|
| 9,639,833 |
|
|
| 4,978,674 |
|
| Subscriptions received in advance |
|
| 1,311,600 |
|
|
| 537,959 |
|
| Redemptions |
|
| (50,927,296 | ) |
|
| (54,959,547 | ) |
| Net cash provided by (used in) financing activities |
|
| (39,975,863 | ) |
|
| (49,442,914 | ) |
|
|
|
|
|
|
|
|
|
|
| Net increase (decrease) in cash and cash equivalents |
|
| 14,386,057 |
|
|
| (38,698,888 | ) |
| Cash and cash equivalents, beginning of period |
|
| 46,185,781 |
|
|
| 90,141,061 |
|
| Cash and cash equivalents, end of period |
| $ | 60,571,838 |
|
| $ | 51,442,173 |
|
|
|
|
|
|
|
|
|
|
|
| End of period cash and cash equivalents consists of |
|
|
|
|
|
|
|
|
| Cash in broker trading accounts |
| $ | 40,909,461 |
|
| $ | 38,191,061 |
|
| Cash and cash equivalents not in broker trading accounts |
|
| 19,662,377 |
|
|
| 13,251,112 |
|
| Total end of period cash and cash equivalents |
| $ | 60,571,838 |
|
| $ | 51,442,173 |
|
|
|
|
|
|
|
|
|
|
|
| Supplemental disclosure of cash flow information |
|
|
|
|
|
|
|
|
| Prior period redemptions paid |
| $ | 5,057,655 |
|
| $ | 18,217,216 |
|
| Prior period subscriptions received in advance |
| $ | 224,523 |
|
| $ | 2,687,191 |
|
|
|
|
|
|
|
|
|
|
|
| Supplemental schedule of non-cash financing activities |
|
|
|
|
|
|
|
|
| Redemptions payable |
| $ | 2,537,859 |
|
| $ | 14,901,008 |
|
The accompanying notes are an integral part of these financial statements.
13
Futures Portfolio Fund, Limited Partnership
Statements of Changes in Partners’ Capital (Net Asset Value)
For the Nine Months Ended September 30, 2019 and 2018
(Unaudited)
|
|
| Class A |
|
| Class A2 |
|
| Class A3 |
|
| Class B |
|
| Class I |
|
| Class R |
|
| Total |
| |||||||
| 2019 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Balance at December 31, 2018 |
| $ | 189,019,997 |
|
| $ | 146,018 |
|
| $ | — |
|
| $ | 79,984,663 |
|
| $ | 3,440,608 |
|
| $ | 13,667,838 |
|
| $ | 286,259,124 |
|
| Net income (loss) |
|
| 2,043,816 |
|
|
| 6,575 |
|
|
| — |
|
|
| 1,155,708 |
|
|
| 65,428 |
|
|
| 237,065 |
|
|
| 3,508,592 |
|
| Subscriptions |
|
| 2,091,523 |
|
|
| 87,300 |
|
|
| — |
|
|
| 70,000 |
|
|
| — |
|
|
| 210,000 |
|
|
| 2,458,823 |
|
| Redemptions |
|
| (12,881,564 | ) |
|
| — |
|
|
| — |
|
|
| (5,539,868 | ) |
|
| (257,330 | ) |
|
| (692,418 | ) |
|
| (19,371,180 | ) |
| Transfers |
|
| (169,415 | ) |
|
| — |
|
|
| — |
|
|
| 169,415 |
|
|
| — |
|
|
| — |
|
|
| — |
|
| Balance at March 31, 2019 |
|
| 180,104,357 |
|
|
| 239,893 |
|
|
| — |
|
|
| 75,839,918 |
|
|
| 3,248,706 |
|
|
| 13,422,485 |
|
|
| 272,855,359 |
|
| Net income (loss) |
|
| 2,036,793 |
|
|
| 10,669 |
|
|
| — |
|
|
| 1,166,729 |
|
|
| 4,936 |
|
|
| 225,073 |
|
|
| 3,444,200 |
|
| Subscriptions |
|
| 5,709,533 |
|
|
| 196,000 |
|
|
| — |
|
|
| — |
|
|
| 250,000 |
|
|
| 360,000 |
|
|
| 6,515,533 |
|
| Redemptions |
|
| (10,724,938 | ) |
|
| — |
|
|
| — |
|
|
| (5,762,795 | ) |
|
| (1,680,312 | ) |
|
| (201,037 | ) |
|
| (18,369,082 | ) |
| Transfers |
|
| — |
|
|
| — |
|
|
| — |
|
|
| — |
|
|
| — |
|
|
| — |
|
|
| — |
|
| Balance at June 30, 2019 |
|
| 177,125,745 |
|
|
| 446,562 |
|
|
| — |
|
|
| 71,243,852 |
|
|
| 1,823,330 |
|
|
| 13,806,521 |
|
|
| 264,446,010 |
|
| Net income (loss) |
|
| 6,637,776 |
|
|
| 18,473 |
|
|
| 1,533 |
|
|
| 3,064,683 |
|
|
| 80,636 |
|
|
| 587,025 |
|
|
| 10,390,125 |
|
| Subscriptions |
|
| 400,000 |
|
|
| 98,000 |
|
|
| 38,000 |
|
|
| 304,000 |
|
|
| — |
|
|
| 50,000 |
|
|
| 890,000 |
|
| Redemptions |
|
| (5,363,506 | ) |
|
| — |
|
|
| — |
|
|
| (5,136,693 | ) |
|
| — |
|
|
| (167,039 | ) |
|
| (10,667,237 | ) |
| Transfers |
|
| (204,434 | ) |
|
| — |
|
|
| — |
|
|
| 204,434 |
|
|
| — |
|
|
| — |
|
|
| — |
|
| Balance at September 30, 2019 |
| $ | 178,595,581 |
|
| $ | 563,035 |
|
| $ | 39,533 |
|
| $ | 69,680,276 |
|
| $ | 1,903,966 |
|
| $ | 14,276,507 |
|
| $ | 265,058,898 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 2018 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Balance at December 31, 2017 |
| $ | 240,860,323 |
|
| $ | — |
|
| $ | — |
|
| $ | 100,657,081 |
|
| $ | 3,547,299 |
|
| $ | 12,470,722 |
|
| $ | 357,535,425 |
|
| Net income (loss) |
|
| (7,946,101 | ) |
|
| — |
|
|
| — |
|
|
| (2,661,301 | ) |
|
| (98,643 | ) |
|
| (368,589 | ) |
|
| (11,074,634 | ) |
| Subscriptions |
|
| 631,000 |
|
|
| — |
|
|
| — |
|
|
| 803,000 |
|
|
| — |
|
|
| 1,060,000 |
|
|
| 2,494,000 |
|
| Redemptions |
|
| (10,348,464 | ) |
|
| — |
|
|
| — |
|
|
| (6,445,115 | ) |
|
| — |
|
|
| (135,479 | ) |
|
| (16,929,058 | ) |
| Transfers |
|
| — |
|
|
| — |
|
|
| — |
|
|
| — |
|
|
| — |
|
|
| — |
|
|
| — |
|
| Balance at March 31, 2018 |
|
| 223,196,758 |
|
|
| — |
|
|
| — |
|
|
| 92,353,665 |
|
|
| 3,448,656 |
|
|
| 13,026,654 |
|
|
| 32,025,733 |
|
| Net income (loss) |
|
| 1,878,481 |
|
|
| — |
|
|
| — |
|
|
| 1,200,166 |
|
|
| 53,530 |
|
|
| 179,155 |
|
|
| 3,311,332 |
|
| Subscriptions |
|
| 563,808 |
|
|
| — |
|
|
| — |
|
|
| 724,300 |
|
|
| — |
|
|
| 550,000 |
|
|
| 1,838,108 |
|
| Redemptions |
|
| (8,509,809 | ) |
|
| — |
|
|
| — |
|
|
| (6,350,110 | ) |
|
| — |
|
|
| (155,561 | ) |
|
| (15,015,479 | ) |
| Transfers |
|
| (1,560,796 | ) |
|
| — |
|
|
| — |
|
|
| 1,560,796 |
|
|
| — |
|
|
| — |
|
|
| — |
|
| Balance at June 30, 2018 |
|
| 215,568,443 |
|
|
| — |
|
|
| — |
|
|
| 89,488,818 |
|
|
| 3,502,186 |
|
|
| 13,600,247 |
|
|
| 322,159,694 |
|
| Net income (loss) |
|
| 676,964 |
|
|
| — |
|
|
| — |
|
|
| 678,782 |
|
|
| 35,942 |
|
|
| 111,854 |
|
|
| 1,503,542 |
|
| Subscriptions |
|
| 721,566 |
|
|
| — |
|
|
| — |
|
|
| 50,000 |
|
|
| — |
|
|
| 162,000 |
|
|
| 933,566 |
|
| Redemptions |
|
| (9,711,437 | ) |
|
| — |
|
|
| — |
|
|
| (4,691,744 | ) |
|
| — |
|
|
| (271,042 | ) |
|
| (14,674,223 | ) |
| Transfers |
|
| (690,183 | ) |
|
| — |
|
|
| — |
|
|
| 690,183 |
|
|
| — |
|
|
| — |
|
|
| — |
|
| Balance at September 30, 2018 |
| $ | 206,565,353 |
|
| $ | — |
|
| $ | — |
|
| $ | 86,216,039 |
|
| $ | 3,538,128 |
|
| $ | 13,603,059 |
|
| $ | 309,922,579 |
|
The accompanying notes are an integral part of these financial statements.
14
Futures Portfolio Fund, Limited Partnership
Statements of Changes in Partners’ Capital (Net Asset Value)
For the Nine Months Ended September 30, 2019 and 2018
(Unaudited)
Units
|
|
| Class A |
|
| Class A2 |
|
| Class A3 |
|
| Class B |
|
| Class I |
|
| Class R |
| ||||||
| 2019 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Balance at December 31, 2018 |
|
| 48,319.8508 |
|
|
| 146.5000 |
|
|
| — |
|
|
| 13,290.4576 |
|
|
| 3,466.2779 |
|
|
| 13,683.8897 |
|
| Subscriptions |
|
| 551.5426 |
|
|
| 90.5174 |
|
|
| — |
|
|
| 12.0124 |
|
|
| — |
|
|
| 217.0747 |
|
| Redemptions |
|
| (3,329.8411 | ) |
|
| — |
|
|
| — |
|
|
| (934.0369 | ) |
|
| (254.4114 | ) |
|
| (687.1682 | ) |
| Transfers |
|
| (44.7181 | ) |
|
| — |
|
|
| — |
|
|
| 28.9854 |
|
|
| — |
|
|
| — |
|
| Balance at March 31, 2019 |
|
| 45,496.8342 |
|
|
| 237.0174 |
|
|
| — |
|
|
| 12,397.4185 |
|
|
| 3,211.8665 |
|
|
| 13,213.7962 |
|
| Subscriptions |
|
| 1,426.5866 |
|
|
| 197.4320 |
|
|
| — |
|
|
| — |
|
|
| 247.1650 |
|
|
| 350.1878 |
|
| Redemptions |
|
| (2,711.2592 | ) |
|
| — |
|
|
| — |
|
|
| (941.1029 | ) |
|
| (1,689.9233 | ) |
|
| (200.2495 | ) |
| Transfers |
|
| — |
|
|
| — |
|
|
| — |
|
|
| — |
|
|
| — |
|
|
| — |
|
| Balance at June 30, 2019 |
|
| 44,212.1616 |
|
|
| 434.4494 |
|
|
| — |
|
|
| 11,456.3155 |
|
|
| 1,769.1082 |
|
|
| 13,363.7345 |
|
| Subscriptions |
|
| 99.8436 |
|
|
| 91.8732 |
|
|
| 38.0000 |
|
|
| 46.5450 |
|
|
| — |
|
|
| 45.1612 |
|
| Redemptions |
|
| (1,279.6242 | ) |
|
| — |
|
|
| — |
|
|
| (778.8515 | ) |
|
| — |
|
|
| (150.8724 | ) |
| Transfers |
|
| (49.2183 | ) |
|
| — |
|
|
| — |
|
|
| 31.6233 |
|
|
| — |
|
|
| — |
|
| Balance at September 30, 2019 |
|
| 42,983.1627 |
|
|
| 526.3226 |
|
|
| 38.0000 |
|
|
| 10,755.6323 |
|
|
| 1,769.1082 |
|
|
| 13,258.0233 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 2018 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Balance at December 31, 2017 |
|
| 58,081.8421 |
|
|
| — |
|
|
| — |
|
|
| 16,061.6377 |
|
|
| 3,466.2779 |
|
|
| 12,013.6394 |
|
| Subscriptions |
|
| 152.6465 |
|
|
| — |
|
|
| — |
|
|
| 130.1735 |
|
|
| — |
|
|
| 1,055.0794 |
|
| Redemptions |
|
| (2,486.2985 | ) |
|
| — |
|
|
| — |
|
|
| (995.8273 | ) |
|
| — |
|
|
| (134.8093 | ) |
| Transfers |
|
| — |
|
|
| — |
|
|
| — |
|
|
| — |
|
|
| — |
|
|
| — |
|
| Balance at March 31, 2018 |
|
| 55,748.1901 |
|
|
| — |
|
|
| — |
|
|
| 15,195.9839 |
|
|
| 3,466.2779 |
|
|
| 12,933.9095 |
|
| Subscriptions |
|
| 140.3344 |
|
|
| — |
|
|
| — |
|
|
| 118.6279 |
|
|
| — |
|
|
| 542.0899 |
|
| Redemptions |
|
| (2,110.1680 | ) |
|
| — |
|
|
| — |
|
|
| (1,033.9500 | ) |
|
| — |
|
|
| (152.4348 | ) |
| Transfers |
|
| (388.4804 | ) |
|
| — |
|
|
| — |
|
|
| 255.0193 |
|
|
| — |
|
|
| — |
|
| Balance at June 30, 2018 |
|
| 53,389.8761 |
|
|
| — |
|
|
| — |
|
|
| 14,535.6811 |
|
|
| 3,466.2779 |
|
|
| 13,323.5646 |
|
| Subscriptions |
|
| 178.4499 |
|
|
| — |
|
|
| — |
|
|
| 8.1215 |
|
|
| — |
|
|
| 160.5552 |
|
| Redemptions |
|
| (2,402.6194 | ) |
|
| — |
|
|
| — |
|
|
| (759.9275 | ) |
|
| — |
|
|
| (266.8424 | ) |
| Transfers |
|
| (171.9332 | ) |
|
| — |
|
|
| — |
|
|
| 112.5066 |
|
|
| — |
|
|
| — |
|
| Balance at September 30, 2018 |
|
| 50,993.7734 |
|
|
| — |
|
|
| — |
|
|
| 13,896.3817 |
|
|
| 3,466.2779 |
|
|
| 13,217.2774 |
|
Net Asset Value per Unit
|
|
| Class A |
|
| Class A2 |
|
| Class A3 |
|
| Class B |
|
| Class I |
|
| Class R |
| ||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| September 30, 2019 |
| $ | 4,155.01 |
|
| $ | 1,069.75 |
|
| $ | 1,040.35 |
|
| $ | 6,478.49 |
|
| $ | 1,076.23 |
|
| $ | 1,076.82 |
|
| December 31, 2018 |
|
| 3,911.85 |
|
|
| 996.71 |
|
|
| — |
|
|
| 6,018.20 |
|
|
| 992.59 |
|
|
| 998.83 |
|
| September 30, 2018 |
|
| 4,050.80 |
|
|
| — |
|
|
| — |
|
|
| 6,204.21 |
|
|
| 1,020.73 |
|
|
| 1,029.19 |
|
| December 31, 2017 |
|
| 4,146.91 |
|
|
| — |
|
|
| — |
|
|
| 6,266.93 |
|
|
| 1,023.37 |
|
|
| 1,038.05 |
|
The accompanying notes are an integral part of these financial statements.
15
Futures Portfolio Fund, Limited Partnership
Notes to Financial Statements
| 1. | Organization and Summary of Significant Accounting Policies |
Description of the Fund
Futures Portfolio Fund, Limited Partnership (“Fund”) is a Maryland limited partnership, which operates as a commodity investment pool that commenced trading operations on January 2, 1990. The Fund issues units of limited partner interests (“Units”) in six classes, Class A, A2, A3, B, I and R, which represent units of fractional undivided beneficial interest in and ownership of the Fund. The Fund will automatically terminate on December 31, 2025, unless terminated earlier as provided in the Third Amended and Restated Limited Partnership Agreement (“Partnership Agreement”).
The Fund uses commodity trading advisors to engage in the speculative trading of futures contracts, forward currency contracts and other financial instruments traded in the United States (“U.S.”) and internationally.
The Fund is a registrant with the U.S. Securities and Exchange Commission (“SEC”) pursuant to the U.S. Securities Exchange Act of 1934, as amended (“1934 Act”). As a registrant, the Fund is subject to the regulations of the SEC and the disclosure requirements of the 1934 Act. As a commodity pool, the Fund is subject to the regulations of the U.S. Commodity Futures Trading Commission (“CFTC”), an agency of the U.S. Government, which regulates most aspects of the commodity futures industry; rules of the National Futures Association (“NFA”), an industry self-regulatory organization; rules of Financial Industry Regulatory Authority (“FINRA”), an industry self-regulatory organization; and the requirements of commodity exchanges where the Fund executes transactions. Additionally, the Fund is subject to the requirements of the futures brokers and interbank market makers through which the Fund trades.
Steben & Company LLC (“General Partner”), is the general partner of the Fund and a Maryland corporation registered with the CFTC as a commodity pool operator and a commodities introducing broker, and is also registered with the SEC as a registered investment advisor and a broker dealer. The General Partner is a member of the NFA and FINRA. The General Partner manages all aspects of the Fund’s business and serves as one of the Fund’s selling agents. On October 31, 2019, Octavus Group, LLC acquired all of the stock of the General Partner. 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, as described below:
|
| ● | Class A Units are subject to a 2% per annum selling agent fee. |
|
| ● | Class A2 Units may pay an up-front sales commission of up to 3% of the offering price and a 0.6% per annum selling agent fee. |
|
| ● | Class A3 Units may pay an up-front sales commission of up to 2% of the offering price and a 0.75% per annum selling agent fee. |
|
| ● | Class B Units are subject to a 0.2% per annum broker dealer servicing fee. |
|
| ● | Class I Units are subject to higher minimum investments requirements and lower General Partner management fees (0.75% per annum instead of 1.50% per annum) as well as a General Partner performance fee (7.5% of new profits, described more fully in Footnote 4). |
|
| ● | Class R Units do not pay selling compensation or servicing fees to selling agents, and are generally intended for clients of registered investment advisors. |
At September 30, 2019, the Fund owned approximately $23 million of Class I shares of the Steben Managed Futures Strategy Fund (“SMFSF”), which represents approximately 33% of that fund. SMFSF is a non-diversified series of shares of beneficial interest of Steben Alternative Investment Funds (the “Trust”), a statutory trust organized under the laws of the State of Delaware, and is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end investment company. SMFSF issues four classes of shares: Class A, C, I and N. The General Partner serves as the investment manager of SMFSF. SMFSF has a similar investment strategy to the Fund, using commodity trading advisors to engage in the speculative trading of futures contracts, forward currency contracts and other financial instruments.
16
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 gain (loss) in the statements of operations. Unrealized gains and losses on open contracts (the difference between contract trade price and fair value) are reported in the statements of financial condition as net unrealized gain or loss, as there exists a right of offset of any unrealized gains or losses. The difference between cost and the fair value of open investments in securities and certificates of deposit is reflected as unrealized gain or loss on investments in securities and certificates of deposit. Any change in net unrealized gain or loss from the preceding period is reported in the statements of operations. Interest income earned on investments in securities, certificates of deposit and other cash and cash equivalent balances is recorded on an accrual basis. Market discounts and premiums on fixed-income securities are amortized daily over the expected life of the security using the effective yield method.
Fair Value of Financial Instruments
Financial instruments are recorded at fair value, the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants. Assets and liabilities recorded at fair value are classified within a fair value hierarchy based upon the level of judgment associated with the inputs used to measure their value. This fair value hierarchy gives the highest priority to quoted prices in active markets for identical assets or liabilities (Level 1) and the lowest priority to unobservable inputs (Level 3). The three levels of the fair value hierarchy are described below:
| Level 1 – | Fair value is based on unadjusted quoted prices for identical instruments in active markets. Financial instruments utilizing Level 1 inputs include futures contracts, U.S. Treasury securities and mutual funds. |
| Level 2 – | Fair value is based on quoted prices for similar instruments in active markets and inputs other than quoted prices that are observable for the financial instrument, such as interest rates and yield curves that are observable at commonly quoted intervals using a market approach. Financial instruments utilizing Level 2 inputs include forward currency contracts, commercial paper, corporate notes, asset backed securities and the exchange membership. |
| Level 3 – | Fair value is based on valuation techniques in which one or more significant inputs are unobservable. The Fund has no financial instruments utilizing Level 3 inputs. |
In certain cases, the inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, an instrument’s level within the fair value hierarchy is based on the lowest level of input that is significant to the fair value measurement. The Fund’s assessment of the significance of a particular input to the fair value measurement in its entirety requires judgment, and considers factors specific to the investment.
The Fund assesses the classification of the instruments at each measurement date, and any transfers between levels are recognized on the actual date of the event or change in circumstances that caused the transfer in accordance with the Fund’s accounting policy regarding the recognition of transfers between levels of the fair value hierarchy. For the period ended September 30, 2019 and year ended December 31, 2018, 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.
17
U.S. Treasury securities are recorded at fair value based on bid and ask quotes for identical instruments. Commercial paper, certificates of deposit, corporate notes, asset backed securities and the exchange membership are recorded at fair value based on bid and ask quotes for similar, but not identical, instruments. Accordingly, U.S. Treasury securities are classified within Level 1, and commercial paper, certificates of deposit, corporate notes, asset backed securities and exchange memberships are classified within Level 2.
The investment in SMFSF (a mutual fund), a money market fund and futures contracts are valued using quoted market prices for identical assets in active markets, and are classified within Level 1. The money market fund is included in cash and cash equivalents in the statements of financial condition. The fair values of forward currency contracts are based upon third-party quoted dealer values on the interbank market and are classified within Level 2.
Cash and Cash Equivalents
Cash and cash equivalents may include cash, funds held in money market accounts and short-term investments with maturities of three months or less at the date of acquisition and that are not held for sale in the normal course of business. The Fund maintains deposits with financial institutions in amounts that are in excess of federally insured limits; however, the Fund does not believe it is exposed to any significant credit risk.
Exchange Membership
The Fund incurs reduced fees for transactions on the Chicago Mercantile Exchange (CME) due to a membership interest in the CME. The membership is accounted at its fair value and changes in fair value are reported in net change in unrealized gain (loss) in exchange membership on the statement of operations.
Brokerage Commissions and Trading Expenses
Brokerage commissions and trading expenses include brokerage and other trading fees, and are charged to expense when contracts are opened and closed.
Redemptions Payable
Redemptions payable represent redemptions that meet the requirements of the Fund and have been approved by the General Partner prior to period-end. These redemptions have been recorded using the period-end net asset value per Unit.
Income Taxes
The Fund prepares calendar year U.S. and applicable state and local tax returns. The Fund is not subject to federal income taxes as each partner is individually liable for his or her allocable share of the Fund’s income, expenses and trading gains or losses. The Fund evaluates the tax positions taken or expected to be taken in the course of preparing the Fund’s tax returns to determine whether the tax positions are more-likely-than-not to be sustained when examined by the applicable tax authority. Tax positions not deemed to meet the more-likely-than-not threshold would be recorded as a tax benefit or expense and asset or liability in the current year. Management has determined there are no material uncertain income tax positions through September 30, 2019. With few exceptions, the Fund is no longer subject to U.S. federal, or state and local income tax examinations by tax authorities for years before 2016.
Foreign Currency Transactions
The Fund has certain investments denominated in foreign currencies. The purchase and sale of investments, and income and expenses are translated at the rates of exchange prevailing on the respective dates of such transactions. The Fund does not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from the fluctuations arising from changes in market prices of investments held. Such fluctuations are included with the net realized and change in unrealized gain or loss on such investments in the statements of operations.
Reclassification
Certain amounts reported in the 2018 financial statements may have been reclassified to conform to the 2019 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 does not believe that adoption of this guidance will have a material effect on the financial statements.
18
| 2. | Fair Value Disclosures |
The Fund’s assets and liabilities, measured at fair value on a recurring basis, are summarized in the following tables by the type of inputs applicable to the fair value measurements:
At September 30, 2019
|
|
| Level 1 |
|
| Level 2 |
|
| Total |
| |||
| Equity in broker trading accounts: |
|
|
|
|
|
|
|
|
|
|
|
|
| Net unrealized gain (loss) on open futures contracts* |
| $ | 1,464,146 |
|
| $ | -- |
|
| $ | 1,464,146 |
|
| Net unrealized gain (loss) on open forward currency contracts* |
|
| — |
|
|
| 228,167 |
|
|
| 228,167 |
|
| Cash and cash equivalents: |
|
|
|
|
|
|
|
|
|
|
|
|
| Money market fund |
|
| 32,438,019 |
|
|
| — |
|
|
| 32,438,019 |
|
| Investment in SMFSF |
|
| 22,982,700 |
|
|
| — |
|
|
| 22,982,700 |
|
| Investments in securities: |
|
|
|
|
|
|
|
|
|
|
|
|
| U.S. Treasury securities* |
|
| 49,510,182 |
|
|
| — |
|
|
| 49,510,182 |
|
| Asset backed securities* |
|
| — |
|
|
| 10,646,788 |
|
|
| 10,646,788 |
|
| Commercial paper* |
|
| — |
|
|
| 32,947,408 |
|
|
| 32,947,408 |
|
| Corporate notes* |
|
| — |
|
|
| 92,332,024 |
|
|
| 92,332,024 |
|
| Exchange membership |
|
| — |
|
|
| 82,750 |
|
|
| 82,750 |
|
| Total |
| $ | 106,395,047 |
|
| $ | 136,237,137 |
|
| $ | 242,632,184 |
|
*See the condensed schedule of investments for further description.
At December 31, 2018
|
|
| Level 1 |
|
| Level 2 |
|
| Total |
| |||
| Equity in broker trading accounts: |
|
|
|
|
|
|
|
|
|
|
|
|
| Net unrealized gain (loss) on open futures contracts* |
| $ | 2,148,112 |
|
| $ | -- |
|
| $ | 2,148,112 |
|
| Net unrealized gain (loss) on open forward currency contracts* |
|
| — |
|
|
| 155,058 |
|
|
| 155,058 |
|
| Cash and cash equivalents: |
|
|
|
|
|
|
|
|
|
|
|
|
| Money market fund |
|
| 14,836,223 |
|
|
| — |
|
|
| 14,836,223 |
|
| Investment in SMFSF |
|
| 27,423,206 |
|
|
| — |
|
|
| 27,423,206 |
|
| Investments in securities: |
|
|
|
|
|
|
|
|
|
|
|
|
| U.S. Treasury securities* |
|
| 67,375,307 |
|
|
| — |
|
|
| 67,375,307 |
|
| Asset backed securities* |
|
| — |
|
|
| 11,694,238 |
|
|
| 11,694,238 |
|
| Commercial paper* |
|
| — |
|
|
| 37,438,570 |
|
|
| 37,438,570 |
|
| Corporate notes* |
|
| — |
|
|
| 100,547,018 |
|
|
| 100,547,018 |
|
| Exchange membership |
|
| — |
|
|
| 145,500 |
|
|
| 145,500 |
|
| Total |
| $ | 111,782,848 |
|
| $ | 149,980,384 |
|
| $ | 261,763,232 |
|
*See the condensed schedule of investments for further description.
There were no Level 3 holdings at September 30, 2019 and December 31, 2018, or during the periods then ended.
In addition to the financial instruments listed above, substantially all of the Fund’s other assets and liabilities are considered financial instruments and are reflected at fair value, or at carrying amounts that approximate fair value because of the short maturity of the instruments.
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| 3. | Derivative Instruments Disclosures |
The Fund’s derivative contracts are comprised of futures and forward currency contracts, none of which are designated as hedging instruments. At September 30, 2019, the Fund’s derivative contracts had the following impact on the statements of financial condition:
| At September 30, 2019 |
| Derivative Assets and Liabilities, at fair value |
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| Statements of Financial Condition Location |
| Gross |
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| Gross Amounts |
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| Net Amount of |
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| Equity in broker trading accounts: |
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| Net unrealized gain (loss) on open futures contracts |
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