Price | 1.00 | EPS | -17,342,917 | |
Shares | -0 | P/E | -0 | |
MCap | -0 | P/FCF | -0 | |
Net Debt | -61 | EBIT | 17 | |
TEV | -61 | TEV/EBIT | -3 | TTM 2019-09-30, in MM, except price, ratios |
10-Q | 2020-09-30 | Filed 2020-11-13 |
10-Q | 2020-06-30 | Filed 2020-08-14 |
10-Q | 2020-03-31 | Filed 2020-05-15 |
10-K | 2019-12-31 | Filed 2020-03-24 |
10-Q | 2019-09-30 | Filed 2019-11-14 |
10-Q | 2019-06-30 | Filed 2019-08-14 |
10-Q | 2019-03-31 | Filed 2019-05-13 |
10-K | 2018-12-31 | Filed 2019-03-15 |
10-Q | 2018-09-30 | Filed 2018-11-13 |
10-Q | 2018-06-30 | Filed 2018-08-14 |
10-Q | 2018-03-31 | Filed 2018-05-15 |
10-K | 2017-12-31 | Filed 2018-03-20 |
10-Q | 2017-09-30 | Filed 2017-11-13 |
10-Q | 2017-06-30 | Filed 2017-08-14 |
10-Q | 2017-03-31 | Filed 2017-05-12 |
10-K | 2016-12-31 | Filed 2017-03-24 |
10-Q | 2016-09-30 | Filed 2016-11-14 |
10-Q | 2016-06-30 | Filed 2016-08-15 |
10-Q | 2016-03-31 | Filed 2016-05-13 |
10-K | 2015-12-31 | Filed 2016-03-23 |
10-Q | 2015-09-30 | Filed 2015-11-13 |
10-Q | 2015-06-30 | Filed 2015-08-14 |
10-Q | 2015-03-31 | Filed 2015-05-15 |
10-K | 2014-12-31 | Filed 2015-03-27 |
10-Q | 2014-09-30 | Filed 2014-11-13 |
10-Q | 2014-06-30 | Filed 2014-08-14 |
10-Q | 2014-03-31 | Filed 2014-05-14 |
10-K | 2013-12-31 | Filed 2014-03-28 |
10-Q | 2013-09-30 | Filed 2013-11-14 |
10-Q | 2013-06-30 | Filed 2013-08-14 |
10-Q | 2013-03-31 | Filed 2013-05-14 |
10-K | 2012-12-31 | Filed 2013-03-28 |
10-Q | 2012-09-30 | Filed 2012-11-14 |
10-Q | 2012-06-30 | Filed 2012-08-14 |
10-Q | 2012-03-31 | Filed 2012-05-14 |
10-K | 2011-12-31 | Filed 2012-03-28 |
10-Q | 2011-09-30 | Filed 2011-11-14 |
10-Q | 2011-06-30 | Filed 2011-08-15 |
10-Q | 2011-03-31 | Filed 2011-05-13 |
10-K | 2010-12-31 | Filed 2011-03-25 |
10-Q | 2010-09-30 | Filed 2010-11-10 |
10-Q | 2010-06-30 | Filed 2010-08-12 |
10-Q | 2010-03-31 | Filed 2010-05-14 |
10-K | 2009-12-31 | Filed 2010-03-26 |
8-K | 2021-02-01 | |
8-K | 2021-01-01 | |
8-K | 2020-12-01 | |
8-K | 2020-11-01 | |
8-K | 2020-10-01 | |
8-K | 2020-09-01 | |
8-K | 2020-08-01 | |
8-K | 2020-04-01 | |
8-K | 2020-03-01 | |
8-K | 2020-01-01 | |
8-K | 2019-11-01 | |
8-K | 2019-10-31 | |
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 | |
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 |
---|---|---|
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, 2020
Commission file number: 000-50728
FUTURES PORTFOLIO FUND, LIMITED PARTNERSHIP
Organized in Maryland | IRS Employer Identification No.: 52-1627106 |
c/o Steben & Company LLC
687 Excelsior Boulevard
Excelsior, MN 55331
(952) 767-6900
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, 2020 (Unaudited) and December 31, 2019
September 30, 2020 (Unaudited) | December 31, 2019 | |||||||
Assets | ||||||||
Equity in broker trading accounts | ||||||||
Cash | $ | 44,461,686 | $ | 64,814,573 | ||||
Net unrealized gain (loss) on open futures contracts | 1,030,892 | 187,200 | ||||||
Net unrealized gain (loss) on open forward currency contracts | (575,626 | ) | (189,715 | ) | ||||
Total equity in broker trading accounts | 44,916,952 | 64,812,058 | ||||||
Cash and cash equivalents | 9,894,681 | 5,174,304 | ||||||
Investment in SMFSF, at fair value (cost $0 and $25,620,952) | — | 22,738,951 | ||||||
Investments in securities, at fair value (cost $127,698,951 and $161,352,357) | 128,971,690 | 162,552,581 | ||||||
General Partner 1% allocation receivable | 226,740 | — | ||||||
Exchange membership, at fair value (cost $189,000 and $189,000) | 65,500 | 62,500 | ||||||
Total assets | $ | 184,075,563 | $ | 255,340,394 | ||||
Liabilities and Partners’ Capital (Net Asset Value) | ||||||||
Liabilities | ||||||||
Trading Advisor management fees payable | $ | 265,485 | $ | 586,747 | ||||
Trading Advisor incentive fees payable | — | 602,408 | ||||||
Commissions and other trading fees payable on open contracts | 32,911 | 55,213 | ||||||
Cash Manager fees payable | 77,045 | 48,576 | ||||||
General Partner management and performance fees payable | 229,347 | 315,840 | ||||||
General Partner 1% allocation payable | — | 80,477 | ||||||
Selling agent fees payable – General Partner | 214,990 | 285,554 | ||||||
Broker dealer servicing fees payable – General Partner | 7,668 | 11,224 | ||||||
Administrative fee payable – General Partner | 68,281 | 58,569 | ||||||
Redemptions payable | 3,120,444 | 4,780,643 | ||||||
Subscriptions received in advance | 18,657 | 266,000 | ||||||
Total liabilities | 4,034,828 | 7,091,251 | ||||||
Partners’ Capital (Net Asset Value) | ||||||||
Class A Interests – 35,142.5969 and 41,522.9804 units outstanding at September 30, 2020 and December 31, 2019, respectively | 126,428,830 | 166,191,101 | ||||||
Class A2 Interests – 616.9178 and 526.3226 units outstanding at September 30, 2020 and December 31, 2019, respectively | 579,406 | 544,240 | ||||||
Class A3 Interests – 86.0607 and 86.0607 units outstanding at September 30, 2020 and December 31, 2019, respectively | 78,489 | 86,512 | ||||||
Class B Interests – 7,885.0174 and 10,608.5075 units outstanding at September 30, 2020 and December 31, 2019, respectively | 45,026,868 | 66,498,788 | ||||||
Class I Interests – 256.4767 and 1,769.1082 units outstanding at September 30, 2020 and December 31, 2019, respectively | 245,604 | 1,846,574 | ||||||
Class R Interests – 8,076.9773 and 12,549.5403 units outstanding at September 30, 2020 and December 31, 2019, respectively | 7,681,538 | 13,081,928 | ||||||
Total partners’ capital (net asset value) | 180,040,735 | 248,249,143 | ||||||
Total liabilities and partners’ capital (net asset value) | $ | 184,075,563 | $ | 255,340,394 |
The accompanying notes are an integral part of these financial statements.
1
Futures Portfolio Fund, Limited Partnership
Condensed Schedule of Investments
September 30, 2020 (Unaudited)
Description | Fair Value | % of Partners’ Capital (Net Asset Value) | |||||||||||||||
INVESTMENTS IN SECURITIES | |||||||||||||||||
U.S. Treasury Securities | |||||||||||||||||
Face Value | Maturity Date | Name | Yield1 | ||||||||||||||
$ | 5,000,000 | 7/15/21 | U.S. Treasury | 2.63 | % | $ | 5,126,257 | 2.85 | % | ||||||||
6,000,000 | 10/31/21 | U.S. Treasury | 2.00 | % | 6,171,155 | 3.42 | % | ||||||||||
6,000,000 | 1/31/22 | U.S. Treasury | 1.38 | % | 6,113,274 | 3.40 | % | ||||||||||
Total U.S. Treasury securities (cost: $17,506,279) | 17,410,686 | 9.67 | % | ||||||||||||||
U.S. Commercial Paper | |||||||||||||||||
Face Value | Maturity Date | Name | Yield1 | ||||||||||||||
Banks | |||||||||||||||||
1,200,000 | 12/14/20 | Mitsubishi UFJ Trust and Banking Corp. (New York Branch) | 0.19 | % | 1,199,531 | 0.66 | % | ||||||||||
1,200,000 | 11/24/20 | Mizuho Bank - New York Branch | 0.16 | % | 1,199,703 | 0.67 | % | ||||||||||
1,300,000 | 11/9/20 | United Overseas Bank Limited - New York Agency | 0.18 | % | 1,299,747 | 0.71 | % | ||||||||||
Diversified financial services | |||||||||||||||||
1,200,000 | 10/6/20 | Citigroup Global Markets Inc. | 0.12 | % | 1,199,977 | 0.67 | % | ||||||||||
1,200,000 | 10/8/20 | DCAT, LLC | 0.14 | % | 1,199,963 | 0.67 | % | ||||||||||
1,200,000 | 12/15/20 | Gotham Funding Corporation | 0.15 | % | 1,199,625 | 0.67 | % | ||||||||||
1,200,000 | 10/7/20 | Manhattan Asset Funding Company LLC | 0.20 | % | 1,199,954 | 0.67 | % | ||||||||||
1,200,000 | 10/8/20 | Regency Markets No 1 LLC | 0.14 | % | 1,199,963 | 0.67 | % | ||||||||||
1,200,000 | 11/13/20 | Sheffield Receivables Company LLC | 0.15 | % | 1,199,785 | 0.67 | % | ||||||||||
Energy | |||||||||||||||||
1,300,000 | 10/22/20 | Exxon Mobil Corporation | 0.11 | % | 1,299,917 | 0.71 | % | ||||||||||
1,200,000 | 10/22/20 | One Gas, Inc. | 0.10 | % | 1,199,923 | 0.66 | % | ||||||||||
Manufacturing | |||||||||||||||||
1,200,000 | 12/1/20 | Koch Industries, Inc. | 0.12 | % | 1,199,756 | 0.67 | % | ||||||||||
Water | |||||||||||||||||
1,200,000 | 10/13/20 | American Water Capital Corp. | 0.11 | % | 1,199,952 | 0.67 | % | ||||||||||
Total U.S. commercial paper (cost: $15,795,663) | 15,797,796 | 8.77 | % |
The accompanying notes are an integral part of these financial statements.
2
Futures Portfolio Fund, Limited Partnership
Condensed Schedule of Investments (continued)
September 30, 2020 (Unaudited)
Description | Fair Value | % of Partners’ Capital (Net Asset Value) | |||||||||||||||
Foreign Commercial Paper | |||||||||||||||||
Face Value | Maturity Date | Name | Yield1 | ||||||||||||||
Banks | |||||||||||||||||
1,200,000 | 10/30/20 | DNB Bank ASA | 0.13 | % | 1,199,874 | 0.67 | % | ||||||||||
1,200,000 | 10/27/20 | KfW | 0.13 | % | 1,199,887 | 0.67 | % | ||||||||||
1,200,000 | 12/9/20 | Skandinaviska Enskilda Banken AB (publ.) | 0.14 | % | 1,199,678 | 0.66 | % | ||||||||||
1,200,000 | 11/24/20 | The Toronto-Dominion Bank | 0.15 | % | 1,199,730 | 0.67 | % | ||||||||||
Diversified financial services | |||||||||||||||||
1,200,000 | 10/1/20 | Anglesea Funding Plc | 0.00 | % | 1,200,000 | 0.67 | % | ||||||||||
1,200,000 | 10/1/20 | Nationwide Building Society | 0.00 | % | 1,200,000 | 0.67 | % | ||||||||||
1,300,000 | 10/23/20 | Nieuw Amsterdam Receivables Corporation B.V. | 0.12 | % | 1,299,897 | 0.71 | % | ||||||||||
Energy | |||||||||||||||||
1,200,000 | 10/29/20 | Total Capital Canada Ltd. | 0.17 | % | 1,199,832 | 0.67 | % | ||||||||||
Total foreign commercial paper (cost: $9,697,655) | 9,698,898 | 5.39 | % | ||||||||||||||
Total commercial paper (cost: $25,493,318) | 25,496,694 | 14.16 | % | ||||||||||||||
U.S. Corporate Notes | |||||||||||||||||
Face Value | Maturity Date | Name | Yield1 | ||||||||||||||
Aerospace | |||||||||||||||||
$ | 4,000,000 | 5/1/22 | Boeing Company | 2.70 | % | 4,120,192 | 2.29 | % | |||||||||
Agriculture | |||||||||||||||||
4,850,000 | 5/5/21 | Altria Group, Inc. | 4.75 | % | 5,066,450 | 2.81 | % | ||||||||||
Banks | |||||||||||||||||
4,000,000 | 5/5/23 | Credit Suisse AG, New York Branch | 1.00 | % | 4,048,661 | 2.25 | % | ||||||||||
4,000,000 | 5/17/22 | Truist Bank | 2.80 | % | 4,191,573 | 2.33 | % | ||||||||||
4,750,000 | 1/15/21 | Wells Fargo Bank, National Association | 2.60 | % | 4,805,798 | 2.68 | % | ||||||||||
Diversified financial services | |||||||||||||||||
4,250,000 | 4/26/22 | Goldman Sachs Group, Inc. | 3.00 | % | 4,363,397 | 2.42 | % | ||||||||||
Energy | |||||||||||||||||
4,850,000 | 2/15/21 | Enterprise Products Operating LLC | 2.80 | % | 4,913,122 | 2.73 | % | ||||||||||
Equipment | |||||||||||||||||
3,500,000 | 4/24/23 | Micron Technology, Inc. | 2.50 | % | 3,672,195 | 2.04 | % | ||||||||||
Food | |||||||||||||||||
3,000,000 | 4/16/21 | General Mills, Inc. | 3.20 | % | 3,087,950 | 1.72 | % | ||||||||||
Healthcare | |||||||||||||||||
5,000,000 | 9/17/21 | Cigna Corporation | 3.40 | % | 5,149,261 | 2.86 | % | ||||||||||
3,000,000 | 6/1/21 | CVS Health Corporation | 2.13 | % | 3,050,419 | 1.69 | % | ||||||||||
4,797,000 | 3/15/22 | Medtronic, Inc. | 3.15 | % | 5,000,345 | 2.78 | % | ||||||||||
Pharmaceuticals | |||||||||||||||||
3,500,000 | 6/25/21 | Bayer US Finance II LLC | 0.86 | % | 3,500,422 | 1.94 | % | ||||||||||
4,000,000 | 5/16/22 | Bristol-Myers Squibb Company | 2.60 | % | 4,182,064 | 2.32 | % | ||||||||||
3,500,000 | 2/1/23 | Zoetis Inc. | 3.25 | % | 3,712,179 | 2.06 | % | ||||||||||
Telecommunications | |||||||||||||||||
4,000,000 | 2/9/22 | Apple Inc. | 2.50 | % | 4,128,200 | 2.29 | % | ||||||||||
3,500,000 | 6/30/22 | AT&T Inc. | 3.00 | % | 3,665,663 | 2.04 | % | ||||||||||
Total U.S. corporate notes (cost: $69,354,017) | 70,657,891 | 39.25 | % |
The accompanying notes are an integral part of these financial statements.
3
Futures Portfolio Fund, Limited Partnership
Condensed Schedule of Investments (continued)
September 30, 2020 (Unaudited)
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 | % | $ | 3,044,349 | 1.69 | % | ||||||||
Insurance | |||||||||||||||||
4,000,000 | 9/20/21 | AIA Group Limited | 0.75 | % | 3,996,006 | 2.22 | % | ||||||||||
Total foreign corporate notes (cost: $6,996,910) | 7,040,355 | 3.91 | % | ||||||||||||||
Total corporate notes (cost: $76,350,927) | 77,698,246 | 43.16 | % | ||||||||||||||
U.S. Asset Backed Securities | |||||||||||||||||
Face Value | Maturity Date | Name | Yield1 | ||||||||||||||
Automotive | |||||||||||||||||
45,621 | 7/18/22 | Americredit Automobile Receivables Trust 2017-4 | 2.04 | % | 45,697 | 0.03 | % | ||||||||||
91,567 | 9/19/22 | Americredit Automobile Receivales Trust 2019-2 | 2.43 | % | 91,873 | 0.05 | % | ||||||||||
713,958 | 1/18/23 | Americredit Automobile Receivables Trust 2019-3 | 2.17 | % | 719,358 | 0.40 | % | ||||||||||
378,694 | 7/20/21 | BMW Vehicle Lease Trust 2018-1 | 3.26 | % | 380,820 | 0.21 | % | ||||||||||
400,000 | 7/15/22 | Carmax Auto Owner Trust 2016-4 | 2.26 | % | 401,865 | 0.22 | % | ||||||||||
14,641 | 6/21/21 | GM Financial Automobile Leasing Trust 2018-3 | 3.18 | % | 14,680 | 0.01 | % | ||||||||||
510,848 | 6/20/22 | Honda Auto Receivables 2019-4 Owner Trust | 1.86 | % | 514,896 | 0.29 | % | ||||||||||
150,000 | 10/15/20 | NextGear Floorplan Master Owner Trust , Series 2017-2 | 2.56 | % | 150,276 | 0.08 | % | ||||||||||
250,000 | 5/15/23 | Santander Drive Auto Receivables Trust 2020-2 | 0.62 | % | 250,398 | 0.14 | % | ||||||||||
335,080 | 4/20/22 | Santander Retail Auto Lease Trust 2019-B | 2.29 | % | 338,440 | 0.19 | % | ||||||||||
429,755 | 4/20/22 | Tesla Auto Lease Trust 2019-A | 2.13 | % | 435,365 | 0.24 | % | ||||||||||
300,006 | 8/15/23 | World Omni Select Auto Trust 2019-A | 2.06 | % | 302,401 | 0.17 | % | ||||||||||
Credit cards | |||||||||||||||||
575,000 | 9/15/21 | American Express Credit Account Master Trust 2018 - 8 | 3.18 | % | 591,878 | 0.33 | % | ||||||||||
820,000 | 8/15/24 | World Financial Network Credit Card Master Note Trust - Series 2017-C | 2.31 | % | 821,385 | 0.46 | % | ||||||||||
Equipment | |||||||||||||||||
600,000 | 6/22/22 | Dell Equipment Finance Trust 2020-1 | 2.26 | % | 610,180 | 0.34 | % | ||||||||||
185,018 | 5/20/22 | DLL 2019-2 LLC | 2.27 | % | 185,911 | 0.10 | % | ||||||||||
100,799 | 6/15/21 | GreatAmerica Leasing Receivables Funding LLC, Series 2019-1 | 2.97 | % | 101,209 | 0.06 | % | ||||||||||
825,000 | 6/15/22 | GreatAmerica Leasing Receivables Funding, LLC | 1.76 | % | 832,933 | 0.45 | % | ||||||||||
675,000 | 7/22/30 | HPEFS Equipment Trust 2020-2 | 0.69 | % | 677,592 | 0.37 | % | ||||||||||
119,935 | 4/20/22 | Verizon Owner Trust 2017-3 | 2.06 | % | 120,123 | 0.07 | % | ||||||||||
750,000 | 4/20/23 | Verizon Owner Trust 2018-A | 3.23 | % | 762,481 | 0.42 | % | ||||||||||
Student loans | |||||||||||||||||
16,357 | 11/25/27 | SLM Student Loan Trust 2011-2 | 0.75 | % | 16,303 | 0.01 | % | ||||||||||
Total U.S. asset backed securities (cost: $8,348,427) | 8,366,064 | 4.64 | % | ||||||||||||||
Total investments in securities (cost: $127,698,951) | $ | 128,971,690 | 71.63 | % |
The accompanying notes are an integral part of these financial statements.
4
Futures Portfolio Fund, Limited Partnership
Condensed Schedule of Investments (continued)
September 30, 2020 (Unaudited)
Description | Fair Value | % of Partners’ Capital (Net Asset Value) | ||||||||||||
OPEN FUTURES CONTRACTS | ||||||||||||||
Long U.S. Futures Contracts | ||||||||||||||
Agricultural commodities | $ | 486,420 | 0.27 | % | ||||||||||
Currencies | (137,632 | ) | (0.08 | )% | ||||||||||
Energy | 6,892 | 0.00 | % | |||||||||||
Equity indices | 677,702 | 0.38 | % | |||||||||||
Interest rate instruments | 59,675 | 0.03 | % | |||||||||||
Metals2 | 1,852,682 | 1.03 | % | |||||||||||
Net unrealized gain (loss) on open long U.S. futures contracts | 2,945,739 | 1.63 | % | |||||||||||
Short U.S. Futures Contracts | ||||||||||||||
Agricultural commodities | (647,039 | ) | (0.36 | )% | ||||||||||
Currencies | 12,973 | 0.01 | % | |||||||||||
Energy | (158,373 | ) | (0.09 | )% | ||||||||||
Equity indices | 135,324 | 0.08 | % | |||||||||||
Interest rate instruments | (87,655 | ) | (0.05 | )% | ||||||||||
Metals2 | (2,136,985 | ) | (1.19 | )% | ||||||||||
Net unrealized gain (loss) on open short U.S. futures contracts | (2,881,755 | ) | (1.60 | )% | ||||||||||
Total U.S. Futures Contracts - net unrealized gain (loss) on open U.S. futures contracts | 63,984 | 0.03 | % | |||||||||||
Long Foreign Futures Contracts | ||||||||||||||
Agricultural commodities | 58,926 | 0.03 | % | |||||||||||
Currencies | (20,625 | ) | (0.01 | )% | ||||||||||
Energy | 8,584 | 0.00 | % | |||||||||||
Equity indices | (171,806 | ) | (0.10 | )% | ||||||||||
Interest rate instruments | 1,040,160 | 0.58 | % | |||||||||||
Metals | (11,029 | ) | (0.01 | )% | ||||||||||
Single stock futures | (949 | ) | 0.00 | % | ||||||||||
Net unrealized gain (loss) on open long foreign futures contracts | 903,261 | 0.49 | % | |||||||||||
Short Foreign Futures Contracts | ||||||||||||||
Agricultural commodities | (8,175 | ) | 0.00 | % | ||||||||||
Currencies | (11,410 | ) | (0.01 | )% | ||||||||||
Energy | (14,899 | ) | (0.01 | )% | ||||||||||
Equity indices | 158,031 | 0.09 | % | |||||||||||
Interest rate instruments | (59,900 | ) | (0.02 | )% | ||||||||||
Net unrealized gain (loss) on open short foreign futures contracts | 63,647 | 0.05 | % | |||||||||||
Total foreign futures contracts - net unrealized gain (loss) on open foreign futures contracts | 966,908 | 0.54 | % | |||||||||||
Net unrealized gain (loss) on open futures contracts | $ | 1,030,892 | 0.57 | % |
The accompanying notes are an integral part of these financial statements.
5
Futures Portfolio Fund, Limited Partnership
Condensed Schedule of Investments (continued)
September 30, 2020 (Unaudited)
Description | Fair Value | % of Partners’ Capital (Net Asset Value) | ||||||||||||
OPEN FORWARD CURRENCY CONTRACTS | ||||||||||||||
U.S. Forward Currency Contracts | ||||||||||||||
Long | $ | (1,250,796 | ) | (0.69 | )% | |||||||||
Short | 919,463 | 0.51 | % | |||||||||||
Net unrealized gain (loss) on open U.S. forward currency contracts | (331,333 | ) | (0.18 | )% | ||||||||||
Foreign Forward Currency Contracts | ||||||||||||||
Long | 145,012 | 0.08 | % | |||||||||||
Short | (389,305 | ) | (0.23 | )% | ||||||||||
Net unrealized gain (loss) on open foreign forward currency contracts | (244,293 | ) | (0.15 | )% | ||||||||||
Net unrealized gain (loss) on open forward currency contracts | $ | (575,626 | ) | (0.33 | )% |
1 Represents the annualized yield at date of purchase for discount securities or the stated coupon rate for coupon-bearing securities.
2 No individual futures or forward currency contract position constituted one percent or greater of partners’ capital (net asset value). Accordingly, the number of contracts and expiration dates are not presented.
The accompanying notes are an integral part of these financial statements.
6
Futures Portfolio Fund, Limited Partnership
Condensed Schedule of Investments
December 31, 2019
Description | Fair Value | % of Partners’ Capital (Net Asset Value) | ||||||||||||||||
INVESTMENTS IN SECURITIES | ||||||||||||||||||
U.S. Treasury Securities | ||||||||||||||||||
Face Value | Maturity Date | Name | Yield1 | |||||||||||||||
$ | 8,500,000 | 1/31/20 | U.S. Treasury | 1.38 | % | $ | 8,547,582 | 3.44 | % | |||||||||
6,000,000 | 2/15/20 | U.S. Treasury | 1.38 | % | 6,028,349 | 2.43 | % | |||||||||||
4,000,000 | 3/15/20 | U.S. Treasury | 1.63 | % | 4,018,661 | 1.62 | % | |||||||||||
8,000,000 | 4/15/20 | U.S. Treasury | 1.50 | % | 8,023,074 | 3.23 | % | |||||||||||
Total U.S. Treasury securities (cost: $26,521,176) | 26,617,666 | 10.72 | % | |||||||||||||||
U.S. Commercial Paper | ||||||||||||||||||
Face Value | Maturity Date | Name | Yield1 | |||||||||||||||
Automotive | ||||||||||||||||||
$ | 1,300,000 | 1/13/20 | Hyundai Capital America | 1.71 | % | $ | 1,299,198 | 0.52 | % | |||||||||
1,300,000 | 1/7/20 | VW Credit, Inc. | 1.67 | % | 1,299,578 | 0.52 | % | |||||||||||
Banks | ||||||||||||||||||
1,400,000 | 2/14/20 | Mitsubishi UFJ Trust & Banking Corporation (U.S.A.) | 1.82 | % | 1,396,817 | 0.56 | % | |||||||||||
Beverages | ||||||||||||||||||
1,400,000 | 1/2/20 | Brown-Forman Corporation | 0.85 | % | 1,399,934 | 0.57 | % | |||||||||||
Diversified financial services | ||||||||||||||||||
1,300,000 | 2/19/20 | American Express Credit Corporation | 1.84 | % | 1,296,674 | 0.52 | % | |||||||||||
1,400,000 | 1/15/20 | CRC Funding, LLC | 1.66 | % | 1,399,031 | 0.57 | % | |||||||||||
1,300,000 | 1/8/20 | DCAT, LLC | 1.55 | % | 1,299,553 | 0.52 | % | |||||||||||
1,300,000 | 3/3/20 | Gotham Funding Corporation | 1.84 | % | 1,295,813 | 0.52 | % | |||||||||||
1,400,000 | 2/10/20 | Manhattan Asset Funding Company LLC | 1.80 | % | 1,397,122 | 0.56 | % | |||||||||||
1,400,000 | 1/16/20 | Regency Markets No 1 LLC | 1.87 | % | 1,398,833 | 0.56 | % | |||||||||||
Energy | ||||||||||||||||||
1,400,000 | 1/9/20 | Centerpoint Energy Resources Corp. | 1.72 | % | 1,399,396 | 0.57 | % | |||||||||||
1,500,000 | 2/4/20 | Exxon Mobil Corporation | 1.59 | % | 1,497,677 | 0.61 | % | |||||||||||
Manufacturing | ||||||||||||||||||
1,300,000 | 1/17/20 | Koch Industries, Inc. | 1.65 | % | 1,298,989 | 0.52 | % | |||||||||||
REIT | ||||||||||||||||||
1,300,000 | 1/29/20 | Simon Property Group, L.P. | 1.74 | % | 1,298,180 | 0.52 | % | |||||||||||
Total U.S. commercial paper (cost: $18,946,261) | 18,976,795 | 7.64 | % |
The accompanying notes are an integral part of these financial statements.
7
Futures Portfolio Fund, Limited Partnership
Condensed Schedule of Investments (continued)
December 31, 2019
Description | Fair Value | % of Partners’ Capital (Net Asset Value) | ||||||||||||||||
Foreign Commercial Paper | ||||||||||||||||||
Face Value | Maturity Date | Name | Yield1 | |||||||||||||||
Automotive | ||||||||||||||||||
$ | 1,500,000 | 1/2/20 | Nationwide Building Society | 0.91 | % | $ | 1,499,924 | 0.61 | % | |||||||||
Banks | ||||||||||||||||||
1,500,000 | 2/13/20 | DNB Bank ASA | 1.86 | % | 1,496,596 | 0.60 | % | |||||||||||
1,300,000 | 1/27/20 | Sumitomo Mitsui Banking Corporation | 1.78 | % | 1,298,263 | 0.52 | % | |||||||||||
Beverages | ||||||||||||||||||
1,400,000 | 1/21/20 | Diageo Capital plc | 1.81 | % | 1,398,522 | 0.56 | % | |||||||||||
Chemicals | ||||||||||||||||||
1,400,000 | 1/10/20 | Nutrien Ltd. | 1.76 | % | 1,399,314 | 0.56 | % | |||||||||||
Diversified financial services | ||||||||||||||||||
1,500,000 | 1/8/20 | Longship Funding Designated Activity Company | 1.71 | % | 1,499,431 | 0.60 | % | |||||||||||
1,400,000 | 2/3/20 | Ontario Teachers Finance Trust | 1.75 | % | 1,397,690 | 0.57 | % | |||||||||||
Insurance | ||||||||||||||||||
1,300,000 | 1/6/20 | Prudential plc | 1.58 | % | 1,299,657 | 0.52 | % | |||||||||||
Telecommunications | ||||||||||||||||||
1,300,000 | 1/7/20 | Bell Canada, Inc. | 1.63 | % | 1,299,588 | 0.52 | % | |||||||||||
1,400,000 | 1/14/20 | Rogers Communications Inc. | 1.78 | % | 1,399,030 | 0.57 | % | |||||||||||
Total foreign commercial paper (cost: $13,963,862) | 13,988,015 | 5.63 | % | |||||||||||||||
Total commercial paper (cost: $32,910,123) | 32,964,810 | 13.27 | % | |||||||||||||||
U.S. Corporate Notes | ||||||||||||||||||
Face Value | Maturity Date | Name | Yield1 | |||||||||||||||
Aerospace | ||||||||||||||||||
$ | 4,000,000 | 5/1/22 | Boeing Company | 2.70 | % | 4,074,640 | 1.64 | % | ||||||||||
5,000,000 | 8/16/21 | United Technologies Corporation | 3.35 | % | 5,178,972 | 2.09 | % | |||||||||||
Agriculture | ||||||||||||||||||
4,850,000 | 5/5/21 | Altria Group, Inc. | 4.75 | % | 5,053,651 | 2.04 | % | |||||||||||
Banks | ||||||||||||||||||
4,000,000 | 10/29/20 | JPMorgan Chase & Co. | 2.55 | % | 4,030,675 | 1.62 | % | |||||||||||
3,000,000 | 10/29/20 | JPMorgan Chase & Co. | 3.13 | % | 3,040,470 | 1.22 | % | |||||||||||
4,000,000 | 5/17/22 | SunTrust Bank | 2.80 | % | 4,085,233 | 1.65 | % | |||||||||||
4,750,000 | 1/15/21 | Wells Fargo Bank, National Association | 2.60 | % | 4,833,343 | 1.95 | % | |||||||||||
Diversified financial services | ||||||||||||||||||
4,250,000 | 4/26/22 | Goldman Sachs Group, Inc. | 3.00 | % | 4,329,852 | 1.75 | % | |||||||||||
Energy | ||||||||||||||||||
4,850,000 | 2/15/21 | Enterprise Products Operating LLC | 2.80 | % | 4,945,364 | 1.99 | % | |||||||||||
Food | ||||||||||||||||||
3,000,000 | 4/16/21 | General Mills, Inc. | 3.20 | % | 3,065,870 | 1.23 | % | |||||||||||
Healthcare | ||||||||||||||||||
5,000,000 | 9/17/21 | Cigna Corporation | 3.40 | % | 5,161,766 | 2.08 | % | |||||||||||
3,000,000 | 6/1/21 | CVS Health Corporation | 2.13 | % | 3,006,261 | 1.21 | % | |||||||||||
Media | ||||||||||||||||||
4,000,000 | 4/1/21 | NBCUniversal Media, LLC | 4.38 | % | 4,167,918 | 1.68 | % | |||||||||||
Pharmaceuticals | ||||||||||||||||||
4,200,000 | 5/11/20 | Amgen Inc. | 2.35 | % | 4,217,523 | 1.70 | % | |||||||||||
3,500,000 | 6/25/21 | Bayer US Finance II LLC | 2.58 | % | 3,507,703 | 1.41 | % | |||||||||||
4,000,000 | 5/16/22 | Bristol-Myers Squibb Company | 2.60 | % | 4,077,500 | 1.64 | % | |||||||||||
Telecommunications | ||||||||||||||||||
4,000,000 | 2/9/22 | Apple Inc. | 2.50 | % | 4,099,716 | 1.65 | % | |||||||||||
3,500,000 | 6/30/22 | AT&T Inc. | 3.00 | % | 3,578,314 | 1.44 | % | |||||||||||
Total U.S. corporate notes (cost: $73,603,993) | 74,454,771 | 29.99 | % |
The accompanying notes are an integral part of these financial statements.
8
Futures Portfolio Fund, Limited Partnership
Condensed Schedule of Investments (continued)
December 31, 2019
Description | Fair Value | % of Partners’ Capital (Net Asset Value) | ||||||||||||||||
Foreign Corporate Notes | ||||||||||||||||||
Face Value | Maturity Date | Name | Yield1 | |||||||||||||||
Banks | ||||||||||||||||||
$ | 5,500,000 | 3/2/20 | Danske Bank A/S | 2.20 | % | $ | 5,539,634 | 2.23 | % | |||||||||
Energy | ||||||||||||||||||
2,500,000 | 5/11/20 | Shell International Finance B.V. | 2.13 | % | 2,507,384 | 1.01 | % | |||||||||||
Insurance | ||||||||||||||||||
4,000,000 | 9/20/21 | AIA Group Limited | 2.43 | % | 4,003,233 | 1.61 | % | |||||||||||
Manufacturing | ||||||||||||||||||
3,500,000 | 11/15/20 | GE Capital International Funding Company | 2.34 | % | 3,514,824 | 1.42 | % | |||||||||||
Pharmaceuticals | ||||||||||||||||||
2,250,000 | 3/12/20 | Allergan Funding SCS | 3.14 | % | 2,259,476 | 0.91 | % | |||||||||||
Total foreign corporate notes (cost: $17,652,262) | 17,824,551 | 7.18 | % | |||||||||||||||
Total corporate notes (cost: $91,256,255) | 92,279,322 | 37.17 | % | |||||||||||||||
U.S. Asset Backed Securities | ||||||||||||||||||
Face Value | Maturity Date | Name | Yield1 | |||||||||||||||
Automotive | ||||||||||||||||||
$ | 900,000 | 2/18/22 | Americredit Automobile Receivables Trust 2017-1 | 2.30 | % | 901,420 | 0.37 | % | ||||||||||
451,554 | 7/18/22 | Americredit Automobile Receivables Trust 2017-4 | 2.04 | % | 451,795 | 0.18 | % | |||||||||||
253,596 | 1/18/22 | Americredit Automobile Receivables Trust 2018-3 | 3.11 | % | 254,487 | 0.10 | % | |||||||||||
283,888 | 9/19/22 | Americredit Automobile Receivales Trust 2019-2 | 2.43 | % | 284,678 | 0.11 | % | |||||||||||
772,000 | 7/20/21 | BMW Vehicle Lease Trust 2018-1 | 3.26 | % | 779,225 | 0.31 | % | |||||||||||
250,000 | 1/22/24 | Capital Auto Receivables Asset Trust 2016-3 | 2.65 | % | 250,578 | 0.10 | % | |||||||||||
220,524 | 2/22/21 | Capital Auto Receivables Asset Trust 2018-2 | 3.02 | % | 220,927 | 0.09 | % | |||||||||||
400,000 | 7/15/22 | Carmax Auto Owner Trust 2016-4 | 2.26 | % | 401,167 | 0.16 | % | |||||||||||
55,198 | 9/21/20 | GM Financial Automobile Leasing Trust 2018-3 | 2.89 | % | 55,266 | 0.02 | % | |||||||||||
100,000 | 6/21/21 | GM Financial Automobile Leasing Trust 2018-3 | 3.18 | % | 100,589 | 0.04 | % | |||||||||||
73,041 | 5/17/21 | GM Financial Consumer Automobile Receivables Trust 2018-2 | 2.55 | % | 73,153 | 0.03 | % | |||||||||||
52,232 | 2/16/21 | Mercedes- Benz Auto Lease Trust 2018-A | 2.41 | % | 52,320 | 0.02 | % | |||||||||||
150,000 | 10/15/20 | NextGear Floorplan Master Owner Trust , Series 2017-2 | 2.56 | % | 150,672 | 0.06 | % | |||||||||||
333,632 | 5/16/22 | Santander Drive Auto Receivables Trust 2017-1 | 2.58 | % | 334,317 | 0.14 | % | |||||||||||
500,000 | 4/20/22 | Santander Retail Auto Lease Trust 2019-B | 2.29 | % | 501,326 | 0.20 | % | |||||||||||
525,000 | 4/20/22 | Tesla Auto Lease Trust 2019-A | 2.13 | % | 525,261 | 0.21 | % | |||||||||||
Credit cards | ||||||||||||||||||
400,000 | 7/15/20 | Barclays Dryrock Issuance Trust, Series 2017-2 | 2.04 | % | 400,647 | 0.16 | % | |||||||||||
400,000 | 8/17/20 | Discover Card Execution Note Trust | 1.88 | % | 400,350 | 0.16 | % | |||||||||||
820,000 | 8/15/24 | World Financial Network Credit Card Master Note Trust - Series 2017-C | 2.31 | % | 822,189 | 0.34 | % | |||||||||||
Equipment | ||||||||||||||||||
121,415 | 10/22/20 | Dell Equipment Finance Trust 2018-1 | 2.09 | % | 121,496 | 0.05 | % | |||||||||||
500,000 | 5/20/22 | DLL 2019-2 LLC | 2.27 | % | 500,832 | 0.21 | % | |||||||||||
479,846 | 6/15/21 | GreatAmerica Leasing Receivables Funding LLC, Series 2019-1 | 2.97 | % | 482,010 | 0.19 | % | |||||||||||
806,676 | 1/10/22 | MMAF Equipment Finance LLC Series 2019-A | 2.84 | % | 811,592 | 0.33 | % | |||||||||||
205,263 | 12/20/20 | Verizon Owner Trust 2017-2 | 1.92 | % | 205,342 | 0.08 | % | |||||||||||
922,784 | 4/20/22 | Verizon Owner Trust 2017-3 | 2.06 | % | 923,583 | 0.37 | % | |||||||||||
Student loans | ||||||||||||||||||
26,574 | 11/25/27 | SLM Student Loan Trust 2011-2 | 2.39 | % | 26,622 | 0.01 | % | |||||||||||
657,427 | 8/25/47 | Sofi Professional Loan Program 2018-B Trust | 2.64 | % | 658,939 | 0.27 | % | |||||||||||
Total U.S. asset backed securities (cost: $10,664,803) | 10,690,783 | 4.31 | % | |||||||||||||||
Total investments in securities (cost: $161,352,357) | $ | 162,552,581 | 65.47 | % |
The accompanying notes are an integral part of these financial statements.
9
Futures Portfolio Fund, Limited Partnership
Condensed Schedule of Investments (continued)
December 31, 2019
Description | Fair Value | % of Partners’ Capital (Net Asset Value) | ||||||||||||||||
OPEN FUTURES CONTRACTS | ||||||||||||||||||
Long U.S. Futures Contracts | ||||||||||||||||||
Agricultural commodities | $ | 275,964 | 0.11 | % | ||||||||||||||
Currencies | 993,230 | 0.40 | % | |||||||||||||||
Energy | 179,104 | 0.07 | % | |||||||||||||||
Equity indices | 1,049,270 | 0.42 | % | |||||||||||||||
Interest rate instruments | (650,711 | ) | (0.26 | )% | ||||||||||||||
Metals | (163,448 | ) | (0.07 | )% | ||||||||||||||
Single stock futures | 158,891 | 0.06 | % | |||||||||||||||
Net unrealized gain (loss) on open long U.S. futures contracts | 1,842,300 | 0.73 | % | |||||||||||||||
Short U.S. Futures Contracts | ||||||||||||||||||
Agricultural commodities | (611,155 | ) | (0.25 | )% | ||||||||||||||
Currencies | (1,107,362 | ) | (0.45 | )% | ||||||||||||||
Energy | 354,367 | 0.14 | % | |||||||||||||||
Equity indices | (10,129 | ) | 0.00 | % | ||||||||||||||
Interest rate instruments | 7,668 | 0.00 | % | |||||||||||||||
Metals | 485,172 | 0.20 | % | |||||||||||||||
Single stock futures | (6,634 | ) | 0.00 | % | ||||||||||||||
Net unrealized gain (loss) on open short U.S. futures contracts | (888,073 | ) | (0.36 | )% | ||||||||||||||
Total U.S. Futures Contracts - net unrealized gain (loss) on open U.S. futures contracts | 954,227 | 0.37 | % | |||||||||||||||
Long Foreign Futures Contracts | ||||||||||||||||||
Agricultural commodities | 67,579 | 0.03 | % | |||||||||||||||
Currencies | (17,669 | ) | (0.01 | )% | ||||||||||||||
Energy | (11,669 | ) | 0.00 | % | ||||||||||||||
Equity indices | (76,733 | ) | (0.03 | )% | ||||||||||||||
Interest rate instruments | (1,754,938 | ) | (0.71 | )% | ||||||||||||||
Metals | 35,076 | 0.01 | % | |||||||||||||||
Single stock futures | 185 | 0.00 | % | |||||||||||||||
Net unrealized gain (loss) on open long foreign futures contracts | (1,758,169 | ) | (0.71 | )% |
The accompanying notes are an integral part of these financial statements.
10
Futures Portfolio Fund, Limited Partnership
Condensed Schedule of Investments (continued)
December 31, 2019
Description | Fair Value | % of Partners’ Capital (Net Asset Value) | ||||||||||||||||
OPEN FUTURES CONTRACTS (continued) | ||||||||||||||||||
Short Foreign Futures Contracts | ||||||||||||||||||
Agricultural commodities | $ | (914 | ) | 0.00 | % | |||||||||||||
Currencies | 80,885 | 0.03 | % | |||||||||||||||
Energy | 623,914 | 0.25 | % | |||||||||||||||
Equity indices | 143,496 | 0.06 | % | |||||||||||||||
Interest rate instruments | 143,761 | 0.06 | % | |||||||||||||||
Net unrealized gain (loss) on open short foreign futures contracts | 991,142 | 0.40 | % | |||||||||||||||
Total foreign futures contracts - net unrealized gain (loss) on open foreign futures contracts | (767,027 | ) | (0.31 | )% | ||||||||||||||
Net unrealized gain (loss) on open futures contracts | $ | 187,200 | 0.06 | % | ||||||||||||||
OPEN FORWARD CURRENCY CONTRACTS | ||||||||||||||||||
U.S. Forward Currency Contracts | ||||||||||||||||||
Long | $ | 1,142,214 | 0.46 | % | ||||||||||||||
Short | (1,328,398 | ) | (0.54 | )% | ||||||||||||||
Net unrealized gain (loss) on open U.S. forward currency contracts | (186,184 | ) | (0.08 | )% | ||||||||||||||
Foreign Forward Currency Contracts | ||||||||||||||||||
Long | (145,721 | ) | (0.06 | )% | ||||||||||||||
Short | 142,190 | 0.06 | % | |||||||||||||||
Net unrealized gain (loss) on open foreign forward currency contracts | (3,531 | ) | 0.00 | % | ||||||||||||||
Net unrealized gain (loss) on open forward currency contracts | $ | (189,715 | ) | (0.08 | )% |
1 Represents the annualized yield at date of purchase for discount securities, the stated coupon rate for coupon-bearing securities, or the stated interest rate for certificates of deposit.
The accompanying notes are an integral part of these financial statements.
11
Futures Portfolio Fund, Limited Partnership
Statements of Operations
For the Three and Nine Months Ended September 30, 2020 and 2019
(Unaudited)
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
2020 | 2019 | 2020 | 2019 | |||||||||||||
Realized and change in unrealized gain (loss) on investments | ||||||||||||||||
Net realized gain (loss) on: | ||||||||||||||||
Futures and forward contracts | $ | 3,492,125 | $ | 18,591,663 | $ | (16,940,382 | ) | $ | 26,051,728 | |||||||
Investments in SMFSF | — | (118,449 | ) | (2,753,150 | ) | (600,755 | ) | |||||||||
Investments in securities | 130,632 | 75,948 | 642,814 | (225,739 | ) | |||||||||||
Net change in unrealized gain (loss) on: | ||||||||||||||||
Futures and forward contracts | (2,067,382 | ) | (5,966,945 | ) | 457,781 | (727,294 | ) | |||||||||
Investments in SMFSF | — | 1,085,884 | 2,882,001 | 2,160,249 | ||||||||||||
Investments in securities | (241,735 | ) | 52,659 | 80,889 | 1,662,079 | |||||||||||
Exchange membership | (3,750 | ) | (29,250 | ) | 3,000 | (62,750 | ) | |||||||||
Brokerage commissions and trading expenses | (350,451 | ) | (758,792 | ) | (1,196,755 | ) | (2,350,535 | ) | ||||||||
Net realized and changed in unrealized gain (loss) on investments | 959,439 | 12,932,718 | (16,823,802 | ) | 25,906,983 | |||||||||||
Net investment income (loss) | ||||||||||||||||
Income | ||||||||||||||||
Interest income (loss) | 437,427 | 1,436,021 | 2,109,841 | 4,536,471 | ||||||||||||
Expenses | ||||||||||||||||
Trading Advisor management fee | 688,066 | 1,094,171 | 2,318,959 | 3,239,184 | ||||||||||||
Trading Advisor incentive fee | — | 538,775 | 213,562 | 2,995,000 | ||||||||||||
Cash manager fees | 39,995 | 49,438 | 140,311 | 153,110 | ||||||||||||
General Partner management and performance fees | 717,433 | 1,027,479 | 2,366,584 | 3,076,111 | ||||||||||||
Selling agent fees – General Partner | 668,372 | 923,908 | 2,154,202 | 2,746,080 | ||||||||||||
Broker dealer servicing fees – General Partner | 24,393 | 36,682 | 84,359 | 112,302 | ||||||||||||
General Partner 1% allocation | (9,568 | ) | 104,951 | (226,740 | ) | 175,181 | ||||||||||
Administrative expenses – General Partner | 215,451 | 203,210 | 682,075 | 603,569 | ||||||||||||
Total expenses | 2,344,142 | 3,978,614 | 7,733,312 | 13,100,537 | ||||||||||||
Net investment income (loss) | (1,906,715 | ) | (2,542,593 | ) | (5,623,471 | ) | (8,564,066 | ) | ||||||||
Net income (loss) | $ | (947,276 | ) | $ | 10,390,125 | $ | (22,447,273 | ) | $ | 17,342,917 |
The accompanying notes are an integral part of these financial statements.
12
Futures Portfolio Fund, Limited Partnership
Statements of Operations (continued)
For the Three and Nine Months Ended September 30, 2020 and 2019 (unaudited)
Three Months Ended September 30, 2020 | ||||||||||||||||||||||||
Class A | Class A2 | Class A3 | Class B | Class I | Class R | |||||||||||||||||||
Increase (decrease) in net asset value per unit | $ | (27.22 | ) | $ | (3.82 | ) | $ | (4.06 | ) | $ | (17.57 | ) | $ | (0.69 | ) | $ | (2.45 | ) | ||||||
Net income (loss) per unit† | $ | (24.43 | ) | $ | 0.74 | $ | (4.05 | ) | $ | (5.66 | ) | $ | (0.69 | ) | $ | (1.41 | ) | |||||||
Weighted average number of units outstanding | 36,341.2288 | 649.5844 | 86.0607 | 8.392.2071 | 256.4767 | 8.519.9500 |
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 |
Nine Months Ended September 30, 2020 | ||||||||||||||||||||||||
Class A | Class A2 | Class A3 | Class B | Class I | Class R | |||||||||||||||||||
Increase (decrease) in net asset value per unit | $ | (404.80 | ) | $ | (94.84 | ) | $ | (93.23 | ) | $ | (558.01 | ) | $ | (86.18 | ) | $ | (91.38 | ) | ||||||
Net income (loss) per unit† | $ | (403.66 | ) | $ | (84.65 | ) | $ | (93.22 | ) | $ | (596.47 | ) |