Futures Portfolio Fund Earnings 2019-06-30

FPF 10Q Quarterly Report

Balance Sheet	Income Statement	Cash Flow

10-Q 1 fpf-10q_063019.htm QUARTERLY REPORT

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 June 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, Inc.

9711 Washingtonian Blvd., Suite 400

Gaithersburg, Maryland 20878

(240) 631-7600

Securities registered pursuant to Section 12(b) of the Exchange Act:

Title of each class	Trading Symbol(s)	Name of each exchange on which registered
N/A	N/A	N/A

Indicate by check mark whether the Registrant (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the Registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days.

Yes ☒ No ☐

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

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

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

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

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

Yes ☐ No ☒

PART I: FINANCIAL INFORMATION

Item 1. Financial Statements

Futures Portfolio Fund, Limited Partnership

Statements of Financial Condition

June 30, 2019 (Unaudited) and December 31, 2018

	June 30, 2019 (Unaudited)			December 31, 2018
Assets
Equity in broker trading accounts
Cash	$	51,716,142		$	27,926,584
Net unrealized gain (loss) on open futures contracts		8,207,204			2,148,112
Net unrealized gain (loss) on open forward currency contracts		(664,383	)		155,058
Total equity in broker trading accounts		59,258,963			30,229,754
Cash and cash equivalents		11,699,323			18,259,197
Investment in SMFSF, at fair value (cost $26,177,283 and $30,659,588)		24,015,265			27,423,206
Investments in securities, at fair value (cost $174,417,267 and $217,418,518)		175,710,821			217,055,133
General Partner 1% allocation receivable		—			165,532
Exchange membership, at fair value (cost $189,000)		112,000			145,500
Total assets	$	270,796,372		$	293,278,322

Liabilities and Partners’ Capital (Net Asset Value) Liabilities
Trading Advisor management fees payable	$	371,969		$	369,048
Trading Advisor incentive fees payable		1,230,625			492,547
Commissions and other trading fees payable on open contracts		61,215			50,074
Cash Manager fees payable		45,207			55,890
General Partner management and performance fees payable		334,538			362,658
General Partner 1% allocation payable		70,230			—
Selling agent fees payable – General Partner		300,477			326,024
Broker dealer servicing fees payable – General Partner		12,042			13,539
Administrative fee payable – General Partner		65,754			67,240
Redemptions payable		3,375,305			5,057,655
Subscriptions received in advance		483,000			224,523
Total liabilities		6,350,362			7,019,198

Partners’ Capital (Net Asset Value)
Class A Interests – 44,212.1616 and 48,319.8508 units outstanding at June 30, 2019 and December 31, 2018, respectively		177,125,745			189,019,997
Class A2 Interests – 434.4494 and 146.5000 units outstanding at June 30, 2019 and December 31, 2018, respectively		446,562			146,018
Class B Interests – 11,456.3155 and 13,290.4576 units outstanding at June 30, 2019 and December 31, 2018, respectively		71,243,852			79,984,663
Class I Interests – 1,769.1082 and 3,466.2779 units outstanding at June 30, 2019 and December 31, 2018, respectively		1,823,330			3,440,608
Class R Interests – 13,363.7345 and 13,683.8897 units outstanding at June 30, 2019 and December 31, 2018, respectively		13,806,521			13,667,838
Total partners’ capital (net asset value)		264,446,010			286,259,124
Total liabilities and partners’ capital (net asset value)	$	270,796,372		$	293,278,322

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

Futures Portfolio Fund, Limited Partnership

Condensed Schedule of Investments

June 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	7/18/19	U.S. Treasury	2.38	%	$	7,991,951		3.02	%
	8,500,000	7/31/19	U.S. Treasury	1.38	%		8,542,111		3.23	%
	8,000,000	8/22/19	U.S. Treasury	2.33	%		7,975,502		3.02	%
	9,000,000	9/15/19	U.S. Treasury	0.88	%		8,999,205		3.40	%
	6,000,000	10/31/19	U.S. Treasury	1.25	%		5,994,823		2.27	%
	3,000,000	11/30/19	U.S. Treasury	1.75	%		2,999,759		1.13	%
Total U.S. Treasury securities (cost: $42,285,249)							42,503,351		16.07	%

U.S. Commercial Paper
	Face Value	Maturity Date	Name	Yield¹
Automotive
$	1,300,000	8/5/19	Daimler Finance North America LLC	2.35	%		1,296,938		0.49	%
	1,400,000	7/29/19	Hyundai Capital America	2.50	%		1,397,180		0.53	%
	1,200,000	8/9/19	VW Credit, Inc.	2.54	%		1,196,620		0.45	%
Banks
	1,400,000	7/19/19	Mitsubishi UFJ Trust & Banking Corporation (USA)	2.42	%		1,398,215		0.53	%
	1,300,000	7/22/19	Oversea-Chinese Banking Corporation Limited	2.29	%		1,298,180		0.49	%
Beverages
	1,500,000	7/17/19	Brown-Forman Corporation	2.33	%		1,498,347		0.57	%
Diversified financial services
	1,400,000	8/16/19	CRC Funding, LLC	2.34	%		1,395,725		0.53	%
	1,400,000	7/8/19	DCAT, LLC	2.20	%		1,399,317		0.53	%
	1,300,000	7/10/19	Gotham Funding Corporation	2.14	%		1,299,227		0.49	%
	1,400,000	8/19/19	Intercontinental Exchange, Inc.	2.44	%		1,395,255		0.53	%
	1,300,000	7/15/19	Manhattan Asset Funding Company LLC	2.21	%		1,298,802		0.49	%
	1,400,000	7/15/19	Regency Markets No. 1, LLC	2.26	%		1,398,682		0.53	%
Energy
	1,300,000	7/8/19	Black Hills Corporation	2.36	%		1,299,318		0.49	%
	1,300,000	7/19/19	CenterPoint Energy, Inc.	2.47	%		1,298,304		0.49	%
	1,400,000	7/1/19	Dominion Energy, Inc.	0.00	%		1,400,000		0.53	%
	1,300,000	7/23/19	NextEra Energy Capital Holdings, Inc.	2.52	%		1,297,911		0.49	%
	1,400,000	7/18/19	WEC Energy Group Inc.	2.46	%		1,398,281		0.53	%
Manufacturing
	1,300,000	7/11/19	Koch Industries, Inc.	2.16	%		1,299,141		0.49	%
Pharmaceuticals
	1,300,000	8/16/19	Novartis Finance Corporation	2.36	%		1,295,997		0.49	%
Total U.S. commercial paper (cost: $25,516,632)							25,561,440		9.67	%

Foreign Commercial Paper
	Face Value	Maturity Date	Name	Yield¹
Automotive
$	1,500,000	8/20/19	Nordea Bank Abp	2.42	%		1,494,853		0.56	%
	1,500,000	7/30/19	Toronto-Dominion Bank	2.33	%		1,497,088		0.57	%
Energy
	1,500,000	8/1/19	Engie	2.42	%		1,496,771		0.57	%
	1,500,000	8/9/19	Schlumberger Investment SA	2.28	%		1,496,198		0.57	%
Savings and loans
	1,400,000	7/11/19	Nationwide Building Society	2.18	%		1,399,067		0.52	%
Total foreign commercial paper (cost: $7,374,172)							7,383,977		2.79	%
Total commercial paper (cost: $32,890,804)							32,945,417		12.46	%

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

Futures Portfolio Fund, Limited Partnership

Condensed Schedule of Investments (continued)

June 30, 2019 (Unaudited)

			Description			Fair Value		% of Partners’ Capital (Net Asset Value)
U.S. Corporate Notes
	Face Value	Maturity Date	Name	Yield¹
Aerospace
$	5,000,000	8/16/21	United Technologies Corporation	3.35	%		5,172,062		1.96	%
Agriculture
	4,850,000	5/5/21	Altria Group, Inc.	4.75	%		5,087,635		1.92	%
Banks
	4,250,000	1/10/20	Citigroup Inc.	3.37	%		4,293,848		1.62	%
	4,000,000	10/29/20	JPMorgan Chase & Co.	2.55	%		4,027,655		1.52	%
	3,000,000	10/29/20	JPMorgan Chase & Co.	3.79	%		3,054,483		1.16	%
	4,000,000	5/17/22	SunTrust Bank	2.80	%		4,064,981		1.54	%
	4,750,000	1/15/21	Wells Fargo Bank	2.60	%		4,825,824		1.82	%
Energy
	4,850,000	2/15/21	Enterprise Products Operating LLC	2.80	%		4,931,484		1.86	%
Food
	3,000,000	4/16/21	General Mills, Inc.	3.20	%		3,064,247		1.16	%
Healthcare
	5,000,000	9/17/21	Cigna Corporation	3.40	%		5,145,726		1.95	%
	3,000,000	6/1/21	CVS Health Corporation	2.13	%		2,984,958		1.12	%
Media
	3,000,000	9/20/19	Discovery Communications, LLC	3.10	%		3,006,319		1.14	%
	4,000,000	4/1/21	NBCUniversal, LLC	4.38	%		4,191,934		1.59	%
Pharmaceuticals
	4,200,000	5/11/20	Amgen Inc.	2.99	%		4,227,006		1.60	%
	3,500,000	6/25/21	Bayer US Finance II LLC	2.98	%		3,480,244		1.32	%
	4,000,000	5/16/22	Bristol-Myers Squibb Company	2.60	%		4,059,272		1.54	%
Software
	3,500,000	10/8/19	Oracle Corporation	2.25	%		3,518,727		1.33	%
Telecommunications
	2,500,000	9/20/19	Cisco Systems, Inc.	2.73	%		2,503,715		0.94	%
Total U.S. corporate notes (cost: $70,817,004)							71,640,120		27.09	%

Foreign Corporate Notes
	Face Value	Maturity Date	Name	Yield¹
Banks
$	5,500,000	3/2/20	Danske Bank A/S	2.20	%		5,519,135		2.09	%
Energy
	1,000,000	9/12/19	Shell International Finance B.V.	1.38	%		1,001,699		0.38	%
	2,500,000	5/11/20	Shell International Finance B.V.	2.13	%		2,505,871		0.95	%
Insurance
	4,000,000	9/20/21	AIA Group Limited	2.91	%		3,998,281		1.50	%
Manufacturing
	3,500,000	11/15/20	GE Capital International Funding Company	2.34	%		3,491,224		1.32	%
Pharmaceuticals
	2,250,000	3/12/20	Allergan Funding SCS	3.69	%		2,268,441		0.86	%
Total foreign corporate notes (cost: $18,636,893)							18,784,651		7.10	%
Total corporate notes (cost: $89,453,897)							90,424,771		34.19	%

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

Futures Portfolio Fund, Limited Partnership

Condensed Schedule of Investments (continued)

June 30, 2019 (Unaudited)

			Description			Fair Value		% of Partners’ Capital (Net Asset Value)
U.S. Asset Backed Securities
	Face Value	Maturity Date	Name	Yield¹
Automotive
$	127,762	1/8/21	AmeriCredit Automobile Receivables Trust 2015-2	2.40	%		127,940		0.05	%
	900,000	2/18/22	AmeriCredit Automobile Receivables Trust 2017-1	2.30	%		899,754		0.34	%
	345,000	7/18/22	AmeriCredit Automobile Receivables Trust 2017-4	2.04	%		344,596		0.13	%
	546,621	1/18/22	AmeriCredit Automobile Receivables Trust 2018-3	3.11	%		548,956		0.21	%
	300,000	9/19/22	AmeriCredit Automobile Receivables Trust 2019-2	2.43	%		300,637		0.11	%
	668,378	2/22/21	Capital Auto Receivables Asset Trust 2018-2	3.02	%		670,449		0.25	%
	235,015	11/15/21	Drive Auto Receivables Trust 2018-3	3.01	%		235,413		0.09	%
	700,000	4/15/26	Ford Credit Auto Owner Trust 2014-REV2	2.31	%		700,280		0.26	%
	168,103	4/20/20	GM Financial Automobile Leasing Trust 2018-1	2.39	%		168,200		0.06	%
	560,007	9/21/20	GM Financial Automobile Leasing Trust 2018-3	2.89	%		561,062		0.21	%
	259,126	5/17/21	GM Financial Consumer Automobile Receivables Trust 2018-2	2.55	%		259,557		0.10	%
	92,657	4/15/20	Mercedes- Benz Auto Lease Trust 2018-A	2.20	%		92,730		0.04	%
	100,000	2/16/21	Mercedes- Benz Auto Lease Trust 2018-A	2.41	%		100,172		0.04	%
	735,000	5/16/22	Santander Drive Auto Receivables Trust 2017-1	2.58	%		735,785		0.28	%
	604	3/20/20	Santander Retail Auto Lease Trust 2017-A	2.02	%		604		0.00	%
	50,009	12/20/19	Tesla Auto Lease Trust 2018-A	2.32	%		50,012		0.02	%
Credit cards
	400,000	7/15/20	Barclays Dryrock Issuance Trust	2.69	%		400,839		0.15	%
	600,000	8/15/19	Chase Issuance Trust	1.58	%		599,787		0.23	%
	400,000	8/17/20	Discover Card Execution Note Trust	1.88	%		399,073		0.15	%
Equipment
	13,695	2/24/20	Dell Equipment Finance Trust 2017-2	1.97	%		13,698		0.01	%
	342,777	10/22/20	Dell Equipment Finance Trust 2018-1	2.70	%		343,034		0.13	%
	525,000	6/15/21	GreatAmerica Leasing Receivables Funding, L.L.C.	2.97	%		528,099		0.20	%
Other
	475,000	12/20/20	Verizon Owner Trust 2017-2	1.92	%		474,183		0.18	%
	1,175,000	4/20/22	Verizon Owner Trust 2017-3	2.06	%		1,174,139		0.45	%
Student loans
	36,934	3/25/67	Navient Student Loan Trust 2018-1	2.59	%		36,946		0.01	%
	36,163	3/25/67	Navient Student Loan Trust 2018-2	2.64	%		36,176		0.01	%
	35,293	11/25/27	SLM Student Loan Trust 2011-2	3.00	%		35,161		0.01	%
Total U.S. asset backed securities (cost: $9,787,317)							9,837,282		3.72	%
Total investments in securities (cost: $174,417,267)						$	175,710,821		66.44	%

OPEN FUTURES CONTRACTS
Long U.S. Futures Contracts
	Agricultural commodities	$	(142,321	)	(0.05	)%
	Currencies		461,373		0.17	%
	Energy		134,555		0.05	%
	Equity indices		785,326		0.30	%
	Interest rate instruments²		3,351,436		1.27	%
	Metals		(1,649,283	)	(0.62	)%
	Single stock futures		39,900		0.02	%
Net unrealized gain (loss) on open long U.S. futures contracts			2,980,986		1.14	%

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

Futures Portfolio Fund, Limited Partnership

Condensed Schedule of Investments (continued)

June 30, 2019 (Unaudited)

	Description	Fair Value			% of Partners’ Capital (Net Asset Value)
Short U.S. Futures Contracts
	Agricultural commodities		5,587			0.00	%
	Currencies		(712,791	)		(0.27	)%
	Energy		162,289			0.06	%
	Equity indices		(216,693	)		(0.08	)%
	Interest rate instruments		(457,682	)		(0.17	)%
	Metals		2,299,175			0.87	%
	Single stock futures		(38,462	)		(0.01	)%
Net unrealized gain (loss) on open short U.S. futures contracts			1,041,423			0.40	%

Total U.S. Futures Contracts - net unrealized gain (loss) on open U.S. futures contracts			4,022,409			1.54	%

Long Foreign Futures Contracts
	Agricultural commodities		(5,275	)		0.00	%
	Currencies		(127,948	)		(0.05	)%
	Energy		(9,113	)		0.00	%
	Equity indices		500,870			0.19	%
	Interest rate instruments²		4,141,124			1.57	%
	Metals		—			0.00	%
	Single stock futures		1,871			0.00	%
Net unrealized gain (loss) on open long foreign futures contracts			4,501,529			1.71	%

Short Foreign Futures Contracts
	Agricultural commodities		42,089			0.02	%
	Currencies		112,955			0.04	%
	Energy		76,611			0.03	%
	Equity indices		(74,763	)		(0.03	)%
	Interest rate instruments		(473,751	)		(0.18	)%
	Metals		125			0.00	%
Net unrealized gain (loss) on open short foreign futures contracts			(316,734	)		(0.12	)%

Total foreign futures contracts - net unrealized gain (loss) on open foreign futures contracts			4,184,795			1.59	%

Net unrealized gain (loss) on open futures contracts		$	8,207,204			3.13	%

OPEN FORWARD CURRENCY CONTRACTS
U.S. Forward Currency Contracts
	Long	$	1,220,068			0.46	%
	Short		(1,600,252	)		(0.61	)%
Net unrealized gain (loss) on open U.S. forward currency contracts			(380,184	)		(0.15	)%

Foreign Forward Currency Contracts
	Long		(556,998	)		(0.21	)%
	Short		272,799			0.10	%
Net unrealized gain (loss) on open foreign forward currency contracts			(284,199	)		(0.11	)%

Net unrealized gain (loss) on open forward currency contracts		$	(664,383	)		(0.26	)%

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

²No 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 consolidated financial statements.

Futures Portfolio Fund, Limited Partnership

Condensed Schedule of Investments

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 consolidated financial statements.

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 Canada	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 consolidated financial statements.

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 consolidated financial statements.

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 consolidated financial statements.

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 consolidated financial statements.

Futures Portfolio Fund, Limited Partnership

Statements of Operations

For the Three and Six Months Ended June 30, 2019 and 2018

(Unaudited)

	Three Months Ended June 30,						Six Months Ended June 30,
	2019			2018			2019			2018
Realized and change in unrealized gain (loss) on investments
Net realized gain (loss) on:
Futures and forward contracts	$	7,391,398		$	3,742,736		$	7,460,065		$	5,439,706
Investments in SMFSF		(182,193	)		(129,620	)		(482,306	)		158,507
Investments in securities		96,663			57,878			(301,687	)		209,334
Net change in unrealized gain (loss) on:
Futures and forward contracts		(1,412,861	)		3,424,782			5,239,651			(3,308,097	)
Investments in SMFSF		922,010			25,621			1,074,365			(1,955,483	)
Investments in securities		411,359			(7,352	)		1,609,420			(523,949	)
Exchange membership		(3,500	)		750			(33,500	)		(37,000	)
Brokerage commissions and trading expenses		(761,251	)		(1,113,459	)		(1,591,743	)		(2,224,342	)
Net realized and changed in unrealized gain (loss) on investments		6,461,625			6,001,336			12,974,265			(2,241,324	)

Net investment income (loss)
Income
Interest income (loss)		1,530,019			1,440,722			3,100,450			2,686,634

Expenses
Trading Advisor management fee		1,083,528			1,259,501			2,145,013			2,595,335
Trading Advisor incentive fee		1,229,890			133,234			2,456,225			133,234
Cash manager fees		48,998			60,803			103,672			120,636
General Partner management and performance fees		1,012,144			1,241,865			2,048,632			2,550,016
Selling agent fees – General Partner		903,666			1,113,131			1,822,172			2,296,180
Broker dealer servicing fees – General Partner		36,893			46,673			75,620			95,526
General Partner 1% allocation		34,790			33,448			70,230			(78,417	)
Administrative expenses – General Partner		197,535			242,071			400,359			496,102
Total expenses		4,547,444			4,130,726			9,121,923			8,208,612
Net investment income (loss)		(3,017,425	)		(2,690,004	)		(6,021,473	)		(5,521,978	)
Net income (loss)	$	3,444,200		$	3,311,332		$	6,952,792		$	(7,763,302	)

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

Futures Portfolio Fund, Limited Partnership

Statements of Operations (continued)

For the Three and Six Months Ended June 30, 2019 and 2018 (unaudited)

	Three Months Ended June 30, 2019
	Class A		Class A2		Class B		Class I		Class R
Increase (decrease) in net asset value per unit	$	47.66	$	15.75	$	101.34	$	19.18	$	17.34
Net income (loss) per unit†	$	45.48	$	37.25	$	98.37	$	1.93	$	16.91

Weighted average number of units outstanding		44,786.5219		286.3754		11,860.7210		2,552.2786		13,312.7721

	Three Months Ended June 30, 2018
	Class A		Class A2		Class B		Class I		Class R
Increase (decrease) in net asset value per unit	$	33.97		—	$	78.99	$	15.44	$	13.60
Net income (loss) per unit†	$	34.41		—	$	80.06	$	15.44	$	13.59

Weighted average number of units outstanding		54,597.5287		—		14,991.0990		3,466.2779		13,186.4102

	Six Months Ended June 30, 2019
	Class A		Class A2		Class B		Class I		Class R
Increase (decrease) in net asset value per unit	$	94.42	$	31.17	$	200.54	$	38.06	$	34.30
Net income (loss) per unit†	$	88.79	$	47.12	$	94.29	$	1.68	$	16.71

Weighted average number of units outstanding		45,958.7071		226.4288		12,373.5771		2,943.9926		13,471.4221

	Six Months Ended June 30, 2018
	Class A			Class A2		Class B			Class I			Class R
Increase (decrease) in net asset value per unit	$	(109.28	)		—	$	(110.44	)	$	(13.01	)	$	(17.28	)
Net income (loss) per unit†	$	(108.94	)		—	$	(95.90	)	$	(13.01	)	$	(14.90	)

Weighted average number of units outstanding		55,697.6312			—		15,235.5062			3,466.2779			12,715.0719

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

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

Futures Portfolio Fund, Limited Partnership

Statements of Cash Flows

For the Six Months Ended June 30, 2019 and 2018

(Unaudited)

	2019			2018
Cash flows from operating activities
Net income (loss)	$	6,952,792		$	(7,763,302	)
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		(5,239,651	)		3,800,597
Net realized and change in unrealized (gain) loss on SMFSF and securities		(1,899,792	)		2,111,591
Purchases of securities		(215,134,819	)		(289,464,389	)
Proceeds from disposition of SMFSF and securities		261,786,864			304,216,708
Changes in
Exchange membership		33,500			37,000
Trading Advisor management fee payable		2,920			(11,300	)
Trading Advisor incentive fee payable		738,078			(1,164,464	)
Commissions and other trading fees payable on open contracts		11,141			(14,739	)
Cash Manager fees payable		(10,683	)		(18,961	)
General Partner management and performance fees payable		(28,120	)		(50,747	)
General Partner 1% allocation receivable/payable		235,762			(107,173	)
Selling agent fees payable – General Partner		(25,547	)		(51,154	)
Broker dealer servicing fees payable – General Partner		(1,497	)		(1,843	)
Administrative fee payable – General Partner		(1,486	)		(8,247	)
Net cash provided by (used in) operating activities		47,419,463			11,509,577

Cash flows from financing activities
Subscriptions		8,749,833			4,045,108
Subscriptions received in advance		483,000			462,000
Redemptions		(39,422,611	)		(37,016,311	)
Net cash provided by (used in) financing activities		(30,189,778	)		(32,509,203	)

Net increase (decrease) in cash and cash equivalents		17,229,683			(20,999,626	)
Cash and cash equivalents, beginning of period		46,185,781			90,141,061
Cash and cash equivalents, end of period	$	63,415,465		$	69,141,435

End of period cash and cash equivalents consists of
Cash in broker trading accounts		51,716,142		$	46,386,128
Cash and cash equivalents not in broker trading accounts		11,699,323			22,755,307
Total end of period cash and cash equivalents	$	63,415,465		$	69,141,435
Supplemental disclosure of cash flow information
Prior period redemptions paid	$	5,057,655		$	11,825,677
Prior period subscriptions received in advance	$	224,523		$	287,000

Supplemental schedule of non-cash financing activities
Redemptions payable	$	3,375,305		$	6,753,903

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

Futures Portfolio Fund, Limited Partnership

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

For the Six Months Ended June 30, 2019 and 2018

(Unaudited)

	Class A			Class A2		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

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

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

Futures Portfolio Fund, Limited Partnership

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

For the Six Months Ended June 30, 2019 and 2018

(Unaudited)

Units

	Class A			Class A2		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

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

Net Asset Value per Unit

	Class A		Class A2		Class B		Class I		Class R

June 30, 2019	$	4,006.27	$	1,027.88	$	6,218.74	$	1,030.65	$	1,033.13
December 31, 2018		3,911.85		996.71		6,018.20		992.59		998.83
June 30, 2018		4,037.63		—		6,156.49		1,010.36		1,020.77
December 31, 2017		4,146.91		—		6,266.93		1,023.37		1,038.05

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

Futures Portfolio Fund, Limited Partnership

Notes to Consolidated Financial Statements

Organization and Summary of Significant Accounting Policies

Description of the Fund

Futures Portfolio Fund, Limited Partnership (“Fund”) is a Maryland limited partnership, which operates as a commodity investment pool that commenced trading operations on January 2, 1990. The Fund issues units of limited partner interests (“Units”) in six classes, Class A, A2, A3, B, I and R, which represent units of fractional undivided beneficial interest in and ownership of the Fund. The Fund will automatically terminate on December 31, 2025, unless terminated earlier as provided in the Third Amended and Restated Limited Partnership Agreement (“Partnership Agreement”).

The Fund uses commodity trading advisors to engage in the speculative trading of futures contracts, forward currency contracts and other financial instruments traded in the United States (“U.S.”) and internationally.

The Fund is a registrant with the U.S. Securities and Exchange Commission (“SEC”) pursuant to the U.S. Securities Exchange Act of 1934, as amended (“1934 Act”). As a registrant, the Fund is subject to the regulations of the SEC and the disclosure requirements of the 1934 Act. As a commodity pool, the Fund is subject to the regulations of the U.S. Commodity Futures Trading Commission (“CFTC”), an agency of the U.S. Government, which regulates most aspects of the commodity futures industry; rules of the National Futures Association (“NFA”), an industry self-regulatory organization; rules of Financial Industry Regulatory Authority (“FINRA”), an industry self-regulatory organization; and the requirements of commodity exchanges where the Fund executes transactions. Additionally, the Fund is subject to the requirements of the futures brokers and interbank market makers through which the Fund trades.

Steben & Company, Inc. (“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.

The six classes of Units in the Fund differ only in the fees applicable to each class. Class A Units are subject to a 2% per annum selling agent fee. Class A2 Units may pay an up-front sales commission of up to 3% of the offering price and a 0.6% per annum selling agent fee. Class A3 Units may pay an up-front sales commission of up to 2% of the offering price and a 0.75% per annum selling agent fee. Class B Units are subject to a 0.2% per annum broker dealer servicing fee. Class I Units are subject to higher minimum investments requirements and lower General Partner management fees (0.75% per annum instead of 1.50% per annum) as well as a General Partner performance fee (7.5% of new profits, described more fully in Footnote 4). Class R Units do not pay selling compensation or servicing fees to selling agents, and are generally intended for clients of registered investment advisors. Class R Units do not pay selling compensation or servicing fees to selling agents, and are generally intended for clients of registered investment advisors. There were no Class A3 Units outstanding on June 30, 2019.

At June 30, 2019, the Fund owned approximately $24 million of Class I shares of the Steben Managed Futures Strategy Fund (“SMFSF”), which represents approximately 35% 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.

Significant Accounting Policies

Accounting Principles

The Fund’s consolidated 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 June 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.

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 June 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 2015.

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.

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 June 30, 2019

	Level 1		Level 2			Total
Equity in broker trading accounts:
Net unrealized gain (loss) on open futures contracts*	$	8,207,204	$	—		$	8,207,204
Net unrealized gain (loss) on open forward currency contracts*		—		(664,383	)		(664,383	)
Cash and cash equivalents:
Money market fund		7,211,120		—			7,211,120
Investment in SMFSF		24,015,265		—			24,015,265
Investments in securities:
U.S. Treasury securities*		42,503,351		—			42,503,351
Asset backed securities*		—		9,837,282			9,837,282
Commercial paper*		—		32,945,417			32,945,417
Corporate notes*		—		90,424,771			90,424,771
Exchange membership		—		112,000			112,000
Total	$	81,936,940	$	132,655,087		$	214,592,027

*See the condensed schedule of investments for further description.

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 June 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.

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 June 30, 2019, the Fund’s derivative contracts had the following impact on the statements of financial condition:

June 30, 2019	Derivative Assets and Liabilities, at fair value
Consolidated Statements of Financial Condition Location	Gross Amounts of Recognized Assets		Gross Amounts Offset in the Statements of Financial Condition			Net Amount of Assets Presented in the Statements of Financial Condition
Equity in broker trading accounts:
Net unrealized gain (loss) on open futures contracts Agricultural commodities	$	499,312	$	(599,233	)	$	(99,921	)
Currencies		687,656		(954,067	)		(266,411	)
Energy		649,175		(284,833	)		364,342
Equity indices		1,567,860		(573,120	)		994,740
Interest rate instruments		7,636,259		(1,075,132	)		6,561,127
Metals		5,890,471		(5,240,453	)		650,018
Single stock futures		113,597		(110,288	)		3,309
Net unrealized gain (loss) on open futures contracts	$	17,044,330	$	(8,837,126	)	$	8,207,204

Net unrealized gain (loss) on open forward currency contracts	$	1,965,026	$	(2,629,409	)	$	(664,383	)

At June 30, 2019, there were 27,630 open futures contracts and 7,633 open forward currency contracts.

The Fund’s financial assets, derivative assets, and cash collateral held by counterparties at June 30, 2019 were:

				Gross Amounts Not Offset in the Statements of Financial Condition
Counterparty	Net Amount of Assets in the Statements of Financial Condition			Financial Instruments		Cash Collateral Received		Net Amount

Deutsche Bank AG	$	(400,815	)	$	—	$	—	$	(400,815	)
Deutsche Bank Securities, Inc.		900,635			—		—		900,635
JP Morgan Securities, LLC		652,697			—		—		652,697
R.J. O’Brien & Associates LLC		90,133							90,133
SG Americas Securities, LLC		6,563,739			—		—		6,563,739
Société Générale International Limited		(263,568	)		—		—		(263,568	)
Total	$	7,542,821		$	—	$	—	$	7,542,821

For the three and six months ended June 30, 2019, the Fund’s derivative contracts had the following impact on the consolidated statements of operations:

	Three Months Ended June 30, 2019						Six Months Ended June 30, 2019
Types of Exposure	Net realized gain (loss)			Net change in unrealized gain (loss)			Net realized gain (loss)			Net change in unrealized gain (loss)
Futures contracts
Agricultural commodities	$	(475,532	)	$	(2,045,417	)	$	(392,967	)	$	(975,770	)
Currencies		(1,115,994	)		(330,514	)		(1,179,904	)		(53,642	)
Energy		(1,217,152	)		570,314			(5,624,931	)		(199,140	)
Equity indices		(2,964,389	)		(212,163	)		(4,399,322	)		1,363,342
Interest rate instruments		12,756,976			107,827			19,827,708			4,845,677
Metals		(453,225	)		1,118,484			(926,363	)		1,090,565
Single stock futures		245,774			(190,460	)		67,262			(11,939	)
Total futures contracts		6,776,458			(981,929	)		7,371,483			6,059,093

Forward currency contracts		555,666			(430,932	)		25,675			(819,442	)

Total futures and forward contracts	$	7,332,124		$	(1,412,861	)	$	7,397,158		$	5,239,651

For the three months ended June 30, 2019, the number of futures contracts closed was 321,668 and the number of forward currency contracts closed was 314,572. For the six months ended June 30, 2019, the number of futures contracts closed was 684,018 and the number of forward currency contracts closed was 569,239.

At December 31, 2018, the Fund’s derivative contracts had the following impact on the consolidated statements of financial condition:

December 31, 2018	Derivative Assets and Liabilities, at fair value
Consolidated Statements of Financial Condition Location	Gross Amounts of Recognized Assets		Gross Amounts Offset in the Statements of Financial Condition			Net Amount of Assets Presented in the Statements of Financial Condition
Equity in broker trading accounts:
Net unrealized gain (loss) on open futures contracts Agricultural commodities	$	1,218,664	$	(342,814	)	$	875,850
Currencies		760,876		(973,645	)		(212,769	)
Energy		2,141,913		(1,578,431	)		563,482
Equity indices		2,064,863		(2,433,465	)		(368,602	)
Interest rate instruments		3,725,805		(2,010,355	)		1,715,450
Metals		8,434,167		(8,874,714	)		(440,547	)
Single stock futures		81,038		(65,790	)		15,248
Net unrealized gain (loss) on open futures contracts	$	18,427,326	$	(16,279,214	)	$	2,148,112

Net unrealized gain (loss) on open forward currency contracts	$	2,315,077	$	(2,160,019	)	$	155,058

At December 31, 2018, there were 26,433 open futures contracts and 2,198 open forward currency contracts.

The Fund’s financial assets, derivative assets, and cash collateral held by counterparties at December 31, 2018 were:

				Gross Amounts Not Offset in the Statements of Financial Condition
Counterparty	Net Amount of Assets in the Statements of Financial Condition			Financial Instruments		Cash Collateral Received		Net Amount

Deutsche Bank AG	$	(125,958	)	$	—	$	—	$	(125,958	)
Deutsche Bank Securities, Inc.		(204,863	)		—		—		(204,863	)
JP Morgan Securities, LLC		(208,608	)		—		—		(208,608	)
SG Americas Securities, LLC		2,561,583			—		—		2,561,583
Société Générale International Limited		281,016			—		—		281,016
Total	$	2,303,170		$	—	$	—	$	2,303,170

For the three and six months ended June 30, 2018, the Fund’s derivative contracts had the following impact on the consolidated statements of operations:

	Three Months Ended June 30, 2018						Six Months Ended June 30, 2018
Types of Exposure	Net realized gain (loss)			Net change in unrealized gain (loss)			Net realized gain (loss)			Net change in unrealized gain (loss)
Futures contracts
Agricultural commodities	$	823,788		$	(283,144	)	$	(1,061,054	)	$	(82,824	)
Currencies		(1,128,618	)		933,777			(1,959,437	)		314,209
Energy		7,206,730			1,430,063			10,134,791			(376,208	)
Equity indices		377,108			(551,177	)		(214,446	)		(3,424,579	)
Interest rate instruments		2,201,597			1,520,457			(1,411,586	)		4,106,802
Metals		(1,636,572	)		378,978			208,588			(2,579,064	)
Single stock futures		179,269			147,764			792,483			(252,443	)
Total futures contracts	$	8,023,302		$	3,576,718		$	6,489,339		$	(2,294,107	)

Forward currency contracts		(3,811,490	)		(151,936	)		(886,565	)		(1,506,490	)

Total futures and forward contracts	$	4,211,812		$	3,424,782		$	5,602,774		$	(3,800,597	)

For the three months ended June 30, 2018, the number of futures contracts closed was 469,319 and the number of forward currency contracts closed was 108,400. For the six months ended June 30, 2018, the number of futures contracts closed was 960,267 and the number of forward currency contracts closed was 185,015.

General Partner

The General Partner does not maintain a capital balance in the Fund. Pursuant to the terms of the Partnership Agreement, each year the General Partner receives from the Fund 1% of any net income earned by the Fund. Conversely, the General Partner pays to the Fund 1% of any net loss incurred by the Fund. Such amounts are reflected as General Partner 1% allocation receivable or payable in the statements of financial condition and as General Partner 1% allocation in the statements of operations.

At June 30, 2019 and December 31, 2018, the majority shareholder of the General Partner had an investment balance of $254,740 and $252,527, respectively.

The following fees are paid to the General Partner:

■

General Partner Management Fee – the Fund incurs a monthly fee on Class A, A2, A3, B and R Units equal to 1/12^th of 1.5% of the month-end net asset value of the Class A, A2, A3, B and R Units, payable in arrears. The Fund incurs a monthly fee on Class I Units equal to 1/12^th of 0.75% of the month-end net asset value of the Class I Units, payable in arrears.

■

General Partner Performance Fee – the Fund incurs a monthly fee on Class I Units equal to 7.5% of any Net New Trading Profits of the Class I Units calculated monthly. In determining Net New Trading Profits, any trading losses incurred by the Class I Units in prior periods is carried forward, so that the incentive fee is assessed only if and to the extent the profits generated by the Class I units exceed any losses from prior periods. The general partner performance fee is payable quarterly in arrears.

■

Selling Agent Fees – the Class A Units incur a monthly fee equal to 1/12^th of 2% of the month-end net asset value of the Class A Units. Class A2 Units may pay an up-front sales commission of up to 3% of the offering price and a 0.6% per annum selling agent fee. Class A3 Units may pay an up-front sales commission of up to 2% of the offering price and a 0.75% per annum selling agent fee. The General Partner, in turn, pays the selling agent fees to the respective selling agents. If there is no designated selling agent or the General Partner was the selling agent, such portions of the selling agent fees are retained by the General Partner.

■

Broker Dealer Servicing Fees – the Class B Units incur a monthly fee equal to 1/12^th of 0.2% of the month-end net asset value of the Class B Units. The General Partner, in turn, pays the fees to the respective selling agents. If there is no designated selling agent or the General Partner was the selling agent, such portions of the broker dealer servicing fees are retained by the General Partner.

■

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

Trading Advisors and Cash Managers

The Fund has advisory agreements with various commodity trading advisors, pursuant to which the Fund incurs a monthly advisor management fee that ranges from 0% to 3% per annum of allocated net assets (as defined in each respective advisory agreement), paid monthly or quarterly in arrears. Additionally, the Fund incurs advisor incentive fees, payable quarterly in arrears, ranging from 0% to 30% of net new trading profits (as defined in each respective advisory agreement).

Principal Global Investors, LLC serves as the cash manager for the Fund. The Fund incurs monthly fees, payable in arrears to the Cash Manager, equal to approximately 1/12^th of 0.11% and 0.10% of the investments in securities and certificates of deposit as of the period ended June 30, 2019 and 2018, respectively.

Deposits with Brokers

To meet margin requirements, the Fund maintains assets, including cash, equity in futures and forward currency contracts, and investments in securities, with brokers, subject to CFTC regulations and various exchange and broker requirements. At June 30, 2019 and December 31, 2018, the Fund had assets totaling $75,226,415 and $60,138,342, respectively, with brokers and margin deposit requirements of $36,874,328 and $38,554,368, respectively.

Subscriptions, Distributions and Redemptions

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

The Fund is not required to make distributions, but may do so at the sole discretion of the General Partner. A limited partner may request and receive redemption of Class A, A2, A3, B, I or R Units owned at the end of any month, subject to five business days’ prior written notice to the General Partner, and in certain circumstances, restrictions in the Partnership Agreement.

The General Partner may require a limited partner to redeem from the Fund if the General Partner deems the redemption (a) necessary to prevent or correct the occurrence of a non-exempt prohibited transaction under the Employee Retirement Income Security Act of 1974, as amended, or the Internal Revenue Code of 1986, as amended, (b) beneficial to the Fund, or (c) necessary to comply with applicable government or other self-regulatory organization regulations.

Trading Activities and Related Risks

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

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

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

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

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

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

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

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

Through its investments in debt securities and certificates of deposit, the Fund has exposure to U.S. and foreign enterprises. The following table presents the exposure at June 30, 2019.

Country or Region	U.S. Treasury Securities		Commercial Paper		Corporate Notes		Asset Backed Securities		Total		% of Partners’ Capital (Net Asset Value)
United States	$	42,503,351	$	25,561,440	$	71,640,120	$	9,837,282	$	149,542,193		56.53	%
Denmark		—		—		5,519,135		—		5,519,135		2.09	%
Hong Kong		—		—		3,998,281		—		3,998,281		1.51	%
Luxumbourg		—		1,496,198		2,268,441		—		3,764,639		1.42	%
Netherlands		—		—		3,507,570		—		3,507,570		1.33	%
Ireland		—		—		3,491,224		—		3,491,224		1.32	%
Canada		—		1,497,088		—		—		1,497,088		0.57	%
France		—		1,496,771		—		—		1,496,771		0.57	%
Finland		—		1,494,853		—		—		1,494,853		0.57	%
United Kingdom		—		1,399,067		—		—		1,399,067		0.53	%
Total	$	42,503,351	$	32,945,417	$	90,424,771	$	9,837,282	$	175,710,821		66.44	%

The following table presents the exposure at December 31, 2018.

Country or Region	U.S. Treasury Securities		Commercial Paper		Corporate Notes		Asset Backed Securities		Total		% of Partners’ Capital (Net Asset Value)
United States	$	67,375,307	$	30,346,125	$	72,501,563	$	11,694,238	$	181,917,233		63.55	%
Netherlands		—		—		7,501,101		—		7,501,101		2.62	%
United Kingdom		—		—		5,488,176		—		5,488,176		1.92	%
Denmark		—		—		5,421,142		—		5,421,142		1.89	%
Canada		—		4,695,622		—		—		4,695,622		1.64	%
Ireland		—		1,199,915		3,388,044		—		4,587,959		1.60	%
Hong Kong		—		—		3,985,136		—		3,985,136		1.39	%
Luxumbourg		—		—		2,261,856		—		2,261,856		0.79	%
Japan		—		1,196,908		—		—		1,196,908		0.42	%
Total	$	67,375,307	$	37,438,570	$	100,547,018	$	11,694,238	$	217,055,133		75.82	%

Indemnifications

In the normal course of business, the Fund may enter into contracts and agreements that contain a variety of representations and warranties, and which provide general indemnifications. The Fund’s maximum exposure under these arrangements cannot be estimated. However, the Fund believes that it is unlikely it will have to make material payments under these arrangements and has not recorded any contingent liability in the consolidated financial statements for such indemnifications.

10.

Interim Financial Statements

The statements of financial condition, including the condensed schedule of investments, at June 30, 2019, the consolidated statements of operations for the three and six months ended June 30, 2019 and 2018, the consolidated statements of cash flows and consolidated statement of changes in partners’ capital (net asset value) for the six months ended June 30, 2019 and 2018, and the accompanying notes to the consolidated financial statements are unaudited. Certain information and footnote disclosures normally included in consolidated financial statements prepared in accordance with GAAP may be omitted pursuant to such rules and regulations. In the opinion of management, such consolidated financial statements and accompanying disclosures reflect all adjustments, which were of a normal and recurring nature, necessary to present fairly the financial position at June 30, 2019, results of operations, cash flows and changes in partners’ capital (net asset value) for the three and six months ended June 30, 2019 and 2018. The results of operations for the three and six months ended June 30, 2019 and 2018 are not necessarily indicative of the results to be expected for the full year or any other period. These consolidated financial statements should be read in conjunction with the audited financial statements and the notes thereto included in the Fund’s Form 10-K as filed with the SEC.

11.

Financial Highlights

The following information presents per unit operating performance data and other ratios for the three and six months ended June 30, 2019 and 2018, assuming the unit was outstanding throughout the entire period:

	Three Months Ended June 30, 2019
	Class A			Class A2†			Class B			Class I			Class R
Per Unit Operating Performance

Net asset value per unit, beginning of period	$	3,958.61		$	1,012.13		$	6,117.40		$	1,011.47		$	1,015.79

Net realized and change in unrealized gain (loss) on investments ⁽¹⁾		98.76			27.06			152.36			24.71			25.31
Net investment income (loss) ⁽¹⁾		(51.10	)		(11.31	)		(51.02	)		(5.53	)		(7.97	)
Total income (loss) from operations		47.66			15.75			101.34			19.18			17.34

Net asset value per unit, end of period	$	4,006.27		$	1,027.88		$	6,218.74		$	1,030.65		$	1,033.13

Total return ⁽⁴⁾		1.20	%		1.56	%		1.66	%		1.90	%		1.71	%

Other Financial Ratios
Ratios to average net asset value
Expenses prior to General Partner 1% allocation ^{(2) (3)}		7.41	%		6.68	%		5.55	%		4.73	%		5.34	%
General Partner 1% allocation		0.01	%		0.04	%		0.02	%		0.00	%		0.02	%
Net total expenses		7.42	%		6.72	%		5.57	%		4.73	%		5.36	%

Net investment income (loss) ^{(2) (3) (5)}		(5.11	)%		(4.30	)%		(3.26	)%		(2.17	)%		(3.06	)%

	Three Months Ended June 30, 2018
	Class A			Class A2†		Class B			Class I			Class R
Per Unit Operating Performance

Net asset value per unit, beginning of period	$	4,003.66		$	—	$	6,077.50		$	994.92		$	1,007.17

Net realized and change in unrealized gain (loss) on investments ⁽¹⁾		73.11			—		111.03			18.12			18.39
Net investment income (loss) ⁽¹⁾		(39.14	)		—		(32.04	)		(2.68	)		(4.79	)
Total income (loss) from operations		33.97			—		78.99			15.44			13.60

Net asset value per unit, end of period	$	4,037.63		$	—	$	6,156.49		$	1,010.36		$	1,020.77

Total return ⁽⁴⁾		0.85	%		—		1.30	%		1.55	%		1.35	%

Other Financial Ratios
Ratios to average net asset value
Expenses prior to General Partner 1% allocation ^{(2) (3)}		5.61	%		—		3.80	%		2.74	%		3.59	%
General Partner 1% allocation		0.01	%		—		0.01	%		0.02	%		0.01	%
Net total expenses		5.62	%		—		3.81	%		2.76	%		3.60	%

Net investment income (loss) ^{(2) (3) (5)}		(3.86	)%		—		(2.04	)%		(1.01	)%		(1.83	)%

	Six Months Ended June 30, 2019
	Class A			Class A2†			Class B			Class I			Class R
Per Unit Operating Performance

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

Net realized and change in unrealized gain (loss) on investments ⁽¹⁾		193.67			53.49			298.71			49.19			49.71
Net investment income (loss) ⁽¹⁾		(99.25	)		(22.32	)		(98.17	)		(11.13	)		(15.41	)
Total income (loss) from operations		94.42			31.17			200.54			38.06			34.30

Net asset value per unit, end of period	$	4,006.27		$	1,027.88		$	6,218.74		$	1,030.65		$	1,033.13

Total return ⁽⁴⁾		2.41	%		3.13	%		3.33	%		3.83	%		3.43	%

Other Financial Ratios
Ratios to average net asset value
Expenses prior to General Partner 1% allocation ^{(2) (3)}		7.34	%		6.68	%		5.48	%		4.63	%		5.29	%
General Partner 1% allocation		0.02	%		0.08	%		0.03	%		0.02	%		0.03	%
Net total expenses		7.36	%		6.76	%		5.51	%		4.65	%		5.32	%

Net investment income (loss) ^{(2) (3) (5)}		(5.04	)%		(4.29	)%		(3.20	)%		(2.19	)%		(3.01	)%

	Six Months Ended June 30, 2018
	Class A			Class A2†		Class B			Class I			Class R
Per Unit Operating Performance

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

Net realized and change in unrealized gain (loss) on investments ⁽¹⁾		(30.33	)		—		(45.81	)		(7.72	)		(7.69	)
Net investment income (loss) ⁽¹⁾		(78.95	)		—		(64.63	)		(5.29	)		(9.59	)
Total income (loss) from operations		(109.28	)		—		(110.44	)		(13.01	)		(17.28	)

Net asset value per unit, end of period	$	4,037.63		$	—	$	6,156.49		$	1,010.36		$	1,020.77

Total return ⁽⁴⁾		(2.64	)%		—		(1.76	)%		(1.27	)%		(1.66	)%

Other Financial Ratios
Ratios to average net asset value
Expenses prior to General Partner 1% allocation ^{(2) (3)}		5.50	%		—		3.70	%		2.64	%		3.50	%
General Partner 1% allocation		(0.03	)%		—		(0.02	)%		(0.01	)%		(0.01	)%
Net total expenses		5.47	%		—		3.68	%		2.63	%		3.49	%

Net investment income (loss) ^{(2) (3) (5)}		(3.92	)%		—		(2.11	)%		(1.07	)%		(1.90	)%

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

† Class A2 Units were introduced in December 2018.

⁽¹⁾ The net investment income (loss) per unit is calculated by dividing the net investment income (loss) by the average number of Class A, A2, B, I or R Units outstanding during the period. Net realized and change in unrealized gain (loss) on investments is a balancing amount necessary to reconcile the change in net asset value per unit with the other per unit information. Such balancing amount may differ from the calculation of net realized and change in unrealized gain (loss) on investment per unit due to the timing of investment gains and losses during the period relative to the number of units outstanding.

⁽²⁾ The net investment income (loss) includes interest income and excludes net realized and net change in unrealized gain (loss) from investment activities as shown in the statements of operations. The total amount is then reduced by all expenses, excluding brokerage commissions, which are included in net investment gain (loss) in the statements of operations. The resulting amount is divided by the average net asset value for the period.

⁽³⁾ Ratios have been annualized.

⁽⁴⁾ Ratios have not been annualized.

⁽⁵⁾ Ratio excludes General Partner 1% allocation.

12. Subsequent Events

Subsequent to June 30, 2019, there were $671,000 of contributions and an estimated $2,874,254 of redemptions from the Fund, and the Fund redeemed $1,000,000 of its investment in SMFSF.

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

Current Positioning

Sector risk allocations and net positioning as of June 30, 2019 were as follows:

Sector	Risk Allocation	Net Position
Agriculture	6%	Short
Energy	8%	Short
Metals	11%	Short base metals, long precious metals
Currencies	24%	Long USD
Equity indices	27%	Long
Interest rates	24%	Long

The dominant strategy employed by the Fund’s trading advisors is trend-following. As such, the largest positions tend to reflect the strongest current market trends. At the end of June 2019, the Fund had large long positions globally in bonds, together with moderate long positions in equity indices. In currencies, the Fund was net short the Euro and the Australian dollar against the U.S. dollar. In physical commodities, there were long positions in precious metals, but short positions in base metals, crops and energy.

Results of Operations

The returns for each Class of Units for the six months ended June, 2019 and 2018 were:

Class of Units	2019			2018
Class A		2.41	%		(2.64	)%
Class A2		3.13	%		—
Class B		3.33	%		(1.76	)%
Class I		3.83	%		(1.27	)%
Class R		3.43	%		(1.66	)%

Class A2 units did not begin reflecting a return until December 1, 2018. Results from past periods are not necessarily indicative of results that may be expected for any future period. Monthly analysis of the trading gains and losses is provided below.

2019

January

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

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

February

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

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

March

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

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

April

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

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

May

Escalating trade tensions dominated financial headlines in May. With the U.S. increasing its pressure on Chinese phone maker Huawei, trade negotiations between the two countries devolved into heated rhetoric and political brinksmanship. In addition, the U.S. threatened Mexico with punitive tariffs if it did not help to reduce illegal immigration. Trade concerns fed fears of faltering economic growth over the coming year, leading to an inversion of the front end of the yield curve as investors priced in the potential need for interest rate cuts by the Federal Reserve. Equities reversed their bullish trend and saw a sharp drop, with the S&P 500 Total Return Index falling 6.35% in May. Other risk assets such as oil and emerging market currencies also retreated during the month.

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

June

In June, several leading indicators for economic growth weakened, prompting central banks around the world to make increasingly dovish policy signals. Global bond prices rallied as a result, with yields falling in most developed markets. German 10-year Bund yields tumbled further below zero, setting an all-time record low of -0.33%. Expectations that the Fed might cut U.S. interest rates more than other countries led to a weakening of the U.S. Dollar. Despite economic risks on the horizon, equity investors were focused on the potential for more monetary stimulus and progress in U.S./China trade talks, leading to a strong rise in stock indices.

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

2018

January

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

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

February

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

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

March

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

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

April

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

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

May

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

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

June

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

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

Liquidity

There are no known material trends, demands, commitments, events, or uncertainties at the present time that are reasonably likely to result in the Fund’s liquidity increasing or decreasing in any material way.

Capital Resources

The Fund intends to raise additional capital through the continued sale of Units and does not intend to raise capital through borrowing. Due to the nature of the Fund’s business, the Fund does not contemplate making capital expenditures. The Fund does not have, nor does it expect to have, any capital assets. Redemptions, exchanges and sales of Units in the future will affect the amount of funds available for investment in futures contracts, etc. in subsequent periods. It is not possible to estimate the amount, and therefore the impact, of future inflows and outflows funds related to the sale and redemption of Units. There are no known material trends, favorable or unfavorable, that would affect, nor any expected material changes to, the Fund’s capital resource arrangements at the present time.

Off-Balance Sheet Risk

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

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

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

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

Significant Accounting Policies

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

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

Item 3. Quantitative and Qualitative Disclosures about Market Risk

Introduction

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

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

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

Standard of Materiality

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

Quantifying the Fund’s Trading Value at Risk

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

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

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

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

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

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

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

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

The following table indicates the trading Value at Risk associated with the Fund’s open positions by market sector at June 30, 2019 and December 31, 2018. All open position trading risk exposures of the Fund have been included in calculating the figures set forth below.

	June 30, 2019					December 31, 2018
Market Sector	Value at Risk		% of Total Capitalization			Value at Risk		% of Total Capitalization
Agricultural commodities	$	1,990,808		0.75	%	$	2,708,629		0.95	%
Currencies		9,510,939		3.60	%		10,062,868		3.52
Energy		1,410,537		0.53	%		3,971,984		1.39
Equity indices		14,859,656		5.62	%		14,877,628		5.19
Interest rate instruments		5,000,834		1.89	%		5,707,512		1.99
Metals		3,214,806		1.22	%		2,574,353		0.90
Single stock futures		1,977,053		0.75	%		828,662		0.29
Total	$	37,964,633		14.36	%	$	40,731,636		14.23	%

Material Limitations on Value at Risk as an Assessment of Market Risk

The face value of the market sector instruments held by the Fund is typically many times the applicable margin requirement (margin requirements generally range between 1% and 10% of contract face value) as well as many times the capitalization of the Fund. The magnitude of the Fund’s open positions creates a “risk of ruin” not typically found in most other investment vehicles. Because of the size of its positions, certain market conditions - unusual, but historically recurring from time to time - could cause the Fund to incur severe losses over a short period of time. The foregoing Value at Risk table – as well as the past performance of the Fund – gives no indication of this “risk of ruin.”

Non-Trading Risk

The Fund has non-trading market risk on its foreign cash balances not needed for margin. However, these balances (as well as the market risk they represent) are immaterial. The Fund also has non-trading market risk as a result of investing a substantial portion of its available assets in U.S. Treasury securities, U.S. government sponsored enterprise notes, commercial paper, asset backed securities, corporate notes and certificates of deposit. Although these investments are considered to be high quality, some of the securities purchased are neither guaranteed by the U.S. government nor supported by the full faith and credit of the U.S. government. There is some risk that a security issuer may fail to pay the interest and principal in a timely manner, or that negative perceptions about the issuer’s ability to make such payments will cause the price of these instruments to decline in value.

Qualitative Disclosures Regarding Primary Trading Risk Exposures

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

The following were the primary trading risk exposures of the Fund as of June 30, 2019, by market sector.

Agricultural Commodities

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

Currencies

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

Energy

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

Equity Indices

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

Interest Rate Instruments

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

Metals

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

Single Stock Futures

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

Qualitative Disclosures Regarding Non-Trading Risk Exposure

The following represent non-trading risk exposures of the Fund as of June 30, 2019.

Foreign Currency Balances

The Fund’s primary foreign currency balances are in euros, Japanese yen, British pounds, Australian dollars, Hong Kong dollars and Canadian dollars. The Fund controls the non-trading risk of these balances by regularly converting these balances back into dollars (no less frequently than once a week).

U.S. Treasury Securities, U.S. and Foreign Government Sponsored Enterprise Notes, Commercial Paper, Corporate Notes, Asset Backed Securities and Certificates of Deposit

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

Qualitative Disclosures Regarding Means of Managing Risk Exposure

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

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

Item 4. Controls and Procedures

The General Partner, with the participation of the Chief Executive Officer and Chief Financial Officer, evaluated the effectiveness of the design and operation of the Fund’s disclosure controls and procedures at June 30, 2019 (the “Evaluation Date”). Based on their evaluation, the Chief Executive Officer and Chief Financial Officer of the General Partner concluded that, as of the Evaluation Date, the Fund’s disclosure controls and procedures were effective.

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

PART II: OTHER INFORMATION

Item 1. Legal Proceedings.

None.

Item 1A. Risk Factors.

There have been no material changes from risk factors disclosed in the Fund’s Form 10-K for year ended December 31, 2018.

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

There were no sales of unregistered securities of the Fund during the three months ended June 30, 2019. Under the Fund’s Partnership Agreement, limited partners may redeem their Units at the end of each calendar month at the then current month-end net asset value per Unit. Redemptions of Units during the three months ended June 30, 2019 were as follows:

	April			May			June			Total
A Units
Units redeemed		(1,040.4189	)		(1,058.8176	)		(612.0227	)		(2,711.2592	)
Average net asset value per unit	$	4,009.29		$	3,873.82		$	4,006.27		$	3,955.70

A2 Units
Units redeemed		—			—			—			—
Average net asset value per unit		—			—			—			—

B Units
Units redeemed		(406.9271	)		(391.8328	)		(142.3430	)		(941.1029	)
Average net asset value per unit	$	6,204.94		$	6,004.20		$	6,218.74		$	6,123.45

I Units
Units redeemed		—			(1,689.9233	)		—			(1,689.9233	)
Units redeemed		—		$	994.31			—		$	994.31
Average net asset value per unit

R Units
Units redeemed		—			(163.2896	)		(36.9600	)		(200.2496	)
Average net asset value per unit		—		$	997.33		$	1,033.13		$	1,003.94

Item 3. Defaults Upon Senior Securities

Not applicable.

Item 4. Mine Safety Disclosures

Not applicable.

Item 5. Other Information

None.

Item 6. Exhibits

The following exhibits are filed herewith of incorporated by reference.

Exhibit No.	Description of Exhibit

1.1^(a)	Form of Selling Agreement

3.1^(a)	Maryland Certificate of Limited Partnership.

4.1^(a)	Limited Partnership Agreement.

10.1^(a)	Form of Subscription Agreement

31.01	Certification of Chief Executive Officer of the General Partner in accordance with Section 302 of the Sarbanes-Oxley Act of 2002
31.02	Certification of Chief Financial Officer of the General Partner in accordance with Section 302 of the Sarbanes-Oxley Act of 2002
32.01	Certification of Chief Executive Officer of the General Partner in accordance with Section 906 of the Sarbanes-Oxley Act of 2002
32.02	Certification of Chief Financial Officer of the General Partner in accordance with Section 906 of the Sarbanes-Oxley Act of 2002
101.INS	XBRL Instance Document
101.SCH	XBRL Taxonomy Extension Schema Document
101.CAL	XBRL Taxonomy Extension Calculation Linkbase Document
101.DEF	XBRL Taxonomy Extension Definition Linkbase Document
101.LAB	XBRL Taxonomy Extension Label Linkbase Document
101.PRE	XBRL Taxonomy Extension Presentation Linkbase Document

(a)

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

SIGNATURES

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

Dated: August 14, 2019	Futures Portfolio Fund, Limited Partnership

	By:	Steben & Company, Inc.
		General Partner

	By:	/s/ Kenneth E. Steben
	Name:	Kenneth E. Steben
	Title:	President, Chief Executive Officer and Director of the General Partner (Principal Executive Officer)

	By:	/s/ Carl A. Serger
	Name:	Carl A. Serger
	Title:	Chief Financial Officer and Director of the General Partner (Principal Financial and Accounting Officer)

10-Q	2019-06-30	Quarter: 2019-06-30
10-Q	2019-03-31	Quarter: 2019-03-31
10-K	2018-12-31	Annual: 2018-12-31
10-Q	2018-09-30	Quarter: 2018-09-30
10-Q	2018-06-30	Quarter: 2018-06-30
10-Q	2018-03-31	Quarter: 2018-03-31
10-K	2017-12-31	Annual: 2017-12-31
10-Q	2017-09-30	Quarter: 2017-09-30
10-Q	2017-06-30	Quarter: 2017-06-30
10-Q	2017-03-31	Quarter: 2017-03-31
10-K	2016-12-31	Annual: 2016-12-31
10-Q	2016-09-30	Quarter: 2016-09-30
10-Q	2016-06-30	Quarter: 2016-06-30
10-Q	2016-03-31	Quarter: 2016-03-31
10-K	2015-12-31	Annual: 2015-12-31
10-Q	2015-09-30	Quarter: 2015-09-30
10-Q	2015-06-30	Quarter: 2015-06-30
10-Q	2015-03-31	Quarter: 2015-03-31
10-K	2014-12-31	Annual: 2014-12-31
10-Q	2014-09-30	Quarter: 2014-09-30
10-Q	2014-06-30	Quarter: 2014-06-30
10-Q	2014-03-31	Quarter: 2014-03-31
10-K	2013-12-31	Annual: 2013-12-31

8-K	2019-10-01
8-K	2019-09-01
8-K	2019-08-01
8-K	2019-07-01	Officers
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	2018-03-01
8-K	2018-02-01
8-K	2018-01-01

NAN	North American Nickel	11,204
ACT	Advanced Credit Technologies	1,629
FLY	Fly Leasing	675
FTEO	Fronteo	177
ARCT	Arcturus Therapeutics	120
ASG	All Soft Gels	114
APOP	Cellect Biotechnology	65
OXSQ	Oxford Square Capital	0
GARS	Garrison Capital	0
HTGC	Hercules Capital	0

EX-31.01	ex31-01.htm
EX-31.02	ex31-02.htm
EX-32.01	ex32-01.htm
EX-32.02	ex32-02.htm