UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM 10-K

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

EXCHANGE ACT OF 1934

For the Fiscal Year Ended December 31, 20172023

Commission file number: 000-50728

FUTURES PORTFOLIO FUND, LIMITED PARTNERSHIP

c/o Steben & Company, Inc.
9711 Washingtonian Blvd.LLC

687 Excelsior Boulevard 

Excelsior, Suite 400
Gaithersburg, MD 20878
MN55331

Telephone: (240) 631-7600(952)767-6900

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

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

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

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

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

Indicate by check mark whether the registrant has submitted electronically and posted on its corporate web site, if any, every Interactive Data File required to be submitted and posted 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 and post such files). Yes☒ No☐

Indicate by check mark if disclosure of delinquent filers pursuant to Item 405 of Regulation S-K (§229.405 of this chapter) is not contained herein, and will not be contained, to the best of registrant’s knowledge, in definitive proxy or information statements incorporated by reference in Part III of this Form 10-K or any amendment to this Form 10-K.☒

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

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

Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Exchange Act). Yes ☐ No☒

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

Table of Contents

Part I

PART I

Futures Portfolio Fund, Limited Partnership (“Fund”) is a Maryland limited partnership, was formed on May 11, 1989 and began trading on January 2, 1990. Using professional trading advisors, the Fund engages in the speculative trading of futures contracts, forward currency contracts and other financial instruments traded in the United States (“U.S.”) and internationally. The Fund primarily trades within seven market sectors: agricultural commodities, currencies, energy products, equity indices, interest rate instruments, metals and single stock futures.

The Fund’s fiscal year ends each December 31 and the Fund will automatically terminate on December 31, 2025, unless terminated earlier as provided in the ThirdSixth Amended and Restated Limited Partnership Agreement (“Partnership Agreement”). At December 31, 2017,2023, the capitalization of the Fund and net asset value per limited partner interest (“Units”) was as follows:

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

During 2014, the Fund purchased $58.5 million of Class I shares of the Steben Managed Futures Strategy Fund (“SMFSF”). SMFSF is a non-diversified series of shares of beneficial interest of Steben Alternative Investment Fund (the “Trust”), a statutory trust organized under the laws of the State of Delaware, and 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.

At February 28, 2018, the Fund owned 40% of the value of the outstanding shares of SMFSF. Prior to August 31, 2017, the Fund owned more than 50% of the value of outstanding shares of SMFSF and therefore had effective control of that entity. Accordingly, the assets, liabilities and operating results of SMFSF were consolidated with the Fund through that date. The portion of SMFSF that was not owned by the Fund was presented as the non-controlling interest. Effective August 31, 2017, the Fund no longer consolidated the assets, liabilities and operating results of SMFSF into the Fund. The Fund reports changes in the fair value of its investment in SMFSF on the Statement of Operations. The investment in SMFSF is reported on the statement of financial condition as investment in SMFSF. For financial reporting purposes, SMFSF is treated as a related party. During 2017, the Fund redeemed $19 million of its investment in SMFSF.

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

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

General Partner

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

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

Trading Advisors

As of February 28, 2018,29, 2024, the Trading Advisors of the Fund and the allocation of the Fund’s trading level are reflected as follows:

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

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

Selling Agents

The General Partner acts as a selling agent for the Fund. The General Partner has and intends to continue to appoint certain other broker-dealers registered under the Securities Exchange Act of 1934, as amended (“1934 Act”), and members of FINRA, to act as additional selling agents with respect to Class A, A2, A3, B, I and R Units. As of March 1, 2023, Class A3 Units are no longer being offered. Selling agents are selected to assist in the making of offers and sales of Class A, A2, A3, B, I and R Units. The Fund currently has approximately 100 selling agents. The selling agents are not required to purchase any Class A, A2, A3, B, I or R Units, or sell any specific number or dollar amount of Class A, A2, A3, B, I and R Units, but instead use their best efforts to sell such Units. Where the General Partner acts as the selling agent it retains themay retain any selling agent fees, if any.fees.

Futures Brokers and Forward Currency Counterparties

The Fund’s futures trading is currently conducted with SG Americas Securities, LLC (“SGAS”), J.P. Morgan SecuritiesGoldman Sach & Company, LLC (“JPMS”Goldman”), and Deutsche Bank Securities, Inc. (“DBSI”). The Fund’s forward currency trading is conducted with Société Générale International Limited (“SGIL”) and Deutsche Bank AG, and UBS AG. SGAS and Société Générale International LimitedSGIL are wholly-ownedwholly owned subsidiaries of Société Générale. Société Générale is a société anonyme governed by French law. JPMS is an indirect, wholly-owned subsidiary of JPMorgan Chase & Co., one of the largest bank holding companiesfinancial institutions in the U.S.Europe. DBSI is an indirect, wholly-ownedwholly owned subsidiary of Deutsche Bank AG, one of the largest bank holding companies in Europe. UBS AG is another of the fund’s forward currency counterparties. UBS AG is a global financial services company operating in more than 50 countries.

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

Cash Managers

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

Description of Current Charges

Market Sectors

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

Market Types

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

Regulations

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

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

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

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

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

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

Competition

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

Available Information

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

Reports to Security Holders

None.

Enforceability of Civil Liabilities Against Foreign Persons

None.

No Limitations on Trading Policies

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

Potential Increase in Leverage

The General Partner may increase the leverage used with a particular Trading Advisor by the use of notional funds. Notional funds are used when a Trading Advisor is instructed to trade an account according to its trading system under the assumption that the account is larger than the actual cash or securities on hand. This additional leverage, while creating additional profit potential which the General Partner feels may be appropriate with certain Trading Advisors in light of the Fund’s multi-trader diversification, also increases the risk of loss to the Fund. It is anticipated that the General Partner will allocate between $1 and $2 to the Trading Advisors for every $1 of equity in the Fund. Throughout 2023, the Fund maintained a notional trading level of approximately $1.60 for every $1 of equity in the Fund.

Volatility

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

Liquidity

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

Complex Fee Structure

Allocation to more than one Trading Advisor makes the Fund’s fee structure more complex which may impact the Fund’s profit potential.

Fund Expenses Will Be Substantial

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

Reliance on General Partner

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

Dependence on Key Personnel

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

Reliance on the Trading Advisors

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

Reliance on Futures Brokers’ Financial Condition

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

Use of Cash Manager

A significant percentage of the Fund’s assets not placed as margin with the futures brokers are managed by PGI. Using investment guidelines established by the General Partner, PGI may invest the excess margin in U.S. Treasury securities, U.S. and foreign government sponsored enterprise notes, commercial paper, corporate notes, asset backed securities and certificates of deposit. Although these investments are considered to be high quality, some of the securities purchased are neither guaranteed by the U.S. government nor supported by the full faith and credit of the U.S. government. There is some risk that a security issuer may fail to pay the interest and principal in a timely manner, or that negative perceptions about the issuer’s ability to make such payments will cause the price of these instruments to decline in value.

Investment in Other Investment Pools

During 2014, theThe Fund purchased $58.5 million of Class I shares of the Steben Managed Futures Strategy Fund (“SMFSF”). SMFSF is a non-diversified series of shares of beneficial interest of Steben Alternative Investment Fund, a statutory trust organized under the laws of the State of Delaware, and is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. SMFSF has a similar investment strategy to the Fund, using trading advisors to engage in the speculative trading of futures contracts, forward currency contracts and other financial instruments. Prior to March 2016, SMFSF used a total return swap to gain access to the gains and losses of a basket of trading advisors. The General Partner serves as the investment manager of SMFSF.

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

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

Use of Electronic Trading

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

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

Changes in Trading Strategies

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

Disadvantages of Periodic Incentive Fees

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

Disadvantages of Multi-Trader Structure

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

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

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

Disadvantages of Replacing Trading Advisors

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

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

Limited Partners Do Not Participate in Management

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

Non-Transferability of Units

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

Possible Adverse Effect of Large Redemptions

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

Mandatory Redemptions

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

Cybersecurity Breaches

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

Indemnification

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

Termination of Fund

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

Lack of Regulation

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

Conflicts of Interest

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

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

Payment of Incentive Fees to the Trading Advisors

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

Personal Trading

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

Trades by the Trading Advisors and their Principals

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

Effects of Speculative Position Limits

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

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

Other Activities of the Principals of the Advisors

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

Fiduciary Responsibility of the General Partner

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

Selling Agents

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

The General Partner Serving as Selling Agent

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

Futures Brokers

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

None.

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

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

None.

Not applicable.

PART II

Market Information

No class of Units of the Fund is publicly traded. Class A, A2, A3, B, I and R UnitsInterests in the Fund may be transferred or redeemed subject to the conditions imposed by the Partnership Agreement.

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

Holders

As of February 28, 2018, there were 3,390 holders29, 2024, the number of Class A Units, 1,374 holdersholder of Class B Units, 4 holders of Class I Units and 155 holders of Class R Units of the Fund.units by class were:

Dividends

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

Securities Authorized for Issuance under Equity Compensation Plans

No Units were authorized for issuance under equity compensation plans.

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

There were no sales of unregistered securities of the Fund during the year ended December 31, 2017.2023.

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

Issuer Purchases of Equity Securities

Class A, A2, A3, B, I and RAll classes of Units are eligible for redemption on a continuous basis at subsequent closing dates at a price equal to the net asset value per unit as of the close of business on each applicable closing date, which is the last business day of each month. Redemptions may be made by a limited partner as of the last business day of any month at the net asset value on such redemption date of the redeemed Units (or portion thereof) on that date, on five business days’ prior written notice to the General Partner. Partial redemptions must be for at least $1,000, unless such requirement is waived by the General Partner. In addition, if making a partial redemption, the limited partner must maintain at least $10,000 or his or her original investment amount, whichever is less, in the Fund unless such requirement is waived by the General Partner.

Redemptions of Class A, B, I and R Units during the fourth quarter 20172023 were as follows:

There were no redemptions of Class A2, or I Units during the fourth quarter.

Item 6. Selected Financial Data

The following selected consolidated financial data of the Fund as of and for the years ended December 31, 2017, 2016, 2015, 2014,2023, 2022, 2021, 2020 and 20132019 is derived from the consolidated financial statements that have been audited by RSM US LLP, the Fund’s independent registered public accountant. This financial data should be read in conjunction with “Management’s Discussion and Analysis of Financial Condition and Results of Operations,” and with the Fund’s consolidated financial statements and notes thereto, included elsewhere in this Annual Report on Form 10-K.

Certain amounts in the selected financial information prior to 20172023 have been reclassified to conform to the 20172022 presentation without affecting previously reported partners’ capital (net asset value) or net income (loss).

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

¹ Class A3 Units were introduced in July 2019. Total return for 2019 is for the period from introduction to year end and is not annualized. Class A3 Units were fully redeemed July 1, 2022. Total return for 2022 is for the period from January 1, 2022 to June 30, 2022.

The following unaudited supplementary summarized quarterly data are presented for the three-months ended March 31, June 30, September 30 and December 31, 20172023 and 2016.2022.

Current Positioning

As of December 31, 2017, the Fund’s largest risk contribution came from currencies, with long positions in emerging markets, the Australian dollar and the Japanese yen, and short positions in the Euro and British pound. In the interest rates sector, the portfolio was positioned long, primarily in U.S. and European bonds. The Fund had long equity index exposure, focused on the U.S. In the commodities markets, the Fund was short in agricultural grains markets, long in precious metals and very modestly long in energy, mainly in natural gas, with neutral oil exposure. Note that these were tactical positions generated by systematic managed futures programs in reaction to perceived market trends and opportunities. Positions will generally adapt as market conditions change.

Results of Operations

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

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

Results of Operations

The annual returns for each Classclass of Units for the years ended December 31, 2017, 2016,2023, 2022 and 20152021 were:

† Class A3 Units were fully redeemed on July 1, 2022. The return for 2022 is for the period from January 1, 2022 to June 30, 2022.

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.

20172023

January

Markets digestedRisk markets rebounded to start the impactnew year, with the S&P 500 Index rising +6.28%. Investor confidence was sparked by hopes of a slowdown in the Federal Reserve’s interest rate hike campaign and optimism that a “hard landing” can be avoided. Bonds also rallied during the period, moving in tandem with equities, up +3.08%, after capping off the Bloomberg U.S. Aggregate Bond Index’s worst year since its inception in 1980. The U.S. Dollar, which had seen gains for much of 2022, continued its slide from its fourth quarter weakness, down over -1.3% in January.

Futures Portfolio Fund (the “Fund”) fell modestly in January as low volatility provided limited trading opportunities for the Fund’s managers. While a majority of the new U.S. administration’s economic policy proposals as the calendar year began. The policy specifics remain uncertain, but market participants showed optimism that potential changes to the tax code and increased infrastructure spending would bolster economic growth. Equity markets in the U.S. and Europe were generally higher, while interest rates held mostly steady. Following broad based strength in the second half of 2016, the U.S. dollar weakened during the start of the year as concerns about trade protection and accusations of currency manipulation began to emerge.

Ongoing strength in equity markets was a positive contributor to Fund performance. Specifically, long positions in Nasdaq, S&P 500 and Hang Seng indices were key contributors. Increased economic bullishness also led to a near 9% rise in copper prices, benefitting the Fund’s long copper position. After several months of strength, energy prices drifted lower in January, due partially to the belief that OPEC’s attempts to cut production would be short lived. The Fund’s long energy positionssectors detracted from performance. Within foreign exchange markets, the U.S. dollar reversal caused losses, asperformance, the Fund was long U.S. dollarprofitable in equity index and energy trading. Despite the negative performance, this month highlighted the Fund’s ability to be sizably invested in different themes, which has helped provide a positive return versus Euro, British poundthe losses sustained by major bond and Japanese yen.equity indices in 2022. The Fund finished with a net loss. Overall, the Fund finished with a net loss of 2.27%(0.93)%, 2.13%(0.81)%, (0.78)%, (0.70)% and 2.04%(0.76)% for Class A, A2, B, I, and IR Units, respectively.

February 

After a brief recovery in January, the S&P 500 Index resumed its downward trend in February, sawlosing -2.44% and dropping its year-to-date return to +3.69%. At the same time, bonds again failed to protect investor capital, selling off -2.59% and leaving the Bloomberg U.S. Aggregate Bond Index up just +0.41% YTD. Negatively impacting equity and fixed income markets was a continued riseconcern that elevated inflation would last longer than expected and therefore prevent the Federal Reserve from cutting interest rates. The U.S. Dollar, which slid in investorthe fourth quarter of 2022, rebounded in February, up +2.72%. The strength in the Dollar, however, proved to be a headwind for commodities, as the Bloomberg Commodity TR USD Index fell -4.70% during the period. Futures Portfolio Fund’s (the “Fund”) positive return in February was overwhelmingly driven by short bond positioning and, to a lesser extent, long U.S. Dollar positioning. While energy, metals, and equity trading were modest detractors, the strong month highlighted the Fund’s ability to be sizably invested in different themes, helping to provide positive returns against the losses suffered by major bond and equity indices. The Fund finished with a net gain of 2.35%, 2.47%, 2.50%, 2.58% and 2.52% for Class A, A2, B, I, and R Units, respectively.

March

Amid heightened volatility related to stress in the banking sector, stocks and bonds both recovered some of February’s losses in the month of March, with the S&P 500 Index up +7.50% YTD and the Bloomberg U.S. Aggregate Bond Index up +2.96%. Positively impacting both equity and fixed income markets was optimism surrounding a possible pause in rate hikes by the Federal Reserve. As a result, the short end of the U.S. Treasury yield curve (2-year Treasury) experienced its largest move since 1987.

Futures Portfolio Fund (the “Fund”) fell in March, as the short fixed income trend, which had heavily contributed year-to-date and in 2022, sharply reversed course. While a majority of other sectors detracted, the Fund’s managers were able to adjust for heightened market volatility and adjust position sizing accordingly. March performance was overwhelmingly driven by the aforementioned short bond positioning. This nimble approach, inherent in managing risk, appetite.allowed the Fund to mitigate losses. The Fund finished with a net loss of (6.95)%, (6.84)%, (6.81)%, (6.74)% and (6.79)% for Class A, A2, A3, B, I, and R Units, respectively.

April

Relative to recent months, April proved to be a quiet period for stocks and bonds as recessionary fears, stoked by rising interest rates and banking failures, subsided. The S&P 500 ralliedIndex continued to new highsmove higher, albeit at a slower pace, gaining +1.56% in the period, bringing its YTD return to up +9.17%. Bonds, as represented by the Bloomberg U.S. Aggregate Bond Index, added +0.61% in the month which brought their YTD return to up +3.59%.

Futures Portfolio Fund’s (the “Fund”) positive return in April was overwhelmingly driven by agricultural commodities, specifically sugar and rich valuations gotwheat, and long U.S. Dollar positioning, specifically against the Japanese Yen. While energies, metals, and interest rates were modest detractors, the strong month highlighted the Fund’s ability to be sizably invested in different themes, helping to provide positive returns even richer, spurred by positive earnings datawhen traditional long only bond and the Trump administration’s pledge to cut corporate taxesstock indices were modestly positive. The Fund finished with a net gain of 2.51%, 2.63%, 2.67%, 2.75% and spend heavily on infrastructure. International equity markets also had a positive month as global economic data showed improvement. In Europe, the political2.68% for Class A, A2, B, I, and R Units, respectively.

May

Debt ceiling talks and risk of potential nationalist party victoriesa U.S. default added to volatility during May. The Fed raised interest rates another 25 basis points early in upcoming electionsthe month, continuing its fight against persistently high inflation. The S&P 500 Index edged higher, up just +0.43% in Francethe period, bringing its YTD return to +9.65%. Bonds, as represented by the Bloomberg U.S. Aggregate Bond Index, reversed course dropping -1.09% in May, bringing its YTD return to +2.46%.

Futures Portfolio Fund’s (the “Fund”) positive return in May was largely driven by currencies and energies trading, specifically long U.S. Dollar positioning against the Netherlands ledChinese Renminbi and short natural gas exposure. Agricultural commodities and interest rates also contributed to a rally in safe haven German bondslesser degree, while metals and equities detracted modestly. The Fund finished with a depreciationnet loss of the Euro.(1.16)%, (1.28)%, (1.31)%, (1.39)% and (1.33)% for Class A, A2, B, I, and R Units, respectively.

The Fund’s largest gainsJune

Equities continued to move upward in June, with the S&P 500 Index posting its best month of 2023, up +6.61%, bringing the YTD return to up +16.89%. Bonds, however, did not fare as well with the Bloomberg U.S. Aggregate Bond Index continuing its slide from the previous month, down -0.36% in June, and up +2.09% YTD. Outside traditional asset classes, commodities rose during the month came fromperiod, particularly oil, which bounced following Saudi Arabia’s additional production cuts. The U.S. Dollar resumed its YTD downward trend against the backdrop of shifting investor appetite to risk on assets.

Futures Portfolio Fund’s (the “Fund”) positive return in June was driven by short fixed income, long equity, index positions,and short foreign currencies. Agricultural commodities and energy products were notable detractors to performance, while metals, to a lesser extent, also detracted during the period. The Fund finished with a net loss of (1.24)%, (1.36)%, (1.39)%, (1.47)% and (1.41)% for Class A, A2, B, I, and R Units, respectively.

July

Equities continued to move upward in July, albeit at a slower pace, up +3.21% and bringing the YTD return up to +20.65% for the S&P 500 Index. Bonds, however, did not fare as well with the Bloomberg U.S. Aggregate Bond Index continuing its slide from the previous two months, down -0.07% in July, and up +2.02% YTD. Outside traditional asset classes, commodities rose during the period, particularly oil, which bounced on tighter supply. The U.S. Dollar (“USD”) continued its downward trend this year against the backdrop of shifting investor appetite to risk on assets.

Futures Portfolio Fund’s return in July was driven by long USD against a basket of short foreign currencies positioning and to a lesser extent long Asian equities. Energy trading was the largest contributor to performance over the period as long positioning in Brent Crude benefited from the global rallyspike in stocks. Long positionsprices. The Fund finished with a net loss of (1.21)%, (1.10)%, (1.07)%, (0.99)% and (1.05)% for Class A, A2, B, I, and R Units, respectively.

August 

Equities fell in EuropeanAugust, deviating from the year-long upward trend, with the S&P 500 Index falling -1.59%, bringing the YTD return to up +18.73%. At the same time, bonds and a short currency positionagain failed to protect investor capital, with the Bloomberg U.S. Aggregate Bond Index selling off -0.64% in the Euro both profitedperiod and briefly moving into negative territory for 2023 before ending August up just +1.37% YTD. Negatively impacting equity and fixed income markets was concern the Federal Reserve would continue its hawkish stance. The U.S. Dollar, however, strengthened against the backdrop of the aforementioned potential Federal Reserve action.

Futures Portfolio Fund (the “Fund”) fell modestly in August as low volatility provided limited trading opportunities for the Fund’s managers. The Fund’s major sectors were mixed as stock indices, energy products, and metals detracted from market skittishnessperformance, while currencies and agricultural commodities, specifically wheat, were profitable. Fixed income trading was not a significant contributor to performance over possible populist electoral gains.the period. The Fund did seefinished with a net loss of (0.24)%, (0.13)%, (0.09)%, (0.02)% and (0.08)% for Class A, A2, B, I, and R Units, respectively.

September

Equities fell in September, continuing the stumble from the previous month, with the S&P 500 Index falling -4.77%, bringing the YTD return to up +13.07%. At the same time, bonds again failed to protect investor capital, with the Bloomberg U.S. Aggregate Bond Index selling off -2.54% in the period and moving into negative territory for 2023, down -1.21% YTD. Concerns over tighter monetary policy for longer and the potential looming government shutdown pushed the U.S. 10-Year Treasury Yield to its highest level in more than 15 years. The U.S. Dollar, however, strengthened against the backdrop of the aforementioned potential Federal Reserve action.

Futures Portfolio Fund’s positive return in September was overwhelmingly driven by short bond and long energy positioning. While metals and agricultural commodities were positive, these sectors were not a significant driver of performance. Currency and stock indices were modest lossesdetractors to September returns. The Fund finished with a net gain of 4.25%, 4.37%, 4.40%, 4.48% and 4.42% for Class A, A2, B, I, and R Units, respectively.

October

Equities continued to slide in October, concluding the third negative month in a row, with the S&P 500 Index falling -2.10%, bringing the YTD return to up +10.69%. At the same time, bonds again failed to protect investor capital, with the Bloomberg U.S. Aggregate Bond Index selling off -1.58% in the period and moving further into negative territory for 2023, down -2.77% YTD. Concerns over tighter monetary policy for longer pushed the U.S. 10-year yield to its highest level in more than 15 years. The U.S. Dollar, however, modestly strengthened against the backdrop of the aforementioned potential Federal Reserve action.

Futures Portfolio Fund (the “Fund”) fell in October as a significant and swift shift in a long-term energy up trend proved to be difficult for the Fund’s managers. Outside of energy, the largest detractor to performance, the Fund’s other major sectors were mixed as trend-following programs were whipsawed by choppy directionless oil prices.FX and interest rates gained, while metals and agricultural commodities detracted. Overall, the Fund finished the month with a net profit.loss of (2.52)%, (2.41)%, (2.37)%, (2.30)% and (2.36)% for Class A, A2, B, I and R Units, respectively.

November

Equities rebounded from a three-month slide in November, with the S&P 500 Index posting its best month of 2023, gaining +9.13% and bringing its YTD return to up +20.80%. Bonds continued to move in the same direction, as the Bloomberg U.S. Aggregate Bond Index rebounded from a six-month slide, rising +4.53%. November was, in fact, the best monthly return for the bond index since May 1985, and brought its YTD return to up +1.64%. Outside of traditional asset classes, commodities fell during the period, particularly oil, which added to October’s fall as geopolitical tensions eased. The U.S. Dollar moved downward against the backdrop of shifting investor appetite to risk-on assets.

Futures Portfolio Fund (the “Fund”) fell in November as a significant and swift reversal in a long-term bond trend proved difficult for the Fund’s managers. Foreign Currency (“FX”) was also a notable detractor to Fund performance. Outside of fixed income and FX – the two largest detractors this month - the Fund’s other major market sectors were modest contributors, as commodities and stock indices gained. Overall, the Fund finished the month with a net loss of (3.27)%, (3.15)%, (3.12)%, (3.05)% and (3.11)% for Class A, A2, B, I and R Units, respectively.

December

Equities capped off a strong 2023, up +26.29% in the calendar year with a +4.54% return in December. Bonds continued to move in the same direction, as the Bloomberg U.S. Aggregate Bond Index finished the year up +5.53%, with +3.83% of the return coming in December. Outside of traditional asset classes, commodities fell during the month, particularly oil, which added to recent months’ downward move as geopolitical tensions eased and excess supply concerns surfaced. The U.S. Dollar moved down against the backdrop of shifting investor appetite to risk-on assets.

Futures Portfolio Fund fell in December as a significant and swift reversal in long-term bond and foreign currency trends proved difficult for the Fund’s managers. Metals, energy products, and agricultural commodities modestly detracted while stock indices were a positive contributor to performance. Overall, the Fund finished the month with a net loss of (3.41)%, (3.30)%, (3.27)%, (3.19)% and (3.25% for Class A, A2, B, I and R Units, respectively.

2022

January

As the new COVID-19 variant’s control and impact on financial markets lessened, fears of an aggressive Federal Reserve and inflation took hold. These events drove the S&P 500 Index down by about -9.7% in the opening weeks of 2022. The January Federal Reserve meeting saw a continuation of the hawkish stance set forth by the central bank, indicating the need to begin raising interest rates and winding down its $9 billion balance sheet. This drove yields higher as investors rotated out of fixed income securities. The U.S. 10-Year Treasury rose 0.27% in January, to close the month at 1.78%. Much to the surprise of economists, the U.S. added half a million new jobs in the month, showing the resilience of the labor market through the Omicron variant wave. Against the backdrop of geopolitical tensions with Russia and Ukraine, along with rising global demand, oil prices continued their upward trend as West Texas Intermediate surged over +17% to start the year.

Futures Portfolio Fund’s modest negative returns in January were driven by interest rates and equity indices, while energy and agricultural commodities contributed positively to performance. Despite the overall negative return for the month, the Fund’s ability to go both long and short helped mitigate losses relative to major bond and equity indices. In fixed income, mixed bond positioning detracted as yields finished the month significantly higher. Also detracting was long equity positioning, as volatility in the U.S. and abroad proved difficult for the Fund’s managers. In energy trading, consistent long oil and oil product positioning contributed the most, as prices rose sharply due to the aforementioned reasons. The Fund finished with a net loss of (0.36)%, (0.25)%, (0.26)%, (0.21)%, (0.14)% and (0.20)% for Class A, A2, A3, B, I, and R Units, respectively.

February

COVID-19 related market shocks continue to fall by the wayside as rising interest rates and geopolitical tensions dominated the headlines in February. The combination of these events drove the S&P 500 Index down -2.99% in February, bringing year-to- date 2022 performance down to -8.01%. The continued hawkish stance by the Federal Reserve, coupled with persistent high inflation metrics drove bond yields higher for much of the month. This upward trend in bonds quickly shifted on reports of the invasion of Ukraine by Russia. The U.S. 10-Year Treasury fell from highs around 2% as investors quickly shifted to risk-off assets. This level of rates marks a new high since late 2019. Against the backdrop of geopolitical tensions with Russia and Ukraine, oil prices continued their blistering upward trend as West Texas Intermediate surged over +9% in February, bringing the year-to-date increase up over +28%.

Futures Portfolio Fund’s positive returns in February were driven by energy, agricultural commodities, and interest rates, while currencies and stock indices modestly detracted from performance. The strong month highlighted the Fund’s ability to be sizably invested in different themes, which has helped mitigate losses relative to major bond and equity indices. In energy, consistent long oil and oil product positioning contributed positively as supply fears stemmed from aforementioned reasons. Also contributing were long agricultural positioning which benefited from supply constraints. Detracting from performance was short dollar and long equity positioning, as volatility in those markets proved difficult for the Fund’s managers. The Fund finished with a net gain of 1.97%, 2.09%, 2.07%, 2.12%, 2.20% and 2.14% for Class A, A2, A3, B, I, and R Units, respectively.

March

Rising interest rates and the war in Ukraine dominated news headlines in March. While the S&P 500 Index finished the month up +3.71%, these events contributed to a significant amount of volatility, bringing year-to-date performance for the equity index down -4.60%. Renewed hawkish comments by the Federal Reserve, coupled with relentless higher inflation metrics drove bond yields up during the month. Most notably, on the last day of March, the U.S. 2-year Treasury yield briefly rose above the U.S. 10-year yield, also known as an “inversion”, which was last seen in 2019. Investors view this market phenomenon as a potential warning signal of a looming recession. Against the backdrop of Russia’s attack on Ukraine, oil prices continued their blistering upward trend as West Texas Intermediate surged over +7% in March, bringing the year-to-date increase up over +38%, reaching its highest level since 2008.

Futures Portfolio Fund’s strong return in March (+9.37%) received positive contributions from all sectors with energy, currencies, and interest rates leading the way. The strong month highlighted the Fund’s ability to be sizably invested in different themes, which has helped mitigate losses relative to major bond and equity indices in 2022. In energy, decreasing long positioning contributed positively as supply fears stemmed from the aforementioned reasons. Also contributing was long dollar/short foreign currency positioning, which benefited from a flight-to-quality early in the month. Consistent short bond positioning also contributed as yields rose across the globe on the back of rising inflation. While metals, agricultural commodities, and stock indices lagged the other sectors, we are still pleased with their contribution to overall portfolio performance and diversification. The Fund finished with a net gain of 9.12%, 9.25%, 9.24%, 9.29%, 9.37% and 9.30% for Class A, A2, A3, B, I, and R Units, respectively.

April

As Russia’s invasion of Ukraine entered its 3rd month, investors continued to size up daily news flow out of the region along with the increasing pressures of inflation. The S&P 500 Index added to its negative 2022 performance as April proved to be the worst month for the index since March of 2020, bringing the YTD return to down -12.92%. Continued hawkish comments by the Federal Reserve, coupled with relentless higher inflation metrics drove bond yields higher during the month. Most notably, the U.S. 10-year yield encroached on a critical 3% level, a point not seen since late 2018. Against the backdrop of Russia’s attack on Ukraine and the uncertainty of supply, oil prices continued their upward trend as West Texas Intermediate surged over +3% in April, bringing the year-to-date increase up over +43%.

Futures Portfolio Fund added to its strong start in 2022 with contributions from currencies, interest rates, energy products, and agricultural commodities, while equities modestly detracted. The strong month highlighted the Fund’s ability to be sizably invested in different themes, which has helped provide positive performance against the losses by major bond and equity indices in 2022. In currency trading, long U.S. dollar positioning throughout the month contributed positively as real yields moved into positive territory along with a boost from the flight to safety. Also contributing was consistent short bond positioning as yields rose across the globe on the back of rising inflation. Choppy equity markets (as opposed to more sustained trends) provided a difficult environment for the Fund’s managers to take advantage of. As we enter the second quarter of 2022, we are pleased with the portfolio performance and diversification it is providing investors. The Fund finished with a net gain of 5.88%, 6.00%, 5.99%, 6.04%, 6.12% and 6.06% for Class A, A2, A3, B, I, and R Units, respectively.

May

Rising inflation and concerns surrounding China’s zero COVID policy drove financial markets in May as investors assessed their subsequent impact on global economic growth. The S&P 500 Index posted modestly positive performance in May, bringing year-to-date performance to down -12.76%. The Index’s slight gain did not come without its fair share of volatility as numerous companies issued cautious outlooks, raising questions about economic growth and health of the consumer. Additionally, U.S. 10- year yields encroached on a critical 3% level, a point not seen since late 2018. Against the backdrop of Russia’s attack on Ukraine and the uncertainty of supply, oil prices continued their upward trend as West Texas Intermediate surged over +11% in May, bringing the year-to-date increase up over +60%.

Futures Portfolio Fund (“the Fund”) had a small net loss in May, as currencies, interest rates, and agricultural commodities gave back some of their sizable gains from earlier in the year. In currency trading, long U.S. dollar positioning throughout the month detracted as the extended rally stalled on the back of slowing U.S. yield increases. Also detracting from performance was fixed income as range-bound markets provided a difficult trading environment for the Fund’s managers. Energy trading was a positive contributor during the month, however, as consistent long exposure was able to capture the general upward trend due to aforementioned reasons. The Fund finished with a net loss of (0.98)%, (0.86)%, (0.88)%, (0.83)%, (0.75)%, and (0.81)% for Class A, A2, A3, B, I, and R Units, respectively.

June

While the macro drivers from earlier in the year continued into June, market participants’ focus shifted to the Federal Reserve’s response to these events. The S&P 500 Index added to its negative year-to-date return as June, down -8.25%, proved to be the second worst month this year. This brought the 2022 return to down -19.96% for the Index. Continued hawkish comments by the Federal Reserve, coupled with relentless higher inflation metrics drove bond yields higher during the month. Most notably, the U.S. 10-year treasury yield rose to 3.49%, before retreating and closing the month below 3%.

Futures Portfolio Fund (“the Fund”) had a small net loss in June, as agricultural commodities and energy products gave back some of their sizable gains from earlier in the year. Gains in interest rates and currency trading were not enough to offset the aforementioned losses. Agricultural commodities, specifically grains markets, detracted most from performance as persistently long positions were hurt by better-than-expected news regarding weather, crop conditions, and exports from Ukraine. Contributing the most to performance was short fixed income positioning as volatile markets provided ample trading opportunities to the Fund’s trading advisors. The Fund finished with a net loss of (0.98)%, (0.87)%, (0.83)%, (0.76)%, and (0.82)% for Class A, A2, B, I, and R Units, respectively.

July

Both stocks and bonds rebounded in July. While employment metrics remain robust, falling energy prices and slowing economic growth boosted hopes that inflation is potentially peaking. Accordingly, market participants became more optimistic that the Fed’s interest rate hiking cycle may end sooner than previously thought which contributed to the rally in equities and fixed income. The S&P 500 Index posted its best month since 2020, up +9.22%, bringing year-to-date performance to down -12.58%. Bond yields fell steadily, with the U.S. 10-year treasury yield finishing July at 2.64%, down from a high of 3.5%, earlier in the year.

While Futures Portfolio Fund (“the Fund”) has been able to capitalize on most of the dominant trends in the markets this year, the Fund had a negative return in July, with all major sectors experiencing losses. As persistent trends reversed, the largest losses were realized in interest rates, where long duration fixed income, specifically in Europe, detracted most from performance. Additionally, within the equity sector, short European positioning turned unprofitable as quickly reversing and volatile markets created a difficult environment for the Fund’s trading advisors. The Fund finished with a net loss of (4.59)%, (4.48)%, (4.45)%, (4.37)% and (4.43)% for Class A, A2, B, I, and R Units, respectively.

August

Both stocks and bonds resumed their year-to-date downward trend in August. While employment metrics remained historically robust, a hawkish Federal Reserve, to combat inflation, signaled to markets the aggressive interest rate hikes were not over. The S&P 500 Index was down -4.08% for the month, bringing year-to-date performance to down -16.14%. August signaled the seventh month, out of eight so far in 2022, in which broad-based stock and bond indices moved in the same direction. The Bloomberg U.S. Aggregate Bond Index was down -2.83% as bond yields rose quickly. The U.S. 10-year Treasury yield finished August at 3.15%, down from a high of 3.5%, earlier in the year.

Futures Portfolio Fund added to its strong performance in 2022 with contributions from currencies and interest rates, while equities and agricultural commodities modestly detracted. The strong month highlighted the Fund’s ability to be sizably invested in different themes, which has helped provide a positive return against the losses sustained by major bond and equity indices. In currency trading, long U.S. dollar positioning throughout the month contributed positively as relatively high interest rates in the U.S. attracted foreign investment along with a boost from flight to safety. Also contributing was short bond positioning as yields rose across the globe on the back of rising inflation. Choppy equity markets, however, provided a difficult environment for the Fund’s managers. As we enter the latter part of 2022, we are pleased with the portfolio’s performance and diversification it is providing investors. The Fund finished with a net gain of 3.58%, 3.70%, 3.73%, 3.81% and 3.75% for Class A, A2, B, I, and R Units, respectively.

September

Both stocks and bonds continued their downward trend in September. The Federal Reserve maintained its hawkish stance amid elevated inflation reports, signaling to markets the aggressive rate hikes were far from over. The S&P 500 Index was down - 9.21% in September, its worst month since March of 2020, bringing the year-to-date return to negative -23.87%. The Bloomberg U.S. Aggregate Bond Index was also down, -4.32%, its worst month since February 1980. This marked the eighth month out of nine in 2022 in which broad-based stock and bond indices moved in the same direction. Oil markets fell as recessionary fears, sparked by a Federal Reserve misstep, overwhelmed supply concerns relating to geopolitical tensions.

Futures Portfolio Fund added to its solid performance in 2022 with contributions from currencies and interest rates, while energies and agricultural commodities modestly detracted. The strong month again highlighted the Fund’s ability to be sizably invested in different themes, which has helped provide a positive return versus the losses sustained by major bond and equity indices. In currency trading, long U.S. dollar positioning contributed positively as relatively high interest rates in the U.S. attracted foreign investment along with a boost from flight to safety. Also contributing was short bond positioning as yields rose across the globe on the back of rising inflation. Volatile energy prices, however, provided a difficult environment for the Fund’s managers, resulting in small losses. As we enter the latter part of 2022, we are pleased with the portfolio’s performance and the diversification it is providing investors. The Fund finished with a net gain of 5.10%, 5.22%, 5.26%, 5.34% and 5.27% for Class A, A2, B, I, and R Units, respectively.

October

Stocks rebounded in October, in sharp contrast to the prior month, while bonds did not fare so well, continuing the yearlong downward trend in fixed income. Optimism of a potential pause in interest rate hikes buoyed global equity markets. The S&P 500 Index was up +8.10% in October, its second-best month in 2022, bringing the year-to-date return to -17.70%. The Bloomberg U.S. Aggregate Bond Index was down -1.30%, bringing the year-to-date return to -15.72%. Oil markets climbed as recessionary fears cooled, supporting demand expectations, and OPEC announced production cuts to support falling prices.

Futures Portfolio Fund added to its solid performance in 2022 with contributions from energy products and stock indices, while agricultural commodities modestly detracted. The positive month once again highlighted the Fund’s ability to be sizably invested in different themes, which has helped provide a positive return versus the losses sustained by major bond and equity indices. In energy trading, long positioning in oil and oil-related products contributed positively as markets rose for the aforementioned reasons. Also profitable in October were equities, particularly long Asian indices, as prices rose amid anticipation that economic conditions were improving. Volatile agricultural commodity prices provided a difficult environment for the Fund’s managers, resulting in small losses. The Fund finished with a net gain of 0.97%, 1.09%, 1.12%, 1.20% and 1.14% for Class A, A2, B, I, and R Units, respectively.

November

Stocks continued to recover in November, adding to last month’s gains, bringing the year-to-date return for the S&P 50 Index to -13.10%. Bonds posted their first positive month since July, up +3.68%, and best month since December 2008. Despite the positive month, the Bloomberg U.S. Aggregate Bond Index continues to be in its most difficult performance period since its inception in 1980, down -12.62% year-to-date. Positively impacting both equity and fixed income was optimism surrounding a potential peak in inflation and possible pause in rate hikes. As a result, the U.S. Dollar had its largest monthly loss since July 2010, down -5%, bringing its year-to-date return to +10.40%.

Futures Portfolio Fund (the “Fund”) fell in November, posting its first monthly loss since July as many major trends, which had heavily contributed to year-to-date performance, sharply reversed course. While all major sectors detracted, the Fund’s managers were able to adjust for heightened market volatility and adjust position sizing accordingly. This nimble approach, inherent in managing risk, allowed the Fund to stay well in positive territory when it comes to the largest positive contributing markets thus far in 2022. Despite the negative performance, this month highlighted the Fund’s ability to be sizably invested in different themes, which has helped provide a positive return versus the losses sustained by major bond and equity indices thus far in 2022. The Fund finished with a net loss of (9.01)%, (8.90)%, (8.87)%, (8.80)% and (8.85)% for Class A, A2, B, I, and R Units, respectively.

December

The S&P 500 Index resumed its downward trend in December, dropping -5.76% and capping off its largest annual loss since 2008, down -18.11% for the year. In addition, bonds failed to protect investor capital, selling off -0.45% during the month and finishing the year down -13.01%, which was the worst year on record for the Bloomberg U.S. Aggregate Bond Index. Negatively impacting equity and fixed income markets was pessimism surrounding potential Federal Reserve policy missteps in the central bank’s pursuit to stifle elevated inflation. The U.S. Dollar, which had gained for much of the year, but reversed course in October, continued to slide, down over -2%, bringing its year-to-date return to just over +7.50%.

Futures Portfolio Fund (the “Fund”) fell modestly in December as low volatility and range-bound markets provided limited trading opportunities for the Fund’s managers. While a majority of the Fund’s sectors detracted from performance, the Fund was profitable in fixed income trading. Despite the negative performance, this month highlighted the Fund’s ability to be sizably invested in different themes, which has helped provide a positive return versus the losses sustained by major bond and equity indices in 2022. The Fund finished with a net loss of (1.63)%, (1.52)%, (1.48)%, (1.41)% and (1.47)% for Class A, A2, B, I, and R Units, respectively.

2021

January

Much of January was marked by increasing confidence in a post-pandemic global recovery along with ongoing accommodative monetary policy which helped lift equities for the greater part of the month. Ultimately global stocks finished down in January, however, as COVID variants and unusual retail activity in several highly shorted stocks rattled investor confidence late in the month. Global bond yields rose (prices fell) with the 10-year U.S. Treasury yield surging above 1%, buoyed by expectations for additional stimulus. Commodity prices also moved higher led by gains in energy and agricultural markets. In oil markets, Saudi Arabia unexpectedly cut production helping to boost prices. Finally, the U.S. Dollar strengthened on higher Treasury yields and expectations for fiscal stimulus.

The Fund was profitable for most of January, continuing to build on bullish trends in agricultural products and equities. However, the volatility of the markets in the last few days of the month (the VIX spiked 62% on Jan. 27th) worked to offset those gains, resulting in a loss for the Fund that could not recover before month-end. Overall, during the month unprofitable trading in currency and fixed income markets more than offset positive contributions from positions in agricultural commodities and, to a lesser extent, equities. Long foreign currency positions including the Euro and Yen were hurt by the rallying dollar, which clawed back some of its losses from last year. In fixed income trading, long exposure in the U.S. and Europe were hurt by rising rates. Long positions in agricultural commodities provided a lift, particularly in corn and soybean. The Fund finished with a net loss of (2.02)%, (1.90)%, (1.92)%, (1.87)%, (1.80)% and (1.86)% for Class A, A2, A3, B, I, and R Units, respectively.

February

In February, the reflation trade remained the dominant theme for investors as encouraging economic data along with surging vaccination rates and declining COVID cases/hospitalization helped spur optimism. Against this backdrop, global equities moved higher with the rotation towards “re-opening stocks” continuing. Commodities prices soared as oil surged nearly 20% on the improving economic outlook along with constrained production. Copper moved above $4 per pound, its highest level since 2011. The bond market, as measured by the Bloomberg Barclay’s U.S. Aggregate Bond Index, was also impacted by the reflation trade and is now down -2.15% in 2021. These concerns led to a jump of approximately 50 basis-point in the 10-year U.S. Treasury yield, to 1.4%.

The Fund had a positive return for February, bringing its YTD return back into the black. Profitable trading in equity and commodity markets were the largest contributors as long positions benefitted from the upward push in risk assets. Within commodities, the largest gains stemmed from long exposure in energy, notably oil, while trading in metals and agricultural markets was also profitable. Fixed income produced losses, as rates seemed to have found a bottom, and the uptick hurt the Fund’s long positions. Trading models responded accordingly, and as a result, long exposure fell sharply with long- and medium-term instruments shifting short by the end of the month. The Fund finished with a net gain of 2.91%, 3.03%, 3.02%, 3.07%, 3.15% and 3.08% for Class A, A2, A3, B, I, and R Units, respectively.

March

In March, the Fed communicated its intention to maintain easy monetary policy until the economy is further along in its recovery. Market participants, however, were increasingly concerned about building inflationary pressure in the U.S. from improving economic growth, the rapid acceleration in vaccinations, and implications of the massive proposed $2 trillion infrastructure package and the recently passed $1.9 trillion American Rescue Plan Act of 2021. Accordingly, the 10-Year U.S. Treasury yield climbed to 1.75% intramonth as investors fear the Fed may need to act sooner than it is currently communicating. Yields in Europe were little changed, however, as the increasing number of COVID cases and potential for further lockdowns weighed on economic growth expectations. Global equities moved higher as the rotation toward cyclical “recovery” stocks continued. Commodity prices retreated with oil correcting on demand worries from European lockdowns/vaccine rollout along with the stronger dollar.

The Fund had a positive return in March. Profitable trading in equity and foreign currency positions were the largest contributors. Long positions in equities were buoyed by the continued strength in stocks, led by gains in European markets and, to a lesser extent, in the United States. Rising yields in the U.S. contributed to USD strength, which benefitted long dollar/short foreign currency positions, particularly in the Yen. The largest losses during the month were from commodities, particularly long silver positions as precious metals were pressured by rising yields and the strengthening dollar. The Fund finished with a net gain of 0.07%, 0.19%, 0.17%, 0.22%, 0.30% and 0.24% for Class A, A2, A3, B, I, and R Units, respectively.

April

Investor apprehension toward building inflationary pressure seemed to relax in April as the Federal Reserve maintained its easy monetary policy and Chairman Powell indicated it was too early to taper. This helped foster a positive environment for risk assets as market participants instead focused on the continued improvement in global economic activity. Concurrently, the worsening COVID-19 situation in India coupled with Europe’s slow progress in their vaccine rollout tempered growth expectations and contributed to the view that growth/inflation would not spiral out-of-control to the upside. Against this backdrop, global stock prices continued to climb. U.S. Treasury yields and dollar declined in April after moving higher in the first quarter. Eurozone bond yields, however, climbed during the month. The improving economic growth outlook and the weak dollar helped fuel the continued rally in commodities which saw prices for many markets set new multi-year highs.

The Fund had a positive return in April, benefitting from the reflationary trade driving risk assets higher, especially in the commodity and equity markets. In commodities, long exposure benefitted from higher prices in agricultural, energy, and base metal markets with notable contributors including corn, brent crude, and copper. The Fund’s long equity positions were also profitable, particularly in the U.S. while in fixed income, long European exposure accounted for the bulk of the losses as rates pushed higher. Unprofitable trading in currency markets was led by short positions in the Euro and Yen which reversed course by moving higher versus the U.S. dollar in April. The Fund finished with a net gain of 3.98%, 4.10%, 4.09%, 4.13%, 4.22% and 4.15% for Class A, A2, A3, B, I, and R Units, respectively.

May

Strengthening economic conditions helped push global stock prices modestly higher in May as the ongoing vaccine roll-out and supportive fiscal/monetary policy fueled the recovery. Evidence of the improving economic environment included the strong April 60.7 U.S. Manufacturing Purchasing Manager’s Index reading. In Europe, the Eurozone Manufacturing PMI was 62.9, also indicative of an expanding economy. While the global growth outlook strengthened, inflationary pressure continued to build with the CPI rising a larger than expected +4.2% in April, its fastest pace since 2008 and raising concerns of Fed tapering. These fears were alleviated in part by the disappointing non-farm payroll numbers which fell well short of expectations and helped soften concerns that the economy may overheat. Against this backdrop, commodity prices were generally mixed, though oil (West Texas Intermediate crude) prices moved to their highest level since 2018. Global bond yields were little changed while the U.S. dollar weakened.

The Fund’s positive return in May was driven by long positions in commodity markets. The largest gains in the sector were from long energy exposure, including oil and oil products along with power markets. Long exposure in metals was also profitable while long positions in agricultural commodities had losses, particularly grains where prices retreated from multi-year highs. Foreign currency trading was profitable, led by long positions in emerging market currencies which benefitted from rising commodity prices. The Fund also had gains from long positions in equities, particularly in the U.S. and Europe. Trading in fixed income produced small losses. The Fund finished with a gain loss of 2.05%, 2.17%, 2.15%, 2.20%, 2.28%, and 2.22%% for Class A, A2, A3, B, I, and R Units, respectively.

June

Economic conditions in the U.S. remain robust as recent data suggests the recovery continues to strengthen. The U.S. added a better-than-expected 850,000 jobs in June while wages were up +3.6% year-over-year. Consumer prices (CPI) jumped +5% in May, its fastest pace since August 2008 and higher-than-expected. The economic recovery outside the U.S. generally remains at a slower pace, with rising concerns regarding the spread of the delta variant, particularly in regions with lower vaccination rates. At the June meeting, the Fed’s stance shifted more hawkish as it projected two rate hikes in 2023. This contributed to the yield curve flattening as yields at the front end of the curve moved higher while longer duration yields moved lower as the Fed’s more hawkish comments tampered long-term inflation and growth expectations. Against this backdrop the U.S. dollar moved higher against other major currencies. Stocks and commodities also moved higher, with oil prices breaking out to the upside.

Futures Portfolio Fund returns were slightly positive in June, capping off a strong first half of the year. The Fund capitalized on rising oil prices as long exposure in oil and oil products boosted returns, led by gains from WTI positions. Trading elsewhere in commodities was slightly unprofitable with small losses in agricultural and metal markets. The largest losses were from currency trading as long foreign currency positions were hurt by the strengthening U.S. dollar. Trading in Fixed Income produced small losses as gains from long exposure in long-term instruments, where rates generally fell in June, were more than offset by losses from long positions in short-term fixed income where rates rose. Long equity exposure produced modest gains. The Fund finished with a net gain of 0.14%, 0.26%, 0.24%, 0.29%, 0.37% and 0.31% for Class A, A2, A3, B, I, and R Units, respectively.

July

Markets provided conflicting signals in July as the S&P 500 reached a new all-time high while global bond yields moved lower and, in the U.S., the yield curve flattened. The rapid spread of the Delta variant along with the more hawkish rhetoric from the Federal Reserve has shifted the economic outlook narrative. While fiscal and monetary policy remain supportive, market participants perhaps increasingly anticipate that future economic growth will not spiral out of control. This view was reinforced by the +6.5% rise in the second quarter U.S. GDP growth, well below the +8.5% consensus expectation. Commodity markets were mixed during the month as energy and industrial metals prices generally rose while agricultural commodity prices declined. The U.S. dollar declined slightly versus other major currencies.

Futures Portfolio Fund returns were slightly positive in July as positive contributions from fixed income trading more than offset losses by currency markets. In fixed income, long exposure in the U.S. and Europe benefitted from the downward move in global bond yields with the strongest contributions from the U.S. Treasury Bond, Australian 10-year, and the Euro Bund. Trading in foreign currency markets versus the U.S. dollar was unprofitable with the largest losses from short Euro and Yen positions. Commodity markets had small gains led by profitable long energy exposure, partially offset by small losses in agricultural and metal markets. Equity trading was slightly unprofitable led by losses from long positions in Asian markets, notably the Nikkei and Hang Seng. The Fund finished with a net gain of 0.18%, 0.30%, 0.28%, 0.33%, 0.41% and 0.35% for Class A, A2, A3, B, I, and R Units, respectively.

August

Global equity prices advanced during the month, supported by strong second quarter earnings and dovish comments from Fed Chair Jerome Powell. The Fed Chair reiterated his view that recent high inflation is likely transitory and that the Fed needs to be mindful of risks of tapering too aggressively while reassuring investors that rate hikes are not expected for some time. Meanwhile, economic growth showed signs of stalling, culminating in the jobs report that showed August nonfarm payroll growth of only 235,000 versus expectations for 720,000. Consumer confidence also slumped to its lowest level since February of this year. Global bond yields moved higher in August, both in the U.S. and international markets, while the U.S. Dollar slipped from a nine-month high on the dovish Fed comments. Commodity prices were down slightly in August, as oil prices declined sharply on concerns that the spike in COVID-19 cases globally would threaten the recovery in demand.

Futures Portfolio Fund’s returns were negative in August as the positive contributions from equity trading were offset by losses in fixed income and, to a lesser extent, commodities, and currency markets. In equities, persistent long U.S. exposure during the month produced the largest gains. Fixed income losses were primarily attributable to trading in European markets, particularly long positions in the Euro Bund and Buxl. Foreign currency trading was mixed, but overall had a small loss with a long Canadian Dollar position the most notable detractor. In commodities, gains from trading softs, natural gas, power, and precious metals were more than offset by losses in oil & oil products, grains, and base metal markets. The Fund finished with a net loss of (1.26)%, (1.14)%, (1.16)%, (1.11)%, (1.03)% and (1.09)% for Class A, A2, A3, B, I, and R Units, respectively.

September

Many global markets reversed course in September, leaving investors unsure about future Central Bank policy, world-wide economic growth, and the pandemic’s lasting impact. The S&P 500 Index was down -4.65% during the month of September. This pullback was concentrated in large cap technology names as represented by the NASDAQ which was down -5.31% during September. This sell off was heavily influenced by upward moving yields due to widespread inflation fears. Yields on the U.S. 10-year Treasury note finished the month at 1.53%, up from 1.30% at the end of August, a level not seen since June of this year. Initial unemployment claims ticked upward to 362,000 during the last week of September, up from 310,000 claims at the start of the month, a record low since the start of the pandemic. The U.S. Dollar continued its upward trend versus most major currencies against the backdrop of hawkish comments by the Federal Reserve. Oil prices remained at elevated levels as global travel continues to slowly return, closing the month at $75.03 a barrel, up over +50% this year.

Futures Portfolio Fund returns were slightly negative in September as positive contributions from Energy trading were offset by losses in fixed income and, to a lesser extent, equities. In energy, persistent long European natural gas and power markets contributed the most as gas supply concerns drove prices higher. Fixed income losses were primarily attributable to trading in U.S. and European markets, particularly long positions on the mid to long end of the U.S. Treasury yield curve. In foreign currency trading, relatively small gains came from long U.S. Dollar positioning, particularly against the Euro and Yen. The Fund finished with a net loss of (0.98)%, (0.86)%, (0.88)%, (0.83)%, (0.75)% and (0.81)% for Class A, A2, A3, B, I, and R Units, respectively.

October

After a brief pause in September, the S&P 500 Index resumed its upward trend, up +7.01% in October, and up +26.56% for the year. Strong corporate earnings combined with robust economic growth and accommodative Federal Reserve actions pushed the S&P 500 and NASDAQ to all time highs. Amidst higher equity prices, rising inflation continued to be on the minds of investors as labor shortages and supply bottlenecks have the potential to magnify issues during the busy Holiday shopping season. Movement on the U.S. 10-year note was modest, edging higher 0.02%. The U.S. economy added 531,000 jobs in October, bringing the unemployment rate down to 4.6%, a change of -0.2%. Oil prices continued to climb, reflecting the rising demand for global manufacturing and travel. The price of West Texas Intermediate, soared over 11% in October to $83.57 per barrel, up from $75.03 per barrel at the end of September. So far in 2021, WTI has exploded over 70%.

Futures Portfolio Fund’s positive returns in October were driven by energy, currency, and equity trading, while metals modestly detracted. In energy, persistent long oil and oil product positioning contributed the most as higher demand coupled with supply concerns drove prices higher. In foreign currency trading, gains came from long U.S. Dollar positioning, particularly against the Euro and Yen. In metals trading, short positioning in precious metals detracted as prices rallied. Overall, the Fund finished the month with a net loss of 4.32%, 4.44%, 4.42%, 4.47%, 4.55% and 4.49% for Class A, A2, A3, B, I and R Units, respectively.

November

Despite a strong start to November for global markets, a new COVID-19 variant emerged, spooking investors late in the month and causing reversals in many of the prevailing market trends. The S&P 500 Index finished down -0.69% as investors transitioned to risk-off assets. Amongst the resurfacing virus concerns, inflation fears also weighed on investors as Federal Reserve Chair Jerome Powell acknowledged elevated prices may not be transitory and that the Fed may need to accelerate its tapering program. Bond yields ended November modestly lower as rising yields earlier in the month reversed sharply following the emergence of the Omicron variant. Despite the U.S. economy adding just half as many jobs as expected, the unemployment rate continued to drop and reached its lowest level since the pandemic began. Oil prices broke their year-long upward trend, as West Texas Intermediate plummeted over 20% in November to $66.18 per barrel, down from $83.57 at the end of October.

Futures Portfolio Fund’s negative returns in November were driven by energy, equities, and agricultural commodities, while interest rates contributed positively to performance. Despite the overall negative return for the month, the Fund’s diversified approach helped mitigate losses as trend-following strategies were hit hard by the reversal in markets while short-term and systematic macro strategies performed better. In energy, persistent long oil and oil product positioning detracted the most as demand concerns surrounding the new variant and the potential for oversupply pushed prices lower. Also detracting was long equity positioning, specifically in the U.S., which was positive for the fund until the Thanksgiving Holiday. In fixed income, long positions in European bonds contributed as investors fled to risk-off assets, driving bond prices higher. Overall, the Fund finished the month with a net gain of 3.33%(2.87)%, 3.48%(2.76)%, (2.77)%, (2.73)%, (2.65)% and 3.57%(2.71)% for Class A, B and I Units, respectively.

March

Economic policy remained a focus for markets throughout the month. President Trump’s proposal to replace the Affordable Care Act failed in Congress as it met with resistance from conservative Republicans. The fate of this measure was significant as it provided an indication of Trump’s ability to push through other policies such as tax reform and deregulation. The bill’s failure initially triggered a dip in global equities, but optimism over the prospects for tax cuts quickly returned and markets recovered. March also saw developments in monetary policy, as the Federal Reserve raised interest rates by 25 basis points, in line with expectations. In Europe, the United Kingdom formally triggered the exit process from the European Union, and investor attention turned to the possibility of populist gains in the upcoming French presidential election.

The Fund profited from its long equity exposure, with the strongest gains coming from Europe. Losses occurred in interest rate, currency and energy positions. Within the interest rate sector, the Fund encountered choppy trading conditions in European rate markets, but the primary losses came from Germany, where bond prices rallied against the Fund’s short position. Losses in the currency sector were attributable to a long U.S. dollar bias, as expectations of a slower tightening cycle by the Fed caused the dollar to depreciate against the euro, pound and yen. Overall, the Fund finished the month with a net loss of 1.97%, 1.82% and 1.74% for Class A, B and I Units, respectively.

April

Heightened geopolitical uncertainty weighed on risk assets early in the month. Markets were focused on saber rattling from North Korea and U.S. airstrikes in Syria. Later in the month, the first round of the French Presidential elections concluded without surprise, making a Le Pen victory and potential French exit from the Eurozone less probable. As a result, equity markets traded higher and the Euro rallied sharply. The Euro finished April at 1.09 against the U.S. dollar and gained more than 2% during the month. Energy markets were volatile, as an early month rally quickly gave way to a sell-off, with crude oil ending April down 3.4%.

The Fund continued to make profits from its long equity positions, and experienced losses in currency and energy positions. Within the equity allocation, the Fund was particularly profitable trading futures contracts in Euro Stoxx, Nasdaq and the S&P 500. The Euro Stoxx position was supported by the French elections, while upbeat corporate earnings provided momentum in U.S. equity markets. A long U.S. dollar and short Euro position detracted due to strength in the Euro. The Fund was long live cattle futures and benefited from a 15% increase in cattle prices, driven by strong consumer demand and tighter beef supply. Overall, the Fund finished the month with a net loss of 1.61%, 1.46%, 1.38% and 1.45% for Class A, B, I and R Units, respectively.

May

In May, developed market equity indices drifted higher and valuations continued to inflate, spurred by U.S. tech sector earnings and a centrist victory in the French Presidential election. The appointment of a special counsel to investigate the Trump administration’s alleged Russian ties led to a brief stock sell-off, but investors quickly shrugged off the news. The VIX volatility index dipped back below 10, setting a new low for the year. In foreign exchange markets, the U.S. dollar weakened against most major currencies, erasing all of its gains since the U.S. election. Energy markets had a choppy month, with oil prices declining as OPEC failed to implement larger production cuts.

The Fund made gains in its long global equity positions, especially in the tech-heavy NASDAQ Index. Losses came primarily from commodities markets, as trend-following programs were whipsawed by reversals in oil and precious metals. Currencies also proved to be a detractor, as the Fund’s long U.S. dollar positions were hurt by a rebound in the Euro and Japanese yen. Performance in fixed income futures was marginally positive during the month. Overall, the Fund finished the month with a net loss of 0.61%, 0.46%, 0.38% and 0.45% for Class A, B, I and R Units, respectively.

June

Global equity markets remained stable in the first half of the month, despite a number of major political events, ranging from former FBI Director James Comey’s congressional testimony to general elections in the UK. However, market sentiment shifted at month-end after European Central Bank President Mario Draghi discussed the return of reflationary forces and the potential need to end quantitative easing measures later this year. Comments from the Bank of England and Bank of Canada were also more hawkish than anticipated. Markets interpreted these statements as the first step towards a less accommodative monetary policy environment and the result was a sharp sell-off in government bond markets accompanied by a rally in the Euro, British pound and Canadian dollar.

The Fund made money from long equity positions early in the month, but the ECB and BOE comments led to a decline in European equity markets that caused the sector to finish down modestly. Interest rate contracts were challenging for the Fund, as global long bond positions were hurt by the fixed income sell-off in the last week of the month. Agricultural prices jumped at month-end after a U.S. Department of Agriculture report indicated plantings were short of expectations for wheat and soybean, hurting the Fund’s short positions in those markets. Overall, the Fund finished the month with a net loss of 3.85%, 3.71%, 3.63% and 3.69% for Class A,A2, A3, B, I and R Units, respectively.

December 

July

SummertimeThe new COVID-19 variant, Omicron, dominated global markets were mostly quiet in July, despite political fireworks in the U.S. as Congress attemptedearly days of December. As many unanswered questions about the variant were resolved, and fears of another economic shutdown diminished, market participants returned to repealrisk-on assets in the Affordable Care Act. The contentious naturelatter half of the vote and an inability to reach solidarity within the Republican Party was viewedmonth, as an impediment for passing tax reform and infrastructure spending later this year. The sector most impactedshown by the uncertainty was currencies. After startingS&P 500 Index, finishing December up +4.48%. All eyes then turned to the yearFed and the plan to accelerate the taper along with the ensuing path of interest rates. The seemingly milder variant, along with persistent inflation, reduced the chances of a dovish Fed. This perceived hawkishness by the market drove yields on the US 10-Year Treasury to 1.52% at $1.05the end of December, up from 1.43% a month earlier. Despite the U.S. unemployment rate continuing to drop since pandemic highs, investors have begun to scrutinize labor shortages and the subsequent impact on the economic recovery. Oil prices resumed their year-long upward trend, as West Texas Intermediate rose over +13% in December.

Futures Portfolio Fund’s modest negative returns in December were driven by interest rates and metals, while equity indices and agricultural commodities contributed positively to performance. In fixed income, persistent long bond positioning detracted as yields rose significantly into the end of the month against the U.S. dollar, the Euro strengthened to $1.18, rising in six of seven months this year and returning to its highest levels since early 2015. Equity indices drifted to all-time highs and largely ignored the political tumult in Washington.

The Fund was profitable in equity and currency markets, with slight losses in commodity and interest rate sectors. During the last three months, the Fund switched from a long U.S. dollar position against the Euro to being short U.S. dollar and long Euro. The timing worked out favorably for the Fund due to the continued appreciationbackdrop of the Euro. Equitymore hawkish Fed. Also modestly detracting was short precious metal positioning, as prices ticked higher in December amid lingering inflation worries. In equity indices, have beenlong positions in an uptrend since March 2016 and the Fund continuesU.S. equities contributed positively as investors shifted back to benefit from being long equities. Commodity prices were mostly rangebound in July and had a limited impact on overall Fund performance.risk-on assets. Overall, the Fund finished the month with a net gain of 0.81%(0.43)%, 0.96%(0.32)%, 1.04%(0.33)%, (0.28)%, (0.20)% and 0.98%(0.27)% for Class A, A2, A3, B, I and R Units, respectively.

August

As summer entered the final stretch, global markets were generally calm, although there were periodic bouts of volatility due to an escalating North Korean threat and a terrorist attack in Spain. In the early part of the month, equity markets in the U.S. reached all-time highs, but valuation concerns along with the prospect of North Korean missile tests near the island of Guam caused markets to sell-off. In foreign exchange markets, the U.S. dollar continued to weaken against the Euro, with the exchange rate returning to early 2015 levels.

The Fund experienced broad based profits in August, with the strongest gains coming from the interest rate, metals, foreign exchange and agricultural sectors. Relatively choppy trading conditions in equity markets were a modest detractor for the Fund’s long equity allocation. Within the metals sector, the Fund was long copper and gold futures, which were profitable as those markets rallied. A long Euro exposure was beneficial and the Fund was also profitable trading emerging market currency pairs. Growing trepidation for a looming U.S. government shutdown in the fall led to a drop in interest rates as bond prices appreciated. The Fund was positioned long in interest rate contracts and realized profits as a result. Overall, the Fund finished the month with a net gain of 3.14%, 3.30%, 3.38% and 3.31% for Class A, B, I and R Units, respectively.

September

September saw a hawkish turn in central bank policy guidance due to rising inflation forecasts. Both the Federal Reserve and the Bank of England indicated that interest rate hikes were imminent. The Fed also announced that, starting in October, it would begin to sell bonds from its $4.5 trillion balance sheet. This led to a rise in U.S. and European bond yields, a fall in bond prices, a rally in the British pound and U.S. dollar, and a decline in gold. President Trump and Congressional Republicans turned their attention to long-promised tax cuts, propelling stock indices higher. Despite the prospect of monetary tightening and rising tension with North Korea, equity market volatility remained abnormally low, as the average level of the VIX so far in 2017 has been lower than any other year since the inception of the index.

The Fund profited from the sustained bullish trend in equities and also made gains from long positions in the energy sector as oil prices continued their recovery. However, long bond positions suffered as yields jumped on impending central bank tightening. The rise in the British pound and in the U.S. dollar hurt short positions in those currencies. In metals, long copper positions were negatively impacted by a price reversal caused by weaker Chinese demand. In September, the Fund made an adjustment to its line-up of managers, removing Lynx and adding Millburn, whose program blends trend following, machine learning and other futures strategies. Overall, the Fund finished the month with a net loss of 3.83%, 3.69%, 3.61% and 3.67% for Class A, B, I and R Units, respectively.

October

Global equities continued their march higher in October, as rich valuations appreciated further. The U.S. saw positive surprises in corporate earnings, gross domestic product (GDP) growth, and consumer confidence. President Trump and Congress turned their focus to tax cuts, which boosted stock market sentiment and strengthened the U.S. dollar. Markets largely ignored the initial indictments that came out of the Special Counsel’s election investigation. The European Central Bank announced it would cut the size of monthly bond purchases under its quantitative easing program, but extended the duration of the program through September 2018, which was longer than expected. This led to a rally in European stocks and bonds and depreciation in the Euro.

October was the strongest month for the Fund since 2008, with significant gains coming from the Fund’s long equity index positions in the U.S., Germany and Japan. In the commodities sector, long exposures in oil and industrial metals were also profitable as global growth and stronger demand pushed up prices. Foreign exchange was the only sector that saw losses during the month, as long positions in the Euro, Australian Dollar and emerging market currencies declined against a rebounding U.S. dollar. Overall, the Fund finished the month with a net gain of 6.41%, 6.56%, 6.65% and 6.58% for Class A, B, I and R Units, respectively.

November

Markets were increasingly focused on tax reform in November. Early in the month, volatility picked up slightly as it appeared the House of Representatives was having difficulty achieving common ground on its proposed bill. Just prior to Thanksgiving, however, the House passed its proposal to reduce corporate and personal income taxes. This legislative momentum encouraged market participants to drive the S&P 500 Index higher, which has posted positive performance for 20 of the last 21 months. Notably, in energy markets, oil prices rallied in advance of an OPEC meeting near the end of the month. OPEC’s member-nations unanimously agreed to extend output cuts until the end of 2018 in an effort to support higher prices.

After the Fund posted its largest monthly gain since 2008 during October, performance was by comparison muted in November. Long positions in domestic and Asian equity indices contributed positively, but European equity indices were a detractor. Long oil contracts were profitable within the energy sector, but a short position in natural gas contracts led to offsetting losses. Foreign exchange was the top-performing sector due to strength in the Euro relative to the U.S. dollar. Overall, the Fund finished the month with a net loss of 0.67%, 0.52%, 0.44% and 0.50% for Class A, B, I and R Units, respectively.

December

U.S. equities rallied again in December as the long-anticipated Republican tax plan was passed and signed into law. This made 2017 the only year in history in which the S&P 500 made positive total returns every month. While fiscal policy was set on an easing track, monetary policy continued to tighten. The Federal Reserve raised interest rates by another 25 basis points and signaled its expectation that there could be 3 more rate hikes in 2018. In energy markets, WTI crude oil prices rose above $60 per barrel to finish at a high for the year, as traders were encouraged by OPEC’s decision to maintain production cuts into 2018.

The Fund enjoyed a positive December, with the strongest returns coming from long energy positions, particularly Brent crude oil and various distillates. In the equity sector, long U.S. and Asian stock positions were profitable. Metals were also a positive contributor with the largest gains coming from long positions in copper. In currencies, long exposure to emerging markets generated profits. The only major detractor for the month was fixed income, where long European bond positions were hurt by a sell-off ahead of an imminent reduction in the European Central Bank’s quantitative easing bond purchases. Overall, the Fund finished the month with a net gain of 2.92%, 3.07%, 3.16% and 3.09% for Class A, B, I and R Units, respectively.

2016

January

The Fund made a strong start to 2016, highlighting the non-correlation and diversification potential of managed futures amid prevailing risk-averse sentiment and a sell-off in stocks. Poor economic data from China fueled fear among equity investors of a global growth slowdown. The S&P 500 Index lost 4.96%, while the Euro Stoxx 50 fell 6.62% and the Nikkei dropped 7.95%. In energy markets, crude oil prices continued their descent, dipping below $30 per barrel due to weak demand and the prospect of higher production after the lifting of sanctions against Iran. The European Central Bank responded with talk of more aggressive monetary easing, while the Bank of Japan made a surprise move to negative interest rates, causing a rally in bond markets.

The Fund was profitable in January, posting its best monthly performance since 2008 by capitalizing on bearish market trends. The fixed income sector was the strongest contributor, as the Fund made gains from long positions in European and Japanese bond futures. In energy markets, short crude oil exposure also generated positive returns. Performance was more muted in other sectors, with modest gains and losses. Overall, the Fund finished the month with a gain of 5.77%, 5.93% and 6.02% for Class A, B and I Units, respectively.

February

The Fund extended its strong start to the year in February, further underscoring the non-correlation and diversification potential of managed futures amid rising and falling markets. Key risk factors that weighed on global markets included China’s economic slowdown, U.S. political theater, as well as the risk of a “Brexit”, a British exit from the European Union. Many major indices breached bear market levels by mid-February. However, equity markets recovered over the second half of the month as the U.S. economy exhibited signs of improvement. Commodity markets were broadly mixed and the S&P GSCI finished with its first monthly gain since last October. Natural gas prices fell dramatically due to warmer weather and oversupply, while precious metals rose on safe haven buying.

Fixed income was the top performing sector for the month, as the Fund benefitted from long positions in European, Japanese and U.S. bond futures. The energy sector was the second best performer due to a short position in natural gas and short exposure to crude oil. Other sectors had mixed performance, with modest overall return contribution. The Fund is positioned defensively as of month end, with long fixed income exposure complemented by short positions in commodities and mixed exposures in equities. Overall, the Fund finished the month with a gain of 3.88%, 4.03% and 4.03% for Class A, B and I Units, respectively.

March

The year started with a severe decline in risk assets. By mid-February, however, global financial markets began to reverse course. The rebound continued during March, buoyed by central bank meetings and accommodative monetary policy across Europe, Japan and the U.S. Dovish comments from the U.S. Federal Reserve further reduced the likelihood of rate hikes this year and placed selling pressure on the U.S. dollar. Improved market sentiment also impacted commodity markets, where the S&P GSCI Index jumped more than 6%. There were broad based gains across agricultural, energy, and metal futures.

In the month of March, losses for the Fund were primarily from the fixed income and energy sectors. Stronger risk appetite pushed interest rates higher in the U.S. and Europe, impacting the Fund’s long fixed income positions. In the energy sector, indications of supply reductions from major oil producers lifted crude prices back above $40 per barrel, before drifting lower over the second half of the month. Currencies were flat as losses in short euro contracts were offset by gains in long positions in the Australian dollar, Brazilian real and Turkish lira. At month end the Fund’s largest risk exposures were to fixed income and currencies. Overall, the Fund finished the month with a loss of 2.88%, 2.74% and 2.66% for Class A, B and I Units, respectively.

April

Many of the macroeconomic trends that dominated the first quarter reversed course in April, as fixed income markets sold off and energy markets drifted higher. German 10-year Bund yields rose from a low of 9 basis points (bps) to a high of 30 bps during the month, as the European Central Bank held off on adding to its existing stimulus plan. Meanwhile, in the U.S., improving economic data also caused 10-year Treasury yields to climb, hurting bond prices. Oil prices registered their biggest monthly gain in a year, despite major exporting countries being unable to agree on output cuts.

The Fund generated gains in the currency sector during the month, profiting from a Japanese yen rally after the Bank of Japan failed to deliver anticipated easing policies. The Fund was also able to capitalize on the rise in the price of gold and other precious metals. However, long exposures in fixed income led to losses, particularly in Europe, as bond prices declined. Short energy positions detracted from profits after an oil price rebound, while the equity sector was also a negative contributor given volatility in stock indices. Overall, the Fund finished the month with a loss of 3.84%, 3.70% and 3.62% for Class A, B and I Units, respectively.

May

May was a choppy month, as global stock indices declined in the first half of the month before recovering on improved U.S. economic data, with the MSCI World Index finishing the month up 0.2%. In fixed income markets, an early rally was reversed when minutes from the April Federal Open Market Committee Meeting suggested that the next U.S. interest rate hike could come as soon as June. The Fed’s more hawkish guidance also caused the U.S. dollar to appreciate against most currencies, and led to a sell-off in gold.

May market reversals proved challenging for trend-following programs. In particular, the currency sector saw losses as the Fund’s long positions in the Australian dollar and Japanese yen were hurt by the rebounding U.S. dollar. The prospect of tighter U.S. monetary policy also negatively impacted long positions in gold and silver, as demand waned for precious metals as a store of value. Trading was profitable in the agricultural sector, however, with gains from rising soybean prices. Overall, the Fund finished the month with a loss of 2.83%, 2.69% and 2.61% for Class A, B and I Units, respectively.

June

June was an exceptionally volatile month as global markets were unprepared for Britain’s referendum decision to leave the European Union. Investors reacted to Brexit by seeking the protection of safe haven assets such as bonds, while selling equities and the British Pound. The Pound fell 8.5% the day after the referendum, its largest one-day loss on record, which pushed the currency to its lowest level against the U.S. dollar since the mid-1980s. Bonds performed well in the flight to safety as yields on U.S. 10-year Treasuries declined from 1.85% at the end of May to 1.47% by the end of June.

The Fund began the month with mixed performance from choppy markets. However, the Brexit aftermath created strong trends that the Fund was able to successfully exploit. Long positions in UK, European and U.S. bonds, short positions in the British Pound, long positions in the Japanese yen and long precious metals positions all contributed to the Fund’s largest monthly gain since October 2008. Overall, the Fund finished the month with a gain of 6.25%, 6.41% and 6.49% for Class A, B and I Units, respectively.

July

July saw a return to calmer markets after the turmoil of the Brexit vote in June. The U.S. posted better-than-expected labor market data, while stability returned to UK politics with the quick selection of Theresa May as Britain’s new Prime Minister. Global stocks rallied, and the S&P 500 posted a new high for the first time since April 2015. It was a choppy month for global bond markets, but most investors continued to believe that central banks would remain accommodative. The U.S. 10-year yield briefly touched an all-time intra-day low of 1.32%, while Germany issued negative yielding 10-year bonds for the first time. Meanwhile, oil prices fell more than 20% below their June highs after OPEC countries ramped up production.

The Fund profited in July primarily from long positions in U.S. stock indices. Other positive contributors included short positions in oil and a long position in silver which hit 2-year highs. Performance in fixed income markets was mixed, with gains in long-term UK and German bonds being offset by losses in short-term U.S. interest rates. Currencies saw small losses from the Turkish Lira after a military coup attempt. Other declines came from the agricultural sector, where soybean prices fell from their recent highs due to better weather and increased supply. Overall, the Fund finished the month with a gain of 2.19%, 2.34% and 2.43% for Class A, B and I Units, respectively.

August

The end of summer brought about very light trading volumes across most major markets, leading to minimal price movement in equity markets and a moderate sell-off in bonds. Indicative of the calm markets, the CBOE Volatility Index (VIX) closed as low as 11 during the month, the lowest reading in more than two years. Global equity indices traded within a narrow range as traders awaited further clarity on upcoming events such as the Presidential election in the U.S. and the possibility of interest rate hikes by the Federal Reserve. Oil was one of the few markets to see a significant move, reversing a two-month sell-off. Rumors that OPEC was considering an output freeze in September caused the price of crude to bounce from a low of $39 per barrel in early August to $49 around mid-month.

The Fund experienced small gains in agricultural commodities and equity indices, which were offset by losses in oil and interest rate contracts. Fixed income markets sold off due to several comments from Federal Reserve officials suggesting that interest rate hikes were a possibility for later this year. In the energy sector, the Fund’s short oil positions lost money as prices rallied sharply. Overall, the Fund finished the month with a loss of 3.80%, 3.66% and 3.58% for Class A, B and I Units, respectively.

September

In September, investor anxiety over potential changes in central bank policy led to choppy market conditions. Coming into the month, market participants expected that global monetary policy would remain accommodative for some time. Thus, when the European Central Bank revealed it had made no plans to extend its quantitative easing policy, investors reacted with alarm, causing global bonds and stocks to sell off. However, calm returned and markets recovered when the U.S. Federal Reserve decided not to raise interest rates at its September meeting. In energy markets, OPEC agreed to its first production cuts since the 2008 financial crisis, leading to a bounce in oil prices.

The Fund profited in foreign exchange markets during the month, capitalizing on trends in the Japanese yen and emerging market currencies. However, market reversals and seesawing price action in other sectors proved challenging for the Fund’s trend-following programs. In particular, the rebound in oil prices hurt the Fund’s short positions, while a correction in global bond markets hurt the Fund’s long positions. Overall, the Fund finished the month with a loss of 2.14%, 1.99% and 1.91% for Class A, B and I Units, respectively.

October

During October, a broad range of assets reversed course as a result of a rise in political uncertainty in the U.S. and Europe. Tightening polls leading up to the U.S. election resulted in a decline in the S&P 500 and an increase in gold prices. The European Central Bank’s silence on the question of additional quantitative easing led to a sell-off in German bonds as the 10-year Bund yield rose from -0.12% to 0.16% over the month. In the UK, there were fears of a “hard” Brexit scenario, in which the terms of Britain’s departure from the European Union might lead to a sharp increase in European tariffs on British exports. This caused the British pound to depreciate 5.6% against the U.S. dollar, while UK bond prices fell.

The month was challenging for trend-following strategies, with price reversals occurring in a wide range of markets. Currency trading was profitable as the Fund made gains on short positions in the euro and British pound. However, the Fund saw losses on its long positions in European bonds and U.S. equities, which both sold off. In commodity markets, short positions in gold and grains were hurt by a rebound in prices, while long natural gas positions were negatively impacted by unseasonably warm weather, which caused prices to fall. Overall, the Fund finished the month with a loss of 5.15%, 5.01% and 4.93% for Class A, B and I Units, respectively.

November

In November, Donald Trump’s surprising election win altered market expectations for the future course of U.S. economic policy. With the Republican Party retaining control of Congress, investors anticipated that Trump would successfully push through a reflationary fiscal policy consisting of tax cuts and infrastructure spending. This outlook was mostly supportive of risk assets, led by a rally in pro-cyclical equity market sectors such as financials and industrials, while more defensive sectors sold off. Moreover, prospects for stronger economic growth and larger fiscal deficits caused the U.S. 10-year Treasury yield to jump 56 basis points and led to the largest ever monthly sell-off in the Barclays Global Aggregate Bond Index, which lost $1.7 trillion in value. Rising U.S. yields helped to push the dollar higher against most global currencies. After much squabbling, OPEC members passed an agreement to cut production, causing oil prices to jump to $50 a barrel.

The Fund’s long positions in stock index futures profited from the bounce in equities in November. In currencies, the Fund made gains on short positions in the euro, but this was offset by losses on short positions in the British pound, which appreciated during the month. The sharp drop in bond prices hit the Fund’s long bond exposures, which were subsequently unwound. Short energy positions proved to be a performance detractor, as oil and natural gas prices reversed and surged higher. Overall, the Fund finished the month with a loss of 1.87%, 1.73% and 1.64% for Class A, B and I Units, respectively.

December

In December, global markets were influenced by the Presidential election in the U.S., a referendum in Italy and an interest rate hike by the Federal Reserve. With Donald Trump’s election win and the Republican Party retaining control of Congress, investors anticipated that major legislative initiatives for the coming year would focus on pro-growth policies such as tax cuts and infrastructure spending. Interest rates in the U.S. continued rising as inflationary pressure steadily built, leading to concerns that the Federal Reserve may need to accelerate interest rate hikes. Furthermore, an improving economic outlook and the likelihood for tighter monetary policy caused the U.S. dollar to strengthen versus other developed currencies.

Rising equity markets in Europe and the U.S. benefited the Fund’s long equity positions. The Fund also experienced small gains across a variety of interest rate contracts with a positive contribution from long interest rate contracts in Germany and short U.S. interest rate contracts. Foreign exchange trends were similar to November and the Fund profited from being short euro, short British pound and short Japanese yen against the U.S. dollar. Choppy price action led to modest losses in agricultural commodity contracts and metals. Overall, the Fund finished the month with a gain of 2.52%, 2.67% and 2.75% for Class A, B and I Units, respectively.

2015

January

In January, Europe’s economic woes continued to have a major impact on financial markets. In order to combat deflationary pressures, the European Central Bank implemented quantitative easing, committing to purchase €60 billion of government bonds per month for 19 months. This led to further depreciation of the euro and a rally in European stocks. In order to untether itself from the falling euro, the Swiss National Bank made a surprise move to de-peg the Swiss franc, which led to a dramatic 30% intraday spike in its exchange rate. In the U.S., bond yields plummeted, with the 30-year yield hitting a historic low of 2.2%, as foreign buyers plowed into safe haven assets supported by a strong U.S. dollar.

2015 began with a continuation of many of the strong trends seen in the second half of 2014. The Fund made the bulk of its gains in January from long bond positions, particularly in the U.S. In currencies, the Fund profited from a short position in the euro, which more than offset Swiss franc losses. Short energy positions were also positive contributors. Choppiness in S&P 500 led to a modest loss in the equities sector. Overall, the Fund finished the month with a gain of 4.17%, 4.33% and 4.41% for Class A, B and I Units, respectively.

February

February began with a sell-off in bonds after a strong labor market report in the U.S. led to speculation of interest rate hikes in the second half of the year. Improved growth prospects also stoked a rally in equities, as the S&P 500 made its biggest monthly gain since October 2011. Driven by cold U.S. weather and a falling North American oilrig count, energy prices saw a rebound for the first time since the precipitous decline that began in June 2014. The U.S. dollar continued to appreciate against most major currencies, with the exception of the British pound, which strengthened after the UK saw its eighth straight quarter of positive growth.

The Fund’s largest gains for the month came from its long stock index positions. However, trend reversals in bonds hurt the Fund’s long fixed income positions. In currencies, profits made on declines in the euro and Japanese yen were offset by losses from the rising British pound. Short exposure in energy markets also detracted from performance as oil prices staged a minor recovery. Overall, the Fund finished the month with a gain of 0.07%, 0.21% and 0.28% for Class A, B and I Units, respectively.

March

Monetary easing in Europe remained the dominant theme in financial markets in March. The European Central Bank began its bond purchases under its new quantitative easing program, designed to lower borrowing costs and stimulate growth in the region. This pushed down German 10-year bond yields to below 0.2%, and caused the euro to depreciate to its lowest level against the U.S. dollar since 2003. Meanwhile, the U.S. Federal Open Market Committee struck a more dovish tone than the market expected on the timing of interest rate hikes, despite positive labor market trends. In energy markets, a continued supply glut pushed oil prices down to $44 per barrel during the month.

The Fund’s largest gains for the month came from its long fixed income positions, particularly in U.S. short term interest rates and UK gilts. In currencies, short euro positions against the U.S. dollar proved profitable. Short oil positions also contributed positively, taking advantage of the slide in energy prices. Performance in equity indices was flat with gains in Europe and Japan being offset by losses in the U.S. Overall, the Fund finished the month with a gain of 2.00%, 2.15% and 2.07% for Class A, B and I Units, respectively.

April

In April, markets were quiet through the first three weeks of the month, but a shift in sentiment towards European monetary easing during the final days of the month caused reversals in many of the most profitable trends from the first quarter. Signs of economic improvement in Europe raised fears that quantitative easing programs would be removed sooner than anticipated. The result was a sudden rise in interest rates, and a rebound in the euro along with a retreat in European equity markets.

The Fund experienced its largest losses in currencies, interest rates and energy. Losses were partially offset by gains in non-European stock indices. In currencies, the Fund’s net short position against the euro accounted for the majority of losses. In the interest rate instruments, losses occurred during the last week of the month, primarily from Gilts, Canadian Bonds, U.S. Treasury Bonds and German Bunds. Stock indices experienced broad based gains, with long positions in the Hang Sang and Chinese equity index contributing to performance. The Fund finished the month with a loss of 4.04%, 3.89% and 3.81% for Class A, B and I units, respectively.

May

The sudden deterioration in investor sentiment over Europe’s quantitative easing (QE) program carried over from April into the first half of May. Yields on the German Bund, which had previously been on a steady decline, rose sharply from a low of 7 basis points (bps) in late April to a high of 72bps by mid-May. The euro also rebounded against the U.S. dollar, reversing its depreciating trend. However, in the second half of the month worries over Greek debt repayments and an announcement by the European Central Bank (ECB) that it could bring forward its scheduled bond purchases from July and August into June caused the euro and European bond yields to fall once again. Meanwhile, in Japan, expectations of further monetary stimulus on the back of disappointing economic data drove the Japanese yen to a 12-year low against the U.S. dollar, which boosted export-oriented Japanese stocks.

The Fund saw losses in the first half of May as a result of a sharp sell-off in bonds, particularly in the German Bund. Other early losses came as a result of a rebound in precious metal prices, which hurt the Fund’s short positions. The Fund made some gains later in the month through short positions in the euro and Japanese yen, which benefited from a depreciation of those currencies against the U.S. dollar. Nevertheless, the Fund finished the month with a loss of 1.42%, 1.27% and 1.19% on Class A, B and I units, respectively.

June

June saw large reversals across a broad range of markets as a result of shifting sentiment in Europe and Asia. The Greek debt crisis once again became a focal point for investors. After early optimism on a possible bailout deal, the Greek government shocked markets with a weekend announcement that the European creditors’ proposed bailout plan and austerity demands would be put to a national referendum, increasing the risk of a full default and a Greek exit from the Eurozone. This caused the largest ever gap decline in Eurostoxx equity index futures when markets re-opened on the last Monday of the month. Elsewhere, the frothy Chinese equity market extended its huge run up before falling more than 20%. Chinese authorities sought to quell concerns by cutting interest rates for the fourth time since last November, causing stocks to rebound. Apart from the macroeconomic issues that dominated headlines, unexpectedly heavy rainfall in the U.S. Midwest delayed crop plantings and caused a sharp reversal in the downtrend recently seen in agricultural commodities.

Equity indices, particularly in Europe, were the biggest detractors during the month, as long positions were hurt when the crisis in Greece sparked a broad stock sell-off. Short positions in agricultural commodities also struggled during the month. Wheat and corn prices jumped suddenly, reversing their entire year-to-date trend decline in just seven trading days, as wet weather delayed plantings and reduced supply forecasts. A choppy environment in currencies also proved challenging, as the euro and the Japanese yen rebounded against the U.S. dollar. The Fund finished the month with a loss of 6.94%, 6.80% and 6.73% for Class A, B and I units, respectively.

July

July saw markets begin to trend again after the reversals of the second quarter. While global equity and fixed income markets moved modestly higher for the month, commodities were down more than 14%, as represented by the S&P GSCI. The decline in commodities was caused by weakening demand from China, a stronger U.S. dollar and supply/demand imbalances. Energy markets experienced the strongest sell-off as crude oil futures lost more than 21%, hitting a low of $47 per barrel by month end. Markets were concerned with a surprise increase in the U.S. oil rig count, as well as potential new supply from Iran after a lifting of sanctions. In metals markets, concerns about slowing growth in China put pressure on the price of industrial metals. This broad commodity weakness also led to depreciation in the currencies of exporting countries, such as Canada and Australia.

The Fund enjoyed a strong rebound in July, making profits in metals, energy, currencies and interest rates. Performance in agricultural commodities was flat, while equity indices were a marginal detractor. The metals sector was the top contributor and gold was the best performing contract, as short positions benefitted from declining prices. Gold futures prices were down over 6% in July, due to both U.S. dollar strength and a disclosure from China’s central bank that it had purchased less gold during the prior six years than markets realized. Short positions in energy markets profited from falling Brent and WTI crude oil prices. Short exposure to commodity exporting currencies and long fixed income positions also made gains. The Fund finished the month with a gain of 5.68%, 5.83% and 5.93% for Class A, B and I units, respectively.

August

In August, news from China led to a tumultuous month for global financial markets. China’s CSI 300 equity index fell 37% by month end from its June peak, which impacted emerging markets, before spreading to developed markets, with the S&P 500 falling as much as 11% intra-month. Speculation mounted that the Fed might respond by deferring U.S. interest rate hikes, leading to weakness in the U.S. dollar against the euro and Japanese yen. Commodity prices also fell for most of the month, but the last three trading days saw a 27% rebound in oil prices, the largest percentage jump since 1990.

The Fund came into August with long positions in developed market equities, and was hit by the sharp sell-off in the second half of the month. Trend following managers moved to a net short position in stock indices by month-end, but not before incurring losses. In foreign exchange markets, the decline in the U.S. dollar hurt the Fund’s long dollar exposure against major currencies. Early gains in long fixed income and short commodity positions were offset at month end after sharp, choppy reversals in these markets. The Fund finished the month with a loss. The trading strategies employed in the Fund have the potential to take advantage of periods of extended market stress, but it is normal to suffer drawdowns at turning points, as managers respond to new trends and reposition their portfolios. Managers’ trading systems are designed to react to price patterns that evolve over the course of days and months. However, it is important to remember that extreme intraday and overnight price reversals, which we saw in August, can be challenging to navigate. Despite this month’s setback, we believe that the Fund’s managers will be successful over the long-term and deliver valuable diversification for investors’ portfolios. The Fund finished the month with a loss of 5.85%, 5.71% and 5.63% for Class A, B and I units, respectively.

September

The global equity rout which began in August spilled over into September. In the U.S., the S&P 500 declined 2.5% during the month. International stocks fell even more, as the Eurostoxx 50 was down 5.1% and the Nikkei dropped 7.3%. China’s slowdown continued to weigh on a broad range of industrial commodities. An overhang in global supply in crude oil relative to reduced demand caused prices to fall from $50 to $45 per barrel. Amid the backdrop of weak global growth, the Fed delayed its first interest rate hike and fixed income markets rallied.

Trend-following managers were able to capitalize on September’s decline in investor risk sentiment. The largest positive contributing sector was fixed income, with profitable long positions in interest rate futures as well as in long term bonds. Short oil exposure benefited from the sell-off in energy. Equity positions were small during the month and had little impact on performance. In agricultural markets, the Fund gained on short positions in cattle futures, as robust growth in herds pushed down prices. However this was offset by short positions in sugar as excessive rain in Brazil caused prices to spike. The Fund finished the month with a gain of 3.87%, 4.03% and 4.11% for Class A, B and I units, respectively.

October

After several tumultuous months, risk appetite returned to global markets in October. Equity indices led the way, as the S&P 500 Index finished with a gain of 8.4%. China’s recent stock market volatility subsided, providing a catalyst for improved investor sentiment. Later in the month, the European Central Bank further supported markets by emphasizing the potential for more quantitative easing due to low levels of inflation. In the U.S., the Federal Reserve gave its strongest indication yet that interest rate hikes could happen as soon as December.

The sudden change in risk sentiment created a challenging environment for many trend-following managers, as price trends reversed. While the Fund’s positions in equity indices and energy contributed positively to performance, agricultural commodities, metals and interest rates were the largest detractors. In energy markets, mild U.S. weather was a tailwind for the Fund’s short natural gas position. However, in the agricultural sector, short positions in live cattle were negatively impacted by a sharp price recovery despite continued growth in herds. A sharp sell-off in fixed income as a result of the Federal Reserve’s rate hike comments hurt the Fund’s long bond position. The Fund finished the month with a loss of 1.94%, 1.79% and 1.71% for Class A, B and I units, respectively.

November

The Fund benefited from numerous trends in November, gaining over 5% for the month. Commodities continued their year-to-date decline, as the GSCI Total Return Index came under additional selling pressure in November, falling 9.0% for the month. Meanwhile, most major equity markets gained during the month, while U.S. fixed income markets stumbled and European fixed income markets were moderately stronger. Central banks remained in the headlines, with minutes from the recent FOMC meeting suggesting that the Fed was comfortable with a potential interest rate hike in December. In contrast, officials in Europe kept open the possibility of further easing measures by the end of the year.

Positions in currencies, energy, metals, agricultural commodities and equity indices contributed positively to performance, while fixed income positions were marginal detractors. Expectations of a Fed rate hike, coupled with potential monetary easing in Europe drove profitability in the Fund’s short euro position against the U.S. dollar. However, the same theme led to losses in U.S. fixed income contracts where the Fund was positioned long across most maturities. Short positioning in physical commodities was profitable, particularly in energy, where oversupply and a mild start to the winter season helped the Funds’ natural gas and crude oil positions. The Fund finished the month with a gain of 5.63%, 5.79% and 5.88% for Class A, B and I units, respectively.

December

December saw large price reversals in European futures markets. Early in the month, the European Central Bank disappointed investors by announcing modest monetary easing measures, after months of rhetoric that suggested more aggressive policy action might be coming. European bonds and stocks sold off sharply, while the euro rallied against the U.S. dollar. German 10-year Bunds experienced their largest one day loss since the inception of that futures market in 1990. In the U.S., the Federal Reserve raised interest rates for the first time in nearly a decade, but this had limited impact on markets as prices largely reflected that information prior to the announcement. Separately, OPEC decided to maintain production targets despite lower oil prices, placing further selling pressure on crude oil.

Short energy positions were profitable for the Fund, as crude oil futures fell below $36 per barrel, matching prices last seen during the financial crisis in 2008. However, market reversals after the ECB’s underwhelming policy actions caused losses in currencies, fixed income and equity indices. The Fund’s main detractors were Euro-centric, including the euro, the German Bund and the Euro Stoxx 50. The Fund finished the month with a net loss. The Fund finished the month with a loss of 4.77%, 4.63% and 4.55% for Class A, B and I units, respectively.

Liquidity

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

Capital Resources

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

Contractual Obligations

The Fund does not have any contractual obligations of the type contemplated by Item 303(a)(5) of Regulation S-K. The Fund’s sole business is trading futures and forward currency contracts, both long (contracts to buy) and short (contracts to sell).

Off-Balance Sheet Risk

The term “off-balance sheet risk” refers to an unrecorded potential liability that, even though it does not appear on the balance sheet, may result in future obligation or loss. The Fund trades in futures and forward currency contracts and is therefore a party to financial instruments with elements of off-balance sheet market and credit risk. In entering 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 strategies, and maintenance of a margin-to-equity ratio that rarely exceeds 35%.

In addition to subjecting the Fund to market risk, upon entering into futures and forward currency contracts there is a risk that the counterparty will not be able to meet its obligations to the Fund. The counterparty for futures contracts traded in the U.S. and on most foreign exchanges is the clearinghouse associated with such exchange. In general, clearinghouses are backed by the corporate members of the clearinghouse who are required to share any financial burden resulting from the non-performancenon- 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 areis 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. The Fund’s investment in a private investment company is valued at net asset value as provided by the private fund’s administrator. This use of net asset value as the practical expedient to approximate fair value under ASC 820 is advisable due to the investment not having a readily determinable fair value.

Introduction

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

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

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

Standard of Materiality

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

Quantifying the Fund’s Trading Value at Risk

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

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

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

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

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

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

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

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 December 31, 2017 and 2016. All open position trading risk exposures of the Fund have been included in calculating the figures set forth below. At December 31, 2017 and 2016, the Fund’s total capitalization was $357,535,425 and $563,199,285, respectively.

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

The face value of the market sector instruments held by the Fund is typically many times the applicable margin requirement (margin requirements generally range between approximately 1% and 15% of contract face value) as well as many times the capitalization of the Fund. The magnitude of the Fund’s open positions creates a risk of ruin not typically found in most other investment vehicles. Because of the size of its positions, certain market conditions - unusual, but historically recurring from time to time - could cause the Fund to incur severe losses over a short period of time. The foregoing Value at Risk tables, 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 to the Fund as a whole. The Fund also has non-trading market risk as a result of investing a substantial portion of its available assets in U.S. Treasury securities, U.S. government sponsored enterprise notes, commercial paper, corporate notes, asset backed securities and certificates of deposit. Although these investments are considered to be high quality, some of the securities purchased are neither guaranteed by the U.S. government nor supported by the full faith and credit of the U.S. government. There is some risk that a security issuer may fail to pay the interest and principal in a timely manner, or that negative perceptions about the issuer’s ability to make such payments will cause the price of these instruments to decline in value.

Qualitative Disclosures Regarding Primary Trading Risk Exposures

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

The following were the primary trading risk exposures of the Fund as of December 31, 2017,2023, 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 as 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 termlong-term instruments. The yield curve (and futures prices) can be affected by economic growth, inflation expectations, monetary policy and investor risk aversion.

Metals 

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

Single Stock Futures 

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

Qualitative Disclosures Regarding Non-Trading Risk Exposure

The following were the significant non-trading risk exposures of the Fund as of December 31, 20172023 and 2016.2022.

Foreign Currency Balances 

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

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

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

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

None.

Evaluation of Disclosure Controls and Procedures

The General Partner of the Fund, with the participation of the Chief Executive Officer and Chief Financial Officer, evaluated the effectiveness of the design and operation of the Fund’s disclosure controls and procedures at December 31, 20172023 (the “Evaluation Date”). Based on their evaluation, the Chief Executive Officer and Chief Financial Officer of the General Partner concluded that, as of the Evaluation Date, the Fund’s disclosure controls and procedures were effective.

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

Management’s Annual Report on Internal Control over Financial Reporting

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

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

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

Management assessed the effectiveness of the Fund’s internal control over financial reporting as of December 31, 2017,2023, based on the framework set forth by the Committee of Sponsoring Organizations of the Treadway Commission (COSO) in Internal Control-Integrated Framework published in 2013. Based on that assessment, management concluded that, as of December 31, 2017,2023, the Fund’s internal control over financial reporting is effective based on the criteria established in Internal Control-IntegratedControl- Integrated Framework published in 2013.

Changes in Internal Control Over Financial Reporting

There has been no change in internal control over financial reporting that occurred during the year ended December 31, 20172023 that has materially affected, or is reasonably likely to materially affect, the Fund’s internal control over financial reporting.

None.

PART III

Directors and Executive Officers

The Fund itself has no directors or officers and has no employees. It is managed by the General Partner in its capacity as General Partner. The Kenneth E. Steben Revocable Trust, dated January 29, 2008, (“Trust”) is the majority shareholder of the General Partner and Mr. Kenneth E. Steben is the sole trustee and beneficiarya wholly owned subsidiary of the Trust.Octavus Group, LLC. The directors and executive officers of the General Partner are Kenneth E. Steben, Michael D. Bulley, Carl A. SergerKevin Kinzie and Francine Rosenberger.Jon Essen. Their respective biographies are set forth below.

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

Jon C. Essen is ChairmanChief Financial Officer at Steben & Company. He has served as Chief Financial Officer of LoCorr Fund Management, a CPO, since March 2011. He has also served as Trustee, Treasurer, Chief Financial Officer and Portfolio Manager of the boardLoCorr Investment Trust, a family of directors of the General Partner.mutual funds, since March 2011. Mr. Steben, born in January 1955, received his Bachelor’s Degree in Interdisciplinary Studies, with a concentration in Accounting in 1979 from Maharishi University of Management. Mr. StebenEssen has been listed as a licensed stockbrokerPrincipal of LoCorr Distributors LLC, an Introducing Broker, since 1981 and a licensed commodities broker since 1983. Mr. Steben holds his Series 3, 5, 7, 24, 63 and 65 FINRA and NFA licenses. Mr. StebenApril 2008. He has been a CFTC listed Principal, and registered as an Associated Person, since March 15, 1989.

Michael D. Bulley isapproved as a Director. Mr. Bulley is a CAIA^SMdesigneeSwap Associated Person, and Member of the Chartered Alternative Investment Analyst Association^®. Mr. Bulley, born in October 1957, received his Bachelor’s Degree in Electrical Engineering from the University of Wisconsin – Madison in 1980 and his Master’s in Business Administration with a concentration in Finance from Johns Hopkins University in 1998. Mr. Bulley joined the General Partner as SVP, Research and Risk Management in November 2002 and retired in July 2016.

Carl A. Serger is Chief Financial Officer and a Director. Mr. Serger joined the General Partner in December of 2009 and has been listed as a CFTC Principal of the General PartnerLoCorr Fund Management LLC, a CPO, since June 2013, August 2014 and May 2013 respectively. Mr. Essen became registered as an Associated Person and listed as a CFTC principal of Steben & Company on February 2, 2010. Mr. Serger, born in March 1960, graduated cum laude from Old Dominion University with10, 2020.Mr. Essen received a BSBachelor of Science in Business Administration from Minnesota State University Mankato, is a CPA (inactive), and has a Technology Management Certification from the California Institute of Technology. Prior to joining the General Partner, Mr. Serger was the CFO and Senior Vice President of Operations of Peracon, Inc., a software platform for institutional commercial real estate transactions from November 2007 through November 2009. From July 2007 to November 2007, he acted as an independent consultant to start-up companies in the financial services and technology industries. From January 2007 to July 2007, Mr. Serger was the CFO, Senior Vice President and Treasurer of Ebix, Inc., an international software company serving the financial services and insurance industries. From October 2006 through December 2006, he was President of Finetre Corporation, a division of Ebix, Inc. From December 1999 until its October 2006 acquisition by Ebix, Inc., Mr. Serger was the CFO, Senior Vice President and Treasurer of Finetre Corporation, a financial technology platform company providing services to major brokerage firms, banks and insurance companies. Mr. Serger holds aFINRA Series 3, 7, 24, 28 FINRA license.

Francine Rosenberger is General Counsel and a Director. Ms. Rosenberger, born in October 1967, earned her Bachelor of Arts from Juniata College in 1989, and graduated magna cum laude, with a J.D., from The Columbus School of Law at Catholic University in 1995. Prior to joining the General Partner, Ms. Rosenberger was in the Investment Management practice at the law firm of K&L Gates from September 1995 until January 2014. At K&L Gates, Ms. Rosenberger specialized in the formation, structuring and operation of investment companies, ETFs, and commodity pools. She has been a CFTC listed Principal of the General Partner since March 7, 2014.& 99 licenses.

Kenneth E. Steben Revocable Trust, dated January 29, 2008, has been a CFTC listed Principal of the General Partner since March 10, 2008. The Trust is the majority shareholder of the General Partner. Kenneth E. Steben is the sole beneficiary of the Trust and serves as its sole trustee. A biography of Mr. Steben is set forth above.

Since August 1, 2013, the General Partner has acted as the general partner for Steben Select Multi-Strategy Partners, L.P., a privately offered investment fund. Since August 1, 2013, the General Partner has been the Investment Manager for Steben Select Multi-Strategy Master Fund, a privately offered closed-end fund. Additionally, since January 1, 2014, the General Partner acts as the investment manager for Steben Select Multi-Strategy Fund, a publicly offered closed-end fund. Since April 2014, the General Partner has acted as the investment manager for Steben Managed Futures Strategy Fund, an open-end mutual fund.fund, which merged into the LoCorr Macro Strategies Fund in January 2020. The General Partner also acted as either the general partner or investment manager for the Steben Select Multi-Strategy funds. The Steben Select Multi-Strategy funds operated in a master feeder structure involving two registered closed-end funds and a limited partnership. All of those funds liquidated during 2019. Because Steben & Company, Inc. servesLLC served as the general partner or investment manager of these funds, the officers and directors of Steben & Company, Inc.LLC effectively managemanaged the respective funds.

Significant Employees

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

Family Relationships

None.

Business Experience

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

Involvement in Certain Legal Proceedings

None.

Promoters and Control Persons

Not applicable.

Section 16 (A) Beneficial Ownership Reporting Compliance

Section 16(a) of the 1934 Act requires that reports of beneficial ownership of limited partner interests and changes in such ownership be filed with the SEC by Section 16 “reporting persons.” The Fund is required to disclose in this annual report on Form 10-K each reporting person whom it knows to have failed to file any required reports under Section 16(a) on a timely basis during the year ended December 31, 2017.2023. During the year ended December 31, 2017,2023, all reporting persons complied with all Section 16(a) filing requirements applicable to them.

Code of Ethics

The General Partner has adopted a code of ethics, as of the period covered by this report, which applies to the Fund’s principal executive officer and principal financial officer, or persons performing similar functions. A copy of the code of ethics is available without charge upon request by calling 240-631-7600.952-767-2600.

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

The following fees arewere paid by the Fund to the General Partner:

Additionally, each year the General Partner receives from the Fund 1% of any net income earned by the Fund or pays to the Fund 1% of any net loss incurred by the Fund. For the years ended December 31, 2017, 20162023, 2022 and 2015,2021, the General Partner received from or paid the Fund the following amounts:

The Fund has no officers or directors as its affairs are managed by the General Partner. Set forth in the table below is information regarding the beneficial ownership of the officersPartner, and directors of the Fund’s General Partner at February 28, 2018. Therethere are no securities authorized for issuance under an equity compensation plan.

At February 28, 2018,2024, the General Partner did not own any Units; however, a Principal of the General Partner had the following investment in the Fund: 13.9977 Class B Units with a Value of $95,422 as of December 31. 2023. The General Partner does participate in the profits or losses of the Fund through its general partner 1 percent allocation, in which it receives 1 percent of the profits or losses of the Fund.

At February 28, 2024, no person or group is known to have been the beneficial owner of more than 5% of the Units.

At February 28, 2018,On October 31, 2019, and the General Partner did not own any Units. At February 28, 2018, the directors, executive officers and principals of the General Partner beneficially owned interests in the Fund as follows:was acquired by Octavus. See Item 2. for additional information.

The address of each director and officer is c/o Steben & Company, Inc., 9711 Washingtonian Boulevard, Suite 400, Gaithersburg, Maryland 20878.

There has been no change in control of the Fund.

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

The following table sets forth the fees billed to the Fund for professional audit services provided by RSM US LLP, the Fund’s independent registered public accountant, for the audits of the Fund’s annual consolidated financial statements for the years ended December 31, 20172023 and 2016,2022, and fees billed for other professional services rendered by RSM US LLP during those years.

The General Partner’s Board of Directors pre-approves all audit and permitted non-audit services of the Fund’s independent accountants, including all engagement fees and terms. The General Partner’s Board of Directors approved all the services provided by RSM US LLP during 20172023 and 20162022 to the Fund described above. The General Partner’s Board of Directors has determined that the payments made to RSM US LLP for these services during 20172023 and 20162022 are compatible with maintaining that firm’s independence.

Our independent registered public accounting firm is RSM US LLP, Chicago, IL, Auditor ID: 49.

PART IV

Consolidated Financial Statements

Futures Portfolio Fund, Limited Partnership

Report of Independent Registered Public Accounting Firm

Consolidated Statements of Financial Condition as of December 31, 20172023 and 2016 2022

Condensed Schedule of Investments as of December 31, 2017 2023

Consolidated Condensed Schedule of Investments as of December 31, 20162022 

Consolidated Statements of Operations for the Years Ended December 31, 2017, 20162023, 2022 and 2015 2021

Consolidated Statements of Cash Flows for the Years Ended December 31, 2017, 2016,2023, 2022 and 20152021