UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM 10-Q

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

SECURITIES EXCHANGE ACT OF 1934

For the quarterly period ended September 30, ~~2017~~2022

Commission file number: 000-50728

FUTURES PORTFOLIO FUND, LIMITED PARTNERSHIP

~~Organized in Maryland~~

~~IRS Employer Identification No.: 52-1627106~~

Organized in Maryland IRS Employer Identification No.: 52-1627106

c/o Steben & Company, ~~Inc.~~LLC

~~9711 Washingtonian Blvd.~~687 Excelsior Boulevard

Excelsior, ~~Suite 400~~MN55331

(952)767-6900

~~Gaithersburg, Maryland 20878~~

~~(240) 631-7600~~

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

Yes ☒ No ☐

Indicate by check mark whether the registrant has submitted electronically ~~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.~~

months (or for such shorter period that the registrant was required to submit such files). Yes ☒ No ~~[ ]~~☐

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

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

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

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

Yes ☐ No ☒

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

PART I: FINANCIAL INFORMATION

Item 1. Financial Statements

Futures Portfolio Fund, Limited Partnership

~~Consolidated Statements~~Statement of Financial Condition

September 30, ~~2017~~2022 (unaudited) and December 31, ~~2016~~2021

September 30, 2017
(Unaudited)
December 31, 2016
Assets
Equity in broker trading accounts
Cash $ 63,212,307 $ 80,906,352
Net unrealized gain (loss) on open futures contracts 3,322,740 8,921,229
Net unrealized gain (loss) on open forward currency contracts (2,523,737 ) 830,153
Total equity in broker trading accounts 64,011,310 90,657,734
Cash and cash equivalents 14,115,897 37,230,210
Investment in SMFSF, at fair value 35,110,771 —
Investments in securities, at fair value (cost $257,003,148 and $424,687,833) 257,037,992 424,440,330
Certificates of deposit (CDs), at fair value (cost $2,885,431 and $35,406,974) 2,906,532 35,576,495
General Partner 1% allocation receivable 297,618 98,751
Exchange membership, at fair value (cost $189,000) 232,500 —
Subscriptions receivable — 381,917
Total assets $ 373,712,620 $ 588,385,437

Liabilities and Partners’ Capital (Net Asset Value) Liabilities
Trading Advisor management fees payable $ 867,616 $ 885,524
Trading Advisor incentive fees payable 86,975 1,581,179
Commissions and other trading fees payable on open contracts 97,059 122,720
Cash Managers fees payable 97,911 102,622
General Partner management and performance fees payable 462,623 682,546
Selling agent and broker dealer servicing fees payable – General Partner 436,078 630,727
Administrative expenses payable – General Partner 87,272 127,136
Investment Manager fees payable — 128,682
Distribution (12b-1) fees payable — 2,961
Operating services fee payable — 17,648
Redemptions payable 14,901,008 18,217,216
Subscriptions received in advance 286,000 2,687,191
Total liabilities 17,322,542 25,186,152

Partners’ Capital (Net Asset Value)
Class A Interests – 63,454.5898 and 84,825.0303 units outstanding at September 30, 2017 and December 31, 2016, respectively 241,910,199 347,445,757
Class B Interests – 17,360.6955 and 29,193.8071 units outstanding at September 30, 2017 and December 31, 2016, respectively 99,574,584 177,512,074
Class I Interests – 3,466.2779 and 3,828.4541 units outstanding at September 30, 2017 and December 31, 2016, respectively 3,238,494 3,763,781
Class R Interests – 12,286.3590 and 0 units outstanding at September 30, 2017 and December 31, 2016, respectively 11,666,801 —
Non-controlling interest — 34,477,673
Total partners’ capital (net asset value) 356,390,078 563,199,285
Total liabilities and partners’ capital (net asset value) $ 373,712,620 $ 588,385,437

	September 30,
	2022			December 31,
	(Unaudited)			2021
Assets
Equity in broker trading accounts
Cash	$	52,208,097		$	44,372,309
Net unrealized gain (loss) on open futures contracts		3,828,955			(723,716	)
Net unrealized gain (loss) on open forward currency contracts		3,752,804			328,039
Net unrealized gain (loss) on swap contracts		(5,908	)		270,782
Total equity in broker trading accounts		59,783,948			44,247,414
Cash and cash equivalents		17,186,498			5,647,881
Investment in private investment company, at fair value (cost $847,800 and $782,292)		3,221,054			3,200,634
Investment in securities, at fair value (cost $95,883,341 and $102,304,347)		93,149,331			101,773,959
Exchange membership, at fair value (cost $189,000 and $189,000)		165,000			112,000
Dividend and interest receivable		27,815			901
Total assets	$	173,533,646		$	154,982,789

Liabilities and Partners’ Capital (Net Asset Value)
Liabilities
Trading Advisor management fees payable	$	216,418		$	225,938
Trading Advisor incentive fees payable		1,405,319			721,914
Commissions and other trading fees payable on open contracts		22,770			22,309
Cash Managers fees payable		28,038			30,354
General Partner management and performance fees payable		214,272			192,096
General Partner 1% allocation payable		300,426			107,771
Selling Agent payable - General Partner		194,706			176,331
Broker dealer servicing fees payable - General Partner		7,585			6,718
Administrative fee payable - General Partner		64,253			57,037
Dividend and interest payable		—			3,384
Redemption payable		1,369,339			1,285,931
Total liabilities		3,823,126			2,829,783

Partners’ Capital (Net Asset Value)
Class A Interests – 23,828.0204 and 25,762.1732 units outstanding at September 30, 2022 and December 31, 2021, respectively		115,267,200			104,241,918
Class A2 Interests – 292.2072 and 340.7072 units outstanding at September 30, 2022 and December 31, 2021, respectively		379,420			366,207
Class A3 Interests – 0.0000 and 38.0000 units outstanding at September 30, 2022 and December 31, 2021, respectively		—			39,588
Class B Interests – 5,665.5477 and 6,103.5404 units outstanding at September 30, 2022 and December 31, 2021, respectively		45,084,938			40,086,210
Class I Interests – 256.4767 and 256.4767 units outstanding at September 30, 2022 and December 31, 2021, respectively		348,767			285,819
Class R Interests – 6,486.0209 and 6,505.3148 units outstanding at September 30, 2022 and December 31, 2021, respectively		8,630,195			7,133,264
Total partners’ capital (net asset value)		169,710,520			152,153,006

Total liabilities and partners’ capital (net asset value)	$	173,533,646		$	154,982,789

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

Futures Portfolio Fund, Limited Partnership
Condensed Schedule of Investments
September 30, 2022 (Unaudited)

			Description			Fair Value		% of Partners’ Capital (Net Asset Value)
INVESTMENTS IN SECURITIES
U.S. Treasury Securities
Face Value		Maturity Date	Name	Yield¹
	2,500,000	2/15/23	U.S. Treasury	2.00	%	$	2,489,980		1.46	%
	3,000,000	5/31/23	U.S. Treasury	2.75	%		3,001,475		1.77	%
	7,000,000	8/15/23	U.S. Treasury	2.50	%		6,916,257		4.08	%
Total U.S. Treasury securities (cost: $12,546,428)							12,407,712		7.31	%

U.S. Commercial Paper
Face Value		Maturity Date	Name	Yield¹
Automotive
$	1,200,000	10/28/22	ING (U.S.) Funding LLC	2.96	%	$	1,197,237		0.71	%
Commercial Services
	1,200,000	10/24/22	MUFG Bank Ltd. (New York Branch)	2.72	%		1,197,823		0.71	%
Diversified financial services
	1,200,000	10/6/22	Sheffield Receivables Company LLC	2.21	%		1,199,558		0.71	%
	1,200,000	10/7/22	Caterpillar Financial Services Corporation	2.31	%		1,199,460		0.71	%
	1,200,000	10/11/22	Longship Funding Designated Activity Company	2.73	%		1,199,000		0.70	%
	1,200,000	11/3/22	Citigroup Global Markets Inc.	3.01	%		1,196,590		0.70	%
Machinery
	1,200,000	10/5/22	American Water Capital Corp.	2.00	%		1,199,666		0.70	%
Water
	1,200,000	10/12/22	Brown-Forman Corporation	2.80	%		1,198,882		0.71	%
Total U.S. commercial paper (cost: $9,575,035)							9,588,216		5.65	%

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

Futures Portfolio Fund, Limited Partnership

~~Consolidated~~
Condensed Schedule of Investments

(continued)
September 30, ~~2017~~2022 (Unaudited)

Description Fair Value % of Partners’ Capital (Net
Asset Value)
INVESTMENTS IN SECURITIES
U.S. Treasury Securities
Face Value Maturity Date Name Yield¹
$ 15,000,000 10/5/17 U.S. Treasury 1.04 % $ 14,998,499 4.21 %
10,000,000 11/16/17 U.S. Treasury 1.01 % 9,987,515 2.80 %
15,000,000 12/14/17 U.S. Treasury 1.02 % 14,970,272 4.20 %
5,000,000 12/15/17 U.S. Treasury 1.00 % 5,013,304 1.41 %
4,200,000 1/31/18 U.S. Treasury 0.88 % 4,202,118 1.18 %
5,250,000 2/15/18 U.S. Treasury 1.00 % 5,253,188 1.47 %
500,000 3/31/18 U.S. Treasury 2.88 % 504,062 0.15 %
4,000,000 4/30/18 U.S. Treasury 2.63 % 4,075,340 1.14 %
Total U.S. Treasury securities (cost:  $58,952,170) 59,004,298 16.56 %

U.S. Commercial Paper
Face Value Maturity Date Name Yield¹
Automotive
$ 1,500,000 10/25/17 Volvo Group Treasury North America 1.42 % 1,498,589 0.42 %
Banks
1,500,000 11/7/17 Bank of Tokyo-Mitsubishi UFJ, Ltd. 1.25 % 1,498,073 0.42 %
1,500,000 11/20/17 Nieuw Amsterdam Receivables Corp. 1.26 % 1,497,396 0.42 %
1,500,000 10/13/17 Oversea-Chinese Banking Corp. Ltd. 1.32 % 1,499,340 0.42 %
1,600,000 11/14/17 Standard Chartered Bank 1.28 % 1,597,516 0.45 %
1,600,000 10/17/17 Sumitomo Mitsui Banking Corporation 1.19 % 1,599,154 0.45 %
1,500,000 12/6/17 United Overseas Bank Limited 1.30 % 1,496,453 0.42 %
Beverage
1,500,000 10/23/17 Brown-Forman Corporation 1.23 % 1,498,873 0.42 %
Diversified financial services
1,600,000 10/5/17 DCAT, LLC 1.30 % 1,599,769 0.45 %
1,500,000 10/26/17 Gotham Funding Corporation 1.25 % 1,498,698 0.42 %
1,600,000 10/3/17 Manhattan Asset Funding Company LLC 1.31 % 1,599,884 0.45 %
1,500,000 10/11/17 The Liberty Company 1.30 % 1,499,458 0.42 %
1,500,000 10/5/17 The Regency Group, Inc. 1.23 % 1,499,795 0.42 %
1,500,000 11/15/17 Thunder Bay Funding, LLC 1.30 % 1,497,581 0.42 %
Energy
1,500,000 10/23/17 Dominion Energy Inc. 1.42 % 1,498,708 0.42 %
1,500,000 10/3/17 Duke Energy Corporation 1.44 % 1,499,881 0.42 %
1,600,000 10/20/17 Enterprise Products Operating LLC 1.43 % 1,598,801 0.45 %
1,500,000 10/2/17 NextEra Energy Capital Holdings, Inc. 1.44 % 1,499,940 0.42 %
1,500,000 10/11/17 The Southern Company 1.46 % 1,499,396 0.42 %
Insurance
1,600,000 10/10/17 AXA Financial, Inc. 1.30 % 1,599,480 0.45 %
Media
1,500,000 10/16/17 CBS Corporation 1.40 % 1,499,131 0.42 %
Total U.S. commercial paper (cost:  $32,034,459) 32,075,916 9.00 %

Foreign Commercial Paper
Face Value Maturity Date Name Yield¹
Banks
1,200,000 11/28/17 Bank of Nova Scotia 1.31 % 1,197,486 0.34 %
Telecommunication
1,600,000 10/10/17 Telstra Corporation Limited 1.30 % 1,599,480 0.45 %
Total foreign commercial paper (cost:  $2,791,319) 2,796,966 0.79 %
Total commercial paper (cost:  $34,825,778) 34,872,882 9.79 %


			Description			Fair Value		% of Partners’ Capital (Net Asset Value)
Foreign Commercial Paper
Face Value		Maturity Date	Name	Yield¹
Banks
	1,200,000	10/4/22	John Deere Capital Corporation	1.91	%		1,199,746		0.71	%
	1,200,000	10/18/22	Coöperatieve Rabobank U.A., New York Branch	2.87	%		1,198,277		0.70	%
Commercial Services
	1,200,000	10/7/22	Thunder Bay Funding, LLC	2.31	%		1,199,460		0.71	%
	1,200,000	10/11/22	National Rural Utilities Cooperative Finance Corporation	2.92	%		1,198,930		0.71	%
Diversified financial services
	1,200,000	10/3/22	Nationwide Building Society	1.70	%		1,199,830		0.70	%
Energy
	1,200,000	10/14/22	United States Department of The Treasury	2.88	%		1,198,657		0.71	%
Manufacturing
	1,100,000	10/24/22	DCAT, LLC	2.64	%		1,098,067		0.65	%
Telecommunications
	1,200,000	11/8/22	DNB Bank ASA	3.22	%		1,195,820		0.70	%
Total foreign commercial paper (cost: $9,471,547)							9,488,787		5.59	%
Total commercial paper (cost: $19,046,582)							19,077,003		11.24	%

U.S. Corporate Notes
Face Value		Maturity Date	Name	Yield¹
Aerospace
$	1,600,000	8/16/23	Truist Bank	3.65	%		1,598,966		0.94	%
	3,000,000	5/1/25	Santander Consumer Auto Receivables Trust 2020-B_2	4.88	%		2,989,223		1.76	%
Automotive
	4,000,000	6/14/24	World Omni Auto Receivables Trust 2020-C	0.58	%		3,741,163		2.20	%
Banks
	4,000,000	5/5/23	Apple Inc.	1.00	%		3,927,522		2.31	%
	4,250,000	1/24/24	AT&T Inc.	3.75	%		4,218,763		2.49	%
	2,000,000	7/23/24	Athene Global Funding	3.86	%		1,984,593		1.17	%
	4,000,000	12/5/24	Verizon Communications Inc.	4.02	%		3,992,336		2.35	%
	2,000,000	12/6/24	Brookfield Finance LLC	2.15	%		1,897,468		1.12	%
Diversified financial services
	600,000	12/7/23	GreatAmerica Leasing Receivables Funding, LLC	0.35	%		571,253		0.33	%
	4,000,000	1/8/24	Dell Equipment Finance Trust 2020-1	0.95	%		3,794,081		2.24	%
	4,600,000	3/8/24	Zoetis Inc.	0.67	%		4,496,730		2.65	%
	2,700,000	4/1/24	Credit Suisse AG, New York Branch	4.00	%		2,713,397		1.60	%
Machinery
	2,000,000	1/10/25	NVIDIA Corporation	1.25	%		1,859,375		1.10	%
Media
	3,000,000	3/15/24	Verizon Owner Trust 2018-A	3.43	%		2,902,607		1.71	%
Pharmaceuticals
	3,500,000	2/1/23	Mizuho Bank Ltd., New York Branch	3.25	%		3,499,467		2.06	%
Telecommunications
	3,000,000	3/22/24	JPMorgan Chase & Co._1	0.75	%		2,831,090		1.67	%
Total U.S. corporate notes (cost: $49,289,980)							47,018,034		27.70	%

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

Futures Portfolio Fund, Limited Partnership

~~Consolidated~~
Condensed Schedule of Investments (continued)

September 30, ~~2017~~2022 (Unaudited)

Description Fair Value % of Partners’ Capital (Net
Asset Value)
U.S. Corporate Notes
Face Value Maturity Date Name Yield¹
Automotive
$ 566,000 7/13/18 American Honda Finance Corporation 1.76 % $ 570,075 0.16 %
368,000 2/22/19 American Honda Finance Corporation 2.14 % 372,393 0.10 %
5,700,000 3/2/18 Daimler Finance North America LLC 1.74 % 5,712,676 1.60 %
6,500,000 1/9/18 Ford Motor Credit Company LLC 2.24 % 6,545,590 1.84 %
670,000 2/19/19 Toyota Motor Credit Corporation 2.14 % 678,739 0.19 %
Banks
500,000 3/12/18 Commonwealth Bank of Australia 1.63 % 500,484 0.14 %
6,950,000 4/27/18 Credit Suisse AG 2.00 % 6,998,862 1.97 %
3,000,000 3/1/18 JPMorgan Chase & Co. 1.70 % 3,005,120 0.84 %
6,625,000 2/9/18 MUFG Americas Holdings Corporation 1.88 % 6,651,433 1.87 %
463,000 12/7/18 PNC Bank, National Association 1.72 % 465,044 0.13 %
Beverage
2,117,000 1/15/18 Anheuser-Busch Companies, LLC 5.50 % 2,164,635 0.61 %
Computers
2,000,000 2/22/19 Apple Inc. 1.70 % 2,008,209 0.56 %
3,000,000 2/22/19 Apple Inc. 2.13 % 3,039,607 0.85 %
Diversified financial services
450,000 3/3/20 American Express Credit Corporation 1.75 % 451,596 0.13 %
800,000 5/10/19 Branch Banking and Trust Company 1.84 % 806,655 0.23 %
2,600,000 2/15/19 Goldman Sachs Group, Inc. 7.50 % 2,817,109 0.79 %
2,250,000 4/25/19 Goldman Sachs Group, Inc. 2.35 % 2,282,911 0.64 %
3,000,000 10/15/18 Intercontinental Exchange, Inc. 2.50 % 2,974,583 0.83 %
250,000 6/12/20 Metropolitan Life Global Funding I 1.71 % 251,391 0.07 %
3,000,000 2/1/19 Morgan Stanley 2.45 % 3,032,920 0.85 %
362,000 5/21/18 Principal Life Global Funding II 1.62 % 363,209 0.10 %
336,000 2/1/19 USAA Capital Corporation 1.54 % 337,257 0.09 %
3,000,000 12/14/17 Visa Inc. 1.20 % 3,011,720 0.85 %
Energy
955,000 2/28/19 Chevron Corporation 1.41 % 956,576 0.27 %
3,000,000 12/1/17 Kinder Morgan, Inc. 2.00 % 3,020,990 0.85 %
118,000 11/30/17 Pacific Gas and Electric Company 1.52 % 118,150 0.03 %
Healthcare
7,500,000 6/7/18 Aetna Inc. 1.70 % 7,545,250 2.13 %
500,000 1/15/18 Anthem, Inc. 1.88 % 502,289 0.14 %
6,325,000 4/1/18 Zimmer Biomet Holdings, Inc. 2.00 % 6,394,702 1.79 %
Insurance
352,000 8/15/18 Berkshire Hathaway Inc. 1.15 % 351,475 0.10 %
466,000 4/13/18 New York Life Global Funding 1.70 % 468,821 0.13 %
Pharmaceuticals
5,775,000 5/14/18 AbbVie Inc. 1.80 % 5,822,528 1.63 %
4,200,000 5/11/20 Amgen Inc. 1.76 % 4,231,929 1.19 %
Retail
6,000,000 7/20/18 CVS Health Corporation 1.90 % 6,036,703 1.69 %
3,000,000 9/10/18 The Home Depot, Inc. 2.25 % 3,023,948 0.85 %
Software
3,500,000 10/8/19 Oracle Corporation 2.25 % 3,580,789 1.00 %
Telecommunication
6,000,000 2/15/19 AT&T Inc. 5.80 % 6,355,987 1.78 %
2,500,000 9/20/19 Cisco Systems, Inc. 1.67 % 2,515,997 0.71 %


			Description			Fair Value		% of Partners’ Capital (Net Asset Value)
Foreign Corporate Notes
Face Value		Maturity Date	Name	Yield¹
Banks
$	3,000,000	6/9/23	Boeing Company	1.00	%	$	2,949,123		1.74	%
Diversified financial services
$	4,000,000	1/13/25	World Omni Select Auto Trust 2020-A	1.38	%	$	3,694,029		2.18	%
Total foreign corporate notes (cost: $6,932,129)							6,643,152		3.92	%
Total corporate notes (cost: $56,222,109)							53,661,186		31.62	%

U.S. Asset Backed Securities
Face Value		Maturity Date	Name	Yield¹
Automotive
$	607,758	10/15/26	Carvana Auto Receivables Trust 2021-P3	1.98	%	$	606,464		0.37	%
	118,387	6/9/25	Carvana Auto Receivables Trust, Series 2020-P1	0.44	%		116,907		0.07	%
	295,000	4/15/25	Dell Equipment Finance Trust 2019-2	0.54	%		292,179		0.17	%
	282,905	1/10/25	Ford Credit Auto Lease Trust 2021-B	0.38	%		280,378		0.17	%
	950,000	8/15/24	Goldman Sachs Group, Inc.	2.97	%		951,429		0.56	%
	475,000	1/15/30	HPEFS Equipment Trust 2020-2	3.47	%		471,552		0.28	%
	166,092	4/15/33	HPEFS Equipment Trust 2021-1_1	0.47	%		160,435		0.10	%
	350,000	12/16/24	MMAF Equipment Finance LLC Series 2021-A	2.77	%		347,530		0.20	%
	285,557	4/15/24	Raytheon Technologies Corporation	0.24	%		283,632		0.17	%
	497,193	3/17/25	Santander Consumer Auto Receivables Trust 2020-B_1	2.76	%		495,390		0.29	%
	265,000	12/20/24	Santander Drive Auto Receivables Trust 2021-2	0.65	%		253,968		0.16	%
	360,427	6/18/25	SLM Student Loan Trust 2011-2	0.53	%		355,664		0.21	%
	306,128	3/20/25	Synchrony Card Issuance Trust, Series 2018-1	0.36	%		302,849		0.18	%
	400,000	4/22/24	The Bank of New York Mellon Corporation	0.57	%		391,791		0.23	%
	21,847	8/15/24	Wells Fargo & Company	0.46	%		21,837		0.01	%
Equipment
	451,640	3/20/24	Micron Technology, Inc.	0.60	%		445,408		0.26	%
	259,234	4/15/24	Nordea Bank Abp	0.30	%		258,227		0.15	%
	42,134	7/22/24	Drive Auto Receivables Trust 2021-1	1.85	%		41,947		0.02	%
	575,000	1/21/25	Verizon Owner Trust 2020-A	3.40	%		563,290		0.33	%
	610,000	4/21/25	TESLA 2021-A A2	0.41	%		598,393		0.35	%
	348,000	5/22/26	Ford Credit Auto Owner Trust 2017-Rev1	0.43	%		338,703		0.19	%
	129,950	3/20/31	HPEFS Equipment Trust 2021-1_2	0.27	%		129,681		0.08	%
	300,000	3/20/31	HPEFS Equipment Trust 2021-1_1	0.32	%		295,776		0.17	%
Total U.S. asset backed securities (cost: $8,068,222)							8,003,430		4.72	%
Total investments in securities (cost: $95,883,341)						$	93,149,331		54.89	%

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

Futures Portfolio Fund, Limited Partnership

~~Consolidated~~
Condensed Schedule of Investments (continued)

September 30, ~~2017~~2022 (Unaudited)

Description Fair Value % of Partners’ Capital (Net
Asset Value)
U.S. Corporate Notes (continued)
Face Value Maturity Date Name Yield¹
Telecommunication (continued)
$ 247,000 5/20/19 QUALCOMM Incorporated 1.68 % $ 248,420 0.07 %
Total U.S. corporate notes (cost:  $106,537,281) 106,216,772 29.80 %

Foreign Corporate Notes
Face Value Maturity Date Name Yield¹
Banks
$ 350,000 6/4/18 ABN AMRO Bank N.V. 1.80 % 351,814 0.10 %
539,000 10/30/18 ABN AMRO Bank N.V. 2.50 % 548,489 0.15 %
6,000,000 1/18/19 ABN AMRO Bank N.V. 1.94 % 6,050,995 1.71 %
511,000 6/12/20 National Bank of Canada 1.87 % 513,630 0.14 %
4,000,000 8/17/18 ING Bank N.V. 2.09 % 4,032,551 1.13 %
3,500,000 7/23/18 National Australia Bank Limited 1.95 % 3,526,958 0.99 %
262,000 3/2/18 Swedbank AB 1.60 % 262,398 0.07 %
300,000 3/12/18 Swedbank AB 1.75 % 300,391 0.08 %
500,000 1/22/19 Toronto-Dominion Bank 1.95 % 502,999 0.14 %
Diversified financial services
800,000 1/29/18 La Caisse Centrale Desjardins du Quebec 1.98 % 804,302 0.23 %
400,000 12/7/18 UBS AG 1.64 % 401,027 0.11 %
Energy
5,500,000 5/3/19 BP Capital Markets P.L.C. 1.68 % 5,535,971 1.56 %
5,500,000 9/12/19 Shell International Finance B.V. 1.38 % 5,468,241 1.53 %
2,500,000 5/11/20 Shell International Finance B.V. 2.13 % 2,539,510 0.71 %
608,000 1/15/18 Total Capital Canada Ltd. 1.45 % 609,807 0.17 %
Pharmaceuticals
5,915,000 3/12/18 Actavis Funding SCS 2.39 % 5,942,041 1.68 %
2,250,000 3/12/20 Actavis Funding SCS 2.57 % 2,294,919 0.64 %
Total foreign corporate notes (cost:  $39,431,956) 39,686,043 11.14 %
Total corporate notes (cost:  $145,969,237) 145,902,815 40.94 %

U.S. Asset Backed Securities
Face Value Maturity Date Name Yield¹
Automotive
$ 1,200,859 10/15/19 Ally Auto Receivables Trust 2017-1 1.38 % 1,200,826 0.33 %
131,529 5/18/20 Americredit Automobile Receivables Trust 2017-1 1.51 % 131,525 0.04 %
195,028 7/15/24 ARI Fleet Lease Trust 2016-A 1.82 % 195,286 0.05 %
386,695 5/28/19 BMW Vehicle Owner Trust 2016-A 0.99 % 386,294 0.11 %
543,408 9/20/19 Capital Auto Receivables Asset Trust 2015-2 1.73 % 544,255 0.15 %
121,190 4/22/19 Capital Auto Receivables Asset Trust 2016-3 1.66 % 121,315 0.03 %
508,973 11/15/19 CarMax Auto Owner Trust 2016-4 1.21 % 508,682 0.14 %
450,000 9/15/20 CarMax Auto Owner Trust 2017-3 1.64 % 450,256 0.13 %
323,762 11/15/19 Drive Auto Receivables Trust 2016-C 1.67 % 324,051 0.09 %
350,000 8/15/19 Drive Auto Receivables Trust 2017-2 1.51 % 350,232 0.10 %
500,000 1/15/20 Drive Auto Receivables Trust 2017-A 1.77 % 500,558 0.14 %
237,502 2/22/21 Enterprise Fleet Financing, LLC 1.59 % 237,544 0.07 %
120,042 11/15/18 Ford Credit Auto Lease Trust 2016-A 1.42 % 120,117 0.03 %
151,021 3/15/19 Ford Credit Auto Owner Trust 2016-B 1.08 % 150,999 0.04 %
300,000 1/21/20 GM Financial Automobile Leasing Trust 2017-2 1.72 % 300,173 0.08 %
22,781 4/10/28 Hertz Fleet Lease Funding LP 1.63 % 22,801 0.01 %
356,284 9/17/18 Honda Auto Receivables 2016-2 Owner Trust 1.13 % 356,357 0.10 %
405,862 10/18/18 Honda Auto Receivables 2016-3 Owner Trust 1.01 % 405,787 0.11 %


	Description	Fair Value			% of Partners’ Capital (Net Asset Value)
OPEN FUTURES CONTRACTS
Long U.S. Futures Contracts
	Agricultural commodities	$	(1,006,158	)		(0.59	)%
	Currencies		(113,765	)		(0.07	)%
	Energy		(653,957	)		(0.39	)%
	Equity indices		(184,379	)		(0.11	)%
	Interest rate instruments		(512,063	)		(0.30	)%
	Metals²		(1,590,115	)		(0.93	)%
Net unrealized gain (loss) on open long U.S. futures contracts			(4,060,437	)		(2.39	)%

Short U.S. Futures Contracts
	Agricultural commodities		34,481			0.02	%
	Currencies		613,473			0.36	%
	Energy		151,399			0.09	%
	Equity indices		733,112			0.43	%
	Interest rate instruments		2,852,631			1.68	%
	Metals²		1,870,261			1.10	%
Net unrealized gain (loss) on open short U.S. futures contracts			6,255,357			3.68	%

Total U.S. Futures Contracts - net unrealized gain (loss) on open U.S. futures contracts			2,194,920			1.29	%

Long Foreign Futures Contracts
	Agricultural commodities		135,252			0.08	%
	Currencies		99,704			0.06	%
	Energy		(40,831	)		(0.02	)%
	Equity indices		(1,413,132	)		(0.83	)%
	Interest rate instruments		(381,086	)		(0.23	)%
	Metals		(17,929	)		(0.01	)%
Net unrealized gain (loss) on open long foreign futures contracts			(1,618,022	)		(0.95	)%

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

Futures Portfolio Fund, Limited Partnership

~~Consolidated~~ Condensed Schedule of Investments (continued)

September 30, ~~2017~~2022 (Unaudited)


	Description	Fair Value			% of Partners’ Capital (Net Asset Value)
Short Foreign Futures Contracts
	Agricultural commodities		24,509			0.01	%
	Currencies		(74,721	)		(0.04	)%
	Energy		22,652			0.01	%
	Equity indices		608,555			0.37	%
	Interest rate instruments		2,671,062			1.57	%
Net unrealized gain (loss) on open short foreign futures contracts			3,252,057			1.92	%

Total foreign futures contracts - net unrealized gain (loss) on open foreign futures contracts			1,634,035			0.97	%

Net unrealized gain (loss) on open futures contracts		$	3,828,955			2.26	%

OPEN FORWARD CURRENCY CONTRACTS
U.S. Forward Currency Contracts
	Long²	$	(1,861,161	)		(1.10	)%
	Short²		5,535,348			3.26	%
Net unrealized gain (loss) on open U.S. forward currency contracts			3,674,187			2.16	%

Foreign Forward Currency Contracts
	Long		596,696			0.35	%
	Short		(518,079	)		(0.30	)%
Net unrealized gain (loss) on open foreign forward currency contracts			78,617			0.05	%

Net unrealized gain (loss) on open forward currency contracts		$	3,752,804			2.21	%

TOTAL RETURN SWAP CONTRACTS
	Long	$	3,184			0.00	%
	Short		(9,092	)		(0.01	)%
		$	(5,908	)		(0.01	)%

INVESTMENT IN PRIVATE INVESTMENT COMPANY³
	Galaxy East Alpha (cost: $847,800)	$	3,221,054			1.90	%

Description Fair Value % of Partners’ Capital (Net
Asset Value)
U.S. Asset Backed Securities (continued)
Face Value Maturity Date Name Yield¹
Automotive (continued)
$ 706,657 5/15/19 Huntington Auto Trust 2016-1 1.29 % $ 706,833 0.20 %
74,421 7/16/18 Hyundai Auto Lease Securitization Trust 2016-A 1.78 % 74,499 0.02 %
240,665 6/17/19 Hyundai Auto Receivables Trust 2016-A 1.21 % 240,671 0.07 %
800,000 2/18/20 Hyundai Auto Receivables Trust 2017-A 1.48 % 800,174 0.22 %
224,978 7/16/18 Mercedes-Benz Auto Lease Trust 2016-A 1.34 % 225,101 0.06 %
1,000,000 8/15/19 Mercedes-Benz Auto Lease Trust 2017-A 1.43 % 1,001,308 0.28 %
323,769 3/15/19 Mercedes-Benz Auto Receivables Trust 2016-1 1.11 % 323,711 0.09 %
700,000 9/16/19 Nissan Auto Lease Trust 2017-A 1.64 % 700,314 0.20 %
284,882 5/15/19 Nissan Auto Receivables 1.07 % 284,768 0.08 %
388,782 4/15/19 Nissan Auto Receivables 2016-B Owner Trust 1.05 % 388,704 0.11 %
173,704 11/15/19 Santander Drive Auto Receivables Trust 2016-3 1.34 % 173,750 0.05 %
625,000 5/15/19 Santander Drive Auto Receivables Trust 2017-1 1.57 % 625,519 0.18 %
235,612 2/18/20 Santander Drive Auto Receivables Trust 2017-1 1.49 % 235,647 0.07 %
300,000 6/15/20 Santander Drive Auto Receivables Trust 2017-3 1.67 % 300,045 0.08 %
29,808 7/16/18 Toyota Auto Receivables 2016-A Owner Trust 1.03 % 29,816 0.01 %
241,550 1/15/19 Toyota Auto Receivables 2016-C Owner Trust 1.00 % 241,497 0.07 %
Credit card
786,000 3/15/18 Capital One Multi-Asset Execution Trust 1.39 % 786,334 0.22 %
600,000 1/15/19 Discover Card Execution Note Trust 1.64 % 600,257 0.17 %
350,000 11/15/17 Synchrony Credit Card Master Note Trust 1.61 % 350,338 0.10 %
600,000 8/15/18 World Financial Network Credit Card Master Note Trust 1.44 % 599,184 0.17 %
Other
400,000 11/16/20 CNH Equipment Trust 2017-B 1.59 % 400,999 0.11 %
347,929 9/22/20 Dell Equipment Finance Trust 2015-2 1.72 % 348,190 0.10 %
Student loans
979,655 11/15/23 SMB Private Education Loan Trust 2016-B 1.88 % 982,033 0.28 %
531,147 3/25/31 SoFi Professional Loan Program 2016-B Llc 1.68 % 531,247 0.15 %
Total U.S. asset backed securities (cost:  $17,255,963) 17,257,997 4.84 %
Total investments in securities (cost:  $257,003,148) $ 257,037,992 72.13 %

CERTIFICATES OF DEPOSIT
U.S. Certificates of Deposit
Face Value Maturity Date Name Yield¹
Banks
$ 1,000,000 6/6/18 BNP Paribas 1.59 % $ 1,005,408 0.28 %
400,000 12/20/17 Lloyds Bank PLC 1.78 % 400,653 0.11 %
500,000 12/1/17 The Chiba Bank, Ltd. 1.45 % 502,532 0.14 %
Total U.S. certificates of deposit (cost:  $1,900,000) 1,908,593 0.53 %

Foreign Certificates of Deposit
Face Value Maturity Date Name Yield¹
Diversified financial services
$ 500,000 11/13/17 BP Capital Markets P.L.C. 2.88 % 499,203 0.14 %
500,000 12/8/17 BP Capital Markets P.L.C. 2.95 % 498,736 0.14 %
Total Foreign certificates of deposit (cost:  $985,431) 997,939 0.28 %
Total certificates of deposit (cost:  $2,885,431) $ 2,906,532 0.81 %

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

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

Private investment company is a separate series that is part of the Galaxy Plus Managed Account Platform (Platform), which is sponsored by New Hyde Park Alternative Funds, LLC (Sponsor). Each series on the Platform invests in Master Fund that allocates assets to a Commodity Trading Advisor (“CTA”). The CTA of our master fund investment trades global commodities markets primarily through futures contracts. The CTA is paid a management fee of up to 1.00% and a 20% share of the trading profits. The Fund may redeem any portion of its investment on a daily basis. Any requested redemption will be satisfied within two days. There are no restrictions on liquidity for the Fund.

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

Futures Portfolio Fund, Limited Partnership

~~Consolidated~~ Condensed Schedule of Investments ~~(continued)~~

December 31, 2021

~~September 30, 2017 (Unaudited)~~

Description Fair Value % of Partners’ Capital (Net Asset Value)
OPEN FUTURES CONTRACTS
Long U.S. Futures Contracts
Agricultural commodities $ (92,279 ) (0.03 )%
Currencies (1,347,106 ) (0.38 )%
Energy 962,186 0.27 %
Equity indices 3,421,500 0.96 %
Interest rate instruments (2,796,092 ) (0.78 )%
Metals² 4,539,848 1.27 %
Single stock futures (78,306 ) (0.02 )%
Net unrealized gain (loss) on open long U.S. futures contracts 4,609,751 1.29 %

Short U.S. Futures Contracts
Agricultural commodities 424,347 0.12 %
Currencies 776,559 0.22 %
Energy (163,390 ) (0.05 )%
Equity indices (675,600 ) (0.19 )%
Interest rate instruments 680,701 0.19 %
Metals² (4,680,251 ) (1.31 )%
Single stock futures (60,526 ) (0.02 )%
Net unrealized gain (loss) on open short U.S. futures contracts (3,698,160 ) (1.04 )%

Total U.S. Futures Contracts - net unrealized gain (loss) on open U.S. futures contracts 911,591 0.25 %

Long Foreign Futures Contracts
Agricultural commodities $ (59,918 ) (0.02 )%
Currencies (61,036 ) (0.02 )%
Energy (154,707 ) (0.04 )%
Equity indices² 5,169,375 1.45 %
Interest rate instruments² (3,678,661 ) (1.03 )%
Metals 24,648 0.01 %
Single stock futures 5,133 0.00 %
Net unrealized gain (loss) on open long foreign futures contracts 1,244,834 0.35 %

Short Foreign Futures Contracts
Agricultural commodities (24,397 ) (0.01 )%
Currencies (93,567 ) (0.03 )%
Energy 27,057 0.01 %
Equity indices (310,623 ) (0.09 )%
Interest rate instruments 1,567,370 0.45 %
Metals 475 0.00 %
Net unrealized gain (loss) on open short foreign futures contracts 1,166,315 0.33 %

Total foreign futures contracts - net unrealized gain (loss) on open foreign futures contracts 2,411,149 0.68 %

Net unrealized gain (loss) on open futures contracts $ 3,322,740 0.93 %

			Description			Fair Value		% of Partners’ Capital (Net Asset Value)
INVESTMENTS IN SECURITIES
	U.S. Treasury Securities
	Face Value	Maturity Date	Name	Yield¹
	4,500,000	9/15/23	U.S. Treasury	0.13	%	$	4,460,194		2.93	%
	6,000,000	10/31/23	U.S. Treasury	0.38	%		5,970,104		3.92	%
	Total U.S. Treasury securities (cost: $10,451,673)						10,430,298		6.85	%

	U.S. Commercial Paper
	Face Value	Maturity Date	Name	Yield¹
	Banks
	1,200,000	1/26/22	Mitsubishi UFJ Trust and Banking Corporation (USA)	0.20	%		1,199,825		0.79	%
	Diversified financial services
	1,200,000	1/6/22	Citigroup Global Markets Inc.	0.11	%		1,199,979		0.79	%
	1,200,000	1/20/22	DCAT, LLC	0.12	%		1,199,918		0.79	%
	1,200,000	1/5/22	Gotham Funding Corporation	0.09	%		1,199,985		0.79	%
	1,100,000	2/18/22	ING (U.S.) Funding LLC	0.16	%		1,099,765		0.72	%
	1,200,000	1/10/22	J.P. Morgan Securities LLC	0.11	%		1,199,964		0.79	%
	1,200,000	4/1/22	Liberty Street Funding LLC	0.23	%		1,199,310		0.79	%
	1,200,000	1/11/22	Manhattan Asset Funding Company LLC	0.11	%		1,199,960		0.79	%
	1,200,000	1/11/22	National Rural Utilities Cooperative Finance Corporation	0.17	%		1,199,937		0.79	%
	Food
	1,200,000	1/12/22	Archer-Daniels-Midland Company	0.05	%		1,199,978		0.79	%
	Water
	1,200,000	1/4/22	American Water Capital Corp.	0.10	%		1,199,987		0.79	%
	Total U.S. commercial paper (cost: $13,097,222)						13,098,608		8.62	%

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

6 7

Futures Portfolio Fund, Limited Partnership

~~Consolidated~~ Condensed Schedule of Investments (continued)

~~September 30, 2017 (Unaudited)~~December 31, 2021

Description Fair Value % of Partners’ Capital (Net Asset Value)
OPEN FORWARD CURRENCY CONTRACTS
U.S. Forward Currency Contracts
Long $ (3,389,684 ) (0.95 )%
Short 1,093,092 0.31 %
Net unrealized gain (loss) on open U.S. forward currency contracts (2,296,592 ) (0.64 )%

Foreign Forward Currency Contracts
Long (265,066 ) (0.07 )%
Short 37,921 0.01 %
Net unrealized gain (loss) on open foreign forward currency contracts (227,145 ) (0.06 )%

Net unrealized gain (loss) on open forward currency contracts $ (2,523,737 ) (0.70 )%

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

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

			Description			Fair Value		% of Partners’ Capital (Net Asset Value)
Foreign Commercial Paper
	Face Value	Maturity Date	Name	Yield¹
	Automotive
$	1,200,000	1/12/22	Nationwide Building Society	0.12	%	$	1,199,952		0.79	%
	Banks
	1,200,000	2/7/22	DBS Bank Ltd.	0.15	%		1,199,815		0.79	%
	1,200,000	1/14/22	DNB Bank ASA	0.11	%		1,199,948		0.79	%
	1,200,000	2/15/22	KfW	0.12	%		1,199,820		0.79	%
	Diversified financial services
	1,200,000	1/20/22	Experian Finance plc	0.25	%		1,199,835		0.79	%
	1,200,000	3/8/22	Glencove Funding DAC	0.24	%		1,199,472		0.79	%
	Total foreign commercial paper (cost: $7,197,809)						7,198,842		4.74	%
	Total commercial paper (cost: $20,295,031)						20,297,450		13.36	%

U.S. Corporate Notes
	Face Value	Maturity Date	Name	Yield¹
	Aerospace
$	4,000,000	5/1/22	Boeing Company	2.70	%		4,042,997		2.66	%
	1,600,000	8/16/23	Raytheon Technologies Corporation	3.65	%		1,684,350		1.11	%
	Automotive
	4,000,000	6/14/24	NVIDIA Corporation	0.58	%		3,964,887		2.61	%
	Banks
	2,000,000	7/23/24	Bank of America Corporation	3.86	%		2,118,449		1.39	%
	4,000,000	5/5/23	Credit Suisse AG, New York Branch	1.00	%		4,013,970		2.64	%
	5,000,000	4/25/23	JPMorgan Chase & Co.	2.78	%		5,056,552		3.32	%
	4,000,000	5/17/22	Truist Bank	2.80	%		4,043,637		2.66	%
	4,250,000	1/24/24	Wells Fargo & Company	3.75	%		4,531,975		2.98	%
	Diversified financial services
	4,000,000	1/8/24	Athene Global Funding	0.95	%		3,991,593		2.62	%
	2,700,000	4/1/24	Brookfield Finance LLC	4.00	%		2,872,854		1.89	%
	4,600,000	3/8/24	Goldman Sachs Group, Inc.	0.67	%		4,592,049		3.02	%
	600,000	12/7/23	The Bank of New York Mellon Corporation	0.35	%		594,886		0.39	%
	Pharmaceuticals
	4,000,000	5/16/22	Bristol-Myers Squibb Company	2.60	%		4,047,412		2.66	%
	3,500,000	2/1/23	Zoetis Inc.	3.25	%		3,612,107		2.37	%
	Telecommunications
	4,000,000	2/9/22	Apple Inc.	2.50	%		4,040,632		2.66	%
	3,500,000	6/30/22	AT&T Inc.	3.00	%		3,527,728		2.32	%
	3,000,000	3/22/24	Verizon Communications Inc.	0.75	%		2,987,465		1.96	%
	Total U.S. corporate notes (cost: $60,212,369)						59,723,543		39.26	%

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

Futures Portfolio Fund, Limited Partnership

~~Consolidated~~ Condensed Schedule of Investments (continued)

December 31, ~~2016~~2021

Description Fair Value % of Partners’
Capital (Net
Asset Value)
INVESTMENTS IN SECURITIES
U.S. Treasury Securities
Face Value Maturity Date Name Yield¹
$ 20,000,000 1/12/17 U.S. Treasury 0.29 % $ 19,997,500 3.55 %
7,650,000 1/31/17 U.S. Treasury 0.50 % 7,665,089 1.36 %
20,000,000 2/16/17 U.S. Treasury 0.43 % 19,988,642 3.55 %
6,950,000 2/28/17 U.S. Treasury 0.50 % 6,960,695 1.24 %
20,000,000 3/16/17 U.S. Treasury 0.49 % 19,979,583 3.55 %
3,000,000 5/31/17 U.S. Treasury 0.63 % 3,001,528 0.53 %
4,900,000 8/15/17 U.S. Treasury 0.88 % 4,920,747 0.87 %
5,000,000 8/31/17 U.S. Treasury 1.88 % 5,067,204 0.90 %
1,500,000 3/31/18 U.S. Treasury 2.88 % 1,546,105 0.27 %
2,200,000 10/31/18 U.S. Treasury 0.75 % 2,186,601 0.39 %
Total U.S. Treasury securities (cost: $91,318,791) 91,313,694 16.21 %

U.S. Commercial Paper
Face Value Maturity Date Name Yield¹
Automotive
$ 500,000 1/11/17 American Honda Finance Corporation 0.63 % 499,912 0.09 %
1,500,000 1/27/17 American Honda Finance Corporation 0.66 % 1,499,285 0.27 %
1,200,000 2/16/17 Caterpillar Financial Services Corporation 1.00 % 1,198,467 0.21 %
1,900,000 1/24/17 Ford Motor Credit Company LLC 0.92 % 1,898,883 0.34 %
750,000 11/6/17 Ford Motor Credit Company LLC 1.93 % 737,696 0.13 %
2,000,000 1/20/17 Hyundai Capital America 1.02 % 1,998,923 0.35 %
500,000 1/5/17 Nissan Motor Acceptance Corporation 0.80 % 499,956 0.09 %
Banks
500,000 2/21/17 Credit Suisse (USA), Inc. 0.90 % 499,363 0.09 %
1,700,000 8/24/17 Danske Corporation 1.51 % 1,683,257 0.30 %
1,500,000 1/23/17 Mitsubishi UFJ Trust & Banking Corp 0.93 % 1,499,148 0.27 %
500,000 2/3/17 Mitsubishi UFJ Trust & Banking Corp 0.87 % 499,601 0.09 %
2,100,000 1/17/17 Mizuho Bank, Ltd. 0.88 % 2,099,179 0.37 %
400,000 2/16/17 Oversea-Chinese Banking Corporation Ltd 0.89 % 399,545 0.07 %
1,800,000 9/12/17 Standard Chartered Bank 1.52 % 1,780,787 0.32 %
500,000 1/18/17 Sumitomo Mitsui Banking Corporation 0.80 % 499,811 0.09 %
1,600,000 2/1/17 Sumitomo Mitsui Banking Corporation 0.86 % 1,598,815 0.28 %
500,000 3/14/17 Toronto Dominion Holdings (U.S.A.), Inc. 1.03 % 498,970 0.09 %
1,500,000 3/24/17 Toronto Dominion Holdings (U.S.A.), Inc. 1.03 % 1,496,481 0.27 %
2,000,000 2/21/17 United Overseas Bank Limited 0.90 % 1,997,450 0.35 %
Beverages
1,600,000 1/6/17 Brown-Forman Corporation 0.60 % 1,599,867 0.28 %
500,000 1/9/17 Brown-Forman Corporation 0.73 % 499,919 0.09 %
Diversified financial services
2,200,000 2/2/17 American Express Credit Corporation 0.97 % 2,198,103 0.39 %
1,600,000 1/10/17 DCAT, LLC 0.83 % 1,599,668 0.28 %
1,500,000 3/7/17 Gotham Funding Corporation 1.03 % 1,497,210 0.27 %
500,000 1/27/17 Intercontinental Exchange, Inc. 0.59 % 499,787 0.09 %
1,600,000 2/13/17 Intercontinental Exchange, Inc. 0.82 % 1,598,433 0.28 %
1,600,000 2/1/17 J.P. Morgan Securities LLC 0.80 % 1,598,898 0.28 %
1,600,000 1/26/17 Liberty Street Funding LLC 0.70 % 1,599,222 0.28 %
1,500,000 1/10/17 Manhattan Asset Funding Company LLC 0.80 % 1,499,700 0.27 %
Electronics
1,300,000 1/19/17 Amphenol Corporation 0.95 % 1,299,382 0.23 %

			Description			Fair Value		% of Partners’ Capital (Net Asset Value)
Foreign Corporate Notes
	Face Value	Maturity Date	Name	Yield¹
	Banks
$	3,000,000	6/9/23	Nordea Bank Abp	1.00	%	$	3,008,775		1.98	%
	Total foreign corporate notes (cost: $2,996,910)						3,008,775		1.98	%
	Total corporate notes (cost: $63,209,279)						62,732,318		41.24	%

U.S. Asset Backed Securities
	Face Value	Maturity Date	Name	Yield¹
	Automotive
$	590,000	6/18/25	Americredit Automobile Receivables Trust 2020-3	0.53	%		588,969		0.39	%
	350,000	12/16/24	Carmax Auto Owner Trust 2019-2	2.77	%		358,066		0.24	%
	625,000	1/10/25	Carvana Auto Receivables Trust 2021-P3	0.38	%		624,086		0.41	%
	210,000	6/9/25	Carvana Auto Receivables Trust, Series 2020-P1	0.44	%		209,473		0.14	%
	45,202	12/15/23	Drive Auto Receivables Trust 2021-1	0.36	%		45,208		0.03	%
	625,000	4/15/24	Ford Credit Auto Lease Trust 2021-B	0.24	%		623,654		0.41	%
	371,000	8/15/28	Ford Credit Auto Owner Trust 2017-Rev1	2.62	%		372,354		0.24	%
	410,834	8/15/24	Santander Consumer Auto Receivables Trust 2020-B	0.46	%		410,767		0.27	%
	295,000	4/15/25	Santander Consumer Auto Receivables Trust 2020-B	0.54	%		294,814		0.19	%
	183,585	4/15/24	Santander Drive Auto Receivables Trust 2021-2	0.28	%		183,574		0.12	%
	593,233	3/20/25	TESLA 2021-A A2	0.36	%		292,005		0.39	%
	126,149	12/15/23	World Omni Auto Receivables Trust 2020-C	0.35	%		126,170		0.08	%
	94,072	6/17/24	World Omni Select Auto Trust 2020-A	0.47	%		94,096		0.06	%
	Equipment
	340,908	10/22/24	Dell Equipment Finance Trust 2019-2	1.91	%		342,291		0.22	%
	130,397	6/22/22	Dell Equipment Finance Trust 2020-1	2.26	%		130,602		0.09	%
	625,000	10/20/23	Dllmt 2021-1 Llc.	0.60	%		623,777		0.41	%
	775,000	7/22/30	HPEFS Equipment Trust 2020-2	0.69	%		775,720		0.51	%
	1,115,262	3/20/31	HPEFS Equipment Trust 2021-1_2	0.59	%		1,113,334		0.73	%
	425,000	4/15/24	MMAF Equipment Finance LLC Series 2021-A	0.30	%		424,579		0.28	%
	2,555	4/20/23	Verizon Owner Trust 2018-A	3.23	%		2,563		0.00	%
	375,000	7/22/24	Verizon Owner Trust 2020-A	1.85	%		377,791		0.25	%
	Total U.S. asset backed securities (cost: $8,348,364)						8,313,893		5.46	%
Total investments in securities (cost: $102,304,347)						$	101,773,959		66.91	%

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

Futures Portfolio Fund, Limited Partnership

~~Consolidated~~ Condensed Schedule of Investments (continued)

December 31, ~~2016~~2021

Description Fair Value % of Partners’ Capital (Net Asset Value)
U.S. Commercial Paper (continued)
Face Value Maturity Date Name Yield¹
Energy
$ 1,400,000 1/17/17 Dominion Resources, Inc. 0.97 % $ 1,399,396 0.25 %
500,000 1/17/17 Dominion Resources, Inc. 1.03 % 499,771 0.09 %
2,000,000 1/6/17 Enterprise Products Operating LLC 0.97 % 1,999,731 0.36 %
500,000 1/25/17 Sempra Energy Global Enterprises 1.15 % 499,617 0.09 %
Healthcare
2,100,000 1/5/17 Catholic Health Initiatives 0.83 % 2,099,806 0.37 %
Household products
400,000 1/9/17 Unilever Capital Corporation 0.54 % 399,952 0.07 %
Insurance
2,200,000 1/13/17 Nationwide Life Insurance Company 0.58 % 2,199,575 0.39 %
Manufacturing
500,000 1/12/17 Parker-Hannifin Corporation 0.90 % 499,863 0.09 %
Media
1,500,000 1/25/17 CBS Corporation 1.00 % 1,499,000 0.27 %
Pharmaceuticals
2,200,000 3/20/17 Pfizer Inc. 0.71 % 2,196,514 0.39 %
REIT
400,000 1/4/17 Simon Property Group, L.P. 0.62 % 399,979 0.07 %
Total U.S. commercial paper (cost:  $52,010,283) 52,068,922 9.25 %

Foreign Commercial Paper
Face Value Maturity Date Name Yield¹
Automotive
$ 400,000 1/10/17 John Deere Financial Limited 0.66 % 399,933 0.07 %
2,100,000 1/4/17 Magna International Inc. 0.92 % 2,099,839 0.37 %
Banks
900,000 3/6/17 Bank of China Limited 1.23 % 897,982 0.16 %
1,500,000 1/4/17 DBS Bank Ltd. 0.87 % 1,499,891 0.27 %
400,000 3/9/17 Nordea Bank AB 1.00 % 399,256 0.07 %
Chemical
500,000 1/6/17 BASF SE 0.60 % 499,958 0.09 %
1,500,000 1/9/17 BASF SE 1.16 % 1,499,788 0.27 %
Diversified financial services
316,581 1/25/17 ICBCIL Finance Co. Limited 1.32 % 316,295 0.06 %
500,000 1/4/17 KfW 0.76 % 499,969 0.09 %
Energy
1,200,000 1/6/17 Electricite de France 1.56 % 1,199,838 0.21 %
800,000 1/9/17 Electricite de France 1.56 % 799,844 0.14 %
Household products
500,000 2/7/17 Reckitt Benckiser Treasury Services PLC 0.80 % 499,589 0.09 %
1,800,000 8/30/17 Reckitt Benckiser Treasury Services PLC 1.26 % 1,784,813 0.31 %
Telecommunication
400,000 1/23/17 Telstra Corporation Limited 0.80 % 399,804 0.07 %
1,700,000 2/28/17 Telstra Corporation Limited 0.90 % 1,697,535 0.30 %
1,200,000 9/13/17 Vodafone Group PLC 1.63 % 1,186,191 0.21 %
Total foreign commercial paper (cost:  $15,607,946) 15,680,525 2.78 %
Total commercial paper (cost:  $67,618,229) 67,749,447 12.03 %

	Description	Fair Value			% of Partners’ Capital (Net Asset Value)
OPEN FUTURES CONTRACTS
Long U.S. Futures Contracts
	Agricultural commodities	$	317,360			0.21	%
	Currencies		68,491			0.05	%
	Energy		655,067			0.43	%
	Equity indices		341,791			0.22	%
	Interest rate instruments		(224,600	)		(0.15	)%
	Metals		3,611,395			2.37	%
Net unrealized gain (loss) on open long U.S. futures contracts			4,769,504			3.13	%

Short U.S. Futures Contracts
	Agricultural commodities		(86,996	)		(0.06	)%
	Currencies		(269,064	)		(0.18	)%
	Energy		15,999			0.01	%
	Equity indices		13,694			0.01	%
	Interest rate instruments		181,212			0.12	%
	Metals		(3,648,365	)		(2.40	)%
Net unrealized gain (loss) on open short U.S. futures contracts			(3,793,520	)		(2.50	)%

Total U.S. Futures Contracts - net unrealized gain (loss) on open U.S. futures contracts			975,984			0.63	%

Long Foreign Futures Contracts
	Agricultural commodities		116,102			0.08	%
	Currencies		14,171			0.01	%
	Energy		(415,359	)		(0.27	)%
	Equity indices		536,230			0.35	%
	Interest rate instruments		(1,682,102	)		(1.11	)%
	Metals		12,709			0.01	%
Net unrealized gain (loss) on open long foreign futures contracts			(1,418,249	)		(0.93	)%

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

910

Futures Portfolio Fund, Limited Partnership

~~Consolidated~~ Condensed Schedule of Investments (continued)

December 31, ~~2016~~2021

Description Fair Value % of Partners’ Capital (Net Asset Value)
U.S. Corporate Notes
Face Value Maturity Date Name Yield¹
Automotive
$ 566,000 7/13/18 American Honda Finance Corporation 1.34 % $ 569,573 0.10 %
368,000 2/22/19 American Honda Finance Corporation 1.74 % 372,243 0.07 %
438,000 3/10/17 Daimler Finance North America LLC 1.13 % 439,422 0.08 %
649,000 8/3/17 Daimler Finance North America LLC 1.59 % 652,390 0.12 %
6,700,000 3/2/18 Daimler Finance North America LLC 1.35 % 6,706,690 1.19 %
7,350,000 1/9/18 Ford Motor Credit Company LLC 1.81 % 7,400,100 1.31 %
1,422,000 4/6/18 Nissan Motor Acceptance Corporation 1.66 % 1,435,476 0.25 %
1,000,000 3/27/17 Toyota Motor Credit Corporation 1.33 % 1,000,899 0.18 %
891,000 12/5/17 Toyota Motor Credit Corporation 1.19 % 892,468 0.16 %
670,000 2/19/19 Toyota Motor Credit Corporation 1.73 % 679,133 0.12 %
500,000 5/23/17 Volkswagen Group of America Finance, LLC 1.29 % 499,164 0.09 %
200,000 11/20/17 Volkswagen Group of America Finance, LLC 1.35 % 199,352 0.04 %
Banks
500,000 2/13/17 Capital One Bank 1.20 % 502,199 0.09 %
8,000,000 4/27/18 Credit Suisse AG 1.57 % 8,069,458 1.43 %
4,000,000 3/1/18 JPMorgan Chase & Co. 1.70 % 4,023,507 0.71 %
1,000,000 2/23/18 PNC Realty Investors, Inc. 1.50 % 1,003,956 0.18 %
463,000 12/7/18 PNC Realty Investors, Inc. 1.35 % 463,643 0.08 %
500,000 �� 8/23/17 U.S. Bank National Association 1.37 % 501,735 0.09 %
806,000 9/11/17 U.S. Bank National Association 1.15 % 806,963 0.14 %
450,000 1/29/18 U.S. Bank National Association 1.45 % 452,407 0.08 %
1,722,000 9/8/17 Wells Fargo & Company 1.40 % 1,727,540 0.31 %
834,000 1/22/18 Wells Fargo Bank, National Association 1.62 % 840,655 0.15 %
Beverages
3,617,000 1/15/18 Anheuser-Busch Companies, LLC 5.50 % 3,836,664 0.68 %
Computers
800,000 5/3/18 Apple Inc. 1.13 % 802,275 0.14 %
3,000,000 2/22/19 Apple Inc. 1.74 % 3,049,814 0.54 %
2,650,000 2/22/19 Apple Inc. 1.70 % 2,672,669 0.47 %
Diversified financial services
1,000,000 6/5/17 American Express Credit Corporation 1.21 % 998,959 0.18 %
1,226,000 3/7/18 Berkshire Hathaway Finance Corporation 1.50 % 1,233,955 0.22 %
1,400,000 4/3/17 Branch Banking and Trust Company 1.00 % 1,403,036 0.25 %
800,000 5/10/19 Branch Banking and Trust Company 1.42 % 803,043 0.14 %
400,000 12/15/17 Goldman Sachs Group, Inc. 1.76 % 400,933 0.07 %
3,500,000 2/15/19 Goldman Sachs Group, Inc. 7.50 % 3,975,907 0.71 %
3,000,000 4/25/19 Goldman Sachs Group, Inc. 1.92 % 3,031,530 0.54 %
3,600,000 10/15/18 Intercontinental Exchange, Inc. 2.50 % 3,665,080 0.65 %
798,000 4/5/17 Massmutual Global Funding II C 2.00 % 803,787 0.14 %
3,500,000 4/10/17 Metropolitan Life Global Funding I 1.30 % 3,512,208 0.62 %
1,000,000 4/10/17 Metropolitan Life Global Funding I 1.26 % 1,003,471 0.18 %
5,900,000 1/9/17 Morgan Stanley 5.45 % 6,058,939 1.08 %
500,000 2/1/19 Morgan Stanley 2.45 % 508,144 0.09 %
8,125,000 2/9/18 MUFG Americas Holdings Corporation 1.46 % 8,130,157 1.44 %
1,500,000 10/5/17 NYSE Euronext 2.00 % 1,515,097 0.27 %
1,675,000 6/27/18 Pricoa Global Funding I 1.35 % 1,672,724 0.30 %
1,800,000 12/1/17 Principal Life Global Funding II 1.43 % 1,809,491 0.32 %
362,000 5/21/18 Principal Life Global Funding II 1.21 % 362,357 0.06 %
1,000,000 6/1/17 UBS AG 1.38 % 1,000,895 0.18 %
4,750,000 6/1/17 UBS AG 1.49 % 4,758,282 0.84 %

	Description	Fair Value			% of Partners’ Capital (Net Asset Value)
OPEN FUTURES CONTRACTS (continued)
Short Foreign Futures Contracts
	Agricultural commodities	$	(17,012	)		(0.01	)%
	Currencies		56,878			0.04	%
	Equity indices		(498,200	)		(0.33	)%
	Interest rate instruments		179,585			0.12	%
	Metals		(2,702	)		0.00	%
Net unrealized gain (loss) on open short foreign futures contracts			(281,451	)		(0.18	)%

Total foreign futures contracts - net unrealized gain (loss) on open foreign futures contracts			(1,699,700	)		(1.11	)%

Net unrealized gain (loss) on open futures contracts		$	(723,716	)		(0.48	)%

OPEN FORWARD CURRENCY CONTRACTS
U.S. Forward Currency Contracts
	Long	$	627,816			0.41	%
	Short		(654,005	)		(0.43	)%
Net unrealized gain (loss) on open U.S. forward currency contracts			(26,189	)		(0.02	)%

Foreign Forward Currency Contracts
	Long		249,949			0.16	%
	Short		104,279			0.07	%
Net unrealized gain (loss) on open foreign forward currency contracts			354,228			0.23	%

Net unrealized gain (loss) on open forward currency contracts		$	328,039			0.21	%

TOTAL RETURN SWAP CONTRACTS
	Long		195,517			0.13	%
	Short		75,265			0.05	%
			270,782			0.18	%
INVESTMENT IN PRIVATE INVESTMENT COMPANY³
	Galaxy East Alpha (cost: $782,292)	$	3,200,634			2.10	%

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

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

1011

Futures Portfolio Fund, Limited Partnership

Statements of Operations

~~Consolidated Condensed Schedule of Investments (continued)~~For the Three and Nine Months Ended September 30, 2022 and 2021

~~December 31, 2016~~(Unaudited)

Description Fair Value % of Partners’ Capital (Net Asset Value)
U.S. Corporate Notes (continued)
Face Value Maturity Date Name Yield¹
Diversified financial services (continued)
$ 358,000 3/26/18 UBS AG 1.80 % $ 359,901 0.06 %
4,500,000 12/14/17 Visa Inc. 1.20 % 4,498,725 0.80 %
Energy
3,350,000 12/1/17 Kinder Morgan, Inc. 2.00 % 3,361,647 0.60 %
118,000 11/30/17 Pacific Gas and Electric Company 1.13 % 118,152 0.02 %
Healthcare
10,000,000 6/7/18 Aetna Inc. 1.70 % 10,008,433 1.78 %
500,000 1/15/18 Anthem, Inc. 1.88 % 505,068 0.09 %
1,500,000 3/15/18 Medtronic, Inc. 1.50 % 1,507,690 0.27 %
7,750,000 1/17/17 UnitedHealth Group Incorporated 1.33 % 7,776,410 1.38 %
7,775,000 4/1/18 Zimmer Biomet Holdings, Inc. 2.00 % 7,833,002 1.39 %
Insurance
828,000 12/15/17 AIG Global Funding 1.65 % 829,366 0.15 %
352,000 8/15/18 Berkshire Hathaway Inc. 1.15 % 351,702 0.06 %
1,000,000 3/1/17 New York Life Global Funding 1.13 % 1,003,673 0.18 %
1,614,000 10/30/17 New York Life Global Funding 1.30 % 1,618,469 0.29 %
Manufacturing
994,000 11/20/17 Caterpillar Financial Services Corporation 1.16 % 996,206 0.18 %
789,000 2/23/18 Caterpillar Financial Services Corporation 1.62 % 794,323 0.14 %
1,000,000 1/9/17 General Electric Capital Corporation 1.16 % 1,002,681 0.18 %
241,000 2/25/17 Illinois Tool Works Inc. 0.90 % 241,648 0.04 %
700,000 7/11/17 John Deere Capital Corporation 1.33 % 703,523 0.12 %
1,000,000 1/8/19 John Deere Capital Corporation 1.45 % 1,009,224 0.18 %
Pharmaceuticals
7,775,000 5/14/18 AbbVie Inc. 1.80 % 7,795,293 1.38 %
500,000 3/17/17 EMD Fin LLC 1.34 % 500,118 0.09 %
Retail
7,500,000 7/20/18 CVS Health Corporation 1.90 % 7,592,379 1.35 %
783,000 7/15/17 Dollar General Corporation 4.13 % 809,225 0.14 %
4,750,000 9/10/18 Home Depot, Inc. 2.25 % 4,843,088 0.86 %
310,000 4/15/17 Lowe`s Companies, Inc. 1.63 % 311,377 0.06 %
Software
1,400,000 8/8/19 Microsoft Corporation 1.10 % 1,386,517 0.25 %
900,000 7/7/17 Oracle Corporation 1.07 % 902,674 0.16 %
600,000 4/15/18 Oracle Corporation 5.75 % 641,357 0.11 %
Telecommunications
6,750,000 2/15/19 AT&T Inc. 5.80 % 7,395,105 1.31 %
4,000,000 9/20/19 Cisco Systems, Inc. 1.34 % 3,989,903 0.71 %
4,800,000 6/9/17 Verizon Communications Inc. 1.35 % 4,804,623 0.85 %
4,500,000 9/14/18 Verizon Communications Inc. 2.71 % 4,609,325 0.82 %
Total U.S. corporate notes (cost: $186,803,378) 186,349,217 33.08 %

Foreign Corporate Notes
Face Value Maturity Date Name Yield¹
Banks
$ 1,000,000 2/2/17 ABN AMRO Bank N.V. 4.25 % 1,019,746 0.18 %
1,998,000 3/13/17 Commonwealth Bank of Australia 1.32 % 2,000,199 0.36 %
548,000 1/19/17 Cooperatieve Rabobank U.A. 3.38 % 556,823 0.10 %
5,000,000 8/17/18 ING Bank N.V. 1.69 % 5,030,139 0.89 %
500,000 2/22/17 Macquarie Bank Limited 5.00 % 511,460 0.09 %


	Three Months Ended September 30,						Nine Months Ended September 30,
	2022			2021			2022			2021
Realized and Change in Unrealized Gain (Loss) on Investments
Net realized gain (loss) on:
Futures, futures options, swaps and forward contracts	$	129,824		$	(3,125,251	)	$	33,120,355		$	18,519,421

Investment in private investment company		722,045			1,952,646			2,202,508			1,952,646
Investments in securities		70,964			174,076			(315,126	)		414,947
Net change in unrealized gain (loss) on:
Futures, futures options, swaps and forward contracts		8,554,092			(334,396	)		7,700,746			(7,417,666	)
Investment in private investment company		(151,374	)		1,008,508			(45,087	)		4,010,239
Investments in securities		(658,883	)		(298,371	)		(2,084,964	)		(952,880	)
Exchange membership		6,750			4,750			53,000			14,750
Brokerage commissions and trading expenses		(237,167	)		(281,412	)		(778,159	)		(833,626	)
Net realized and change in unrealized gain (loss) on investments		8,436,251			(899,450	)		39,853,273			15,707,831

Net Investment Income (Loss)
Income
Interest income		699,406			193,609			1,218,824			754,281

Expenses
Trading Advisor management fees		603,533			595,425			1,861,961			1,832,673
Trading Advisor incentive fees		512,371			405,193			4,892,688			1,205,864
Cash Managers fees		33,621			36,825			99,479			112,720
General Partner management and performance fees		619,244			605,298			1,858,078			1,873,853
Selling agent fees - General Partner		562,097			551,915			1,693,449			1,713,453
Broker dealer servicing fees - General Partner		22,010			21,644			65,680			66,469
General Partner 1% allocation		65,968			(31,040	)		300,426			90,942
Administrative fee - General Partner		186,031			181,818			558,178			562,835
Total expenses		2,604,875			2,367,078			11,329,939			7,458,809
Net investment income (loss)		(1,905,469	)		(2,173,469	)		(10,111,115	)		(6,704,528	)
Net Income (Loss)	$	6,530,782		$	(3,072,919	)	$	29,742,158		$	9,003,303

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

1112

Futures Portfolio Fund, Limited Partnership

~~Consolidated Condensed Schedule~~Statements of ~~Investments~~Operations (continued)

~~December 31, 2016~~For the Three and Nine Months Ended September 30, 2022 and 2021 (unaudited)

Description Fair Value % of Partners’ Capital (Net Asset Value)
Foreign Corporate Notes (continued)
Face Value Maturity Date Name Yield¹
Banks (continued)
$ 5,000,000 7/23/18 National Australia Bank Limited 1.52 % $ 4,989,884 0.89 %
1,800,000 4/4/17 Svenska Handelsbanken AB 2.88 % 1,820,925 0.32 %
882,000 9/29/17 Swedbank AB 2.13 % 890,977 0.16 %
262,000 3/14/18 Swedbank AB 1.60 % 262,636 0.05 %
1,500,000 7/23/18 Toronto-Dominion Bank 1.42 % 1,502,123 0.27 %
Diversified financial services
800,000 1/29/18 Caisse centrale Desjardins 1.55 % 801,324 0.14 %
222,000 1/13/17 Hutchison Whampoa International Ltd 3.50 % 225,713 0.04 %
Energy
7,500,000 5/3/19 BP Capital Markets P.L.C. 1.68 % 7,471,652 1.32 %
1,000,000 5/10/17 Shell International Finance B.V. 1.20 % 1,002,302 0.18 %
7,500,000 9/12/19 Shell International Finance B.V. 1.38 % 7,443,624 1.32 %
608,000 1/15/18 Total Capital Canada Ltd. 1.45 % 611,937 0.11 %
Pharmaceuticals
6,790,000 3/12/18 Actavis Funding SCS 2.03 % 6,864,143 1.22 %
Total foreign corporate notes (cost: $42,916,443) 43,005,607 7.64 %
Total corporate notes (cost: $229,719,821) 229,354,824 40.72 %

U.S. Asset Backed Securities
Face Value Maturity Date Name Yield¹
Automotive
$ 1,022,130 10/15/18 Ally Auto Receivables Trust 1.17 % $ 1,023,206 0.18 %
123,315 3/15/18 Ally Auto Receivables Trust 2015-2 0.98 % 123,367 0.02 %
233,814 8/15/18 Ally Auto Receivables Trust 2016-1 1.20 % 234,067 0.04 %
352,606 1/8/19 AmeriCredit Auto Receivables Tr 2006-A-F 1.07 % 352,765 0.06 %
65,751 2/8/19 AmeriCredit Auto Receivables Tr 2006-A-F 0.90 % 65,780 0.01 %
1,042,386 6/10/19 AmeriCredit Auto Receivables Tr 2014-3 1.15 % 1,042,699 0.19 %
464,554 4/8/19 AmeriCredit Auto Receivables Tr 2015-4 1.26 % 464,960 0.08 %
375,000 7/15/24 ARI Fleet Lease Trust 1.82 % 376,106 0.07 %
28,531 4/16/18 Bank of the West Auto Trust 2015-1 0.87 % 28,538 0.01 %
536,454 1/22/18 BMW Vehicle Lease Trust 1.17 % 536,740 0.10 %
782,699 1/22/18 BMW Vehicle Lease Trust 2015-2 1.07 % 782,893 0.14 %
812,000 5/28/19 BMW Vehicle Owner Trust 2016-A 0.99 % 811,096 0.14 %
346,511 7/20/18 Capital Auto Receivables Asset Tr 2013-4 1.47 % 346,792 0.06 %
650,000 9/20/19 Capital Auto Receivables Asset Tr 2015-2 1.73 % 651,017 0.12 %
25,157 10/20/17 Capital Auto Receivables Asset Trust 2015-2 1.14 % 25,166 0.00 %
101,681 6/15/18 CarMax Auto Owner Trust 2015-2 0.82 % 101,697 0.02 %
750,000 11/15/19 CarMax Auto Owner Trust 2016-4 1.21 % 751,138 0.13 %
443,244 �� 2/7/27 Chesapeake Funding LLC 1.03 % 440,255 0.08 %
400,000 7/15/19 Drive Auto Receivables Trust 1.67 % 400,713 0.07 %
350,000 11/15/19 Drive Auto Receivables Trust 1.67 % 350,480 0.06 %
115,451 5/15/18 Fifth Third Auto Trust 2015-1 1.02 % 115,503 0.02 %
314,757 5/15/18 Ford Credit Auto Lease Trust 2015-B 1.04 % 314,885 0.06 %
1,250,893 11/15/18 Ford Credit Auto Lease Trust 2016-A 1.42 % 1,253,627 0.22 %
494,027 3/15/19 Ford Credit Auto Owner Trust 2016-B 1.08 % 494,197 0.09 %
342,000 1/15/19 Ford Credit Floorplan Master Owner Tr A 1.92 % 342,432 0.06 %
500,000 7/20/19 GE Dealer Floorplan Master Note 1.12 % 500,272 0.09 %
182,367 1/15/19 Harley-Davidson Motorcycle Trust 2015-2 0.80 % 182,377 0.03 %
581,076 4/10/28 Hertz Fleet Lease Funding LP 0.94 % 581,309 0.10 %
439,595 7/23/18 Honda Auto Receivables 2015-4 Owner Tr 0.82 % 439,411 0.08 %


	Three Months Ended September 30, 2022
	Class A		Class A2		Class A3		Class B		Class I		Class R
Increase (decrease) in net asset value per unit	$	180.08	$	52.68	$	—	$	330.39	$	59.52	$	55.87
Net income (loss) per unit†	$	178.08	$	43.41	$	—	$	325.76	$	59.52	$	55.87

Weighted average number of units outstanding		24,010.6107		292.2057		—		5,724.2673		256.4767		6,486.0210


	Three Months Ended September 30, 2021
	Class A			Class A2			Class A3			Class B			Class I			Class R
Increase (decrease) in net asset value per unit	$	(83.80	)	$	(18.43	)	$	(18.26	)	$	(105.93	)	$	(15.32	)	$	(17.13	)
Net income (loss) per unit†	$	(83.16	)	$	(18.43	)	$	(18.26	)	$	(104.96	)	$	(15.31	)	$	(17.03	)

Weighted average number of units outstanding		27,110.9034			340.7057			38.0000			6,607.0765			256.4767			6,695.0700


	Nine Months Ended September 30, 2022
	Class A		Class A2		Class A3			Class B		Class I		Class R
Increase (decrease) in net asset value per unit	$	791.14	$	223.62	$	(1,041.81	)	$	1,390.04	$	245.43	$	234.05
Net income (loss) per unit†	$	799.96	$	217.47	$	175.50		$	1,394.81	$	245.43	$	234.37

Weighted average number of units outstanding		24,817.6496		326.1557		38.0000			5,897.9202		256.4767		6,493.7384


	Nine Months Ended September 30, 2021
	Class A		Class A2		Class A3		Class B		Class I		Class R
Increase (decrease) in net asset value per unit	$	192.05	$	61.32	$	58.37	$	392.45	$	73.68	$	67.00
Net income (loss) per unit†	$	195.48	$	55.60	$	51.62	$	399.94	$	73.69	$	68.67

Weighted average number of units outstanding		28,981.9716		413.9924		52.4182		7,005.1154		256.4767		7,158.0000

†

based on weighted average of number of unit outstanding during the period

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

Futures Portfolio Fund, Limited Partnership

~~Consolidated Condensed Schedule~~Statements of ~~Investments (continued)~~Cash Flows

~~December 31, 2016~~For the Nine Months Ended September 30, 2022 and 2021

Description Fair Value % of Partners’ Capital (Net Asset Value)
U.S. Asset Backed Securities (continued)
Face Value Maturity Date Name Yield¹
Automotive (continued)
$ 566,271 6/18/18 Honda Auto Receivables 2016-1 Owner Tr 1.01 % $ 566,286 0.10 %
1,460,000 9/17/18 Honda Auto Receivables 2016-2 Owner Tr 1.13 % 1,461,410 0.25 %
89,102 11/20/17 Honda Auto Receivables Owner Trust 0.92 % 89,134 0.02 %
1,300,000 10/18/18 Honda Auto Receivables Owner Trust 1.01 % 1,299,232 0.23 %
1,100,000 5/15/19 Huntington Auto Trust 2016-1 1.29 % 1,100,244 0.20 %
606,644 7/16/18 Hyundai Auto Lease Sec Tr 2016-A 1.25 % 607,580 0.11 %
326,831 11/15/18 Hyundai Auto Receivables Trust 2015-C 0.99 % 326,729 0.06 %
626,552 6/17/19 Hyundai Auto Receivables Trust 2016-A 1.21 % 626,743 0.11 %
386,868 1/16/18 Mercedes-Benz Auto Lease Trust 2015-B 1.00 % 386,931 0.07 %
761,000 9/14/17 Mercedes-Benz Auto Receivables Trust 1.11 % 761,153 0.14 %
1,451,302 7/16/18 Mercedes-Benz Auto Receivables Trust 1.34 % 1,453,171 0.25 %
108,170 11/15/17 Nissan Auto Lease Trust 2015-A 1.05 % 108,234 0.02 %
509,000 5/15/19 Nissan Auto Receivables 1.07 % 508,353 0.09 %
136,517 8/15/18 Nissan Auto Receivables 2013-C Owner Tr 0.67 % 136,506 0.02 %
1,005,000 4/15/19 Nissan Auto Receivables 2016-B Owner Tr 1.05 % 1,004,462 0.18 %
61,619 11/15/18 Santander Drive Auto Receivables Tr 2015-5 1.12 % 61,657 0.01 %
225,000 9/16/19 Santander Drive Auto Receivables Tr 2015-5 1.58 % 225,383 0.04 %
400,000 11/15/19 Santander Drive Auto Receivables Trust 1.34 % 400,238 0.07 %
533,172 8/15/17 Toyota Auto Receivables Owner Trust 1.03 % 533,407 0.09 %
126,761 2/15/18 Toyota Auto Receivables Owner Trust 1.03 % 126,827 0.02 %
551,000 1/15/19 Toyota Auto Receivables Owner Trust 1.00 % 550,301 0.10 %
168,728 10/22/18 Volkswagen Auto Loan Enhanced Tr 2014-1 0.91 % 168,436 0.03 %
106,375 4/20/18 Volkswagen Auto Loan Enhanced Trust 2013-2 0.70 % 106,331 0.02 %
Commercial mortgages
592,970 1/15/49 Banc of America Commercial Mort Tr 2007-1 5.43 % 595,067 0.11 %
Credit card
1,500,000 4/15/20 American Express Credit Account Master Tr 1.49 % 1,504,346 0.27 %
1,000,000 1/15/20 BA Credit Card Trust 0.99 % 1,000,649 0.18 %
300,000 6/15/20 Cabela’s Credit Card Master Note Trust 1.45 % 300,742 0.05 %
1,500,000 1/15/20 Capital One Multi-Asset Execution Trust 1.26 % 1,501,670 0.26 %
1,500,000 2/22/19 Citibank Credit Card Issuance Trust 1.02 % 1,505,422 0.27 %
1,000,000 10/15/19 Discover Card Execution Note Trust 1.22 % 1,000,875 0.18 %
350,000 11/16/20 Synchrony Credit Card Master Note Trust 1.61 % 350,992 0.06 %
1,000,000 3/15/21 World Fin Network Credit Card Master Note Tr 1.26 % 1,001,440 0.18 %
Other
55,981 8/15/18 CNH Equipment Trust 2013-B 0.69 % 55,985 0.01 %
700,000 9/22/20 Dell Equipment Finance Trust 1.72 % 700,091 0.12 %
500,000 3/23/20 Dell Equipment Finance Trust 2015-1 1.30 % 500,063 0.09 %
103,639 2/15/18 John Deere Owner Trust 2015 0.87 % 103,665 0.02 %
35,668 12/15/17 Kubota Credit Owner Trust 2015-1 0.94 % 35,680 0.01 %
Student loans
8,941 8/15/25 SLM Private Education Loan Trust 2012-A 2.10 % 8,954 0.00 %
29,942 10/16/23 SLM Private Education Loan Trust 2012-E 1.45 % 29,962 0.01 %
84,411 8/15/22 SLM Private Education Loan Trust 2013-A 1.30 % 84,526 0.02 %
Total U.S. asset backed securities (cost: $36,030,992) 36,022,365 6.40 %
Total investments in securities (cost: $424,687,833) $ 424,440,330 75.36 %


	Nine Months Ended September 30,
	2022			2021
Cash flows from operating activities
Net income (loss)	$	29,742,158		$	9,003,303
Adjustments to reconcile net income (loss) to net cash provided by operating activities:
Net change in unrealized (gain) loss from futures, futures options, forward contracts and swap contracts		(7,700,746	)		7,358,760
Net realized and change in unrealized (gain) loss on SMFSF, private investment company, securities and certificates of deposit		242,669			(5,424,952	)
Purchases of securities and private investment company		(272,549,722	)		(281,462,505	)
Proceeds from disposition of securities and private investment company		280,911,261			295,793,782
Exchange Membership		(53,000	)		(14,750	)
Changes in
Dividend and interest receivable		(26,914	)		—
Trading Advisor management fee payable		(9,520	)		(61,619	)
Trading Advisor incentive fee payable		683,405			864,756
Commissions and other trading fees payable on open contracts		461			(8,854	)
Cash Manager fees Payable		(2,316	)		(5,474	)
General Partner management and performance fees payable		22,176			(26,087	)
General Partner 1% allocation receivable / payable		192,655			210,815
Selling Agent fees payable - General Partner		18,375			(26,302	)
Broker dealer servicing fees payable - General Partner		867			(700	)
Administrative fee payable – General Partner		7,216			(7,738	)
Dividend and interest payable		(3,384	)		2,007
Net cash provided by operating activities		31,475,641			26,194,442

Cash flows from financing activities
Subscriptions		185,000			653,492
Subscriptions received in advance		—			750,000
Redemptions		(12,286,236	)		(30,399,388	)
Net cash used in financing activities		(12,101,236	)		(28,995,896	)

Net increase (decrease) in cash and cash equivalents		19,374,405			(2,801,454	)
Cash and cash equivalents, beginning of period		50,020,190			50,569,879
Cash and cash equivalents, end of period	$	69,394,595		$	47,768,425

End of period cash and cash equivalents consists of
Cash in broker trading accounts	$	52,208,097		$	40,817,333
Cash and cash equivalents		17,186,498			6,951,092
Total end of period cash and cash equivalents	$	69,394,595		$	47,768,425

Supplemental disclosure of cash flow information
Prior period redemptions paid	$	1,285,931		$	5,585,666
Prior period subscriptions received in advance	$	—		$	33,000

Supplemental schedule of non-cash financing activities
Redemptions payable	$	1,369,339		$	1,206,869

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

13 14

Futures Portfolio Fund, Limited Partnership

~~Consolidated Condensed Schedule~~Statements of ~~Investments (continued)~~Changes in Partners’ Capital (Net Asset Value)

~~December 31, 2016~~For the Nine Months Ended September 30, 2022 and 2021

	Class A			Class A2			Class A3			Class B			Class I			Class R			Total
Nine Months Ended September 30, 2022
Balance at December 31, 2021	$	104,241,918		$	366,207		$	39,588		$	40,086,210		$	285,819		$	7,133,264		$	152,153,006
Net income (loss)		11,243,570			41,220			4,440			4,477,497			33,238			814,734			16,614,699
Subscriptions		35,000			—			—			—			—			—			35,000
Redemptions		(2,690,977	)		—			—			(900,516	)		—			—			(3,591,493	)
Transfers		(32,191	)		—			—			32,191			—			—			—
Balance at March 31, 2022		112,797,320			407,427			44,028			43,695,382			319,057			7,947,998			165,211,212
Net income (loss)		4,333,931			17,022			2,230			1,884,258			14,444			344,792			6,596,677
Subscriptions		—			—			—			150,000			—			—			150,000
Redemptions		(3,507,541	)		—			(46,258	)		(1,219,839	)		—			(25,000	)		(4,798,638	)
Transfers		(58,487	)		—			—			58,487			—			—			—
Balance at June 30, 2022		113,565,223			424,449			—			44,568,288			333,501			8,267,790			167,159,251
Net income (loss)		4,275,697			12,686			—			1,864,728			15,266			362,405			6,530,782
Subscriptions		—			—			—			—			—			—			—
Redemptions		(2,409,592	)		(57,715	)		—			(1,512,206	)		—			—			(3,979,513	)
Transfers		(164,128	)		—			—			164,128			—			—			—
Balance at September 30, 2022	$	115,267,200		$	379,420		$	—		$	45,084,938		$	348,767		$	8,630,195		$	169,710,520

Nine Months Ended September 30, 2021
Balance at December 31, 2020	$	118,745,248		$	523,333			83,577		$	45,043,756		$	262,500		$	7,779,218		$	172,437,632
Net income (loss)		1,006,946			6,418			939			593,906			4,196			108,243			1,720,648
Subscriptions		136,000			—			—			33,000			—			—			169,000
Redemptions		(8,297,140	)		(184,599.00	)		(47,162	)		(2,362,895	)		—			(545,734	)		(11,437,530	)
Transfers		(125,790	)		—			—			125,790			—			—			—
Balance at March 31, 2021		111,465,264			345,152			37,354			43,433,557			266,696			7,341,727			162,889,750
Net income (loss)		6,912,990			22,877			2,461			2,901,251			18,630			497,365			10,355,574
Subscriptions		72,492			—			—			300,000			—			—			372,492
Redemptions		(5,789,986	)		—			—			(2,683,935	)		—			(405,815	)		(8,879,736	)
Transfers		(93,729	)		—			—			93,729			—			—			—
Balance at June 30, 2021		112,567,031			368,029			39,815			44,044,602			285,326			7,433,277			164,738,080
Net income (loss)		(2,254,471	)		(6,278	)		(694	)		(693,507	)		(3,927	)		(114,042	)		(3,072,919	)
Subscriptions		75,000			—			—			70,000			—			—			145,000
Redemptions		(4,190,773	)		—			—			(1,282,322	)		—			(230,230	)		(5,703,325	)
Transfers		(60,539	)		—			—			60,539			—			—			—
Balance at September 30, 2021	$	106,136,248		$	361,751		$	39,121		$	42,199,312		$	281,399		$	7,089,005		$	156,106,836

Description Fair Value % of Partners’ Capital (Net Asset Value)

CERTIFICATES OF DEPOSIT
U.S. Certificates of Deposit
Face Value Maturity Date Name Yield¹
Banks
$ 750,000 6/30/17 Bank of Montreal 1.10 % $ 753,644 0.13 %
1,500,000 8/16/17 Bank of Montreal 1.39 % 1,505,016 0.27 %
800,000 5/16/17 Bank of Nova Scotia 1.29 % 804,470 0.14 %
1,000,000 12/6/17 Barclays Bank PLC 1.68 % 1,001,982 0.18 %
1,000,000 5/24/17 Canadian Imperial Bank of Commerce 1.33 % 1,002,565 0.18 %
1,000,000 10/6/17 Canadian Imperial Bank of Commerce 1.33 % 1,004,618 0.18 %
2,000,000 3/6/17 Cooperatieve Rabobank U.A. 1.18 % 2,008,638 0.36 %
1,650,000 9/12/17 Credit Suisse Group AG 1.75 % 1,653,843 0.29 %
1,300,000 12/12/17 Lloyds Bank PLC 1.41 % 1,302,755 0.23 %
400,000 12/20/17 Lloyds Bank PLC 1.44 % 400,748 0.07 %
1,000,000 3/15/17 Mitsubishi UFJ Trust & Banking Corp 1.25 % 1,004,426 0.18 %
2,000,000 7/13/17 Mizuho Bank, Ltd. 1.30 % 2,012,395 0.36 %
1,408,000 5/24/17 National Bank of Canada 1.32 % 1,411,615 0.25 %
2,000,000 2/13/17 Nordea Bank Finland 1.18 % 2,004,282 0.35 %
1,500,000 3/1/17 Nordea Bank Finland 1.19 % 1,506,862 0.27 %
850,000 7/26/17 Norinchukin Bank 1.43 % 855,978 0.15 %
1,150,000 7/27/17 Norinchukin Bank 1.43 % 1,158,034 0.21 %
900,000 7/14/17 State Street Bank And Trust Company 1.34 % 903,876 0.16 %
1,000,000 7/19/17 Sumitomo Mitsui Banking Corporation 1.45 % 1,007,938 0.18 %
1,000,000 10/12/17 Sumitomo Mitsui Banking Corporation 1.50 % 1,005,213 0.18 %
1,500,000 7/20/17 Sumitomo Mitsui Trust Bank Ltd 1.50 % 1,512,606 0.27 %
1,000,000 8/8/17 Sumitomo Mitsui Trust Bank Ltd 1.53 % 1,008,019 0.18 %
1,000,000 12/7/17 Svenska Handelsbanken AB 1.43 % 1,002,292 0.18 %
2,000,000 5/3/17 Toronto-Dominion Bank 1.15 % 2,015,800 0.36 %
1,700,000 7/13/17 Toronto-Dominion Bank 1.20 % 1,709,858 0.30 %
750,000 9/22/17 Wells Fargo Bank, National Association 1.34 % 751,219 0.13 %
1,500,000 1/19/17 Westpac Banking Corporation 1.23 % 1,504,270 0.27 %
1,000,000 3/17/17 Westpac Banking Corporation 1.13 % 1,009,457 0.18 %
750,000 7/14/17 Westpac Banking Corporation 1.23 % 754,076 0.13 %
Total U.S. certificates of deposit (cost: $35,406,974) 35,576,495 6.32 %

OPEN FUTURES CONTRACTS

Long U.S. Futures Contracts
Agricultural commodities $ (758,117 ) (0.13 )%
Currencies 57,122 0.01 %
Energy 2,297,452 0.40 %
Equity indices (737,627 ) (0.13 )%
Interest rate instruments (7,915 ) 0.00 %
Metals 148,930 0.03 %
Single stock futures (197,540 ) (0.04 )%
Net unrealized gain (loss) on open long U.S. futures contracts 802,305 0.14 %

Short U.S. Futures Contracts
Agricultural commodities 1,280,501 0.24 %
Currencies 1,039,713 0.18 %
Energy (108,150 ) (0.02 )%
Equity indices (169,214 ) (0.03 )%
Interest rate instruments (25,730 ) 0.00 %

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

14 15

Futures Portfolio Fund, Limited Partnership

~~Consolidated Condensed Schedule~~Statements of ~~Investments (continued)~~Changes in Partners’ Capital (Net Asset Value)

~~December 31, 2016~~For the Nine Months Ended September 30, 2022 and 2021

	Units
	Class A			Class A2			Class A3			Class B			Class I		Class R
Nine Months Ended September 30, 2022
Balance at December 31, 2021		25,762.1732			340.7072			38.0000			6,103.5404			256.4767		6,505.3148
Subscriptions		8.5136			—			—			—			—		—
Redemptions		(619.2722	)		—			—			(134.4111	)		—		(0.0001	)
Transfers		(7.9845	)		—			—			4.9119			—		—
Balance at March 31, 2022		25,143.4301			340.7072			38.0000			5,974.0412			256.4767		6,505.3147
Subscriptions		—			—			—			20.5080			—		—
Redemptions		(747.0429	)		—			(38.00	)		(158.9329	)		—		(19.2938	)
Transfers		(12.4347	)		—			—			7.6041			—		—
Balance at June 30, 2022		24,383.9525			340.7072			—			5,843.2204			256.4767		6,486.0209
Subscriptions		—			—			—			—			—		—
Redemptions		(520.2728	)		(48.50	)		—			(199.3821	)		—		—
Transfers		(35.6593	)		—			—			21.7094			—		—
Balance at September 30, 2022		23,828.0204			292.2072			0.0000			5,665.5477			256.4767		6,486.0209

Nine Months Ended September 30, 2021
Balance at December 31, 2020		31,093.6903			523.0963			86.0607			7,397.6586			256.4767		7,667.4336
Subscriptions		36.3455			—			—			5.4197			—		—
Redemptions		(2,171.6400	)		(182.3906	)		(48.0607	)		(386.6001	)		—		(531.8037	)
Transfers		(33.6170	)		—			—			21.0531			—		—
Balance at March 31, 2021		28,924.7788			340.7057			38.0000			7,037.5313			256.4767		7,135.6299
Subscriptions		18.0915			—			—			48.6089			—		—
Redemptions		(1,429.2377	)		—			—			(414.4382	)		—		(370.1843	)
Transfers		(23.3916	)		—			—			14.5840			—		—
Balance at June 30, 2021		27,490.2410			340.7057			38.0000			6,686.2860			256.4767		6,765.4456
Subscriptions		18.5156			—			—			10.6510			—		—
Redemptions		(1,032.5974	)		—			—			(195.2806	)		—		(211.1318	)
Transfers		(14.8520	)		—			—			9.2108			—		—
Balance at September 30, 2021		26,461.3072			340.7057			38.0000			6,510.8672			256.4767		6,554.3138

Description Fair Value % of Partners’
Capital (Net
Asset Value)
Short U.S. Futures Contracts (continued)
Metals (479,571 ) (0.09 )%
Single stock futures 15,218 0.00 %
Net unrealized gain (loss) on open short U.S. futures contracts 1,552,767 0.28 %

Total U.S. Futures Contracts - Net unrealized gain (loss) on open U.S. futures contracts 2,355,072 0.42 %

Long Foreign Futures Contracts
Agricultural commodities (48,039 ) (0.01 )%
Currencies 2,449 0.00 %
Energy 57,736 0.01 %
Equity indices 3,930,592 0.70 %
Interest rate instruments 2,418,594 0.43 %
Metals 12,893 0.00 %
Single stock futures 10,212 0.00 %
Net unrealized gain (loss) on open long foreign futures contracts 6,384,437 1.13 %

Short Foreign Futures Contracts
Agricultural commodities 215,816 0.04 %
Currencies 39,407 0.01 %
Equity indices 200,192 0.03 %
Interest rate instruments (273,674 ) (0.05 )%
Metals (21 ) 0.00 %
Net unrealized gain (loss) on open short foreign futures contracts 181,720 0.03 %

Total foreign futures contracts - net unrealized gain (loss) on open foreign futures contracts 6,566,157 1.16 %

Net unrealized gain (loss) on open futures contracts $ 8,921,229 1.58 %

OPEN FORWARD CURRENCY CONTRACTS

U.S. Forward Currency Contracts
Long $ (860,243 ) (0.15 )%
Short 1,557,396 0.28 %
Net unrealized gain (loss) on open U.S. forward currency contracts 697,153 0.13 %

Foreign Forward Currency Contracts
Long 472,811 0.08 %
Short (339,811 ) (0.06 )%
Net unrealized gain (loss) on open foreign forward currency contracts 133,000 0.02 %

Net unrealized gain (loss) on open forward currency contracts $ 830,153 0.15 %

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

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

	Net Asset Value per Unit
	Class A		Class A2		Class A3		Class B		Class I		Class R

September 30, 2022	$	4,837.46	$	1,298.47	$	—	$	7,957.74	$	1,359.84	$	1,330.58
December 31, 2021		4,046.32		1,074.85		1041.81		6,567.70		1,114.41		1,096.53
September 30, 2021		4,011.00		1,061.77		1029.52		6,481.37		1,097.17		1,081.58
December 31, 2020		3,818.95		1,000.45		971.15		6,088.92		1,023.49		1,014.58

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

~~Futures Portfolio Fund, Limited Partnership~~

~~Consolidated Statements of Operations~~

~~For the Three and Nine Months Ended September 30, 2017 and 2016 (unaudited)~~

Three Months Ended
September 30,

Nine Months Ended
September 30,

2017 2016 2017 2016
Realized and change in unrealized gain (loss) on investments
Net realized gain (loss) on:
Futures, forward currency and swap contracts $ (9,839,658 ) $ 10,357,243 $ (2,048,554 ) $ 42,154,724
Investment in SMFSF 80,105 — 80,105 —
Investments in securities and CDs 142,942 (470,142 ) 169,099 (783,123 )
Net change in unrealized gain (loss) on:
Futures, forward currency and swap contracts 17,516,487 (23,420,648 ) (7,693,615 ) 3,683,254
Investment in SMFSF (572,177 ) — (572,177 ) —
Investments in securities and CDs 36,487 (968,179 ) 168,346 329,988
Exchange membership 21,750 — 43,500 —
Brokerage commissions and trading expenses (1,247,256 ) (1,348,979 ) (3,742,728 ) (3,923,241 )
Net realized and changed in unrealized gain (loss) on investments 6,138,680 (15,850,705 ) (13,596,024 ) 41,461,602

Net investment income (loss)
Income
Interest income (loss) 1,294,030 1,303,861 4,127,974 3,723,825

Expenses
Trading Advisor management fee 1,528,553 2,133,783 5,224,961 6,302,849
Trading Advisor incentive fee 86,974 991,813 3,401,806 4,290,609
Cash manager fees 76,038 128,822 269,927 377,753
General Partner management and performance fees 1,464,389 2,285,856 5,033,328 7,059,241
Selling agent and broker dealer servicing fees – General Partner 1,370,972 2,121,656 4,645,348 6,555,898
General Partner 1% allocation 12,530 (225,983 ) (297,618 ) 165,646
Administrative expenses – General Partner 274,670 428,692 940,774 1,363,344
Investment Manager fees 226,354 392,201 953,748 1,043,940
Distribution (12b-1) fees 6,692 7,847 25,397 21,124
Operating services fee 31,043 53,788 130,800 186,914
Total expenses 5,078,215 8,318,475 20,328,471 27,367,318
Net investment income (loss) (3,784,185 ) (7,014,614 ) (16,200,497 ) (23,643,493 )
Net income (loss) 2,354,495 (22,865,319 ) (29,796,521 ) 17,818,109
Less: net (income) loss attributable to non-controlling interest (1,114,081 ) 493,024 332,291 (1,419,145 )
Net income (loss) attributable to the Fund $ 1,240,414 $ (22,372,295 ) $ (29,464,230 ) $ 16,398,964

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

Futures Portfolio Fund, Limited Partnership

~~Consolidated Statements of Operations (continued)~~

~~For the Three and Nine Months Ended September 30, 2017 and 2016 (unaudited)~~

Three Months Ended September 30,
2017
Class A Class B Class I Class R
Increase (decrease) in net asset value per unit $ (0.14 ) $ 25.33 $ 6.43 $ 4.66
Net income (loss) per unit† $ 5.31 $ 41.29 $ 6.59 $ 6.30

Weighted average number of units outstanding 66,562.7105 18,942.0684 3,751.4065 12,702.8260

Three Months Ended September 30,
2016
Class A Class B Class I Class R
Increase (decrease) in net asset value per unit $ (169.30 ) $ (220.84 ) $ (33.00 ) $ —
Net income (loss) per unit† $ (170.75 ) $ (219.80 ) $ (33.00 ) $ —

Weighted average number of units outstanding 90,388.1104 30,992.2443 3,828.4541 —

Nine Months Ended September 30,
2017
Class A Class B Class I Class R
Increase (decrease) in net asset value per unit $ (283.69 ) $ (344.84 ) $ (48.82 ) $ (50.43 )
Net income (loss) per unit† $ (281.75 ) $ (342.26 ) $ (47.29 ) $ (50.88 )

Weighted average number of units outstanding 73,215.6232 23,391.8162 3,597.1033 12,971.5921

Nine Months Ended September 30,
2016
Class A Class B Class I Class R
Increase (decrease) in net asset value per unit $ 80.47 $ 201.75 $ 39.02 $ —
Net income (loss) per unit† $ 96.35 $ 228.34 $ 39.03 $ —

Weighted average number of units outstanding 93,090.3784 31,883.0013 3,828.4541 —

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

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

~~Futures Portfolio Fund, Limited Partnership~~

~~Consolidated Statements of Cash Flows~~

~~For the Nine Months Ended September 30, 2017 and 2016~~

~~(Unaudited)~~

2017 2016
Cash flows from operating activities
Net income (loss) $ (29,796,521 ) $ 17,818,109
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities
Net change in unrealized (gain) loss from futures, forwards and swap trading 7,671,816 (3,683,254 )
Net realized and change in unrealized (gain) loss on SMFSF, securities and certificates of deposit 154,627 453,135
Purchases of securities, certificates of deposit and exchange membership (572,811,282 ) (811,168,364 )
Proceeds from disposition of SMFSF, securities and certificates of deposit 720,420,797 793,882,748
Changes in
Exchange membership (43,500 ) —
Trading Advisor management fee payable (17,908 ) (470,369 )
Trading Advisor incentive fee payable (1,494,204 ) 774,957
Commissions and other trading fees payable on open contracts (25,661 ) (3,703 )
Cash Managers fees payable (4,711 ) 2,377
General Partner management and performance fees payable (219,923 ) (51,897 )
General Partner 1% allocation receivable/payable (198,867 ) 437,076
Selling agent and broker dealer servicing fees payable – General Partner (194,649 ) (52,054 )
Administrative expenses payable – General Partner (39,864 ) (16,839 )
Investment Manager fee payable (16,315 ) 44,803
Distribution (12b-1) fees payable 370 501
Operating services fee payable (2,238 ) (15,906 )
Net cash provided by (used in) operating activities 123,381,967 (2,048,680 )

Cash flows from financing activities
Subscriptions 18,793,457 19,675,928
Subscriptions received in advance 286,000 1,729,565
Redemptions (163,334,507 ) (78,684,472 )
Non-controlling interest – subscriptions (161,710 ) 11,555,082
Non-controlling interest – redemptions (269,299 ) (3,332,132 )
Effect of deconsolidation of SMFSF (19,504,266 ) —
Net cash provided by (used in) financing activities (164,190,325 ) (49,056,029 )

Net increase (decrease) in cash and cash equivalents (40,808,358 ) (51,104,709 )
Cash and cash equivalents, beginning of period 118,136,562 179,026,770
Cash and cash equivalents, end of period $ 77,328,204 $ 127,922,061

End of period cash and cash equivalents consists of
Cash in broker trading accounts $ 63,212,307 $ 90,132,643
Cash and cash equivalents 14,115,897 37,789,418
Total end of period cash and cash equivalents $ 77,328,204 $ 127,922,061

Supplemental disclosure of cash flow information
Prior period redemptions paid $ 18,217,216 $ 11,143,201
Prior period subscriptions received in advance $ 2,687,191 $ 1,086,965

Supplemental schedule of non-cash financing activities
Redemptions payable $ 14,901,008 $ 7,373,477

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

~~Futures Portfolio Fund, Limited Partnership~~

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

~~For the Nine Months Ended September 30, 2017 and 2016~~

~~(Unaudited)~~

Class A Class B Class I Class R Non-Controlling Interest
Units Amount Units Amount Units Amount Units Amount Amount Total
Nine Months Ended
September 30, 2017

Balance at December 31, 2016 84,825.0303 $ 347,445,757 29,193.8071 $ 177,512,074 3,828.4541 $ 3,763,781 — $ — $ 34,477,673 $ 563,199,285
Net income (loss) (20,628,190 ) (8,005,986 ) (170,098 ) (659,956 ) (332,291 ) (29,796,521 )
Subscriptions 991.2813 3,984,328 532.3170 3,218,700 519.3249 500,000 775.2776 760,000 13,017,620 21,480,648
Redemptions (22,000.6112 ) (87,487,792 ) (10,390.4768 ) (61,159,719 ) (881.5011 ) (855,189 ) (1,887.9383 ) (1,827,632 ) (8,993,026 ) (160,323,358 )
Transfers (361.1106 ) (1,403,904 ) (1,974.9518 ) (11,990,485 ) — — 13,399.0197 13,394,389 — —
Effect of Deconsolidation — — — — — — — — (38,169,976 ) (38,169,976 )
Balance at September 30, 2017 63,454.5898 $ 241,910,199 17,360.6955 $ 99,574,584 3,466.2779 $ 3,238,494 12,286.3590 $ 11,666,801 $ — $ 356,390,078

Nine Months Ended
September 30, 2016

Balance at December 31, 2015 98,034.9581 $ 412,948,548 33,265.6588 $ 204,329,032 3,828.4541 $ 3,767,830 — — $ 22,540,476 $ 643,585,886
Net income (loss) 8,969,533 7,280,014 149,417 — 1,419,145 17,818,109
Subscriptions 2,947.1337 13,195,318 1,171.9596 7,567,575 — — — — 11,716,060 32,478,953
Redemptions (10,767.9310 ) (47,814,908 ) (4,155.8782 ) (27,081,645 ) — — — — (3,350,327 ) (78,246,880 )
Transfers (614.8596 ) (2,672,735 ) 418.9100 2,672,735 — — — — — —
Balance at September 30, 2016 89,599.3012 $ 384,625,756 30,700.6502 $ 194,767,711 3,828.4541 $ 3,917,247 — — $ 32,325,354 $ 615,636,068

~~Net Asset Value per Unit~~

Class A Class B Class I Class R

September 30, 2017 $ 3,812.34 $ 5,735.63 $ 934.29 $ 949.57
December 31, 2016 4,096.03 6,080.47 983.11 —
September 30, 2016 4,292.73 6,344.09 1023.19 —
December 31, 2015 4,212.26 6,142.34 984.17 —

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

~~Futures Portfolio Fund, Limited Partnership~~

Notes to ~~Consolidated~~ Financial Statements

Organization and Summary of Significant Accounting Policies

Description of the Fund

Futures Portfolio Fund, Limited Partnership (“Fund”) is a Maryland limited partnership, which operates as a commodity investment pool that commenced trading operations on January 2, 1990. The Fund issues units of limited partner interests (“Units”) in six classes, Class A, A2, A3, B, I and R, which represent units of fractional undivided beneficial interest in and ownership of the Fund. ~~The Fund will automatically terminate on December 31, 2025, unless terminated earlier as provided in the Third Amended and Restated Limited Partnership Agreement (“Partnership Agreement”).~~As of September 30, 2022, there are no outstanding Class A3 units.

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

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

Steben & Company, ~~Inc.~~LLC (“General Partner”), is the general partner of the Fund and a Maryland ~~corporation~~limited liability company registered with the CFTC as a commodity pool operator and a commodities introducing broker, and is also registered with the SEC as a registered investment advisor and a broker dealer. The General Partner is a member of the ~~NFA and FINRA.~~NFA. The General Partner manages all aspects of the Fund’s business and serves as one of the Fund’s selling agents.

The six classes of Units in the Fund differ only in the fees applicable to each class. Class A Units are subject to a 2% per annum selling agent fee. Class A2 Units may pay an up-front sales commission of up to 3% of the offering price and a 0.6% per annum selling agent fee. Class A3 Units may pay an up-front sales commission of up to 2% of the offering price and a 0.75% per annum selling agent fee. Class B Units are subject to a 0.2% per annum broker dealer servicing fee. Class I Units are subject to higher minimum investments requirements and lower General Partner management fees (0.75% per annum instead of 1.50% per annum)class, as ~~well as a General Partner performance fee (7.5% of new profits,~~ described more fully in Footnote 4). Class R Units do not pay selling compensation or servicing fees to selling agents, and are generally intended for clients of registered investment advisors. Class R Units were introduced in March 2017, and Class A2 and A3 Units were introduced in June 2017. On April 1, 2017, approximately $14 million in Class B Units transferred to R Units. There were no Class A2 or Class A3 Units outstanding on September 30, 2017.below:

●

Class A Units are subject to a 2% per annum selling agent fee.

●

Class A2 Units may pay an up-front sales commission of up to 3% of the offering price and a 0.6% per annum selling agent fee.

●

Class A3 Units may pay an up-front sales commission of up to 2% of the offering price and a 0.75% per annum selling agent fee.

●

Class B Units are subject to a 0.2% per annum broker dealer servicing fee.

●

Class I Units are subject to higher minimum investments requirements and lower General Partner management fees (0.75% per annum instead of 1.50% per annum) as well as a General Partner performance fee (7.5% of new profits, described more fully in Footnote 4).

●

Class R Units do not pay selling compensation or servicing fees to selling agents, and are generally intended for clients of registered investment advisors.

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 management 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. Prior to March 2016, SMFSF used a total return swap to gain access to the gains and losses of a basket of trading advisors.

Prior to August 31, 2017, the Fund owned more than 50% of the 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.

On August 31, 2017, the Fund’s ownership of SMFSF dropped below 50%. With this decrease in ownership, the Fund no longer has effective control of SMFSF, and effective August 31, 2017 no longer consolidates the assets, liabilities and operating results of SMFSF into the Fund. The Fund continues to hold an investment in SMFSF and now accounts for the investment under the equity method of accounting which approximates fair value. 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. Please see Note 13 for additional information regarding the deconsolidation of this subsidiary.

~~For the three and nine months ended September 30, 2017, the Fund redeemed $5 million and $16 million, respectively, of its investment in SMFSF.~~

Significant Accounting Policies

Accounting Principles

The Fund’s ~~consolidated~~ financial statements are prepared in conformity with U.S. generally accepted accounting principles (“GAAP”). ~~The~~Under GAAP, the Fund is an investment company and follows accounting and reporting guidance under the Financial Accounting Standards Board (FASB) Accounting Standard Codification (ASC) Topic 946,Financial Services – Investment Companies.

~~Consolidation~~

The accompanying consolidated financial statements include the accounts of the Fund and SMFSF, for which the Fund was the majority shareholder. Intercompany accounts and transactions have been eliminated in consolidation.

Use of Estimates

Preparing ~~consolidated~~ financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the amounts reported in the ~~consolidated~~ financial statements and accompanying notes. Actual results could differ from those estimates.

Revenue Recognition

Futures, forward currency contracts, investments in securities, certificates of deposit, and the exchange membership are recorded on a trade date basis, and gains or losses are realized when contracts/positions are liquidated. Realized gains and losses on investments in securities and certificates of deposit are determined on a specific identification basis and are included in net realized ~~and change in unrealized~~ gain (loss) in the ~~consolidated~~ statements of operations. Unrealized gains and losses on open contracts (the difference between contract trade price and fair value) are reported in the ~~consolidated~~ statements of financial condition as net unrealized gain or loss, as there exists a right of offset of any unrealized gains or losses. The difference between cost and the fair value of open investments in securities and certificates of deposit is reflected as unrealized gain or loss on investments in securities and certificates of deposit. Any change in net unrealized gain or loss from the preceding period is reported in the ~~consolidated~~ statements of operations. Interest income earned on investments in securities, certificates of deposit and other cash and cash equivalent balances is recorded on an accrual basis. Market discounts and premiums on fixed-income securities are amortized daily over the expected life of the security using the effective yield method.

Fair Value of Financial Instruments

Financial instruments are recorded at fair value, the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants. Assets and liabilities recorded at fair value are classified within a fair value hierarchy based upon the level of judgment associated with the inputs used to measure their value. This fair value hierarchy gives the highest priority to quoted prices in active markets for identical assets or liabilities (Level 1) and the lowest priority to unobservable inputs (Level 3). The three levels of the fair value hierarchy are described below:

~~Level 1 –~~

Fair value is based on unadjusted quoted prices for identical instruments in active markets. Financial instruments utilizing Level 1 inputs include futures contracts, U.S. Treasury securities, money market funds and the investment in SMFSF.

~~Level 2 –~~

Fair value is based on quoted prices for similar instruments in active markets and inputs other than quoted prices that are observable for the financial instrument, such as interest rates and yield curves that are observable at commonly quoted intervals using a market approach. Financial instruments utilizing Level 2 inputs include forward currency contracts, swaps, commercial paper, corporate notes, certificates of deposit, asset backed securities and the exchange membership.

~~Level 3 –~~

~~Fair value is based on valuation techniques in which one or more significant inputs are unobservable. The Fund has no financial instruments utilizing Level 3 inputs.~~

Level 1 – Fair value is based on unadjusted quoted prices for identical instruments in active markets. Financial instruments utilizing Level 1 inputs include futures contracts, U.S. Treasury securities and mutual funds.

Level 2 – Fair value is based on quoted prices for similar instruments in active markets and inputs other than quoted prices that are observable for the financial instrument, such as interest rates and yield curves that are observable at commonly quoted intervals using a market approach. Financial instruments utilizing Level 2 inputs include forward currency contracts, swaps, certificates of deposit, commercial paper, corporate notes, asset backed securities and the exchange membership.

Level 3 – Fair value is based on valuation techniques in which one or more significant inputs are unobservable. The Fund has no financial instruments utilizing Level 3 inputs.

In certain cases, the inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, an instrument’s level within the fair value hierarchy is based on the lowest level of input that is significant to the fair value measurement. The Fund’s assessment of the significance of a particular input to the fair value measurement in its entirety requires judgment and considers factors specific to the investment.

The Fund assesses the classification of the instruments at each measurement date, and any transfers between levels are recognized on the actual date of the event or change in circumstances that caused the transfer in accordance with the Fund’s accounting policy regarding the recognition of transfers between levels of the fair value hierarchy. For the period ended September 30, ~~2017~~2022 and year ended December 31, ~~2016,~~2021, there were no such transfers between levels.

A description of the valuation techniques applied to the Fund’s major categories of assets and liabilities measured at fair value on a recurring basis follows.

U.S. Treasury securities are recorded at fair value based on bid and ask quotes for identical instruments. Commercial paper, certificates of deposit, corporate notes, asset backed securities and the exchange membership are recorded at fair value based on bid and ask quotes for similar, but not identical, instruments. Accordingly, U.S. Treasury securities are classified within Level 1, and commercial paper, certificates of deposit, corporate notes, asset backed securities and exchange memberships are classified within Level 2.

The investment in ~~SMFSF,~~ a money market fund and futures contracts are valued using quoted market prices for identical assets in active markets and are classified within Level 1. The money market fund is included in cash and cash equivalents in the ~~consolidated~~ statements of financial condition. The fair values of forward currency contracts are based upon third-party quoted dealer values on the interbank market and are classified within Level 2. The Fund’s valuation policy for swaps is that fair value is based on the terms of the contracts (such as the notional amount and the contract maturity) and current market data and counterparty credit risk. Swaps are generally categorized as level 2 in the fair value hierarchy. 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. Investments measured at fair value using the new asset value practical expedient are not categorized in the fair value hierarchy.

Cash and Cash Equivalents

Cash and cash equivalents may include cash, funds held in money market accounts and short-term investments with maturities of three months or less at the date of acquisition and that are not held for sale in the normal course of business. The Fund maintains deposits with financial institutions in amounts that are in excess of federally insured limits; however, the Fund does not believe it is exposed to any significant credit risk.

Exchange Membership

~~During 2017, the~~The Fund ~~purchased a membership interest in the Chicago Mercantile Exchange (CME). By purchasing the membership, the Fund will incur~~incurs reduced fees for transactions on the Chicago Mercantile Exchange (CME) due to a membership interest in the CME. The membership is accounted at its fair value and changes in fair value are reported in net change in unrealized gain (loss) in exchange membership on the statement of operations.

Brokerage Commissions and Trading Expenses

Brokerage commissions and trading expenses include brokerage and other trading fees and are charged to expense when contracts are opened and closed.

Redemptions Payable

Redemptions payable represent redemptions that meet the requirements of the Fund and have been approved by the General Partner prior to period-end. These redemptions have been recorded using the period-end net asset value per Unit.

Income Taxes

The Fund prepares calendar year U.S. and applicable state and local tax returns. The Fund is not subject to federal income taxes as each partner is individually liable for his or her allocable share of the Fund’s income, expenses and trading gains or losses. The Fund evaluates the tax positions taken or expected to be taken in the course of preparing the Fund’s tax returns to determine whether the tax positions are more-likely-than-not to be sustained when examined by the applicable tax authority. Tax positions not deemed to meet the more-likely-than-not threshold would be recorded as a tax benefit or expense and asset or liability in the current year. Management has determined there are no material uncertain income tax positions through September 30, ~~2017.~~2022. With few exceptions, the Fund is no longer subject to U.S. federal, or state and local income tax examinations by tax authorities for ~~years before 2013.~~the current and prior three years..

Foreign Currency Transactions

The Fund has certain investments denominated in foreign currencies. The purchase and sale of investments, and income and expenses are translated at the rates of exchange prevailing on the respective dates of such transactions. The Fund does not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from the fluctuations arising from changes in market prices of investments held. Such fluctuations are included with the net realized and change in unrealized gain or loss on such investments in the ~~consolidated~~ statements of operations.

Reclassification

~~Swap Agreement~~

Through its investment in SMFSF, the Fund had exposure to a total return swap with Deutsche Bank AG. This two-party contract was entered in to exchange, or swap, the returns realized on a basket of CTA programs. The swap agreement was terminated in March 2016.

~~Reclassification~~

Certain amounts reported in the ~~2016 consolidated~~2021 financial statements may have been reclassified to conform to the ~~2017~~2022 presentation without affecting previously reported partners’ capital (net asset value) or net income (loss).

New Accounting Pronouncements

In February 2015, the FASB issued guidance that amends prior consolidation analysis. The effect of the guidance is to modify the analysis performed to determine if an entity should be consolidated. Adoption ofNone at this ~~guidance occurred on January 1, 2017 and did not have a material impact on the consolidated financial statements.~~time.

In May 2014, the FASB issued revenue recognition guidance, which will replace most pre-existing revenue recognition guidance in current U.S. generally accepted accounting principles. The guidance provides a framework for addressing revenue recognition and, for the Fund, is effective January 1, 2018. The Fund is evaluating the impact of this new guidance and does not expect its adoption to have a material effect on its results of operations or financial position.

Fair Value Disclosures

The Fund’s assets and liabilities, measured at fair value on a recurring basis, are summarized in the following tables by the type of inputs applicable to the fair value measurements:

At September 30, 2017
Level 1 Level 2 Total
Equity in broker trading accounts:
Net unrealized gain (loss) on open futures contracts* $ 3,322,740 $ — $ 3,322,740
Net unrealized gain (loss) on open forward currency contracts* — (2,523,737 ) (2,523,737 )
Cash and cash equivalents:
Money market fund 8,908,857 — 8,908,857
Investment in SMFSF 35,110,771 — 35,110,771
Investments in securities:
U.S. Treasury securities* 59,004,298 — 59,004,298
Asset backed securities* — 17,257,997 17,257,997
Commercial paper* — 34,872,882 34,872,882
Corporate notes* — 145,902,815 145,902,815
Certificates of deposit* — 2,906,532 2,906,532
Exchange membership — 232,500 232,500
Total $ 106,346,666 $ 198,648,989 $ 304,995,655

*See the consolidated condensed schedule of investments for further description.

At December 31, 2016

Level 1 Level 2 Total
Equity in broker trading accounts:
Net unrealized gain (loss) on open futures contracts* $ 8,921,229 $ — $ 8,921,229
Net unrealized gain (loss) on open forward currency contracts* — 830,153 830,153
Cash and cash equivalents:
Money market fund 24,246,700 — 24,246,700
Investments in securities:
U.S. Treasury securities* 91,313,694 — 91,313,694
Asset backed securities* — 36,022,365 36,022,365
Commercial paper* — 67,749,447 67,749,447
Corporate notes* — 229,354,824 229,354,824
Certificates of deposit* — 35,576,495 35,576,495
Total $ 124,481,623 $ 369,533,284 $ 494,014,907

*See the consolidated condensed schedule of investments for further description.

23 19

Futures Portfolio Fund, Limited Partnership
Footnote 2: Fair Value Disclosure
September 31, 2022 and December 31, 2021

At September 30, 2022
	Level 1		Level 2			Valued at NAV		Total
Equity in broker trading accounts:
Net unrealized gain (loss) on open futures contracts^*	$	3,828,955	$	—		$	—	$	3,828,955
Net unrealized gain (loss) on open forward currency contracts^*		—		3,752,804			—		3,752,804
Net unrealized gain (loss) on swap contracts		—		(5,908	)		—		(5,908	)
Cash and cash equivalents:
Money market funds		3,736,014		—			—		3,736,014
Investment in private investment company		—		—			3,221,054		3,221,054
Investment in securities:
U.S. Treasury securities^*		12,407,712		—			—		12,407,712
Asset backed securities^*		—		8,003,430			—		8,003,430
Commercial paper^*		—		19,077,003			—		19,077,003
Corporate notes^*		—		53,661,186			—		53,661,186
Exchange membership		—		165,000			—		165,000
Total	$	19,972,681	$	84,653,515		$	3,221,054	$	107,847,250

See the condensed schedule of investments for further description.

At December 31, 2021
	Level 1			Level 2		Valued at NAV		Total
Equity in broker trading accounts:
Net unrealized gain (loss) on open futures contracts^*	$	(723,716	)	$	—	$	—	$	(723,716	)
Net unrealized gain (loss) on open forward currency contracts^*		—			328,039		—		328,039
Net unrealized gain (loss) on swap contracts^*		—			270,782		—		270,782
Cash and cash equivalents:
Money market funds		1,577,950			—		—		1,577,950
Investment in private investment company		—			—		3,200,634		3,200,634
Investment in securities:
U.S. Treasury securities^*		10,430,298			—		—		10,430,298
Asset backed securities^*		—			8,313,893		—		8,313,893
Commercial paper^*		—			20,297,450		—		20,297,450
Corporate notes^*		—			62,732,318		—		62,732,318
Exchange membership		—			112,000		—		112,000
Total	$	11,284,532		$	92,054,482	$	3,200,634	$	106,539,648

See the condensed schedule of investments for further description.

There were no Level 3 holdings at September 30, ~~2017~~2022 and December 31, ~~2016,~~2021, or during the periods then ended.

In addition to the financial instruments listed above, substantially all of the Fund’s other assets and liabilities are considered financial instruments and are reflected at fair value, or at carrying amounts that approximate fair value because of the short maturity of the instruments.

Derivative Instruments Disclosures

The Fund’s derivative contracts are comprised of futures and forward currency contracts, none of which are designated as hedging instruments. At September 30, ~~2017,~~2022, the Fund’s derivative contracts had the following impact on the ~~consolidated~~ statements of financial condition:

At September 30, 2022	Derivative Assets and Liabilities, at fair value
Statements of Financial Condition Location	Gross Amounts of Recognized Assets		Gross Amounts Offset in the Statement of Financial Condition			Net Amount of Assets Presented in the Statement of Financial Condition
Equity in broker trading accounts: Net unrealized gain (loss) on open futures contracts
Agricultural commodities	$	780,433	$	(1,592,349	)	$	(811,916	)
Currencies		1,648,193		(1,123,502	)		524,691
Energy		261,471		(782,208	)		(520,737	)
Equity indices		1,486,464		(1,742,308	)		(255,844	)
Interest rate instruments		5,944,641		(1,314,097	)		4,630,544
Metals		2,803,775		(2,541,558	)		262,217
Net unrealized gain (loss) on open futures contracts	$	12,924,977	$	(9,096,022	)	$	3,828,955

Net unrealized gain (loss) on open forward currency contracts	$	7,554,139	$	(3,801,335	)	$	3,752,804

Net unrealized gain (loss) on swap contract	$	3,184	$	(9,092	)	$	(5,908	)

September 30, 2017 Derivative Assets and Liabilities, at fair value
Consolidated Statements of Financial Condition Location Gross Amounts of Recognized Assets Gross Amounts Offset in the Statements of Financial Condition Net Amount of Assets Presented in the Statements of Financial Condition
Equity in broker trading accounts:
Net unrealized gain (loss) on open futures contracts
Agricultural commodities $ 1,361,922 $ (1,114,169 ) $ 247,753
Currencies 1,117,435 (1,842,585 ) (725,150 )
Energy 1,566,134 (894,988 ) 671,146
Equity indices 9,591,429 (1,986,777 ) 7,604,652
Interest rate instruments 2,569,236 (6,795,918 ) (4,226,682 )
Metals 9,968,173 (10,083,453 ) (115,280 )
Single stock futures 305,808 (439,507 ) (133,699 )
Net unrealized gain (loss) on open futures contracts $ 26,480,137 $ (23,157,397 ) $ 3,322,740

Net unrealized gain (loss) on open forward currency contracts $ 3,056,836 $ (5,580,573 ) $ (2,523,737 )

At September 30, ~~2017,~~2022, there were ~~49,820~~10,908 open futures contracts, ~~and 3,017~~3,668 open forward currency contracts and 197 open swap contracts.

The Fund’s financial assets, derivative assets, and cash collateral held by counterparties at September 30, ~~2017~~2022 were:

				Gross Amounts Not Offset in the Statements of Financial Condition
Counterparty	Net Amount of Liabilities in the Statements of Financial Condition			Financial Instruments		Cash Collateral Received		Net Amount
Deutsche Bank, AG	$	1,805,071		$	—	$	—	$	1,805,071
Deutsche Bank Securities, Inc.		1,574,225			—		—		1,574,225
Goldman Sachs & Co. LLC		(278,685	)		—		—		(278,685	)
SG Americas Securities, LLC		4,475,240			—		—		4,475,240
Total	$	7,575,851		$	—	$	—	$	7,575,851

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

Deutsche Bank AG $ (256,397 ) $ — $ — $ (256,397 )
Deutsche Bank Securities, Inc. 1,103,229 — — 1,103,229
JP Morgan Securities, LLC 1,656,749 — — 1,656,749
SG Americas Securities, LLC 562,762 — — 562,762
Société Générale International Limited (300,191 ) — — (300,191 )
UBS AG (1,967,149 ) — — (1,967,149 )
Total $ 799,003 $ — $ — $ 799,003

24 21

For the three and nine months ended September 30, ~~2017,~~2022, the Fund’s derivative contracts had the following impact on the statements of operations:

	Three Months Ended September 30, 2022						Nine Months Ended September 30, 2022
Types of Exposure	Net realized gain (loss)			Net change in unrealized gain (loss)			Net realized gain (loss)			Net change in unrealized gain (loss)
Futures contracts
Agricultural commodities	$	(2,425,148	)	$	(125,219	)	$	(164,691	)	$	(1,141,370	)
Currencies		1,510,274			364,030			2,213,762			654,216
Energy		(5,900,793	)		805,758			14,647,503			(776,443	)
Equity indices		(772,103	)		(540,930	)		(8,433,290	)		(649,359	)
Interest rate instruments		3,682,738			4,521,779			12,294,389			6,176,449
Metals		307,817			56,776			1,157,336			289,179
Total futures contracts		(3,597,215	)		5,082,194			21,715,009			4,552,672

Futures options contracts
Energy		—			—			(508,190	)		—

Forward currency contracts		4,733,089			3,478,020			12,170,886			3,424,764

Swap contracts		(1,049,051	)		(6,122	)		(388,687	)		(276,690	)

Total futures, futures options, swap and forward currency contracts	$	86,823		$	8,554,092		$	32,989,018		$	7,700,746

For the three months ended September 30, 2022, the number of futures contracts closed was 110,371, the number of futures options contracts closed was 0, the number of forward currency contracts closed was 63,718 and the number of swap contracts closed was 240. For the nine months ended September 30, 2022, the number of futures contracts closed was 373,228, the number of futures options contracts closed was 730, the number of forward currency contracts closed was 199,709 and the number of swap contracts closed was 721.

At December 31, 2021, the Fund’s derivative contracts had the following impact on the ~~consolidated~~ statements of ~~operations:~~financial condition:

	Three Months Ended September 30, 2017						Nine Months Ended September 30, 2017
Types of Exposure	Net realized gain (loss)			Net change in unrealized gain (loss)			Net realized gain (loss)			Net change in unrealized gain (loss)
Futures contracts
December 31, 2021													Derivative Assets and Liabilities, at fair value
Statements of Financial Condition Location													Gross Amounts of Recognized Assets		Gross Amounts Offset in the Statements of Financial Condition			Net Amount of Assets Presented in the Statements of Financial Condition
Equity in broker trading accounts: Net unrealized gain (loss) on open futures contracts
Agricultural commodities	$	(6,541,457	)	$	1,227,206		$	(6,596,357	)	$	(443,395	)	$	881,710	$	(552,256	)	$	329,454
Currencies		1,135,806			(636,093	)		(6,620,973	)		(1,390,426	)		387,202		(516,726	)		(129,524	)
Energy		(6,004,129	)		4,237,001			(23,769,957	)		(1,540,634	)		963,524		(707,817	)		255,707
Equity indices		4,717,902			12,586,291			58,408,937			4,639,226			1,196,988		(803,473	)		393,515
Interest rate instruments		(7,694,836	)		1,858,105			(16,896,028	)		(6,169,056	)		903,051		(2,448,956	)		(1,545,905	)
Metals		1,104,206			686,981			(6,179,041	)		473,428			5,551,318		(5,578,281	)		(26,963	)
Single stock futures		341,862			(128,685	)		1,532,908			38,411			—		—			—
Total futures contracts	$	(12,940,646	)	$	19,830,806		$	(120,511	)	$	(4,392,446	)
Net unrealized gain (loss) on open futures contracts													$	9,883,793	$	(10,607,509	)	$	(723,716	)

Forward currency contracts		2,774,595			(1,888,144	)		(3,268,948	)		(3,279,370	)
Net unrealized gain (loss) on open forward currency contracts													$	2,984,528	$	(2,656,489	)	$	328,039

Total futures, forward currency and swap contracts	$	(10,166,051	)	$	17,942,662		$	(3,389,459	)	$	(7,671,816	)
Net unrealized gain (loss) on open forward currency contracts													$	270,782	$	—		$	270,782

~~For the three months ended September 30, 2017, the number of~~At December 31, 2021, there were 11,903 open futures contracts, ~~closed was 512,812 and the number of~~3,971 open forward currency contracts ~~closed was 56,054. For the nine months ended September 30, 2017, the number of futures contracts closed was 1,500,502~~ and ~~the number of forward currency contracts closed was 164,068.~~156 open swap contracts.

~~At December 31, 2016, the Fund’s derivative contracts had the following impact on the consolidated statements of financial condition:~~

December 31, 2016 Derivative Assets and Liabilities, at fair value
Consolidated Statements of Financial Condition Location Gross Amounts of Recognized Assets Gross Amounts Offset in the Statements of Financial Condition Net Amount of Assets Presented in the Statements of Financial Condition
Equity in broker trading accounts:
Net unrealized gain (loss) on open futures contracts
Agricultural commodities $ 2,294,353 $ (1,604,192 ) $ 690,161
Currencies 2,761,758 (1,623,067 ) 1,138,691
Energy 2,460,760 (213,722 ) 2,247,038
Equity indices 6,420,118 (3,196,175 ) 3,223,943
Interest rate instruments 4,870,096 (2,758,821 ) 2,111,275
Metals 14,236,047 (14,553,816 ) (317,769 )
Single stock futures 145,242 (317,352 ) (172,110 )
Net unrealized gain (loss) on open futures contracts $ 33,188,374 $ (24,267,145 ) $ 8,921,229

Net unrealized gain (loss) on open forward currency contracts $ 5,182,502 $ (4,352,349 ) $ 830,153

~~At December 31, 2016, there were 59,052 open futures contracts and 2,054 open forward currency contracts.~~

The Fund’s financial assets, derivative assets, and cash collateral held by counterparties at December 31, ~~2016~~2021 were:

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

Deutsche Bank AG	$	21,799		$	—	$	—	$	21,799	$	350,186		$	—	$	—	$	350,186
Deutsche Bank Securities, Inc.		24,787			—		—		24,787		213,370			—		—		213,370
JP Morgan Securities, LLC		1,493,645			—		—		1,493,645
SG Americas Securities, LLC		7,402,797			—		—		7,402,797		(1,066,622	)		—		—		(795,840	)
Société Générale International Limited		165,990			—		—		165,990
UBS AG		642,364			—		—		642,364
Goldman Sachs & Co., LLC											107,389			—		—		107,389
Total	$	9,751,382		$	—	$	—	$	9,751,382	$	(395,677	)	$	—	$	—	$	(124,895	)

For the three and nine months ended September 30, ~~2016,~~2021, the Fund’s derivative contracts had the following impact on the ~~consolidated~~ statements of operations:

	Three Months Ended September 30, 2016						Nine Months Ended September 30, 2016						Three Months Ended September 30, 2021						Nine Months Ended September 30, 2021
Types of Exposure	Net realized gain (loss)			Net change in unrealized gain (loss)			Net realized gain (loss)			Net change in unrealized gain (loss)			Net realized gain (loss)			Net change in unrealized gain (loss)			Net realized gain (loss)			Net change in unrealized gain (loss)
Futures contracts
Agricultural commodities	$	169,208		$	(532,393	)	$	(2,741,199	)	$	1,208,665		$	(584,103	)	$	728,912		$	4,365,731		$	(1,133,067	)
Currencies		3,171,248			(3,013,123	)		1,565,389			388,098			(294,725	)		260,831			(277,713	)		(18,185	)
Energy		(10,033,720	)		(1,791,897	)		(1,633,881	)		(5,606,892	)		3,827,948			1,733,873			11,083,141			2,919,774
Equity indices		11,022,588			2,255,345			(7,234,286	)		5,529,894			(411,515	)		(2,078,304	)		14,206,897			(4,626,288	)
Interest rate instruments		6,945,251			(15,656,405	)		52,472,272			6,588,779			(2,410,548	)		(2,356,504	)		(8,887,150	)		(2,970,287	)
Metals		(1,113,329	)		(1,950,562	)		(6,413,332	)		(4,133,973	)		(230,540	)		63,420			2,646,080			(1,864,848	)
Single stock futures		259,325			452,491			205,429			648,345
Total futures contracts	$	10,420,571		$	(20,236,544	)	$	36,220,392		$	4,622,916			(103,483	)		(1,647,772	)		23,136,986			(7,692,901	)

Futures options contracts
Energy														45,100			—			45,100			—
Equity indices														—			—			(435,238	)		157,775
Interest rate instruments														—			160,672			—			160,673
Total futures options contracts														45,100			160,672			(390,138	)		318,448

Forward currency contracts		(139,804	)		(3,184,104	)		(2,994,180	)		2,501,234			(3,015,263	)		1,153,289			(4,329,601	)		(43,218	)

Swap contract		—			—			8,706,658			(3,440,896	)
Swap contracts														(36,526	)		(585	)		84,321			5

Total futures, forward currency and swap contracts	$	10,280,767		$	(23,420,648	)	$	41,932,870		$	3,683,254
Total futures, futures options, swap and forward contracts													$	(3,110,172	)	$	(334,396	)	$	18,501,568		$	(7,417,666	)

For the three months ended September 30, ~~2016,~~2021, the number of futures contracts closed was ~~476,429~~111,391, the number of futures options contracts closed was 820 and the number of forward currency contracts closed was ~~45,615.~~105,618. For the nine months ended September 30, ~~2016,~~2021, the number of futures contracts closed was ~~1,420,579~~330,842, the number of futures options contracts closed was 1,546 and the number of forward currency contracts closed was ~~127,553.~~290,328.

General Partner

~~At September 30, 2017 and December 31, 2016, and for the periods then ended, the~~The General Partner ~~did~~does not maintain a capital balance in the ~~Fund; however,~~Fund. Pursuant to the ~~beneficiary~~terms of the Partnership Agreement, each year the General Partner receives from the Fund 1% of any net income earned by the Fund. Conversely, the General Partner pays to the Fund 1% of any net loss incurred by the Fund. Such amounts are reflected as General Partner 1% allocation receivable or payable in the statements of financial condition and as General Partner 1% allocation in the statements of operations.

At September 30, 2022 and December 31, 2021, the majority shareholder of the General Partner ~~had~~did not have an investment balance in the ~~following investment in Class I Units:~~

September 30,
2017 December 31,
2016
Units Owned 254.4114 254.4114
Value of Units $ 237,693 $ 250,114

Fund. The following fees are paid to the General Partner:

▪■

General Partner Management Fee – the Fund incurs a monthly fee on Class A, A2, A3, B and R Units equal to 1/12^th12th of ~~1.5%~~1.5% of the month-end net asset value of the Class A, A2, A3, B and R Units, payable in arrears. The Fund incurs a monthly fee on Class I Units equal to 1/12^th of ~~0.75%~~0.75% of the month-end net asset value of the Class I Units, payable in arrears.

▪■

General Partner Performance Fee – the Fund incurs a monthly fee on Class I Units equal to ~~7.5%~~7.5% of any Net New Trading Profits of the Class I Units calculated monthly. In determining Net New Trading Profits, any trading losses incurred by the Class I Units in prior periods is carried forward, so that the incentive fee is assessed only if and to the extent the profits generated by the Class I units exceed any losses from prior periods. The general partner performance fee is payable quarterly in arrears. For the three-month and nine-month periods ended September 30, 2022, the General Partner did not earn a General Partner performance fee.

▪■

~~Management fee – SMFSF incurs a monthly fee equal to 1/12~~^th ~~of 1.75% of the month-end net asset value of the trust, payable in arrears to the General Partner. Prior to March 1, 2016, the management fee was 1/12~~^th ~~of 1.25% per month.~~

▪

~~Distribution (12b-1) fee – SMFSF incurs a monthly 12b-1 fee of 1/12~~^th ~~of 0.25% of the month-end net asset value of the Class A and N shares, and 1/12~~^th ~~of 1% of the month-end value of the Class C shares.~~

▪

Selling Agent Fees – the Class A ~~A2, A3,~~ Units incur a monthly fee equal to 1/12^th12th of 2%~~, 0.6%, and 0.75%~~ of the month-end net asset value of the Class A Units. Class A2 Units may pay an up-front sales commission of up to 3% of the offering price and a 0.6% per annum selling agent fee.Class A3 Units ~~respectively. Selling agent fees amounted~~may pay an up-front sales commission of up to ~~$1,314,201~~2% of the offering price and $2,019,793 for the three months ended September 30, 2017 and 2016, respectively. Selling agent fees amounted to $4,432,752 and $6,242,165 for the nine months ended September 30, 2017 and 2016, respectively. Such amounts are included ina 0.75% per annum selling agent ~~and broker dealer servicing fees – General Partner in the consolidated statements of operations.~~ fee.The General Partner, in turn, pays the selling agent fees to the respective selling agents. If there is no designated selling agent or the General Partner was the selling agent, such portions of the selling agent fees are retained by the General Partner.

▪■

Broker Dealer Servicing Fees – the Class B Units incur a monthly fee equal to 1/12^th12th of 0.2% of the month-end net asset value of the Class B Units. Broker dealer servicing fees amounted to $56,771 and $101,863 for the three months ended September 30, 2017 and 2016, respectively. Broker dealer servicing fees amounted to $212,596 and $313,733 for the nine months ended September 30, 2017 and 2016, respectively. Such amounts are included in selling agent and broker dealer servicing fees – General Partner in the consolidated statements of operations. The General Partner, in turn, pays the fees to the respective selling agents. If there is no designated selling agent or the General Partner was the selling agent, such portions of the broker dealer servicing fees are retained by the General Partner.

▪■

~~Operating Services Fee – SMFSF incurs a monthly fee equal to 1/12~~^th of 0.24% of the month-end net asset value of the trust, payable to the General Partner. The General Partner, in turn, pays the operating expenses of the trust, pursuant to an operating services agreement between the parties. Prior to March 1, 2016, the operating services fee was 1/12^th ~~of 0.5% per month.~~

▪

Administrative Expenses – the Fund incurs a monthly fee equal to 1/12^th12th of 0.45% of the month-end net asset value of the ~~fund,~~Fund, payable in arrears to the General Partner. In return, the General Partner provides operating and administrative services, including accounting, audit, legal, marketing, and administration (exclusive of extraordinary costs and administrative expenses charged by other funds in which the Fund may have investments).

Pursuant to the terms of the Partnership Agreement, each year the General Partner receives from the Fund 1% of any net income earned by the Fund. Conversely, the General Partner pays to the Fund 1% of any net loss incurred by the Fund. Such amounts are reflected as General Partner 1% allocation receivable or payable in the consolidated statements of financial condition and as General Partner 1% allocation in the consolidated statements of operations.

Trading Advisors and Cash Managers

The Fund has advisory agreements with various commodity trading advisors, pursuant to which the Fund incurs a monthly advisor management fee that ranges from 0%0.50% to 3%1.50% per annum of allocated net assets (as defined in each respective advisory ~~agreement)~~agreement as the amount of Fund assets deposited in the account maintained with the broker plus any notional funds which may be allocated to the Trading Advisor, which, in aggregate, is typically greater than the Fund’s net assets), paid monthly or quarterly in arrears. Additionally, the Fund incurs advisor incentive fees, payable quarterly in arrears, ranging from 0%0% to ~~30%~~25% of net new trading profits (as defined in each respective advisory agreement).

~~J.P. Morgan Investment Management, Inc. and~~ Principal Global Investors, LLC ~~(collectively,~~serves as the ~~“Cash Managers”) provide~~ cash ~~management services to~~manager for the Fund. The Fund incurs monthly fees, payable in arrears to the Cash ~~Managers,~~Manager, equal to approximately 1/12^th of ~~0.14%~~0.14% and ~~0.10%~~0.13% of the investments in securities and certificates of deposit as of the period ended September 30, ~~2017~~2022 and ~~2016,~~2021, respectively.

Deposits with Brokers

To meet margin requirements, the Fund ~~deposits funds~~maintains assets, including cash, equity in futures and forward currency contracts, and investments in securities, with brokers, subject to CFTC regulations and various exchange and broker requirements. ~~The Fund earns interest income on its assets deposited with brokers.~~ At September 30, ~~2017~~2022 and December 31, ~~2016,~~2021, the Fund had assets totaling $59,783,948 and $44,247,414, respectively, with brokers and margin deposit requirements of ~~$78,694,889~~$22,611,634 and ~~$103,248,865,~~$24,018,751, respectively.

Subscriptions, Distributions and Redemptions

Investments in the Fund are made by subscription agreement and must be received within five business days of the end of the month, subject to acceptance by the General Partner. The minimum investment is ~~$10,000~~$10,000 for Class A, A2, A3, B and R units and ~~$2,000,000~~$2,000,000 for Class I units. Units are sold at the respective net asset value per unit for Class A, A2, A3, B, I or R interests as of the close of business on the last day of the month in which the subscription is accepted. Investors whose subscriptions are accepted are admitted as limited partners as of the beginning of the month following the month in which their subscriptions were accepted. At September 30, 2017 and December 31, 2016, the Fund received advance subscriptions of $286,000 and $2,687,191, respectively, which were recognized as subscriptions to the Fund or returned, if applicable, subsequent to period-end.

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

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

Trading Activities and Related Risks

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

The Portfolios are subject to investment and operational risks associated with financial, economic and other global market developments and disruptions, including those arising from war, terrorism, market manipulation, government interventions, defaults and shutdowns, political changes or diplomatic developments, public health emergencies (such as the spread of infectious diseases, pandemics and epidemics) and natural/environmental disasters, which can all negatively impact the securities markets and cause a Portfolio to lose value. These events can also impair the technology and other operational systems upon which the Portfolios’ service providers rely and could otherwise disrupt the ability of the Portfolios’ service providers to perform essential tasks.

The recent spread of an infectious respiratory illness caused by a novel strain of coronavirus (known as COVID-19) has caused volatility, severe market dislocations and liquidity constraints in many markets, including markets for the securities the Portfolios hold, and may adversely affect the Portfolios’ investments and operations. The transmission of COVID-19 and efforts to contain its spread have resulted in, among other things: quarantines and travel restrictions, including border closings, strained healthcare systems, event cancellations, disruptions to business operations and supply chains, and a reduction in consumer and business spending, as well as general concern and uncertainty that has negatively affected the economy. These disruptions have led to instability in the marketplace, including equity and debt market losses and overall volatility, and the jobs market. The impact of COVID-19, and other infectious illness outbreaks, epidemics or pandemics that may arise in the future, could adversely affect the economies of many nations or the entire global economy, the financial well-being and performance of individual issuers, borrowers and sectors and the health of the markets generally in potentially significant and unforeseen ways. In addition, the impact of infectious illnesses, such as COVID-19, in emerging market countries may be greater due to generally less established healthcare systems. This crisis or other public health crises may exacerbate other pre-existing political, social and economic risks in certain countries or globally.

The foregoing could lead to a significant economic downturn or recession, increased market volatility, a greater number of market closures, higher default rates and adverse effects on the values and liquidity of securities or other assets. Such impacts, which may vary across asset classes, may adversely affect the performance of the Portfolios. In certain cases, an exchange or market may close or issue trading halts on specific securities or even the entire market, which may result in the Portfolios being, among other things, unable to buy or sell certain securities or financial instruments or to accurately price their investments.

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

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

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

2826

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

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

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

Entering into swap agreements involves, to varying degrees, credit, market, and counterparty risk in excess of the amounts recognized on the ~~consolidated~~ statement of financial condition.

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

Through its investments in debt securities and certificates of deposit, the Fund has exposure to U.S. and foreign enterprises. The following table presents the exposure at September 30, ~~2017.~~20222.

Country or Region U.S. Treasury Securities Commercial Paper Corporate
Notes Asset Backed Securities Certificates of Deposit Total % of Partners’ Capital (Net Asset Value)
United States $ 59,004,298 $ 32,075,916 $ 106,216,772 $ 17,257,997 $ 1,908,593 $ 216,463,576 60.73 %
Netherlands — — 18,991,600 — — 18,991,600 5.33 %
United Kingdom — — 5,936,998 — 997,939 6,934,937 1.95 %
Canada — 1,197,486 2,430,738 — — 3,628,224 1.02 %
Australia — 1,599,480 3,526,958 — — 5,126,438 1.44 %
Luxumbourg — — 8,236,960 — — 8,236,960 2.31 %
Sweden — — 562,789 — — 562,789 0.16 %
Singapore — — — — — — 0.00 %
Total $ 59,004,298 $ 34,872,882 $ 145,902,815 $ 17,257,997 $ 2,906,532 $ 259,944,524 72.94 %

Country or Region	U.S. Treasury Securities		Commercial Paper		Corporate Notes		Asset Backed Securities		Total		% of Partners’ Capital (Net Asset Value)
United States	$	12,407,712	$	9,588,216	$	47,018,034	$	8,003,430	$	77,017,392		45.38	%
Canada		—		1,198,657		—		—		1,198,657		0.71	%
Ireland		—		2,297,897		—		—		2,297,897		1.35	%
United Kingdom		—		2,398,390		3,694,029		—		6,092,419		3.59	%
Finland		—		—		2,949,123		—		2,949,123		1.74	%
Singapore		—		1,199,746		—		—		1,199,746		0.71	%
Australia		—		1,195,820		—		—		1,195,820		0.70	%
Japan		—		1,198,277		—		—		1,198,277		0.71	%
Total	$	12,407,712	$	19,077,003	$	53,661,186	$	8,003,430	$	93,149,331		54.89	%

The following table presents the exposure at December 31, ~~2016.~~2021.

Country or Region U.S. Treasury Securities Commercial Paper Corporate Notes Asset Backed Securities Certificates of Deposit Total % of Partners’ Capital (Net Asset Value)
United States $ 91,313,694 $ 52,068,922 $ 186,349,217 $ 36,022,365 $ 35,576,495 $ 401,330,693 71.25 %
Australia — 2,497,272 7,501,543 — — 9,998,815 1.78 %
Netherlands — — 15,052,634 — — 15,052,634 2.67 %
Luxumbourg — 2,099,839 2,915,384 — — 5,015,223 0.89 %
Canada — — 6,864,143 — — 6,864,143 1.22 %
France — 3,470,593 7,471,652 — — 10,942,245 1.94 %
Great Britain — 1,999,682 — — — 1,999,682 0.36 %
Sweden — 399,256 2,974,538 — — 3,373,794 0.60 %
Singapore — 1,499,891 — — — 1,499,891 0.27 %
Germany — 2,499,715 — — — 2,499,715 0.44 %
Hong Kong — 1,214,277 — — — 1,214,277 0.22 %
Cayman Islands — — 225,713 — — 225,713 0.04 %
Total $ 91,313,694 $ 67,749,447 $ 229,354,824 $ 36,022,365 $ 35,576,495 $ 460,016,825 81.68 %

Country or Region	U.S. Treasury Securities		Commercial Paper		Corporate Notes		Asset Backed Securities		Total		% of Partners’ Capital (Net Asset Value)
United States	$	10,430,298	$	13,098,607	$	59,723,543	$	8,313,893	$	91,566,341		60.19	%
Ireland		—		1,199,472		—		—		1,199,472		0.79	%
United Kingdom		—		2,399,788		—		—		2,399,788		1.58	%
Finland		—		—		3,008,775		—		3,008,775		1.98	%
Singapore		—		1,199,815		—		—		1,199,815		0.79	%
Norway		—		1,199,948		—		—		1,199,948		0.79	%
Germany		—		1,199,820		—		—		1,199,820		0.79	%
Total	$	10,430,298	$	20,297,450	$	62,732,318	$	8,313,893	$	101,773,959		66.91	%

Indemnifications

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

10.

Interim Financial Statements

The ~~consolidated~~ statements of financial condition, including the ~~consolidated~~ condensed schedule of investments, at September 30, ~~2017,~~2022, the ~~consolidated~~ statements of operations for the ~~consolidated~~three and nine months ended September 30, 2022 and 2021, the statements of cash flows and ~~consolidated~~ statement of changes in partners’ capital (net asset value) for the ~~three and~~ nine months ended September 30, ~~2017~~2022 and ~~2016,~~2021, and the accompanying notes to the ~~consolidated~~ financial statements are unaudited. Certain information and footnote disclosures normally included in ~~consolidated~~ financial statements prepared in accordance with GAAP may be omitted pursuant to such rules and regulations. In the opinion of management, such ~~consolidated~~ financial statements and accompanying disclosures reflect all adjustments, which were of a normal and recurring nature, necessary to present fairly the financial position at September 30, ~~2017,~~2022, results of operations, cash flows and changes in partners’ capital (net asset value) for the three and nine months ended September 30, ~~2017~~2022 and ~~2016.~~2021. The results of operations for the three and nine months ended September 30, ~~2017~~2022 and ~~2016~~2021 are not necessarily indicative of the results to be expected for the full year or any other period. These ~~consolidated~~ financial statements should be read in conjunction with the audited financial statements and the notes thereto included in the Fund’s Form 10-K as filed with the SEC.

11.

Financial Highlights

The following information presents per unit operating performance data and other ratios for the three and nine months ended September 30, ~~2017~~2022 and ~~2016,~~2021, assuming the unit was outstanding throughout the entire period:


	Three Months Ended September 30, 2022
	Class A			Class A2			Class A3		Class B			Class I			Class R
Per Unit Operating Performance

Net asset value per unit, beginning of period	$	4,657.38		$	1,245.79		$	—	$	7,627.35		$	1,300.32		$	1,274.71

Net realized and change in unrealized gain (loss) on investments ⁽¹⁾		240.82			64.52			—		395.85			67.63			66.17
Net investment income (loss) ⁽¹⁾		(60.74	)		(11.84	)		—		(65.46	)		(8.11	)		(10.30	)
Total income (loss) from operations		180.08			52.68			—		330.39			59.52			55.87

Net asset value per unit, end of period	$	4,837.46		$	1,298.47		$	—	$	7,957.74		$	1,359.84		$	1,330.58

Total return ⁽⁴⁾		3.87	%		4.23	%		—		4.33	%		4.58	%		4.38	%

Other Financial Ratios
Ratios to average net asset value
Expenses prior to General Partner 1% allocation ^{(2) (3)}		6.81	%		5.45	%		—		4.98	%		4.01	%		4.76	%
General Partner 1% allocation		0.04	%		0.04	%		—		0.04	%		0.05	%		0.04	%
Net total expenses		6.85	%		5.49	%		—		5.02	%		4.06	%		4.80	%

Net investment income (loss) ^{(2) (3) (5)}		(5.10	)%		(3.68	)%		—		(3.27	)%		(2.31	)%		(3.06	)%

Three Months Ended September 30, 2017
Class A Class B Class I Class R†
Per Unit Operating Performance

Net asset value per unit, beginning of period $ 3,812.48 $ 5,710.30 $ 927.86 $ 944.91

Net realized and change in unrealized gain (loss) on investments⁽¹⁾ 43.86 65.63 10.47 10.72
Net investment income (loss)⁽¹⁾ (44.00 ) (40.30 ) (4.04 ) (6.06 )
Total income (loss) from operations (0.14 ) 25.33 6.43 4.66

Net asset value per unit, end of period $ 3,812.34 $ 5,735.63 $ 934.29 $ 949.57

Total return⁽⁴⁾ (0.00 )% 0.44 % 0.69 % 0.49 %

Other Financial Ratios
Ratios to average net asset value
Expenses prior to General Partner 1%
allocation^{(2) (3)} 5.91 % 4.12 % 3.04 % 3.85 %
General Partner 1% allocation⁽⁴⁾ 0.00 % 0.01 % 0.01 % 0.01 %
Net total expenses 5.91 % 4.13 % 3.05 % 3.86 %

Net investment income (loss)^{(2) (3) (5)} (4.56 )% (2.76 )% (1.69 )% (2.50 )%


	Three Months Ended September 30, 2021
	Class A			Class A2			Class A3			Class B			Class I			Class R
Per Unit Operating Performance

Net asset value per unit, beginning of period	$	4,094.80		$	1,080.20		$	1,047.78		$	6,587.30		$	1,112.49		$	1,098.71

Net realized and change in unrealized gain (loss) on investments ⁽¹⁾		(23.22	)		(6.20	)		(6.01	)		(37.61	)		(6.42	)		(6.27	)
Net investment income (loss) ⁽¹⁾		(60.58	)		(12.23	)		(12.25	)		(68.32	)		(8.90	)		(10.86	)
Total income (loss) from operations		(83.80	)		(18.43	)		(18.26	)		(105.93	)		(15.32	)		(17.13	)

Net asset value per unit, end of period	$	4,011.00		$	1,061.77		$	1,029.52		$	6,481.37		$	1,097.17		$	1,081.58

Total return ⁽⁴⁾		(2.05	)%		(1.71	)%		(1.74	)%		(1.61	)%		(1.38	)%		(1.56	)%

Other Financial Ratios
Ratios to average net asset value
Expenses prior to General Partner 1% allocation ^{(2) (3)}		6.62	%		5.11	%		5.26	%		4.77	%		3.75	%		4.57	%
General Partner 1% allocation		(0.02	)%		(0.02	)%		(0.02	)%		(0.02	)%		(0.01	)%		(0.02	)%
Net total expenses		6.60	%		5.09	%		5.24	%		4.75	%		3.74	%		4.55	%

Net investment income (loss) ^{(2) (3) (5)}		(6.14	)%		(4.63	)%		(4.78	)%		(4.28	)%		(3.27	)%		(4.09	)%


	Nine Months Ended September 30, 2022
	Class A			Class A2			Class A3			Class B			Class I			Class R
Per Unit Operating Performance

Net asset value per unit, beginning of period	$	4,046.32		$	1,074.85		$	1,041.81		$	6,567.70		$	1,114.41		$	1,096.53

Net realized and change in unrealized gain (loss) on investments ⁽¹⁾		1,089.09			290.83			221.97			1,775.84			301.59			296.14
Net investment income (loss) ⁽¹⁾		(297.95	)		(67.21	)		(46.47	)		(385.80	)		(56.16	)		(62.09	)
Total income (loss) from operations		791.14			223.62			175.50			1,390.04			245.43			234.05

Redemption value per share		—			—			(1,217.31	)		—			—			—
Net asset value per unit, end of period	$	4,837.46		$	1,298.47		$	—		$	7,957.74		$	1,359.84		$	1,330.58

Total return ⁽⁴⁾		19.55	%		20.80	%		16.85	%		21.16	%		22.02	%		21.34	%

Other Financial Ratios
Ratios to average net asset value
Expenses prior to General Partner 1% allocation ^{(2) (3)}		9.66	%		8.27	%		5.70	%		7.80	%		6.77	%		7.54	%
General Partner 1% allocation		0.18	%		0.18	%		0.16	%		0.19	%		0.20	%		0.19	%
Net total expenses		9.84	%		8.45	%		5.86	%		7.99	%		6.97	%		7.73	%

Net investment income (loss) ^{(2) (3) (5)}		(8.66	)%		(7.28	)%		(5.39	)%		(6.80	)%		(5.76	)%		(6.53	)%

3029

Three Months Ended September 30, 2016
Class A Class B Class I Class R†
Per Unit Operating Performance

Net asset value per unit, beginning of period $ 4,462.03 $ 6,564.93 $ 1,056.19 $ —

Net realized and change in unrealized gain (loss) on investments⁽¹⁾ (111.25 ) (164.59 ) (26.64 ) —
Net investment income (loss)⁽¹⁾ (58.05 ) (56.25 ) (6.36 ) —
Total income (loss) from operations (169.30 ) (220.84 ) (33.00 ) —

Net asset value per unit, end of period $ 4,292.73 $ 6,344.09 $ 1,023.19 $ —

Total return⁽⁴⁾ (3.79 )% (3.36 )% (3.12 )% —

Other Financial Ratios
Ratios to average net asset value
Expenses prior to General Partner 1%
allocation^{(2) (3)} 6.26 % 4.44 % 3.40 % —
General Partner 1% allocation⁽⁴⁾ (0.04 )% (0.03 )% (0.03 )% —
Net total expenses 6.22 % 4.41 % 3.37 % —

Net investment income (loss)^{(2) (3) (5)} (5.40 )% (3.58 )% (2.55 )% —

Nine Months Ended September 30, 2017
Class A Class B Class I Class R†
Per Unit Operating Performance

Net asset value per unit, beginning of period or at issuance $ 4,096.03 $ 6,080.47 $ 983.11 $ 1,000.00

Net realized and change in unrealized gain (loss) on investments⁽¹⁾ (119.55 ) (177.28 ) (29.74 ) (35.44 )
Net investment income (loss)⁽¹⁾ (164.14 ) (167.56 ) (19.08 ) (14.99 )
Total income (loss) from operations (283.69 ) (344.84 ) (48.82 ) (50.43 )

Net asset value per unit, end of period $ 3,812.34 $ 5,735.63 $ 934.29 $ 949.57

Total return⁽⁴⁾ (6.93 )% (5.67 )% (4.97 )% (5.04 )%

Other Financial Ratios
Ratios to average net asset value
Expenses prior to General Partner 1% allocation^{(2) (3)} 6.84 % 5.08 % 3.97 % 4.51 %
General Partner 1% allocation⁽⁴⁾ (0.07 )% (0.06 )% (0.05 )% (0.05 )%
Net total expenses 6.77 % 5.02 % 3.92 % 4.46 %

Net investment income (loss)^{(2) (3) (5)} (5.60 )% (3.83 )% (2.71 )% (3.19 )%


	Nine Months Ended September 30, 2016											Nine Months Ended September 30, 2021
	Class A			Class B			Class I			Class R†		Class A			Class A2			Class A3			Class B			Class I			Class R
Per Unit Operating Performance

Net asset value per unit, beginning of period	$	4,212.26		$	6,142.34		$	984.17		$	—	$	3,818.95		$	1,000.45		$	971.15		$	6,088.92		$	1,023.49		$	1,014.58

Net realized and change in unrealized gain (loss) on investments⁽¹⁾		268.86			390.49			62.15			—		367.24			94.53			90.33			589.52			99.73			98.38
Net investment income (loss)⁽¹⁾		(188.39	)		(188.74	)		(23.13	)		—		(175.19	)		(33.21	)		(31.96	)		(197.07	)		(26.05	)		(31.38	)
Total income (loss) from operations		80.47			201.75			39.02			—		192.05			61.32			58.37			392.45			73.68			67.00

Net asset value per unit, end of period	$	4,292.73		$	6,344.09		$	1,023.19		$	—	$	4,011.00		$	1,061.77		$	1,029.52		$	6,481.37		$	1,097.17		$	1,081.58

Total return⁽⁴⁾		1.91	%		3.28	%		3.97	%		—		5.03	%		6.13	%		6.01	%		6.45	%		7.20	%		6.60	%

Other Financial Ratios
Ratios to average net asset value
Expenses prior to General Partner 1% allocation^{(2) (3)}		6.48	%		4.65	%		3.72	%		—		6.57	%		5.13	%		5.26	%		4.73	%		3.74	%		4.54	%
General Partner 1% allocation⁽⁴⁾		0.02	%		0.04	%		0.04	%		—
General Partner 1% allocation													0.05	%		0.06	%		0.06	%		0.06	%		0.07	%		0.07	%
Net total expenses		6.50	%		4.69	%		3.76	%		—		6.62	%		5.19	%		5.32	%		4.79	%		3.81	%		4.61	%

Net investment income (loss)^{(2) (3) (5)}		(5.68	)%		(3.85	)%		(2.92	)%		—		(5.96	)%		(4.50	)%		(4.60	)%		(4.12	)%		(3.14	)%		(3.93	)%

Total returns are calculated based on the change in value of a Class A, A2, A3, B, I ~~and~~or R ~~Units~~Unit during the period. An individual partner’s total returns and ratios may vary from the above total returns and ratios based on the timing of subscriptions and redemptions.

⁽¹⁾

The net investment income (loss) per unit is calculated by dividing the net investment income (loss) by the average number of Class A, A2, A3, B, I or R Units outstanding during the period. Net realized and change in unrealized gain (loss) on investments is a balancing amount necessary to reconcile the change in net asset value per unit with the other per unit information. Such balancing amount may differ from the calculation of net realized and change in unrealized gain (loss) on investment per unit due to the timing of investment gains and losses during the period relative to the number of units outstanding.

⁽²⁾

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

⁽³⁾

Ratios have been annualized.

⁽⁴⁾

Ratios have not been annualized.

⁽⁵⁾

Ratio excludes General Partner 1% allocation.

12.

Subsequent Events

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

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

⁽³⁾ ~~Ratios have been annualized.~~

⁽⁴⁾ ~~Ratios have not been annualized.~~

⁽⁵⁾ ~~Ratio excludes General Partner 1% allocation.~~

~~† Class R Units were first issued on April 1, 2017.~~

~~12. Subsequent Events~~

Subsequent to ~~quarter end,~~September 30, 2022, there were ~~$396,000~~$50,000 of contributions and ~~$8,416,495~~an estimated $662,189 of redemptions from the ~~Fund, and the Fund redeemed $2,000,000 of its investment in SMFSF.~~Fund.

~~13. Deconsolidation of Steben Managed Futures Strategy Fund~~

As of August 31, 2017, the Fund no longer has effective control of the financial and operating policies of SMFSF as it no longer owns a majority of the outstanding shares of that mutual fund. Accordingly, the Fund deconsolidated the related assets, liabilities and non-controlling interest in SMFSF on that date. The Fund did not receive any consideration in the deconsolidation of SMFSF and there was no gain or loss upon deconsolidation.

32 30

~~The assets~~Item 2. Management’s Discussion and ~~liabilities which the Fund deconsolidated were:~~Analysis of Financial Condition and Results of Operations

Assets August 31, 2017
Equity in broker trading accounts
Cash $ 17,813,620
Net unrealized gain (loss) on open futures contracts 1,206,044
Net unrealized gain (loss) on open forward currency contracts 74,520
Total equity in broker trading accounts 19,094,184
Cash and cash equivalents 1,690,646
Investments in securities, at fair value 53,611,230
Subscription receivable 543,627
Liabilities
Trading advisor management fees 112,367
Distribution (12b-1) fees payable 3,331
Operating services fee payable 15,410
Redemptions payable 35,760
Net assets deconsolidated 74,772,819

Less: non-controlling interest (38,169,976 )

Fair value of interest retained $ 36,602,843

~~The fair value of the Fund’s investment in SMFSF is based on the unadjusted quoted market price per share.~~

~~On the statement of cash flows, the balance of cash and cash equivalents deconsolidated on August 31, 2017 was $19,504,266.~~

~~Item 2.~~

~~Management’s Discussion and Analysis of Financial Condition and Results of Operations~~

Current Positioning

Sector risk allocations and net positioning as of September 30, ~~2017 and third quarter 2017 gross performance contribution by sector was~~2022 were as follows:

Risk Allocation
Net
Position
Sector Gross Performance Contribution
11 % Mixed Agriculture (1.22 )%
10 % Long Energy (0.36 )%
8 % Mixed Metals 0.32 %
24 % Long USD & EM Currencies 0.08 %
25 % Long Equity indices 3.70 %
22 % Short Interest rates (1.77 )%

Sector	Risk Allocation			Net Position
Agriculture		11	%	Long
Energy		10	%	Long
Metals		9	%	Short
Currencies		33	%	Long USD
Equity indices		12	%	Short
Interest rates		25	%	Short

The dominant strategy employed by the Fund’s trading advisors is trend-following. As such, the largest positions tend to reflect the strongest current market trends. At the end of September 30, ~~2017,~~2022, the Fund ~~held a balanced set of exposures across each of~~had was positioned long bonds, long stocks, and long the ~~major sectors.~~US Dollar, particularly against the Euro. In commodity markets, positions were modestly sized. The Fund was ~~positioned~~short in agricultural futures, short in energy, short in base metals and long in ~~equity index futures globally as a result of the continued upward trend in stock prices. Interest rate~~precious metals. These positions ~~were tilted towards the long side~~can and ~~the Fund held its main exposure in European, Japanese~~do evolve over time depending on prevailing market trends and U.S. interest rate contracts. Weakening in the U.S. dollar caused the Fund to be positioned long in the euro and emerging market currencies. Within the commodity sector, the Fund was long energy, long metals and short agricultural commodities.managers’ trading signals.

In September, the Fund made an adjustment to its line-up of managers, adding Millburn, whose program blends trend following, machine learning and other futures strategies. The Fund also removed Lynx as a trading advisor.

Results of Operations

The returns for each Class of Units for the nine months ended September 30, ~~2017~~2022 and ~~2016~~2021 were:

Class of Units	2022			2021
Class A		19.55	%		5.03	%
Class A2		20.80	%		6.13	%
Class A3		N/A	*		6.01	%
Class B		21.16	%		6.45	%
Class I		22.02	%		7.20	%
Class R		21.34	%		6.60	%

Class of Units 2017 2016
Class A (6.93 )% 1.91 %
Class B (5.67 )% 3.28 %
Class I (4.97 )% 3.97 %
Class R (5.04 )% —

* Class A3 shares were fully redeemed on July 1, 2022.

~~Class R units did not begin reflecting a return until April 1, 2017.~~

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.

~~2017~~2022

January

~~Markets digested~~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 ~~new~~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. ~~administration’s economic policy proposals as~~10-Year Treasury rose 0.27% in January, to close the ~~calendar year began. The policy specifics remain uncertain, but market participants showed optimism that potential changes~~month at 1.78%. Much to the ~~tax code~~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 ~~increased infrastructure spending would bolster economic growth. Equity markets~~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 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, benefittingabroad proved difficult for the Fund’s managers. In energy trading, consistent long ~~copper position. After several months of strength, energy~~oil and oil product positioning contributed the most, as prices ~~drifted lower in January,~~rose sharply due ~~partially~~ to the ~~belief that OPEC’s attempts to cut production would be short lived.~~aforementioned reasons. The Fund’s long energy positions detracted from performance. Within foreign exchange markets, the U.S. dollar reversal caused losses, as the Fund was long U.S. dollar versus euro, British Pound and Japanese yen. Overall, the Fund finished with a net loss of ~~2.27%~~(0.36)%, ~~2.13%~~(0.25)%, (0.26)%, (0.21)%, (0.14)% and ~~2.04%~~(0.20)% for Class A, A2, A3, B, I, and IR Units, respectively.

February

~~February saw a continued rise~~COVID-19 related market shocks continue to fall by the wayside as rising interest rates and geopolitical tensions dominated the headlines in ~~investor risk appetite.~~February. The combination of these events drove the S&P 500 ~~rallied~~Index down -2.99% in February, bringing year-to-date 2022 performance down to ~~new highs and rich valuations got even richer, spurred~~-8.01%. The continued hawkish stance by ~~positive earnings data and~~ the Trump administration’s pledge to cut corporate taxes and spend heavily on infrastructure. International equity markets also had a positive month as global economic data showed improvement. In Europe, the political risk of potential nationalist party victories in upcoming elections in France and the Netherlands led to a rally in safe haven German bonds and a depreciationFederal Reserve, coupled with persistent high inflation metrics drove bond yields higher for much of the ~~euro.~~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 ~~largest gains during the month came~~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 ~~equity index positions,~~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 ~~global rally in stocks. Long positions in European bonds and a short currency position in the euro both profited from market skittishness over possible populist electoral gains.~~Fund’s managers. The Fund ~~did see modest losses in energy as trend-following programs were whipsawed by choppy directionless oil prices. Overall, the Fund~~ finished ~~the month~~ with a net gain of ~~3.33%~~1.97%, ~~3.48%~~2.09%, 2.07%, 2.12%, 2.20% and ~~3.57%~~2.14% for Class A, A2, A3, B, I, and IR Units, respectively.

March

~~Economic policy remained~~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 ~~focus~~significant amount of volatility, bringing year-to-date performance 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, asequity index down -4.60%. Renewed hawkish comments by the Federal Reserve, ~~raised~~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 ~~by 25 basis points,~~leading the way. The strong month highlighted the Fund’s ability to be sizably invested in ~~line with expectations.~~different themes, which has helped mitigate losses relative to major bond and equity indices in 2022. In ~~Europe, the United Kingdom formally triggered the exit process~~energy, deceasing long positioning contributed positively as supply fears stemmed from the ~~European Union, and investor attention turned to the possibility of populist gains~~aforementioned reasons. Also contributing was long dollar/short foreign currency positioning, which benefited from a flight-to-quality early in the ~~upcoming French presidential election.~~

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 ~~profited from~~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 ~~long equity exposure,~~3rd month, investors continued to size up daily news flow out of the region along with the ~~strongest gains coming~~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 ~~Europe. Losses occurred~~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 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 rallieddifferent themes, which has helped provide positive performance against the ~~Fund’s short position. Losses~~losses by major bond and equity indices in ~~the~~2022. In currency ~~sector were attributable to a~~trading, long U.S. dollar ~~bias,~~positioning throughout the month contributed positively as ~~expectations~~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 ~~slower tightening cycle by~~difficult environment for the ~~Fed caused~~Fund’s managers to take advantage of. As we enter the ~~dollar to depreciate against~~second quarter of 2022, we are pleased with the ~~euro, pound~~portfolio performance and ~~yen. Overall, the~~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 ~~1.97%~~(0.98)%, ~~1.82%~~(0.86)%, (0.88)%, (0.83)%, (0.75)%, and ~~1.74%~~(0.81)% for Class A, A2, A3, B, I, and IR Units, respectively.

June

~~April~~

~~Heightened geopolitical uncertainty weighed on risk assets early~~While the macro drivers from earlier in the ~~month. Markets were focused on saber rattling from North Korea and U.S. airstrikes in Syria. Later in~~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 ~~first round of~~2022 return to down -19.96% for the ~~French Presidential elections concluded without surprise, making a Le Pen victory and potential French exit from~~Index. Continued hawkish comments by the ~~Eurozone less probable. As a result, equity markets traded~~Federal Reserve, coupled with relentless higher ~~and the euro rallied sharply. The euro finished April at 1.09 against the U.S. dollar and gained more than 2%~~inflation metrics drove bond yields higher during the month. ~~Energy~~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 ~~as an early month rally quickly gave way~~markets provided ample trading opportunities to ~~a sell-off, with crude oil ending April down 3.4%.~~

the Fund’s trading advisors. 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%~~(0.98)%, ~~1.46%~~(0.87)%, ~~1.38%~~(0.83)%, (0.76)%, and ~~1.45%~~(0.82)% for Class A, A2, B, I, and R Units, respectively.

~~May~~July

~~In May, developed~~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 ~~equity indices drifted higher~~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 ~~valuations continued~~fixed income. The S&P 500 Index posted its best month since 2020, up +9.22%, bringing year-to-date performance to ~~inflate, spurred by~~down -12.58%. Bond yields fell steadily, with the U.S. ~~tech sector earnings and~~10-year treasury yield finishing July at 2.64%, down from a ~~centrist victory~~high of 3.5%, earlier in the ~~French Presidential election. The appointment~~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 ~~special counsel to investigate~~negative return in July, with all major sectors experiencing losses. As persistent trends reversed, the ~~Trump administration’s alleged Russian ties led to~~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 ~~brief stock sell-off, but investors quickly shrugged off the news. The VIX volatility index dipped back below 10, setting a new low~~difficult environment 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.

Fund’s trading advisors. 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%~~(4.59)%, ~~0.46%~~(4.48)%, ~~0.38%~~(4.45)%, (4.37)% and ~~0.45%~~(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.

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 recovered 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

~~Global equity markets remained stable~~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 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~~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 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 bondforeign 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 ~~sell-off~~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 ~~last week~~U.S., the yield curve flattened. The rapid spread of the ~~month. Agricultural~~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 ~~jumped at month-end after~~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 ~~U.S. Department~~net gain of ~~Agriculture~~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 ~~indicated plantings were short~~that showed August nonfarm payroll growth of only 235,000 versus expectations for ~~wheat~~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 ~~soybean, hurting~~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 ~~short~~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 ~~those~~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. ~~Overall, the~~The Fund finished ~~the month~~ with a net loss of ~~3.85%~~(1.26)%, ~~3.71%~~(1.14)%, ~~3.63%~~(1.16)%, (1.11)%, (1.03)% and ~~3.69%~~(1.09)% for Class A, A2, A3, B, I, and R Units, respectively.

~~July~~

September

~~Summertime~~Many global markets ~~were mostly quiet~~reversed course in ~~July, despite political fireworks~~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. as Congress attempted to repeal the Affordable Care Act. The contentious nature of the vote and an inability to reach solidarity within the Republican Party was viewed as an impediment for passing tax reform and infrastructure spending later this year. The sector most impacted by the uncertainty was currencies. After starting the year at $1.05 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 appreciation of the euro. Equity indices have been in an uptrend since March 2016 and the Fund continues to benefit from being long equities. Commodity prices were mostly rangebound in July and had a limited impact on overall Fund performance. Overall, the Fund10-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 ~~gain~~loss of ~~0.81%~~(0.98)%, ~~0.96%~~(0.86)%, ~~1.04%~~(0.88)%, (0.83)%, (0.75)% and ~~0.98%~~(0.81)% for Class A, A2, A3, B, I, and R Units, respectively.

Liquidity

~~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.

~~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 37 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.

~~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 maintenance of a margin-to-equity ratio that rarely exceeds 35%.

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

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

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

Significant Accounting Policies

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

The Fund’s most significant accounting policy is the valuation of its assets invested in U.S. and foreign futures and forward currency contracts, ~~and~~ fixed income ~~instruments.~~instruments and investments in private investment companies. 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.

Item 3. Quantitative and Qualitative Disclosures about Market Risk

Introduction

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

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

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

Standard of Materiality

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

Quantifying the Fund’s Trading Value at Risk

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

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

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

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

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

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

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

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

The following table indicates the trading Value at Risk associated with the Fund’s open positions by market sector at September 30, ~~2017~~2022 and December 31, ~~2016.~~2021. All open position trading risk exposures of the Fund have been included in calculating the figures set forth below.

	September 30, 2017					December 31, 2016					September 30, 2022					December 31, 2021
Market Sector	Value at Risk		% of Total Capitalization			Value at Risk		% of Total Capitalization			Value at Risk		% of Total Capitalization			Value at Risk		% of Total Capitalization

Agricultural commodities	$	4,673,892		1.31	%	$	5,685,505		1.01	%	$	1,062,770		0.62	%	$	800,469		0.52	%
Currencies		17,187,980		4.82			25,932,828		4.60			3,135,112		1.83			1,745,329		1.14
Energy		4,533,874		1.27			5,107,361		0.91			923,043		0.54			1,903,360		1.24
Equity indices		37,341,526		10.48			42,931,048		7.63			1,125,017		0.66			1,519,488		0.99
Interest rate instruments		8,942,784		2.51			9,986,445		1.77			2,296,956		1.34			1,111,430		0.72
Metals		4,312,514		1.21			6,817,293		1.21			804,841		0.47			558,355		0.36
Single stock futures		4,948,027		1.39			5,709,471		1.01			—		—			0		0.00
Total	$	81,940,597		22.99	%	$	102,169,951		18.14	%	$	9,347,739		5.47	%	$	7,638,431		4.97	%

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

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

Non-Trading Risk

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

Qualitative Disclosures Regarding Primary Trading Risk ~~Exposures.~~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 September 30, ~~2017,~~2022, by market sector.

Agricultural Commodities

The ~~Fund’s primary~~Fund takes positions in a broad range of agricultural ~~exposure is due to price movements~~futures, including soybeans, wheat, corn, sugar, and cotton among others. Prices in ~~agricultural commodities, which are often directly~~these markets can be affected by ~~severe~~changes in demand, as well changes in supply factors such as weather and inventory levels.

Currencies

The Fund trades in foreign exchange markets by taking positions in currency futures and forward contracts for a large number of developed and emerging market currencies. Exposures may take the form of direct exchange rates against the U.S. dollar, or ~~unexpected~~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 ~~other~~supply side factors ~~that affect inventory levels or supply~~such as Middle East conflicts, OPEC production agreements, and ~~demand characteristics.~~ shale production.

Equity Indices

The ~~Fund’s agricultural~~Fund has exposure ~~is primarily~~ to ~~cotton, coffee, cocoa, cattle, corn, soybeans, sugar~~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 ~~wheat.~~

~~Currencies~~

~~The Fund’s currency risk~~Australia, but there can also be exposure ~~is due~~ to ~~exchange rate fluctuations, primarily fluctuations which disrupt the historical pricing relationships between different currencies~~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 ~~currency pairs. These fluctuations are influenced by interest rate changes~~monetary policy, as well as ~~political and general economic conditions. The Fund trades various currencies, including cross-rates (i.e., positions between two currencies other than the U.S. dollar).~~by investor sentiment.

41 40

~~Energy~~

The Fund’s primary energy market exposure is due to gas and oil price movements, often resulting from political developments, ongoing conflicts or production disruptions in the Middle East and other oil producing nations as well as other factors that can influence supply and demand. Crude oil, heating oil, unleaded gas and natural gas are the dominant energy market exposures of the Fund. Oil and gas prices can be volatile and substantial profits and losses have been and are expected to continue to be experienced in this market.

~~Equity Indices~~

The Fund’s primary equity exposure is due to equity price risk in many countries other than the U.S. The stock index futures traded by the Fund are limited to futures on broadly based indices. The Fund is primarily exposed to the risk of adverse price trends or static markets in the major Australian, Canadian, European, Hong Kong, Japanese and U.S. indices.

Interest Rate Instruments

~~Interest rate risk is a significant market~~The Fund has exposure ~~of the Fund. Interest rate movements directly affect the price of the sovereign~~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 ~~held~~in the futures for both short term and long-term instruments. The yield curve (and futures prices) can be affected by ~~the~~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 ~~indirectly the value of its stock index and currency positions. Interest rate movements in one country~~platinum, as well as relative interest rate movements between countries materially impact the Fund’s profitability. The Fund’s primary interest rate exposure is to interest rate fluctuations in the U.S., Japan, Great Britain, the European Economic Union, Sweden, Canada, Australia and New Zealand.

~~Metals~~

~~The Fund’s~~industrial metals ~~market exposure is primarily due to fluctuations in the price of~~such as copper, aluminum ~~copper, gold, silver, nickel, platinum, lead~~ 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 (“SSF”).~~single stock futures, with positions primarily in companies that trade on U.S. exchanges. The ~~Fund’s SSF exposure is primarily due~~price drivers here tend to ~~price movements in the underlying stock.~~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 only~~represent non-trading risk exposures of the Fund as of September 30, ~~2017.~~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 invested in fixed income instruments, including U.S. Treasury securities, U.S. and foreign government sponsored enterprise notes, commercial paper, corporate notes, asset backed securities and certificates of deposit. Fluctuations in prevailing interest rates could cause mark-to-market gains or losses on the Fund’s investments; although substantially all of these investments are held to maturity.

Qualitative Disclosures Regarding Means of Managing Risk Exposure

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

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

Item 4. Controls and Procedures

The General Partner, with the participation of the Chief Executive Officer and Chief Financial Officer, evaluated the effectiveness of the design and operation of the Fund’s disclosure controls and procedures at September 30, ~~2017~~2022 (the “Evaluation Date”). Based on their evaluation, the Chief Executive Officer and Chief Financial Officer of the General Partner concluded that, as of the Evaluation Date, the Fund’s disclosure controls and procedures were effective.

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

PART II: OTHER INFORMATION

Item 1. Legal Proceedings.

None.

Item 1A. Risk Factors.

There have been no material changes from risk factors disclosed in the Fund’s Form 10-K for year ended December 31, ~~2016.~~2021.

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

There were no sales of unregistered securities of the Fund during the three months ended September 30, ~~2017.~~2022. Under the Fund’s Partnership Agreement, limited partners may redeem their Units at the end of each calendar month at the then current month-end net asset value per Unit. Redemptions of Units during the three months ended September 30, ~~2017~~2022 were as follows:

July August September Total
A Units ��
Units redeemed 1,835.2231 2,053.8045 2,223.8027 6,112.8303
Average net asset value per unit $ 3,843.37 $ 3,964.19 $ 3,812.34 $ 3,872.67

B Units

Units redeemed 1,489.5285 988.1814 1,017.0952 3,494.8051
Average net asset value per unit $ 5,765.14 $ 5,955.23 $ 5,735.63 $ 5,810.30

I Units
Units redeemed — — 380.17 380.1716
Average net asset value per unit $ 937.54 $ 969.26 $ 934.29 $ 934.29

R Units
Units redeemed 84.6675 538.2074 246.6917 869.5666
Average net asset value per unit $ 954.14 $ 985.77 $ 949.57 $ 972.42

	July			August			September			Total
A Units

Units redeemed		(222.4965	)		(83.4399	)		(214.3357	)		(520.2721	)
Average net asset value per unit	$	4,443.66		$	4,602.73		$	4,837.46		$	4,631.41

A2 Units

Units redeemed		(48.5000	)		—			—			(48.5000	)
Average net asset value per unit	$	1,190.00			—			—		$	1,190.00

A3 Units
Units redeemed		—			—			—			—
Average net asset value per unit		—			—			—			—

B Units
Units redeemed		(43.2975	)		(114.3022	)		(41.7830	)		(199.3827	)
Average net asset value per unit	$	7,288.18		$	7,560.21		$	7,957.74		$	7,584.44

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

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

Item 3. Defaults Upon Senior Securities

Not applicable.

Item 4. Mine Safety Disclosures

Not applicable.

Item 5. Other Information

None.

Item 6. Exhibits

The following exhibits are filed herewith of incorporated by reference.

Exhibit No.		Description of Exhibit

1.1^(a)		Form of Selling Agreement
3.1^(a)		Maryland Certificate of Limited Partnership.
4.1^(a)		Limited Partnership Agreement.
10.1^(a)		Form of Subscription Agreement
31.01		Certification of Chief Executive Officer of the General Partner in accordance with Section 302 of the Sarbanes-Oxley Act of 2002
31.02		Certification of Chief Financial Officer of the General Partner in accordance with Section 302 of the Sarbanes-Oxley Act of 2002
32.01		Certification of Chief Executive Officer of the General Partner in accordance with Section 906 of the Sarbanes-Oxley Act of 2002
32.02		Certification of Chief Financial Officer of the General Partner in accordance with Section 906 of the Sarbanes-Oxley Act of 2002
~~101.INS~~		~~XBRL Instance Document~~
~~101.SCH~~		~~XBRL Taxonomy Extension Schema Document~~
~~101.CAL~~		~~XBRL Taxonomy Extension Calculation Linkbase Document~~
~~101.DEF~~		~~XBRL Taxonomy Extension Definition Linkbase Document~~
~~101.LAB~~		~~XBRL Taxonomy Extension Label Linkbase Document~~
~~101.PRE~~		~~XBRL Taxonomy Extension Presentation Linkbase Document~~

(a)

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

SIGNATURES

~~SIGNATURES~~

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

Dated: November ~~13, 2017~~14, 2022	Futures Portfolio Fund, Limited Partnership

	By:	Steben & Company ~~Inc.~~LLC
		General Partner

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

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

45 44

	September 30, 2017 (Unaudited)			December 31, 2016
Assets
Equity in broker trading accounts
Cash	$	63,212,307		$	80,906,352
Net unrealized gain (loss) on open futures contracts		3,322,740			8,921,229
Net unrealized gain (loss) on open forward currency contracts		(2,523,737	)		830,153
Total equity in broker trading accounts		64,011,310			90,657,734
Cash and cash equivalents		14,115,897			37,230,210
Investment in SMFSF, at fair value		35,110,771			—
Investments in securities, at fair value (cost $257,003,148 and $424,687,833)		257,037,992			424,440,330
Certificates of deposit (CDs), at fair value (cost $2,885,431 and $35,406,974)		2,906,532			35,576,495
General Partner 1% allocation receivable		297,618			98,751
Exchange membership, at fair value (cost $189,000)		232,500			—
Subscriptions receivable		—			381,917
Total assets	$	373,712,620		$	588,385,437

Liabilities and Partners’ Capital (Net Asset Value) Liabilities
Trading Advisor management fees payable	$	867,616		$	885,524
Trading Advisor incentive fees payable		86,975			1,581,179
Commissions and other trading fees payable on open contracts		97,059			122,720
Cash Managers fees payable		97,911			102,622
General Partner management and performance fees payable		462,623			682,546
Selling agent and broker dealer servicing fees payable – General Partner		436,078			630,727
Administrative expenses payable – General Partner		87,272			127,136
Investment Manager fees payable		—			128,682
Distribution (12b-1) fees payable		—			2,961
Operating services fee payable		—			17,648
Redemptions payable		14,901,008			18,217,216
Subscriptions received in advance		286,000			2,687,191
Total liabilities		17,322,542			25,186,152

Partners’ Capital (Net Asset Value)
Class A Interests – 63,454.5898 and 84,825.0303 units outstanding at September 30, 2017 and December 31, 2016, respectively		241,910,199			347,445,757
Class B Interests – 17,360.6955 and 29,193.8071 units outstanding at September 30, 2017 and December 31, 2016, respectively		99,574,584			177,512,074
Class I Interests – 3,466.2779 and 3,828.4541 units outstanding at September 30, 2017 and December 31, 2016, respectively		3,238,494			3,763,781
Class R Interests – 12,286.3590 and 0 units outstanding at September 30, 2017 and December 31, 2016, respectively		11,666,801			—
Non-controlling interest		—			34,477,673
Total partners’ capital (net asset value)		356,390,078			563,199,285
Total liabilities and partners’ capital (net asset value)	$	373,712,620		$	588,385,437

			Description			Fair Value		% of Partners’ Capital (Net Asset Value)
INVESTMENTS IN SECURITIES
	U.S. Treasury Securities
	Face Value	Maturity Date	Name	Yield¹
$	15,000,000	10/5/17	U.S. Treasury	1.04	%	$	14,998,499		4.21	%
	10,000,000	11/16/17	U.S. Treasury	1.01	%		9,987,515		2.80	%
	15,000,000	12/14/17	U.S. Treasury	1.02	%		14,970,272		4.20	%
	5,000,000	12/15/17	U.S. Treasury	1.00	%		5,013,304		1.41	%
	4,200,000	1/31/18	U.S. Treasury	0.88	%		4,202,118		1.18	%
	5,250,000	2/15/18	U.S. Treasury	1.00	%		5,253,188		1.47	%
	500,000	3/31/18	U.S. Treasury	2.88	%		504,062		0.15	%
	4,000,000	4/30/18	U.S. Treasury	2.63	%		4,075,340		1.14	%
	Total U.S. Treasury securities (cost: $58,952,170)						59,004,298		16.56	%

	U.S. Commercial Paper
	Face Value	Maturity Date	Name	Yield¹
Automotive
$	1,500,000	10/25/17	Volvo Group Treasury North America	1.42	%		1,498,589		0.42	%
Banks
	1,500,000	11/7/17	Bank of Tokyo-Mitsubishi UFJ, Ltd.	1.25	%		1,498,073		0.42	%
	1,500,000	11/20/17	Nieuw Amsterdam Receivables Corp.	1.26	%		1,497,396		0.42	%
	1,500,000	10/13/17	Oversea-Chinese Banking Corp. Ltd.	1.32	%		1,499,340		0.42	%
	1,600,000	11/14/17	Standard Chartered Bank	1.28	%		1,597,516		0.45	%
	1,600,000	10/17/17	Sumitomo Mitsui Banking Corporation	1.19	%		1,599,154		0.45	%
	1,500,000	12/6/17	United Overseas Bank Limited	1.30	%		1,496,453		0.42	%
Beverage
	1,500,000	10/23/17	Brown-Forman Corporation	1.23	%		1,498,873		0.42	%
Diversified financial services
	1,600,000	10/5/17	DCAT, LLC	1.30	%		1,599,769		0.45	%
	1,500,000	10/26/17	Gotham Funding Corporation	1.25	%		1,498,698		0.42	%
	1,600,000	10/3/17	Manhattan Asset Funding Company LLC	1.31	%		1,599,884		0.45	%
	1,500,000	10/11/17	The Liberty Company	1.30	%		1,499,458		0.42	%
	1,500,000	10/5/17	The Regency Group, Inc.	1.23	%		1,499,795		0.42	%
	1,500,000	11/15/17	Thunder Bay Funding, LLC	1.30	%		1,497,581		0.42	%
Energy
	1,500,000	10/23/17	Dominion Energy Inc.	1.42	%		1,498,708		0.42	%
	1,500,000	10/3/17	Duke Energy Corporation	1.44	%		1,499,881		0.42	%
	1,600,000	10/20/17	Enterprise Products Operating LLC	1.43	%		1,598,801		0.45	%
	1,500,000	10/2/17	NextEra Energy Capital Holdings, Inc.	1.44	%		1,499,940		0.42	%
	1,500,000	10/11/17	The Southern Company	1.46	%		1,499,396		0.42	%
Insurance
	1,600,000	10/10/17	AXA Financial, Inc.	1.30	%		1,599,480		0.45	%
Media
	1,500,000	10/16/17	CBS Corporation	1.40	%		1,499,131		0.42	%
Total U.S. commercial paper (cost: $32,034,459)							32,075,916		9.00	%

Foreign Commercial Paper
	Face Value	Maturity Date	Name	Yield¹
Banks
	1,200,000	11/28/17	Bank of Nova Scotia	1.31	%		1,197,486		0.34	%
Telecommunication
	1,600,000	10/10/17	Telstra Corporation Limited	1.30	%		1,599,480		0.45	%
Total foreign commercial paper (cost: $2,791,319)							2,796,966		0.79	%
Total commercial paper (cost: $34,825,778)							34,872,882		9.79	%

	Three Months Ended September 30,						Nine Months Ended September 30,
	2017			2016			2017			2016
Realized and change in unrealized gain (loss) on investments
Net realized gain (loss) on:
Futures, forward currency and swap contracts	$	(9,839,658	)	$	10,357,243		$	(2,048,554	)	$	42,154,724
Investment in SMFSF		80,105			—			80,105			—
Investments in securities and CDs		142,942			(470,142	)		169,099			(783,123	)
Net change in unrealized gain (loss) on:
Futures, forward currency and swap contracts		17,516,487			(23,420,648	)		(7,693,615	)		3,683,254
Investment in SMFSF		(572,177	)		—			(572,177	)		—
Investments in securities and CDs		36,487			(968,179	)		168,346			329,988
Exchange membership		21,750			—			43,500			—
Brokerage commissions and trading expenses		(1,247,256	)		(1,348,979	)		(3,742,728	)		(3,923,241	)
Net realized and changed in unrealized gain (loss) on investments		6,138,680			(15,850,705	)		(13,596,024	)		41,461,602

Net investment income (loss)
Income
Interest income (loss)		1,294,030			1,303,861			4,127,974			3,723,825

Expenses
Trading Advisor management fee		1,528,553			2,133,783			5,224,961			6,302,849
Trading Advisor incentive fee		86,974			991,813			3,401,806			4,290,609
Cash manager fees		76,038			128,822			269,927			377,753
General Partner management and performance fees		1,464,389			2,285,856			5,033,328			7,059,241
Selling agent and broker dealer servicing fees – General Partner		1,370,972			2,121,656			4,645,348			6,555,898
General Partner 1% allocation		12,530			(225,983	)		(297,618	)		165,646
Administrative expenses – General Partner		274,670			428,692			940,774			1,363,344
Investment Manager fees		226,354			392,201			953,748			1,043,940
Distribution (12b-1) fees		6,692			7,847			25,397			21,124
Operating services fee		31,043			53,788			130,800			186,914
Total expenses		5,078,215			8,318,475			20,328,471			27,367,318
Net investment income (loss)		(3,784,185	)		(7,014,614	)		(16,200,497	)		(23,643,493	)
Net income (loss)		2,354,495			(22,865,319	)		(29,796,521	)		17,818,109
Less: net (income) loss attributable to non-controlling interest		(1,114,081	)		493,024			332,291			(1,419,145	)
Net income (loss) attributable to the Fund	$	1,240,414		$	(22,372,295	)	$	(29,464,230	)	$	16,398,964

	Three Months Ended September 30,
	2017
	Class A			Class B		Class I		Class R
Increase (decrease) in net asset value per unit	$	(0.14	)	$	25.33	$	6.43	$	4.66
Net income (loss) per unit†	$	5.31		$	41.29	$	6.59	$	6.30

Weighted average number of units outstanding		66,562.7105			18,942.0684		3,751.4065		12,702.8260

At September 30, 2017
	Level 1		Level 2			Total
Equity in broker trading accounts:
Net unrealized gain (loss) on open futures contracts*	$	3,322,740	$	—		$	3,322,740
Net unrealized gain (loss) on open forward currency contracts*		—		(2,523,737	)		(2,523,737	)
Cash and cash equivalents:
Money market fund		8,908,857		—			8,908,857
Investment in SMFSF		35,110,771		—			35,110,771
Investments in securities:
U.S. Treasury securities*		59,004,298		—			59,004,298
Asset backed securities*		—		17,257,997			17,257,997
Commercial paper*		—		34,872,882			34,872,882
Corporate notes*		—		145,902,815			145,902,815
Certificates of deposit*		—		2,906,532			2,906,532
Exchange membership		—		232,500			232,500
Total	$	106,346,666	$	198,648,989		$	304,995,655

At December 31, 2016
	Level 1		Level 2		Total
Equity in broker trading accounts:
Net unrealized gain (loss) on open futures contracts*	$	8,921,229	$	—	$	8,921,229
Net unrealized gain (loss) on open forward currency contracts*		—		830,153		830,153
Cash and cash equivalents:
Money market fund		24,246,700		—		24,246,700
Investments in securities:
U.S. Treasury securities*		91,313,694		—		91,313,694
Asset backed securities*		—		36,022,365		36,022,365
Commercial paper*		—		67,749,447		67,749,447
Corporate notes*		—		229,354,824		229,354,824
Certificates of deposit*		—		35,576,495		35,576,495
Total	$	124,481,623	$	369,533,284	$	494,014,907

September 30, 2017	Derivative Assets and Liabilities, at fair value
Consolidated Statements of Financial Condition Location	Gross Amounts of Recognized Assets		Gross Amounts Offset in the Statements of Financial Condition			Net Amount of Assets Presented in the Statements of Financial Condition
Equity in broker trading accounts: Net unrealized gain (loss) on open futures contracts
Agricultural commodities	$	1,361,922	$	(1,114,169	)	$	247,753
Currencies		1,117,435		(1,842,585	)		(725,150	)
Energy		1,566,134		(894,988	)		671,146
Equity indices		9,591,429		(1,986,777	)		7,604,652
Interest rate instruments		2,569,236		(6,795,918	)		(4,226,682	)
Metals		9,968,173		(10,083,453	)		(115,280	)
Single stock futures		305,808		(439,507	)		(133,699	)
Net unrealized gain (loss) on open futures contracts	$	26,480,137	$	(23,157,397	)	$	3,322,740

Net unrealized gain (loss) on open forward currency contracts	$	3,056,836	$	(5,580,573	)	$	(2,523,737	)

	September 30, 2017		December 31, 2016
Units Owned		254.4114		254.4114
Value of Units	$	237,693	$	250,114

	Three Months Ended September 30, 2017
	Class A			Class B			Class I			Class R†
Per Unit Operating Performance

Net asset value per unit, beginning of period	$	3,812.48		$	5,710.30		$	927.86		$	944.91

Net realized and change in unrealized gain (loss) on investments⁽¹⁾		43.86			65.63			10.47			10.72
Net investment income (loss)⁽¹⁾		(44.00	)		(40.30	)		(4.04	)		(6.06	)
Total income (loss) from operations		(0.14	)		25.33			6.43			4.66

Net asset value per unit, end of period	$	3,812.34		$	5,735.63		$	934.29		$	949.57

Total return⁽⁴⁾		(0.00	)%		0.44	%		0.69	%		0.49	%

Other Financial Ratios
Ratios to average net asset value
Expenses prior to General Partner 1% allocation^{(2) (3)}		5.91	%		4.12	%		3.04	%		3.85	%
General Partner 1% allocation⁽⁴⁾		0.00	%		0.01	%		0.01	%		0.01	%
Net total expenses		5.91	%		4.13	%		3.05	%		3.86	%

Net investment income (loss)^{(2) (3) (5)}		(4.56	)%		(2.76	)%		(1.69	)%		(2.50	)%

	Three Months Ended September 30, 2016
	Class A			Class B			Class I			Class R†
Per Unit Operating Performance

Net asset value per unit, beginning of period	$	4,462.03		$	6,564.93		$	1,056.19		$	—

Net realized and change in unrealized gain (loss) on investments⁽¹⁾		(111.25	)		(164.59	)		(26.64	)		—
Net investment income (loss)⁽¹⁾		(58.05	)		(56.25	)		(6.36	)		—
Total income (loss) from operations		(169.30	)		(220.84	)		(33.00	)		—

Net asset value per unit, end of period	$	4,292.73		$	6,344.09		$	1,023.19		$	—

Total return⁽⁴⁾		(3.79	)%		(3.36	)%		(3.12	)%		—

Other Financial Ratios
Ratios to average net asset value
Expenses prior to General Partner 1% allocation^{(2) (3)}		6.26	%		4.44	%		3.40	%		—
General Partner 1% allocation⁽⁴⁾		(0.04	)%		(0.03	)%		(0.03	)%		—
Net total expenses		6.22	%		4.41	%		3.37	%		—

Net investment income (loss)^{(2) (3) (5)}		(5.40	)%		(3.58	)%		(2.55	)%		—

	Nine Months Ended September 30, 2017
	Class A			Class B			Class I			Class R†
Per Unit Operating Performance

Net asset value per unit, beginning of period or at issuance	$	4,096.03		$	6,080.47		$	983.11		$	1,000.00

Net realized and change in unrealized gain (loss) on investments⁽¹⁾		(119.55	)		(177.28	)		(29.74	)		(35.44	)
Net investment income (loss)⁽¹⁾		(164.14	)		(167.56	)		(19.08	)		(14.99	)
Total income (loss) from operations		(283.69	)		(344.84	)		(48.82	)		(50.43	)

Net asset value per unit, end of period	$	3,812.34		$	5,735.63		$	934.29		$	949.57

Total return⁽⁴⁾		(6.93	)%		(5.67	)%		(4.97	)%		(5.04	)%

Other Financial Ratios
Ratios to average net asset value
Expenses prior to General Partner 1% allocation^{(2) (3)}		6.84	%		5.08	%		3.97	%		4.51	%
General Partner 1% allocation⁽⁴⁾		(0.07	)%		(0.06	)%		(0.05	)%		(0.05	)%
Net total expenses		6.77	%		5.02	%		3.92	%		4.46	%

Net investment income (loss)^{(2) (3) (5)}		(5.60	)%		(3.83	)%		(2.71	)%		(3.19	)%

Assets	August 31, 2017
Equity in broker trading accounts
Cash	$	17,813,620
Net unrealized gain (loss) on open futures contracts		1,206,044
Net unrealized gain (loss) on open forward currency contracts		74,520
Total equity in broker trading accounts		19,094,184
Cash and cash equivalents		1,690,646
Investments in securities, at fair value		53,611,230
Subscription receivable		543,627
Liabilities
Trading advisor management fees		112,367
Distribution (12b-1) fees payable		3,331
Operating services fee payable		15,410
Redemptions payable		35,760
Net assets deconsolidated		74,772,819

Less: non-controlling interest		(38,169,976	)

Fair value of interest retained	$	36,602,843

Risk Allocation			Net Position	Sector	Gross Performance Contribution
	11	%	Mixed	Agriculture		(1.22	)%
	10	%	Long	Energy		(0.36	)%
	8	%	Mixed	Metals		0.32	%
	24	%	Long USD & EM	Currencies		0.08	%
	25	%	Long	Equity indices		3.70	%
	22	%	Short	Interest rates		(1.77	)%


R Units
Units redeemed		84.6675		538.2074		246.6917		869.5666
Average net asset value per unit	$	954.14	$	985.77	$	949.57	$	972.42