10-Q 1 v312360_10q.htm QUARTERLY REPORT

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM 10-Q

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

SECURITIES EXCHANGE ACT OF 1934

For the quarterly period ended March 31, 2012

Commission file number: 000-50728

FUTURES PORTFOLIO FUND, LIMITED PARTNERSHIP

Organized in Maryland

IRS Employer Identification No.: 52-1627106

c/o Steben & Company, Inc.

2099 Gaither Road, Suite 200

Rockville, Maryland 20850

(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 x 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 during the preceding 12 months (or for such shorter period that the registrant was required to submit and post such files).

Yes x 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. See definition of “large accelerated filer”, “accelerated filer” and “smaller reporting company” in Rule 12b-2 of the Exchange Act.

Large accelerated filer	¨	Accelerated filer	¨
Non-accelerated filer	x	Smaller Reporting Company	¨

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

Yes ¨ No x

Part I: Financial Information

Item 1. Financial Statements

Futures Portfolio Fund, Limited Partnership

Consolidated Statements of Financial Condition

March 31, 2012 (Unaudited) and December 31, 2011 (Audited)

	March 31, 2012			December 31, 2011
Assets
Equity in broker trading accounts
Cash	$	431,312,211		$	371,351,829
Net unrealized gain (loss) on open futures contracts		(938,155	)		38,413,627
Net unrealized gain (loss) on open forward currency contracts		(3,208,148	)		271,390
Interest receivable		10,226			4,449
Total equity in broker trading accounts		427,176,134			410,041,295
Cash and cash equivalents		32,643,323			24,490,690
Investments in securities, at fair value		921,842,692			996,835,815
Certificates of deposit, at fair value		103,505,236			94,924,443
General Partner 1% allocation receivable		207,690			1,356,695
Total assets	$	1,485,375,075		$	1,527,648,938

Liabilities and Partners’ Capital (Net Asset Value)
Liabilities
Trading Advisor management fees payable	$	1,941,187		$	2,061,196
Commissions and other trading fees payable on open contracts		226,635			202,327
Cash Manager fees payable		314,423			364,930
General Partner management fee payable		2,141,834			2,199,413
Selling Agent fees payable – General Partner		1,542,414			1,585,090
Administrative expenses payable – General Partner		561,614			576,321
Redemptions payable		28,731,372			22,127,237
Subscriptions received in advance		12,782,644			15,876,320
Total liabilities		48,242,123			44,992,834
Partners’ Capital (Net Asset Value)
Class A Interests – 190,379.4338 and 192,640.4151 units outstanding at March 31, 2012 and December 31, 2011, respectively		848,421,814			872,169,401
Class B Interests – 96,858.6886 and 99,309.8890 units outstanding at March 31, 2012 and December 31, 2011, respectively		588,711,138			610,486,703
Total partners' capital (net asset value)		1,437,132,952			1,482,656,104
Total liabilities and partners' capital (net asset value)	$	1,485,375,075		$	1,527,648,938

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

Futures Portfolio Fund, Limited Partnership

Consolidated Condensed Schedule of Investments

March 31, 2012

(Unaudited)

			Description				Fair Value		% of Partners' Capital (Net Asset Value)
Investments in Securities
U.S. Treasury Securities
Face Value		Maturity Date	Name	Yield¹
$	6,900,000	4/30/12	U.S. Treasury Notes		4.50	%	$	7,053,706		0.50	%
	3,000,000	5/31/12	U.S. Treasury Notes		4.75	%		3,070,301		0.21	%
	5,200,000	6/15/12	U.S. Treasury Notes		1.88	%		5,247,312		0.37	%
	500,000	7/15/12	U.S. Treasury Notes		1.50	%		503,557		0.04	%
	500,000	7/31/12	U.S. Treasury Notes		0.63	%		501,348		0.03	%
	12,040,000	8/31/12	U.S. Treasury Notes		0.38	%		12,054,759		0.84	%
	7,500,000	9/30/12	U.S. Treasury Notes		0.38	%		7,507,995		0.52	%
	9,825,000	10/31/12	U.S. Treasury Notes		3.88	%		10,194,940		0.71	%
	10,425,000	11/15/12	U.S. Treasury Notes		1.38	%		10,556,463		0.73	%
	4,600,000	11/30/12	U.S. Treasury Notes		0.50	%		4,617,252		0.32	%
	5,670,000	1/15/13	U.S. Treasury Notes		1.38	%		5,738,429		0.40	%
	7,000,000	2/15/13	U.S. Treasury Notes		1.38	%		7,082,436		0.49	%
	3,500,000	3/31/13	U.S. Treasury Notes		2.50	%		3,578,989		0.25	%
	4,500,000	4/15/13	U.S. Treasury Notes		1.75	%		4,606,771		0.32	%
	4,500,000	9/30/13	U.S. Treasury Notes		0.13	%		4,488,590		0.31	%
	5,000,000	11/15/13	U.S. Treasury Notes		0.50	%		5,024,518		0.35	%
Total U.S. Treasury securities (cost: $92,499,828)								91,827,366		6.39	%

U.S. Government Sponsored Enterprise Notes
Face Value		Maturity Date	Name		Yield¹
$	1,160,000	5/28/13	Federal Farm Credit Bank		0.23	%		1,160,666		0.09	%
	500,000	4/2/12	Federal Home Loan Bank		0.17	%		500,222		0.03	%
	3,500,000	5/18/12	Federal Home Loan Bank		1.13	%		3,519,130		0.24	%
	4,500,000	6/20/12	Federal Home Loan Bank		1.88	%		4,540,479		0.32	%
	250,000	6/27/12	Federal Home Loan Bank		0.25	%		250,222		0.02	%
	400,000	7/25/12	Federal Home Loan Bank		0.25	%		400,372		0.03	%
	850,000	8/10/12	Federal Home Loan Bank		0.35	%		851,405		0.06	%
	6,400,000	8/22/12	Federal Home Loan Bank		1.75	%		6,451,922		0.45	%
	3,800,000	10/5/12	Federal Home Loan Bank		0.31	%		3,805,790		0.26	%
	3,250,000	1/16/13	Federal Home Loan Bank		1.50	%		3,292,513		0.23	%
	2,300,000	1/29/13	Federal Home Loan Bank		0.38	%		2,304,418		0.16	%
	3,000,000	3/27/13	Federal Home Loan Bank		1.00	%		3,022,809		0.21	%
	6,700,000	1/9/13	Federal Home Loan Mortgage Corp.		1.38	%		6,780,768		0.47	%
	4,250,000	7/30/12	Federal National Mortgage Assoc.		1.13	%		4,271,672		0.30	%
	14,500,000	10/30/12	Federal National Mortgage Assoc.		0.50	%		14,553,287		1.01	%
Total U.S. government sponsored enterprise notes (cost: $55,961,089)								55,705,675		3.88	%

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

Futures Portfolio Fund, Limited Partnership

Consolidated Condensed Schedule of Investments (continued)

March 31, 2012

(Unaudited)

			Description				Fair Value		% of Partners' Capital (Net Asset Value)
Foreign Government Sponsored Enterprise Note
Face Value		Maturity Date	Name	Yield¹
$	1,000,000	6/11/12	Societe de Financement de l'Economie Fr. (cost: $1,018,924)		2.25	%	$	1,009,407		0.07	%

Total government sponsored enterprise notes (cost: $56,980,013)								56,715,082		3.95	%

U.S. Commercial Paper
Face Value		Maturity Date	Name		Yield¹
Agriculture
$	3,500,000	6/5/12	Philip Morris International Inc.		0.18	%		3,499,242		0.23	%
Automotive
	4,250,000	4/20/12	BMW US Capital, LLC		0.31	%		4,249,305		0.29	%
Banks
	3,000,000	4/30/12	Barclays US Funding LLC		0.15	%		2,999,635		0.21	%
	250,000	5/2/12	Credit Suisse (USA), Inc.		0.22	%		249,953		0.02	%
	4,250,000	4/26/12	HSBC USA Inc.		0.24	%		4,249,292		0.29	%
	4,250,000	4/5/12	Mizuho Funding LLC (USA)		0.47	%		4,249,801		0.29	%
	4,000,000	5/3/12	Standard Chartered Bank		0.44	%		3,998,400		0.27	%
	4,250,000	6/26/12	The Bank of Tokyo-Mitsubishi UFJ, Ltd. (NY)		0.36	%		4,246,345		0.29	%
	250,000	4/11/12	Union Bank, National Association		0.25	%		249,983		0.02	%
	3,500,000	5/22/12	Union Bank, National Association		0.23	%		3,498,860		0.24	%
Beverages
	3,750,000	5/1/12	Anheuser-Busch InBev Worldwide Inc.		0.25	%		3,749,219		0.26	%
	4,250,000	4/11/12	Bacardi U.S.A., Inc.		0.43	%		4,249,470		0.30	%
	3,400,000	5/23/12	The Coca-Cola Company		0.15	%		3,399,263		0.24	%
Charity
	3,100,000	5/9/12	The Salvation Army		0.20	%		3,099,346		0.22	%
Chemicals
	4,000,000	4/9/12	E. I. du Pont de Nemours and Company		0.13	%		3,999,884		0.28	%
	264,000	4/16/12	E. I. du Pont de Nemours and Company		0.16	%		263,986		0.02	%
Computers
	250,000	4/9/12	Hewlett-Packard Company		0.44	%		249,976		0.02	%
Diversified Financial Services
	4,000,000	4/16/12	American Honda Finance Corporation		0.16	%		3,999,733		0.28	%
	3,750,000	5/3/12	Caterpillar Financial Services Corporation		0.12	%		3,749,600		0.26	%
	3,600,000	4/16/12	ING (U.S.) Funding LLC		0.30	%		3,599,730		0.25	%
	3,750,000	4/19/12	Louis Dreyfus Commodities LLC		0.20	%		3,749,625		0.26	%
	3,250,000	4/4/12	Rabobank USA Financial Corporation		0.46	%		3,249,979		0.23	%
	3,500,000	4/30/12	River Fuel Company #2, Inc.		0.18	%		3,499,493		0.24	%
	3,400,000	5/11/12	UOB Funding LLC		0.28	%		3,398,942		0.24	%
	250,000	7/24/12	UOB Funding LLC		0.30	%		249,786		0.02	%
	4,000,000	5/15/12	Metlife Funding, Inc.		0.15	%		3,999,267		0.28	%
	3,500,000	4/13/12	New York Life Capital Corporation		0.12	%		3,499,860		0.24	%

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

Futures Portfolio Fund, Limited Partnership

Consolidated Condensed Schedule of Investments (continued)

March 31, 2012

(Unaudited)

			Description				Fair Value		% of Partners' Capital (Net Asset Value)
U.S. Commercial Paper (continued)
Face Value		Maturity Date	Name	Yield¹
Energy
$	4,000,000	4/2/12	Apache Corporation		0.44	%	$	3,999,951		0.28	%
	250,000	4/10/12	Duke Energy Corporation		0.40	%		249,975		0.02	%
	3,200,000	4/23/12	Duke Energy Corporation		0.40	%		3,199,218		0.22	%
	250,000	4/5/12	NextEra Energy Capital Holdings, Inc.		0.42	%		249,988		0.02	%
	4,000,000	4/13/12	NextEra Energy Capital Holdings, Inc.		0.45	%		3,999,400		0.28	%
	4,300,000	4/2/12	Oglethorpe Power Corporation		0.15	%		4,299,982		0.30	%
	4,000,000	4/3/12	ONEOK, Inc.		0.37	%		3,999,918		0.28	%
	250,000	4/11/12	The Southern Company		0.20	%		249,986		0.02	%
	3,100,000	4/20/12	The Southern Company		0.20	%		3,099,656		0.22	%
Manufacturing
	1,300,000	4/2/12	Illinois Tool Works Inc.		0.10	%		1,299,995		0.09	%
Mining
	3,300,000	4/17/12	BHP Billiton Finance (USA) Limited		0.15	%		3,299,780		0.23	%
	250,000	4/23/12	BHP Billiton Finance (USA) Limited		0.13	%		249,980		0.02	%
Total U.S. commercial paper (cost: $111,671,844)								111,695,804		7.77	%

Foreign Commercial Paper
Face Value		Maturity Date	Name		Yield¹
Banks
$	250,000	5/7/12	Commonwealth Bank of Australia		0.15	%		249,962		0.02	%
	232,000	4/30/12	DBS Bank Ltd.		0.23	%		231,957		0.02	%
	5,300,000	2/1/13	DBS Bank Ltd.		0.89	%		5,259,667		0.36	%
	950,000	4/2/12	DNB Bank ASA		0.20	%		949,995		0.07	%
	270,000	4/16/12	DNB Bank ASA		0.17	%		269,981		0.02	%
	4,250,000	6/1/12	Oversea-Chinese Banking Corp. Ltd		0.30	%		4,247,840		0.29	%
	3,250,000	4/23/12	Sumitomo Mitsui Banking Corporation		0.25	%		3,249,503		0.23	%
	4,000,000	4/26/12	The Bank of Nova Scotia		0.13	%		3,999,653		0.28	%
Consumer Products
	2,500,000	3/5/13	Reckitt Benckiser Treasury Services PLC		0.75	%		2,477,074		0.17	%
Diversified Financial Services
	4,000,000	4/17/12	John Deere Bank SA		0.15	%		3,999,733		0.28	%
	3,710,000	4/24/12	Toyota Credit Canada Inc.		0.17	%		3,709,597		0.26	%
Energy
	250,000	5/14/12	BP Capital Markets P.L.C.		0.18	%		249,946		0.02	%
	4,000,000	7/3/12	BP Capital Markets P.L.C.		0.33	%		3,996,590		0.28	%
	3,800,000	4/11/12	GDF Suez		0.21	%		3,799,778		0.26	%
	250,000	4/30/12	GDF Suez		0.22	%		249,956		0.02	%
	4,250,000	4/9/12	Pacific Gas and Electric Company		0.31	%		4,249,707		0.29	%
	3,800,000	4/13/12	Total Capital Canada Ltd.		0.13	%		3,799,835		0.26	%

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

Futures Portfolio Fund, Limited Partnership

Consolidated Condensed Schedule of Investments (continued)

March 31, 2012

(Unaudited)

			Description				Fair Value		% of Partners' Capital (Net Asset Value)
Foreign Commercial Paper (continued)
Face Value		Maturity Date	Name	Yield¹
Government Sponsored Enterprise
$	3,750,000	4/17/12	Corporacion Andina de Fomento		0.29	%	$	3,749,517		0.26	%
Total foreign commercial paper (cost: $48,730,741)								48,740,291		3.39	%

Total commercial paper (cost: $160,402,585)								160,436,095		11.16	%

U.S. Corporate Notes
Face Value		Maturity Date	Name		Yield¹
Aerospace
$	4,275,000	11/20/12	Boeing		1.88	%		4,342,880		0.30	%
	1,750,000	2/15/13	Boeing		5.13	%		1,832,129		0.13	%
	2,937,000	4/1/12	McDonnell Douglas		9.75	%		3,081,599		0.21	%
Apparel
	2,325,000	8/23/13	V.F. Corporation		1.24	%		2,328,163		0.16	%
Automotive
	1,000,000	9/14/12	PACCAR Inc		1.65	%		1,007,251		0.07	%
Banks
	10,450,000	1/30/14	Bank of America Corporation		1.97	%		10,295,625		0.71	%
	7,602,000	7/27/12	BB&T Corporation		3.85	%		7,734,613		0.54	%
	10,000,000	4/1/14	Citigroup Inc.		1.51	%		9,863,193		0.69	%
	4,510,000	5/15/13	Credit Suisse (USA), Inc.		5.00	%		4,767,917		0.33	%
	525,000	7/2/12	Credit Suisse AG		3.45	%		532,699		0.04	%
	10,000,000	1/14/14	Credit Suisse AG		1.53	%		9,985,855		0.69	%
	7,000,000	10/30/12	GMAC Inc.		1.75	%		7,113,416		0.49	%
	5,200,000	12/19/12	GMAC Inc.		2.20	%		5,305,349		0.37	%
	10,000,000	5/2/14	JPMorgan Chase & Co.		1.22	%		10,022,236		0.70	%
	2,800,000	6/20/12	Morgan Stanley		1.95	%		2,826,104		0.20	%
	10,000,000	1/9/14	Morgan Stanley		0.88	%		9,530,255		0.66	%
	2,200,000	11/1/12	The Bank of New York Mellon		4.95	%		2,301,891		0.16	%
	2,000,000	8/27/13	The Bank of New York Mellon		5.13	%		2,130,249		0.15	%
	5,000,000	7/28/14	The Bank of New York Mellon		0.82	%		5,014,474		0.35	%
	9,350,000	2/7/14	The Goldman Sachs Group, Inc.		1.53	%		9,202,480		0.64	%
	300,000	6/14/13	U.S. Bancorp		2.00	%		306,817		0.02	%
	2,400,000	10/30/13	U.S. Bancorp		1.13	%		2,423,560		0.17	%
	4,200,000	10/26/12	U.S. Bank National Association		0.78	%		4,211,577		0.29	%
	10,300,000	5/1/13	Wachovia Corporation		5.50	%		11,053,349		0.76	%
	250,000	5/1/13	Wachovia Corporation		2.32	%		255,559		0.02	%
Beverages
	5,000,000	3/26/13	Anheuser-Busch InBev Worldwide Inc.		1.20	%		5,029,697		0.35	%
	6,350,000	1/27/14	Anheuser-Busch InBev Worldwide Inc.		1.11	%		6,380,746		0.44	%
	6,101,000	8/15/13	Coca-Cola Enterprises, Inc.		5.00	%		6,484,517		0.45	%
	1,000,000	7/31/12	PepsiAmericas, Inc.		5.75	%		1,026,457		0.07	%

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

Futures Portfolio Fund, Limited Partnership

Consolidated Condensed Schedule of Investments (continued)

March 31, 2012

(Unaudited)

			Description				Fair Value		% of Partners' Capital (Net Asset Value)
U.S. Corporate Notes (continued)
Face Value		Maturity Date	Name	Yield¹
Chemicals
$	250,000	8/15/12	Monsanto Company		7.38	%	$	258,274		0.02	%
	2,645,000	11/15/12	Praxair, Inc.		1.75	%		2,683,863		0.19	%
Computers
	9,000,000	4/1/14	Dell Inc.		1.18	%		9,074,262		0.63	%
	100,000	7/1/12	Hewlett-Packard		6.50	%		102,952		0.01	%
	2,800,000	5/24/13	Hewlett-Packard		0.77	%		2,795,887		0.19	%
	4,500,000	5/30/14	Hewlett-Packard		0.89	%		4,451,663		0.31	%
	3,850,000	9/19/14	Hewlett-Packard		2.02	%		3,881,275		0.27	%
	750,000	6/15/12	IBM		0.50	%		750,685		0.05	%
	550,000	10/15/13	IBM		6.50	%		615,780		0.04	%
Consumer Products
	4,250,000	8/15/14	The Procter & Gamble Company		0.70	%		4,266,858		0.30	%
Diversified Financial Services
	4,300,000	6/29/12	American Honda Finance Corporation		0.57	%		4,299,009		0.30	%
	1,950,000	11/7/12	American Honda Finance Corporation		0.90	%		1,955,365		0.14	%
	2,110,000	4/2/13	American Honda Finance Corporation		4.63	%		2,243,904		0.16	%
	1,500,000	12/10/12	BlackRock, Inc.		2.25	%		1,527,752		0.11	%
	6,335,000	5/24/13	BlackRock, Inc.		0.79	%		6,362,042		0.44	%
	2,510,000	4/5/13	Caterpillar Financial Services Corporation		2.00	%		2,574,451		0.18	%
	1,600,000	4/1/14	Caterpillar Financial Services Corporation		0.87	%		1,610,701		0.11	%
	7,400,000	10/22/12	Citigroup Funding Inc.		1.88	%		7,529,628		0.52	%
	350,000	12/10/12	Citigroup Funding Inc.		2.25	%		357,308		0.02	%
	2,130,000	8/1/13	CME Group Inc.		5.40	%		2,275,747		0.16	%
	2,414,000	4/12/13	Credit Suisse (USA), Inc.		0.83	%		2,408,915		0.17	%
	5,555,000	12/28/12	General Electric Capital Corporation		2.63	%		5,691,032		0.40	%
	3,800,000	1/8/13	General Electric Capital Corporation		2.80	%		3,889,029		0.27	%
	3,400,000	6/19/13	General Electric Capital Corporation		1.07	%		3,418,393		0.24	%
	1,000,000	4/7/14	General Electric Capital Corporation		1.21	%		1,004,167		0.07	%
	9,000,000	1/15/14	HSBC Finance Corporation		0.82	%		8,761,586		0.61	%
	1,000,000	1/15/14	HSBC Finance Corporation		0.82	%		973,510		0.07	%
	4,500,000	10/1/12	John Deere Capital Corporation		5.25	%		4,728,260		0.33	%
	1,250,000	12/17/12	John Deere Capital Corporation		4.95	%		1,307,379		0.09	%
	157,000	1/15/13	John Deere Capital Corporation		5.10	%		164,497		0.01	%
	6,960,000	7/16/12	Massmutual Global Funding II		3.63	%		7,068,178		0.49	%
	3,714,000	9/27/13	Massmutual Global Funding II		0.97	%		3,712,010		0.26	%
	1,750,000	12/17/12	PACCAR Financial Corp.		1.95	%		1,776,025		0.12	%
	6,517,000	4/5/13	PACCAR Financial Corp.		0.69	%		6,549,759		0.46	%
	3,800,000	1/15/13	Principal Life Global Funding I		5.25	%		3,974,300		0.28	%
	5,000,000	4/14/14	SSIF Nevada, Limited Partnership		1.27	%		4,975,042		0.35	%
	3,300,000	10/12/12	Toyota Motor Credit Corporation		0.78	%		3,310,320		0.23	%
	300,000	1/14/13	Toyota Motor Credit Corporation		0.78	%		301,054		0.02	%

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

Futures Portfolio Fund, Limited Partnership

Consolidated Condensed Schedule of Investments (continued)

March 31, 2012

(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)
$	6,000,000	1/17/14	Toyota Motor Credit Corporation		0.95	%	$	6,029,694		0.42	%
	8,450,000	2/17/15	Toyota Motor Credit Corporation		1.00	%		8,458,386		0.59	%
Energy
	4,500,000	10/15/12	ConocoPhillips		4.75	%		4,700,421		0.33	%
	1,305,000	10/31/12	Northern Natural Gas Company		5.38	%		1,368,919		0.10	%
	2,191,000	10/15/12	NSTAR Electric Company		4.88	%		2,290,145		0.16	%
	4,275,000	12/13/13	Occidental Petroleum		1.45	%		4,356,409		0.30	%
Food
	410,000	6/1/12	Cargill, Incorporated		6.38	%		422,364		0.03	%
	4,725,000	9/15/12	Cargill, Incorporated		5.60	%		4,833,424		0.34	%
Healthcare
	7,743,000	3/1/14	Roche Holdings, Inc.		5.00	%		8,378,365		0.58	%
Insurance
	1,280,000	4/15/12	Berkshire Hathaway Finance Corporation		4.00	%		1,305,199		0.09	%
	1,980,000	1/10/14	Berkshire Hathaway Finance Corporation		0.91	%		1,988,163		0.14	%
	9,750,000	2/11/13	Berkshire Hathaway Inc.		0.94	%		9,810,775		0.68	%
	650,000	5/30/12	Jackson National Life Global Funding		6.13	%		668,349		0.05	%
	350,000	5/8/13	Jackson National Life Global Funding		5.38	%		372,808		0.03	%
	250,000	7/12/12	MetLife Institutional Funding II		0.98	%		250,467		0.02	%
	6,950,000	9/17/12	Metropolitan Life Global Funding I		2.88	%		7,022,176		0.49	%
	2,800,000	1/11/13	Metropolitan Life Global Funding I		2.50	%		2,844,712		0.20	%
	4,024,000	1/25/13	Monumental Global Funding III		0.73	%		4,012,555		0.28	%
	7,050,000	8/22/12	New York Life Global Funding		0.54	%		7,053,492		0.49	%
	1,550,000	10/16/12	New York Life Global Funding		5.25	%		1,626,121		0.11	%
	5,140,000	12/14/12	New York Life Global Funding		2.25	%		5,234,116		0.36	%
	1,250,000	5/9/13	New York Life Global Funding		4.65	%		1,325,696		0.09	%
	4,610,000	4/15/13	Pacific Life Global Funding		5.15	%		4,915,478		0.34	%
	4,500,000	6/25/12	Pricoa Global Funding I		4.63	%		4,595,006		0.32	%
	2,450,000	6/26/12	Pricoa Global Funding I		0.60	%		2,446,037		0.17	%
	650,000	10/18/12	Pricoa Global Funding I		5.40	%		682,336		0.05	%
	1,700,000	9/27/13	Pricoa Global Funding I		0.67	%		1,685,537		0.12	%
	105,000	12/14/12	Principal Life Income Fundings		5.30	%		109,941		0.01	%
	725,000	3/15/13	The Travelers Companies, Inc.		5.00	%		757,315		0.05	%
Internet
	3,000,000	5/19/14	Google Inc.		1.25	%		3,063,294		0.21	%
Machinery
	3,420,000	5/21/13	Caterpillar Inc.		0.66	%		3,432,380		0.24	%
Manufacturing
	9,035,000	6/21/13	Danaher Corporation		0.72	%		9,061,289		0.63	%
	8,000,000	6/16/14	Eaton Corporation		0.80	%		8,020,386		0.56	%
Media
	3,700,000	12/1/14	The Walt Disney Company		0.88	%		3,727,187		0.26	%

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

Futures Portfolio Fund, Limited Partnership

Consolidated Condensed Schedule of Investments (continued)

March 31, 2012

(Unaudited)

			Description				Fair Value		% of Partners' Capital (Net Asset Value)
U.S. Corporate Notes (continued)
Face Value		Maturity Date	Name	Yield¹
Pharmaceutical
$	4,275,000	2/10/14	Novartis Capital Corporation		4.13	%	$	4,578,533		0.32	%
	250,000	3/15/13	Pfizer Inc.		5.50	%		262,666		0.02	%
Retail
	9,075,000	7/18/14	Target Corporation		0.73	%		9,114,287		0.63	%
	4,500,000	2/3/14	Wal-Mart Stores, Inc.		3.00	%		4,725,814		0.33	%
	4,775,000	4/15/14	Wal-Mart Stores, Inc.		1.63	%		4,926,029		0.34	%
Semiconductor
	950,000	6/15/12	National Semiconductor		6.15	%		977,341		0.07	%
	4,275,000	5/15/13	Texas Instruments		0.68	%		4,293,674		0.30	%
Steel
	1,579,000	12/1/12	Nucor Corporation		5.00	%		1,648,826		0.11	%
Telecommunication
	6,550,000	2/13/15	AT&T		0.88	%		6,518,887		0.45	%
	2,250,000	3/14/14	Cisco Systems		0.72	%		2,262,253		0.16	%
	5,700,000	3/28/14	Verizon		1.08	%		5,747,756		0.40	%
Transportation
	9,424,000	1/15/13	United Parcel Service, Inc.		4.50	%		9,813,475		0.68	%
Total U.S. corporate notes (cost: $455,013,162)								451,740,002		31.43	%

Foreign Corporate Notes
Face Value		Maturity Date	Name		Yield¹
Automotive
$	10,370,000	4/1/14	Volkswagen International Finance N.V.		1.19	%		10,369,782		0.71	%
Banks
	3,200,000	12/21/12	ANZ National (Int'l) Limited		2.38	%		3,257,536		0.23	%
	3,300,000	6/28/13	Bank of Montreal		2.13	%		3,373,777		0.23	%
	4,500,000	1/23/13	Barclays Bank PLC		2.50	%		4,560,855		0.32	%
	10,000,000	1/10/14	BNP Paribas		1.48	%		9,826,610		0.68	%
	3,000,000	6/29/12	Commonwealth Bank of Australia		0.67	%		2,998,710		0.21	%
	5,000,000	4/14/14	Danske Bank A/S		1.62	%		4,933,127		0.34	%
	4,300,000	1/18/13	HSBC Bank PLC		0.96	%		4,308,907		0.30	%
	4,150,000	5/15/13	HSBC Bank PLC		0.93	%		4,153,746		0.29	%
	400,000	1/17/14	HSBC Bank PLC		1.37	%		402,145		0.03	%
	9,000,000	3/15/13	ING Bank N.V.		1.52	%		9,009,549		0.63	%
	1,000,000	6/9/14	ING Bank N.V.		1.87	%		990,625		0.07	%
	5,000,000	6/17/13	KfW Bankengruppe		0.25	%		4,998,560		0.35	%
	4,930,000	6/15/12	National Australia Bank Limited		0.67	%		4,931,489		0.34	%
	1,000,000	11/16/12	National Australia Bank Limited		2.35	%		1,019,658		0.07	%
	1,500,000	1/8/13	National Australia Bank Limited		2.50	%		1,529,431		0.11	%
	1,000,000	6/12/13	National Australia Bank Limited		5.35	%		1,067,734		0.07	%
	5,000,000	4/11/14	National Australia Bank Limited		1.30	%		4,996,562		0.35	%
	5,000,000	2/4/13	Rabobank Nederland		0.68	%		5,004,289		0.35	%

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

Futures Portfolio Fund, Limited Partnership

Consolidated Condensed Schedule of Investments (continued)

March 31, 2012

(Unaudited)

			Description				Fair Value		% of Partners' Capital (Net Asset Value)
Foreign Corporate Notes (continued)
Face Value		Maturity Date	Name	Yield¹
Banks (continued)
$	5,250,000	3/8/13	Royal Bank of Canada		0.62	%	$	5,260,292		0.37	%
	2,000,000	7/29/13	Royal Bank of Canada		2.10	%		2,047,445		0.14	%
	7,850,000	9/14/12	Svenska Handelsbanken AB		2.88	%		7,937,658		0.55	%
	4,600,000	5/11/12	The Royal Bank of Scotland		2.63	%		4,654,816		0.32	%
	6,660,000	7/26/13	The Toronto-Dominion Bank		0.74	%		6,688,112		0.47	%
	1,100,000	12/14/12	Westpac Banking Corporation		1.90	%		1,115,862		0.08	%
	9,750,000	3/31/14	Westpac Banking Corporation		1.20	%		9,741,091		0.68	%
Energy
	5,250,000	11/7/13	BP Capital Markets P.L.C.		5.25	%		5,720,570		0.40	%
	5,146,000	3/25/13	Shell International Finance B.V.		1.88	%		5,224,806		0.36	%
Insurance
	2,270,000	4/22/13	Monumental Global Funding III		5.50	%		2,424,917		0.17	%
Pharmaceutical
	6,000,000	9/15/12	AstraZeneca PLC		5.40	%		6,148,292		0.43	%
	8,065,000	3/28/13	Sanofi		0.67	%		8,095,346		0.56	%
	4,280,000	3/28/14	Sanofi		0.78	%		4,302,773		0.30	%
	10,000,000	3/21/14	Teva Pharmaceutical Finance III BV		0.97	%		10,029,075		0.70	%
Total foreign corporate notes (cost: $162,113,274)								161,124,147		11.21	%

Total corporate notes (cost: $617,126,436)								612,864,149		42.64	%
Total investments in securities (cost: $927,008,862)							$	921,842,692		64.14	%

U.S. Certificates of Deposit
Face Value		Maturity Date	Name		Yield¹
Banks
$	2,000,000	8/15/13	Bank of Montreal (Chicago)		0.70	%	$	2,001,274		0.14	%
	2,250,000	10/3/13	Bank of Montreal (Chicago)		1.03	%		2,255,735		0.16	%
	5,300,000	6/15/12	Barclays Bank PLC (NY)		0.33	%		5,301,214		0.37	%
	250,000	4/26/12	Canadian Imperial Bank of Commerce (NY)		0.32	%		250,007		0.02	%
	4,750,000	11/5/12	Canadian Imperial Bank of Commerce (NY)		0.73	%		4,761,429		0.33	%
	5,950,000	3/14/13	Deutsche Bank Aktiengesellschaft (NY)		1.06	%		5,954,644		0.41	%
	2,300,000	5/7/12	Mizuho Corporate Bank, Ltd. (NY)		0.42	%		2,301,836		0.16	%
	5,300,000	6/6/12	Mizuho Corporate Bank, Ltd. (NY)		0.37	%		5,301,161		0.37	%
	5,300,000	1/9/13	National Bank of Canada (NY)		0.66	%		5,315,344		0.37	%
	1,000,000	5/8/12	Nordea Bank Finland PLC (NY)		0.40	%		1,003,882		0.07	%
	7,600,000	11/13/12	Nordea Bank Finland PLC (NY)		0.71	%		7,599,496		0.53	%
	250,000	3/1/13	PNC Bank		0.59	%		250,187		0.02	%
	1,750,000	4/2/12	Rabobank Nederland (NY)		0.34	%		1,750,501		0.12	%
	250,000	3/15/13	Royal Bank of Canada (NY)		2.25	%		253,485		0.02	%
	4,600,000	9/3/13	Royal Bank of Canada (NY)		0.69	%		4,607,967		0.32	%

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

Futures Portfolio Fund, Limited Partnership

Consolidated Condensed Schedule of Investments (continued)

March 31, 2012

(Unaudited)

			Description			Fair Value		% of Partners' Capital (Net Asset Value)
U.S. Certificates of Deposit (continued)
Face Value		Maturity Date	Name	Yield¹
Banks (continued)
$	2,000,000	8/9/12	Standard Chartered Bank	0.72	%	$	2,003,020		0.14	%
	7,500,000	9/10/12	The Bank of Tokyo-Mitsubishi UFJ, Ltd. (NY)	0.52	%		7,501,792		0.52	%
	4,650,000	4/5/12	The Norinchukin Bank (NY)	0.55	%		4,662,835		0.32	%
	2,650,000	9/7/12	The Norinchukin Bank (NY)	0.55	%		2,650,297		0.18	%
	6,900,000	5/3/12	Westpac Banking Corp. (NY)	0.40	%		6,926,838		0.48	%
	2,650,000	6/21/12	Westpac Banking Corp. (NY)	0.41	%		2,659,760		0.19	%
Charity
	200,000	4/4/12	The Salvation Army	0.30	%		200,302		0.01	%
Total U.S. certificates of deposit (cost: $75,407,909)							75,513,006		5.25	%

Foreign Certificates of Deposit
Face Value		Maturity Date	Name	Yield¹
Banks
$	5,000,000	6/1/12	Sumitomo Mitsui Banking Corporation	0.65	%		5,012,903		0.35	%
	5,150,000	6/19/12	Swedbank Sparbanken Svenge AB	0.53	%		5,151,504		0.36	%
	4,600,000	6/11/12	The Bank of Nova Scotia	0.67	%		4,605,147		0.32	%
	2,600,000	10/18/12	The Bank of Nova Scotia	0.86	%		2,607,961		0.18	%
	2,000,000	11/20/12	The Bank of Nova Scotia	0.74	%		2,010,151		0.14	%
	2,000,000	2/10/14	The Bank of Nova Scotia	1.01	%		2,002,971		0.14	%
Government Sponsored Enterprise
	6,600,000	5/25/12	Caisse Amortissement de la Dette Socia	0.54	%		6,601,593		0.46	%
Total foreign certificates of deposit (cost: $27,968,369)							27,992,230		1.95	%

Total certificates of deposit (cost: $103,376,278)						$	103,505,236		7.20	%

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

Futures Portfolio Fund, Limited Partnership

Consolidated Condensed Schedule of Investments (continued)

March 31, 2012

(Unaudited)

	Description	Fair Value			% of Partners' Capital (Net Asset Value)
Open Futures Contracts
Long U.S. Futures Contracts
	Agricultural commodities	$	3,607,833			0.25	%
	Currencies		(1,849,609	)		(0.13	)%
	Energy		(7,611,290	)		(0.53	)%
	Equity indices		7,036,784			0.49	%
	Interest rate instruments		(1,746,744	)		(0.12	)%
	Metals		(6,049,411	)		(0.42	)%
	Single stock futures		12,754			0.00	%
Net unrealized loss on open long U.S. futures contracts			(6,599,683	)		(0.46	)%

Short U.S. Futures Contracts
	Agricultural commodities		1,059,976			0.07	%
	Currencies		(4,086,178	)		(0.28	)%
	Energy		5,900,417			0.41	%
	Equity indices		522,926			0.04	%
	Interest rate instruments		(824,777	)		(0.06	)%
	Metals		3,019,575			0.21	%
Net unrealized gain on open short U.S. futures contracts			5,591,939			0.39	%

Total U.S. Futures Contracts - Net unrealized loss on open U.S. futures contracts			(1,007,744	)		(0.07	)%

Long Foreign Futures Contracts
	Agricultural commodities		1,471,624			0.10	%
	Currencies		255,802			0.02	%
	Energy		465,680			0.03	%
	Equity indices		(3,338,253	)		(0.23	)%
	Interest rate instruments		3,444,975			0.24	%
	Metals		(116,987	)		(0.01	)%
Net unrealized gain on open long foreign futures contracts			2,182,841			0.15	%

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

Futures Portfolio Fund, Limited Partnership

Consolidated Condensed Schedule of Investments (continued)

March 31, 2012

(Unaudited)

	Description	Fair Value			% of Partners' Capital (Net Asset Value)
Short Foreign Futures Contracts
	Agricultural commodities	$	(41,296	)		(0.00	)%
	Currencies		(762,099	)		(0.05	)%
	Energy		(4,378	)		(0.00	)%
	Equity indices		94,561			0.01	%
	Interest rate instruments		(1,187,299	)		(0.08	)%
	Metals		(212,741	)		(0.01	)%
Net unrealized loss on open short foreign futures contracts			(2,113,252	)		(0.13	)%

Total foreign futures contracts - net unrealized gain on open foreign futures contracts			69,589			0.02	%

Net unrealized loss on open futures contracts		$	(938,155	)		(0.05	)%

Open Forward Currency Contracts
U.S. Forward Currency Contracts
	Long	$	(867,350	)		(0.06	)%
	Short		(1,959,634	)		(0.14	)%
Net unrealized loss on open U.S. forward currency contracts			(2,826,984	)		(0.20	)%

Foreign Forward Currency Contracts
	Long		(600,069	)		(0.04	)%
	Short		218,905			0.02	%
Net unrealized loss on open foreign forward currency contracts			(381,164	)		(0.02	)%

Net unrealized loss on open forward currency contracts		$	(3,208,148	)		(0.22	)%

Notes

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.

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

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

Futures Portfolio Fund, Limited Partnership

Consolidated Condensed Schedule of Investments

December 31, 2011

(Audited)

			Description			Fair Value		% of Partners' Capital (Net Asset Value)
Investments in Securities
U.S. Treasury Securities
Face Value		Maturity Date	Name	Yield¹
$	9,000,000	3/8/12	US Treasury Bills	0.20	%	$	8,999,688		0.61	%
	2,000,000	3/8/12	US Treasury Bills	0.12	%		1,999,930		0.13	%
	1,250,000	2/29/12	US Treasury Notes	0.88	%		1,255,377		0.08	%
	500,000	3/31/12	US Treasury Notes	4.50	%		511,073		0.03	%
	9,700,000	4/30/12	US Treasury Notes	4.50	%		9,914,187		0.67	%
	3,000,000	5/31/12	US Treasury Notes	4.75	%		3,069,885		0.21	%
	11,750,000	6/15/12	US Treasury Notes	1.88	%		11,856,216		0.80	%
	500,000	7/15/12	US Treasury Notes	1.50	%		507,236		0.03	%
	500,000	7/31/12	US Treasury Notes	0.63	%		502,856		0.03	%
	925,000	8/31/12	US Treasury Notes	0.38	%		927,811		0.06	%
	7,500,000	9/30/12	US Treasury Notes	0.38	%		7,521,537		0.51	%
	9,825,000	10/31/12	US Treasury Notes	3.88	%		10,192,371		0.69	%
	800,000	11/15/12	US Treasury Notes	1.38	%		809,958		0.05	%
	4,600,000	11/30/12	US Treasury Notes	0.50	%		4,616,745		0.31	%
	5,670,000	1/15/13	US Treasury Notes	1.38	%		5,776,455		0.39	%
	7,000,000	2/15/13	US Treasury Notes	1.38	%		7,129,595		0.48	%
	2,500,000	4/15/13	US Treasury Notes	1.75	%		2,558,934		0.17	%
Total U.S. Treasury securities (cost: $78,729,280)							78,149,854		5.25	%

U.S. Government Sponsored Enterprise Notes
Face Value		Maturity Date	Name	Yield¹
$	1,160,000	5/28/13	Federal Farm Credit Bank	0.28	%		1,160,902		0.08	%
	500,000	4/2/12	Federal Home Loan Bank	0.17	%		500,071		0.03	%
	3,500,000	5/18/12	Federal Home Loan Bank	1.13	%		3,517,884		0.24	%
	4,500,000	6/20/12	Federal Home Loan Bank	1.88	%		4,538,326		0.31	%
	250,000	6/27/12	Federal Home Loan Bank	0.25	%		250,098		0.02	%
	400,000	7/25/12	Federal Home Loan Bank	0.25	%		400,609		0.03	%
	6,800,000	8/10/12	Federal Home Loan Bank	0.35	%		6,804,988		0.46	%
	6,400,000	8/22/12	Federal Home Loan Bank	1.75	%		6,501,618		0.44	%
	5,250,000	8/28/12	Federal Home Loan Bank	0.44	%		5,254,569		0.35	%
	3,800,000	10/5/12	Federal Home Loan Bank	0.31	%		3,802,799		0.26	%
	3,250,000	1/16/13	Federal Home Loan Bank	1.50	%		3,312,699		0.22	%
	3,000,000	3/27/13	Federal Home Loan Bank	1.00	%		3,033,171		0.20	%
	300,000	8/23/13	Federal Home Loan Bank	0.70	%		300,856		0.02	%
	6,700,000	1/9/13	Federal Home Loan Mortgage Corp.	1.38	%		6,821,306		0.46	%
	3,250,000	8/22/13	Federal Home Loan Mortgage Corp.	0.60	%		3,258,171		0.22	%
	7,300,000	9/23/13	Federal Home Loan Mortgage Corp.	0.55	%		7,301,980		0.49	%
	5,300,000	9/30/13	Federal Home Loan Mortgage Corp.	0.55	%		5,303,028		0.36	%
	5,000,000	10/25/13	Federal Home Loan Mortgage Corp.	0.60	%		5,006,190		0.34	%
	4,250,000	7/30/12	Federal National Mortgage Association	1.13	%		4,292,881		0.29	%
	14,500,000	10/30/12	Federal National Mortgage Association	0.50	%		14,542,565		0.98	%
Total U.S. government sponsored enterprise notes (cost: $86,007,781)							85,904,711		5.80	%

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, 2011

(Audited)

			Description			Fair Value		% of Partners' Capital (Net Asset Value)
Foreign Government Sponsored Enterprise Notes
Face Value		Maturity Date	Name	Yield¹
$	2,800,000	1/23/12	African Development Bank	1.88	%	$	2,825,080		0.19	%
	3,200,000	3/21/12	European Investment Bank	4.63	%		3,267,754		0.22	%
	1,000,000	6/11/12	Soc. de Financement de l'Economie Francaise	2.25	%		1,005,116		0.07	%
Total foreign government sponsored enterprise notes (cost: $7,208,542)							7,097,950		0.48	%

Total government sponsored enterprise notes (cost: $93,216,323)							93,002,661		6.28	%

U.S. Commercial Paper
Face Value		Maturity Date	Name	Yield¹
Automotive
$	3,500,000	1/9/12	BMW US Capital, LLC	0.38	%		3,499,704		0.24	%
	260,000	1/19/12	BMW US Capital, LLC	0.40	%		259,948		0.02	%
Banks
	3,400,000	2/15/12	Credit Suisse (USA), Inc.	0.45	%		3,398,088		0.23	%
	200,000	3/19/12	Goldman Sachs Group, Inc.	0.55	%		199,762		0.01	%
	4,250,000	1/27/12	HSBC USA Inc.	0.20	%		4,249,031		0.29	%
	3,300,000	1/27/12	National Australia Funding (Delaware) Inc.	0.28	%		3,299,357		0.22	%
	250,000	1/4/12	Standard Chartered Bank	0.20	%		249,995		0.02	%
	4,000,000	2/8/12	Standard Chartered Bank	0.36	%		3,998,480		0.27	%
	250,000	2/6/12	Union Bank, National Association	0.18	%		249,955		0.02	%
Beverages
	2,550,000	2/2/12	Anheuser-Busch InBev Worldwide Inc.	0.25	%		2,549,433		0.17	%
	250,000	3/5/12	The Coca-Cola Company	0.20	%		249,933		0.02	%
Charity
	4,000,000	1/19/12	The Salvation Army	0.12	%		3,999,760		0.27	%
	200,000	1/25/12	The Salvation Army	0.10	%		199,987		0.01	%
Computers
	3,550,000	1/9/12	Hewlett-Packard Company	0.45	%		3,549,645		0.24	%
Diversified Financial Services
	3,200,000	1/6/12	American Honda Finance Corporation	0.20	%		3,199,911		0.22	%
	250,000	2/8/12	American Honda Finance Corporation	0.27	%		249,894		0.02	%
	200,000	2/27/12	Caterpillar Financial Services Corporation	0.07	%		199,978		0.01	%
	3,300,000	3/5/12	Caterpillar Financial Services Corporation	0.20	%		3,298,827		0.22	%
	4,000,000	1/11/12	General Electric Capital Corporation	0.14	%		3,999,978		0.27	%
	260,000	1/6/12	ING (U.S.) Funding LLC	0.25	%		259,995		0.02	%
	4,000,000	2/27/12	ING (U.S.) Funding LLC	0.35	%		3,997,783		0.27	%
	2,000,000	1/6/12	National Rural Utilities Coop.	0.09	%		1,999,975		0.13	%
	3,000,000	1/6/12	Nordea Investment Mgmt North America, Inc.	0.32	%		2,999,867		0.20	%
	4,000,000	1/24/12	PACCAR Financial Corp.	0.07	%		3,999,821		0.27	%
	250,000	2/15/12	Private Export Funding Corporation	0.11	%		249,966		0.02	%
	3,232,000	1/13/12	River Fuel Company #2, Inc.	0.28	%		3,231,698		0.22	%
	250,000	1/13/12	River Fuel Trust 1	0.35	%		249,967		0.02	%
	3,400,000	1/20/12	Toyota Motor Credit Corporation	0.20	%		3,399,641		0.23	%

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, 2011

(Audited)

			Description				Fair Value		% of Partners' Capital (Net Asset Value)
U.S. Commercial Paper (continued)
Face Value		Maturity Date	Name	Yield¹
Energy
$	4,000,000	1/4/12	NextEra Energy Capital Holdings, Inc.		0.46	%	$	3,999,847		0.27	%
	280,000	1/11/12	NextEra Energy Capital Holdings, Inc.		0.50	%		279,965		0.02	%
	4,300,000	1/12/12	Oglethorpe Power Corporation		0.17	%		4,299,777		0.29	%
	3,500,000	1/4/12	The Southern Company		0.15	%		3,499,956		0.24	%
	260,000	1/11/12	The Southern Company		0.17	%		259,988		0.02	%
	250,000	1/4/12	Questar Corporation		0.18	%		249,996		0.02	%
	3,300,000	1/20/12	Questar Corporation		0.25	%		3,299,565		0.22	%
Food
	4,250,000	1/5/12	Kellogg Company		0.19	%		4,249,910		0.29	%
Insurance
	3,240,000	1/10/12	Metlife Funding, Inc.		0.07	%		3,239,927		0.22	%
	3,500,000	2/13/12	New York Life Capital Corporation		0.13	%		3,499,457		0.24	%
Manufacturing
	3,350,000	1/23/12	Emerson Electric Co.		0.07	%		3,349,857		0.23	%
Mining
	3,000,000	1/17/12	BHP Billiton Finance (USA) Limited		0.16	%		2,999,787		0.20	%
	250,000	1/24/12	BHP Billiton Finance (USA) Limited		0.13	%		249,979		0.02	%
Telecommunication
	4,000,000	1/3/12	Verizon Communications Inc.		0.37	%		3,999,918		0.27	%
Total U.S. commercial paper (cost: $98,744,654)								98,768,308		6.70	%

Foreign Commercial Paper
	Face Value	Maturity Date	Name		Yield¹
Banks
$	3,750,000	2/7/12	Australia and New Zealand Banking Group		0.25	%		3,749,036		0.25	%
	4,250,000	1/25/12	Bank of Tokyo-Mitsubishi UFJ, Ltd.		0.29	%		4,249,178		0.29	%
	3,200,000	1/17/12	Commonwealth Bank of Australia		0.30	%		3,199,473		0.22	%
	3,000,000	1/23/12	DNB Bank ASA		0.37	%		2,999,413		0.20	%
	4,000,000	1/12/12	John Deere Credit Inc. (Canada)		0.10	%		3,999,878		0.27	%
	4,250,000	1/17/12	Mizuho Funding LLC		0.20	%		4,249,622		0.29	%
	4,300,000	3/8/12	Oversea-Chinese Banking Corp.		0.53	%		4,295,759		0.29	%
	4,000,000	1/27/12	Sumitomo Mitsui Banking Corp.		0.24	%		3,999,307		0.27	%
Energy
	270,000	1/4/12	BP Capital Markets P.L.C.		0.23	%		269,995		0.02	%
	1,100,000	1/17/12	BP Capital Markets P.L.C.		0.28	%		1,099,853		0.07	%
	3,000,000	2/21/12	BP Capital Markets P.L.C.		0.26	%		2,998,895		0.20	%
	4,000,000	1/11/12	GDF Suez		0.21	%		3,999,767		0.27	%
	4,350,000	1/3/12	Pacific Gas and Electric Company		0.40	%		4,349,903		0.29	%
Government Sponsored Enterprise
	3,750,000	2/14/12	Corporacion Andina de Fomento		0.33	%		3,748,485		0.25	%

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, 2011

(Audited)

			Description				Fair Value		% of Partners' Capital (Net Asset Value)
Foreign Commercial Paper (continued)
Face Value		Maturity Date	Name	Yield¹
Healthcare
$	250,000	1/10/12	Covidien International Finance S.A.		0.21	%	$	249,987		0.02	%
	3,000,000	2/10/12	Covidien International Finance S.A.		0.25	%		2,999,167		0.20	%
Telecommunication
	4,000,000	2/16/12	Telstra Corporation Limited		0.23	%		3,998,824		0.27	%
Total foreign commercial paper (cost: $54,439,767)								54,456,542		3.67	%

Total commercial paper (cost: $153,184,421)								153,224,850		10.37	%

U.S. Corporate Notes
Face Value		Maturity Date	Name		Yield¹
Aerospace
$	4,275,000	11/20/12	Boeing		1.88	%		4,328,732		0.29	%
	1,750,000	2/15/13	Boeing		5.13	%		1,868,615		0.13	%
	2,937,000	4/1/12	McDonnell Douglas Corporation		9.75	%		3,073,320		0.21	%
Agriculture
	5,850,000	8/13/12	Archer-Daniels-Midland Company		0.61	%		5,864,274		0.40	%
Apparel
	2,325,000	8/23/13	V.F. Corporation		1.25	%		2,332,109		0.16	%
Automotive
	1,000,000	9/14/12	PACCAR Inc		1.72	%		1,009,200		0.07	%
Banks
	15,000,000	1/30/14	Bank of America		1.85	%		13,590,732		0.92	%
	190,000	3/23/12	Bank of New York Mellon		0.67	%		189,954		0.01	%
	5,000,000	7/28/14	Bank of New York Mellon		0.69	%		4,922,138		0.33	%
	7,602,000	7/27/12	BB&T Corporation		3.85	%		7,851,227		0.53	%
	4,000,000	12/28/12	Citibank, N.A.		1.75	%		4,061,719		0.27	%
	10,000,000	4/1/14	Citigroup Inc.		1.30	%		9,456,391		0.64	%
	6,525,000	7/2/12	Credit Suisse AG (NY)		3.45	%		6,709,392		0.45	%
	10,000,000	1/14/14	Credit Suisse AG (NY)		1.36	%		9,708,314		0.65	%
	7,000,000	10/30/12	GMAC Inc.		1.75	%		7,111,043		0.48	%
	5,200,000	12/19/12	GMAC Inc.		2.20	%		5,302,977		0.36	%
	10,074,000	1/15/12	Goldman Sachs		6.60	%		10,399,589		0.70	%
	1,200,000	2/14/12	Goldman Sachs		5.30	%		1,228,911		0.08	%
	13,855,000	2/7/14	Goldman Sachs		1.44	%		12,981,083		0.88	%
	10,000,000	5/2/14	JPMorgan Chase & Co.		1.30	%		9,710,982		0.65	%
	3,600,000	6/15/12	KeyBank National Association		3.20	%		3,654,879		0.25	%
	2,800,000	6/20/12	Morgan Stanley		1.95	%		2,824,234		0.19	%
	4,500,000	4/29/13	Morgan Stanley		1.41	%		4,251,895		0.29	%
	10,000,000	1/9/14	Morgan Stanley		0.69	%		9,063,376		0.61	%
	4,200,000	10/26/12	U.S. Bank National Association		0.64	%		4,212,590		0.28	%
	3,000,000	2/23/12	UBS AG (USA)		1.60	%		3,008,944		0.20	%
	1,230,000	3/1/12	Wachovia Corporation		0.68	%		1,231,092		0.08	%

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, 2011
(Audited)

			Description				Fair Value		% of Partners' Capital (Net Asset Value)
U.S. Corporate Notes (continued)
Face Value		Maturity Date	Name	Yield¹
Banks (continued)
$	250,000	5/1/13	Wachovia Corporation		2.20	%	$	255,174		0.02	%
	5,250,000	10/23/12	Wells Fargo & Company		5.25	%		5,486,217		0.37	%
	5,800,000	1/31/13	Wells Fargo & Company		4.38	%		6,100,740		0.41	%
Beverages
	5,000,000	3/26/13	Anheuser-Busch InBev Worldwide Inc.		1.30	%		5,025,140		0.34	%
	2,350,000	1/27/14	Anheuser-Busch InBev Worldwide Inc.		0.97	%		2,358,879		0.16	%
	4,000,000	7/14/14	Anheuser-Busch InBev Worldwide Inc.		0.76	%		3,987,398		0.27	%
	1,275,000	3/1/12	Coca-Cola Enterprises, Inc.		3.75	%		1,296,595		0.09	%
	6,101,000	8/15/13	Coca-Cola Enterprises, Inc.		5.00	%		6,603,898		0.45	%
	1,000,000	7/31/12	PepsiAmericas, Inc.		5.75	%		1,054,245		0.07	%
Chemicals
	250,000	8/15/12	Monsanto Company		7.38	%		266,699		0.02	%
	2,645,000	11/15/12	Praxair, Inc.		1.75	%		2,673,474		0.18	%
Computers
	9,000,000	4/1/14	Dell Inc.		0.97	%		9,075,707		0.61	%
	3,663,000	3/1/12	Hewlett-Packard Company		5.25	%		3,751,128		0.25	%
	100,000	7/1/12	Hewlett-Packard Company		6.50	%		105,970		0.01	%
	2,800,000	5/24/13	Hewlett-Packard Company		0.79	%		2,774,702		0.19	%
	4,500,000	5/30/14	Hewlett-Packard Company		0.92	%		4,354,514		0.29	%
	3,850,000	9/19/14	Hewlett-Packard Company		2.11	%		3,834,096		0.26	%
	750,000	6/15/12	IBM		0.58	%		750,291		0.05	%
	550,000	10/15/13	IBM		6.50	%		614,082		0.04	%
Construction
	3,420,000	5/21/13	Caterpillar Inc.		0.65	%		3,426,993		0.23	%
Consumer Products
	4,250,000	8/15/14	Procter & Gamble		0.70	%		4,281,968		0.29	%
	335,000	2/15/12	Kimberly-Clark Corporation		5.63	%		343,930		0.02	%
Diversified Financial Services
	4,300,000	6/29/12	American Honda Finance Corporation		0.68	%		4,298,974		0.29	%
	1,950,000	11/7/12	American Honda Finance Corporation		0.81	%		1,955,395		0.13	%
	2,110,000	4/2/13	American Honda Finance Corporation		4.63	%		2,208,666		0.15	%
	1,500,000	12/10/12	BlackRock, Inc.		2.25	%		1,522,241		0.10	%
	6,335,000	5/24/13	BlackRock, Inc.		0.81	%		6,336,536		0.43	%
	250,000	3/15/12	Caterpillar Financial Services Corporation		4.70	%		255,581		0.02	%
	2,510,000	4/5/13	Caterpillar Financial Services Corporation		2.00	%		2,565,847		0.17	%
	1,600,000	4/1/14	Caterpillar Financial Services Corporation		0.66	%		1,600,652		0.11	%
	7,400,000	10/22/12	Citigroup Funding Inc.		1.88	%		7,528,418		0.51	%
	1,350,000	12/10/12	Citigroup Funding Inc.		2.25	%		1,376,843		0.09	%
	100,000	1/15/12	Credit Suisse (USA), Inc.		6.50	%		103,179		0.01	%
	5,555,000	12/28/12	General Electric Capital Corporation		2.63	%		5,689,174		0.38	%
	3,800,000	1/8/13	General Electric Capital Corporation		2.80	%		3,923,331		0.26	%
	3,400,000	6/19/13	General Electric Capital Corporation		1.16	%		3,404,289		0.23	%

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, 2011

(Audited)

			Description				Fair Value		% of Partners' Capital (Net Asset Value)
U.S. Corporate Notes (continued)
Face Value		Maturity Date	Name	Yield¹
Diversified Financial Services (continued)
$	1,000,000	4/7/14	General Electric Capital Corporation		1.01	%	$	979,780		0.07	%
	10,000,000	1/15/14	HSBC Finance Corporation		0.65	%		9,225,830		0.62	%
	5,509,000	3/15/12	John Deere Capital Corporation		7.00	%		5,697,541		0.38	%
	4,500,000	10/1/12	John Deere Capital Corporation		5.25	%		4,715,832		0.32	%
	1,250,000	12/17/12	John Deere Capital Corporation		4.95	%		1,304,601		0.09	%
	157,000	1/15/13	John Deere Capital Corporation		5.10	%		167,771		0.01	%
	6,960,000	7/16/12	Massmutual Global Funding II		3.63	%		7,180,759		0.48	%
	3,714,000	9/27/13	Massmutual Global Funding II		1.07	%		3,699,264		0.25	%
	1,750,000	12/17/12	PACCAR Financial Corp.		1.95	%		1,773,748		0.12	%
	6,517,000	4/5/13	PACCAR Financial Corp.		0.72	%		6,514,016		0.44	%
	3,828,000	2/15/12	Principal Life Global Funding I		6.25	%		3,941,005		0.27	%
	3,800,000	1/15/13	Principal Life Global Funding I		5.25	%		4,045,006		0.27	%
	5,000,000	4/14/14	SSIF Nevada, Limited Partnership		1.10	%		4,932,841		0.33	%
	3,300,000	10/12/12	Toyota Motor Credit Corporation		0.59	%		3,305,595		0.22	%
Energy
	4,500,000	10/15/12	ConocoPhillips		4.75	%		4,679,495		0.32	%
	4,171,000	1/15/12	Duke Energy Carolinas, LLC		6.25	%		4,297,840		0.29	%
	1,305,000	10/31/12	Northern Natural Gas Company		5.38	%		1,365,910		0.09	%
	2,191,000	10/15/12	NSTAR Electric Company		4.88	%		2,284,590		0.15	%
	4,275,000	12/13/13	Occidental Petroleum Corporation		1.45	%		4,352,225		0.29	%
Food
	410,000	6/1/12	Cargill, Incorporated		6.38	%		421,678		0.03	%
	4,725,000	9/15/12	Cargill, Incorporated		5.60	%		4,945,756		0.33	%
Healthcare
	7,743,000	3/1/14	Roche Holdings, Inc.		5.00	%		8,505,438		0.57	%
Insurance
	100,000	1/13/12	Berkshire Hathaway Finance Corporation		0.52	%		100,123		0.01	%
	1,280,000	4/15/12	Berkshire Hathaway Finance Corporation		4.00	%		1,303,645		0.09	%
	1,980,000	1/10/14	Berkshire Hathaway Finance Corporation		0.72	%		1,972,533		0.13	%
	250,000	2/10/12	Berkshire Hathaway Inc.		1.40	%		251,602		0.02	%
	9,750,000	2/11/13	Berkshire Hathaway Inc.		0.88	%		9,794,548		0.66	%
	650,000	5/30/12	Jackson National Life Global Funding		6.13	%		665,616		0.04	%
	350,000	5/8/13	Jackson National Life Global Funding		5.38	%		369,064		0.02	%
	250,000	7/12/12	MetLife Institutional Funding II		0.79	%		250,691		0.02	%
	5,750,000	4/4/14	MetLife Institutional Funding II		1.27	%		5,755,701		0.39	%
	1,000,000	3/15/12	Metropolitan Life Global Funding I		0.80	%		999,812		0.07	%
	7,360,000	9/17/12	Metropolitan Life Global Funding I		2.88	%		7,517,339		0.51	%
	2,800,000	1/11/13	Metropolitan Life Global Funding I		2.50	%		2,866,978		0.19	%
	3,374,000	1/25/13	Monumental Global Funding III		0.59	%		3,328,634		0.22	%
	7,050,000	8/22/12	New York Life Global Funding		0.54	%		7,052,852		0.48	%
	1,550,000	10/16/12	New York Life Global Funding		5.25	%		1,624,441		0.11	%
	5,140,000	12/14/12	New York Life Global Funding		2.25	%		5,213,628		0.35	%

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, 2011

(Audited)

			Description				Fair Value		% of Partners' Capital (Net Asset Value)
U.S. Corporate Notes (continued)
Face Value		Maturity Date	Name	Yield¹
Insurance (continued)
$	1,250,000	5/9/13	New York Life Global Funding		4.65	%	$	1,318,922		0.09	%
	4,610,000	4/15/13	Pacific Life Global Funding		5.15	%		4,865,363		0.33	%
	250,000	1/30/12	Pricoa Global Funding I		0.53	%		250,111		0.02	%
	4,500,000	6/25/12	Pricoa Global Funding I		4.63	%		4,575,136		0.31	%
	2,450,000	6/26/12	Pricoa Global Funding I		0.70	%		2,441,886		0.16	%
	650,000	10/18/12	Pricoa Global Funding I		5.40	%		676,870		0.05	%
	105,000	12/14/12	Principal Life Income Fundings		5.30	%		109,546		0.01	%
Internet
	3,000,000	5/19/14	Google Inc.		1.25	%		3,049,524		0.21	%
Manufacturing
	9,035,000	6/21/13	Danaher Corporation		0.82	%		9,050,435		0.61	%
	8,000,000	6/16/14	Eaton Corporation		0.89	%		8,000,738		0.54	%
Media
	422,000	3/1/12	Walt Disney Company		6.38	%		434,768		0.03	%
	3,700,000	12/1/14	Walt Disney Company		0.88	%		3,719,927		0.25	%
Mining
	250,000	3/29/12	BHP Billiton Finance (USA) Limited		5.13	%		256,031		0.02	%
Pharmaceutical
	4,275,000	2/10/14	Novartis Capital Corporation		4.13	%		4,643,002		0.31	%
	250,000	3/15/13	Pfizer Inc.		5.50	%		268,324		0.02	%
Retail
	9,075,000	7/18/14	Target Corporation		0.57	%		9,085,393		0.61	%
	4,500,000	2/3/14	Wal-Mart Stores, Inc.		3.00	%		4,795,144		0.32	%
	4,775,000	4/15/14	Wal-Mart Stores, Inc.		1.63	%		4,896,448		0.33	%
Semiconductor
	950,000	6/15/12	National Semiconductor Corporation		6.15	%		975,883		0.07	%
	4,275,000	5/15/13	Texas Instruments Incorporated		0.64	%		4,287,137		0.29	%
Steel
	1,579,000	12/1/12	Nucor Corporation		5.00	%		1,642,453		0.11	%
Telecommunication
	2,250,000	3/14/14	Cisco Systems, Inc.		0.79	%		2,249,238		0.15	%
	5,700,000	3/28/14	Verizon Communications Inc.		1.18	%		5,693,477		0.38	%
Transportation
	5,850,000	1/15/13	United Parcel Service, Inc.		4.50	%		6,212,402		0.42	%
Total U.S. corporate notes (cost: $490,393,091)								482,040,564		32.50	%

Foreign Corporate Notes
	Face Value	Maturity Date	Name		Yield¹
Automotive
$	10,370,000	4/1/14	Volkswagen International Finance N.V.		0.98	%		10,188,377		0.69	%
Banks
	2,900,000	12/21/12	ANZ National (Int'l) Limited		2.38	%		2,951,973		0.20	%

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, 2011

(Audited)

			Description				Fair Value		% of Partners' Capital (Net Asset Value)
Foreign Corporate Notes (continued)
Face Value		Maturity Date	Name	Yield¹
Banks (continued)
$	10,000,000	1/10/14	BNP Paribas		1.29	%	$	9,252,056		0.62	%
	5,250,000	1/12/12	Commonwealth Bank of Australia		2.40	%		5,311,297		0.36	%
	3,000,000	6/29/12	Commonwealth Bank of Australia		0.78	%		2,997,638		0.20	%
	10,000,000	3/17/14	Commonwealth Bank of Australia		1.29	%		9,844,450		0.66	%
	5,000,000	4/14/14	Danske Bank A/S		1.45	%		4,835,163		0.33	%
	1,150,000	8/3/12	HSBC Bank PLC		0.88	%		1,152,390		0.08	%
	4,300,000	1/18/13	HSBC Bank PLC		0.80	%		4,291,209		0.29	%
	4,150,000	5/15/13	HSBC Bank PLC		0.89	%		4,121,105		0.28	%
	7,225,000	1/13/12	ING Bank N.V.		1.03	%		7,240,784		0.49	%
	9,000,000	3/15/13	ING Bank N.V.		1.60	%		8,797,179		0.59	%
	1,000,000	6/9/14	ING Bank N.V.		1.94	%		959,030		0.06	%
	5,000,000	6/17/13	KfW Bankengruppe		0.29	%		4,998,167		0.34	%
	3,080,000	2/1/12	National Australia Bank Limited		0.68	%		3,082,733		0.21	%
	4,930,000	6/15/12	National Australia Bank Limited		0.75	%		4,932,531		0.33	%
	1,000,000	11/16/12	National Australia Bank Limited		2.35	%		1,013,797		0.07	%
	5,000,000	4/11/14	National Australia Bank Limited		1.11	%		4,962,409		0.33	%
	5,000,000	2/4/13	Rabobank Nederland		0.58	%		5,003,317		0.34	%
	6,850,000	12/12/12	Royal Bank of Canada		0.69	%		6,859,674		0.46	%
	5,250,000	3/8/13	Royal Bank of Canada		0.69	%		5,253,531		0.35	%
	5,250,000	9/14/12	Svenska Handelsbanken AB (publ)		2.88	%		5,344,511		0.36	%
	250,000	3/30/12	Royal Bank of Scotland		1.50	%		250,768		0.02	%
	4,600,000	5/11/12	Royal Bank of Scotland		2.63	%		4,646,211		0.31	%
	6,660,000	7/26/13	Toronto-Dominion Bank		0.60	%		6,657,777		0.45	%
	1,940,000	11/1/13	Toronto-Dominion Bank		0.89	%		1,946,884		0.13	%
	1,100,000	12/14/12	Westpac Banking Corporation		1.90	%		1,111,112		0.07	%
	9,750,000	3/31/14	Westpac Banking Corporation		1.31	%		9,778,684		0.66	%
Energy
	10,200,000	3/10/12	BP Capital Markets P.L.C.		3.13	%		10,345,153		0.70	%
	5,250,000	11/7/13	BP Capital Markets P.L.C.		5.25	%		5,672,336		0.38	%
	5,146,000	3/25/13	Shell International Finance B.V.		1.88	%		5,267,570		0.36	%
Pharmaceutical
	6,000,000	9/15/12	AstraZeneca PLC		5.40	%		6,302,758		0.43	%
	8,065,000	3/28/13	Sanofi		0.77	%		8,073,367		0.54	%
	4,280,000	3/28/14	Sanofi		0.88	%		4,274,412		0.29	%
	10,000,000	3/21/14	Teva Pharmaceutical Finance III BV		1.07	%		9,945,168		0.67	%
Telecommunication
	2,750,000	2/27/12	Vodafone Group Public Limited Company		0.79	%		2,752,365		0.19	%
Total foreign corporate notes (cost: $192,839,624)								190,417,886		12.84	%

Total corporate notes (cost: $683,232,715)								672,458,450		45.34	%

Total investments in securities (cost: $1,008,362,739)							$	996,835,815		67.24	%

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, 2011

(Audited)

			Description				Fair Value		% of Partners' Capital (Net Asset Value)
U.S. Certificates of Deposit
Face Value		Maturity Date	Name	Yield¹
Banks
$	300,000	2/17/12	Barclays Bank PLC (NY)		0.47	%	$	300,581		0.02	%
	250,000	4/26/12	Canadian Imperial Bank of Commerce (NY)		0.37	%		249,983		0.02	%
	4,750,000	11/5/12	Canadian Imperial Bank of Commerce (NY)		0.64	%		4,754,513		0.32	%
	5,950,000	4/4/12	Deutsche Bank Aktiengesellschaft (NY)		0.45	%		5,964,488		0.40	%
	5,000,000	3/5/12	Mizuho Corporate Bank, Ltd. (NY)		0.48	%		5,001,707		0.34	%
	2,000,000	2/6/12	Nordea Bank Finland PLC (NY)		0.38	%		2,003,377		0.14	%
	1,000,000	5/8/12	Nordea Bank Finland PLC (NY)		0.40	%		1,001,824		0.07	%
	7,600,000	11/13/12	Nordea Bank Finland PLC (NY)		0.65	%		7,568,387		0.51	%
	4,650,000	4/5/12	Norinchukin Bank (NY)		0.55	%		4,655,368		0.31	%
	6,250,000	3/1/13	PNC Bank, National Association		0.63	%		6,204,312		0.42	%
	5,250,000	2/3/12	Shizuoka Bank, Ltd. (NY)		0.49	%		5,254,920		0.35	%
	6,900,000	5/3/12	Westpac Banking Corporation (NY)		0.40	%		6,918,477		0.47	%
	2,650,000	6/21/12	Westpac Banking Corporation (NY)		0.41	%		2,654,894		0.18	%
Total U.S. certificates of deposit (cost: $52,535,773)								52,532,831		3.55	%

Foreign Certficates of Deposit
	Face Value	Maturity Date	Name		Yield¹
Banks
$	2,250,000	10/3/13	Bank of Montreal		0.82	%		2,254,624		0.15	%
	4,500,000	1/17/12	Bank of Nova Scotia		0.32	%		4,510,802		0.30	%
	4,600,000	6/11/12	Bank of Nova Scotia		0.74	%		4,602,636		0.31	%
	2,600,000	10/18/12	Bank of Nova Scotia		0.70	%		2,608,055		0.18	%
	2,000,000	11/20/12	Bank of Nova Scotia		0.74	%		2,003,035		0.14	%
	5,050,000	1/17/12	Bank of Tokyo-Mitsubishi UFJ, Ltd.		0.36	%		5,058,937		0.34	%
	2,500,000	3/5/12	Norinchukin Bank		0.54	%		2,500,737		0.17	%
	1,750,000	4/2/12	Rabobank Nederland		0.37	%		1,750,115		0.12	%
	250,000	3/15/13	Royal Bank of Canada		2.25	%		255,138		0.02	%
	5,000,000	6/1/12	Sumitomo Mitsui Banking Corporation		0.65	%		5,001,388		0.34	%
	5,250,000	1/24/12	Svenska Handelsbanken AB		0.38	%		5,253,930		0.35	%
Government Sponsored Enterprise
	6,600,000	5/25/12	Caisse Amortissement de la Dette Socia		0.43	%		6,592,215		0.44	%
Total foreign certificates of deposit (cost: $42,374,750)								42,391,612		2.86	%

Total certificates of deposit (cost: $94,910,523)							$	94,924,443		6.41	%

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, 2011

(Audited)

	Description	Fair Value			% of Partners' Capital (Net Asset Value)
Open Futures Contracts
Long U.S. Futures Contracts
	Agricultural commodities	$	427,903			0.03	%
	Currencies		2,763,257			0.19	%
	Energy		123,077			0.01	%
	Equity indices		422,180			0.03	%
	Interest rate instruments		5,715,227			0.39	%
	Metals		(8,991,504	)		(0.61	)%
	Single stock futures		36,323			0.00	%
Net unrealized gain on open long U.S. futures contracts			496,463			0.04	%

Short U.S. Futures Contracts
	Agricultural commodities		(3,414,866	)		(0.23	)%
	Currencies		3,441,210			0.23	%
	Energy		7,238,690			0.49	%
	Equity indices		175,914			0.01	%
	Interest rate instruments		(1,544,262	)		(0.10	)%
	Metals		6,509,575			0.44	%
	Single stock futures		(16,613	)		(0.00	)%
Net unrealized gain on open short U.S. futures contracts			12,389,648			0.84	%

Total U.S. futures contracts - Net unrealized gain on open U.S. futures contracts			12,886,111			0.88	%

Long Foreign Futures Contracts
	Agricultural commodities		196,300			0.01	%
	Currencies		(18,010	)		(0.00	)%
	Energy		31,956			0.00	%
	Equity indices		1,196,625			0.08	%
	Interest rate instruments²		18,859,653			1.27	%
	Metals		(164,515	)		(0.01	)%
Net unrealized gain on open long foreign futures contracts			20,102,009			1.35	%

Short Foreign Futures Contracts
	Agricultural commodities		824,214			0.06	%
	Currencies		3,635,127			0.25	%
	Energy		13,933			0.00	%
	Equity indices		508,790			0.03	%
	Interest rate instruments		(234,143	)		(0.02	)%
	Metals		677,586			0.05	%
Net unrealized gain on open short foreign futures contracts			5,425,507			0.37	%

Total foreign futures contracts - net unrealized gain on open foreign futures contracts			25,527,516			1.72	%

Net unrealized gain on open futures contracts		$	38,413,627			2.60	%

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, 2011

(Audited)

	Description	Fair Value			% of Partners' Capital (Net Asset Value)
Open Forward Currency Contracts
U.S. Forward Currency Contracts
	Long	$	1,455,228			0.10	%
	Short		(973,780	)		(0.07	)%
Net unrealized gain on open U.S. forward currency contracts			481,448			0.03	%

Foreign Forward Currency Contracts
	Long		(1,593,950	)		(0.11	)%
	Short		1,383,892			0.09	%
Net unrealized loss on open foreign forward currency contracts			(210,058	)		(0.02	)%

Net unrealized gain on open forward currency contracts		$	271,390			0.01	%

Notes

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

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

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

Futures Portfolio Fund, Limited Partnership

Consolidated Statements of Operations

For the Three Months Ended March 31, 2012 and 2011

(Unaudited)

	Three Months Ended March 31,
	2012			2011
Trading Loss from Futures and Forwards
Net realized gain	$	34,155,875		$	16,004,219
Net change in unrealized loss		(42,831,430	)		(22,556,618	)
Brokerage commissions and trading expenses		(1,221,840	)		(1,186,335	)
Net loss from futures and forwards trading		(9,897,395	)		(7,738,734	)

Net Investment Loss
Income
Interest income		4,049,489			457,636
Net realized and change in unrealized gain on securities and certificates of deposit		4,149,257			620,545
Total income		8,198,746			1,078,181
Expenses
Trading Advisor management fee		5,898,413			5,264,887
Trading Advisor incentive fee		—			3,498,236
Cash Manager fees		227,973			—
General Partner management fee		6,530,473			6,291,014
Selling Agent fees – General Partner		4,701,346			4,669,986
General Partner 1% allocation		(207,690	)		(280,138	)
Administrative expenses – General Partner		1,712,128			1,629,137
Total expenses		18,862,643			21,073,122
Net investment loss		(10,663,897	)		(19,994,941	)
Net Loss	$	(20,561,292	)	$	(27,733,675	)

	Three Months Ended March 31,
	2012						2011
	Class A			Class B			Class A			Class B
Decrease in net asset value per Unit	$	(70.97	)	$	(69.25	)	$	(102.88	)	$	(108.24	)

Net loss per Unit
(based on weighted average number of units outstanding during the period)	$	(71.51	)	$	(69.51	)	$	(105.01	)	$	(111.45	)
Weighted average number of Units outstanding		191,822.9249			98,392.8995			175,224.6438			83,748.9258

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

Futures Portfolio Fund, Limited Partnership

Consolidated Statements of Cash Flows

For the Three Months Ended March 31, 2012 and 2011

(Unaudited)

	Three Months Ended March 31,
	2012			2011
Cash flows from operating activities
Net loss	$	(20,561,292	)	$	(27,733,675	)
Adjustments to reconcile net loss to net cash provided by operating activities
Net change in unrealized loss from futures and forwards trading		42,831,430			22,556,618
Purchases of securities and certificates of deposit		(755,259,497	)		—
Proceeds from disposition of securities and certificates of deposit		825,821,074			320,132,000
Net realized and change in unrealized gain on securities and certificates of deposit		(4,149,257	)		(620,545	)
Changes in
Interest receivable		(5,777	)		41,883
General Partner 1% allocation receivable/payable		1,149,005			(1,297,675	)
Trading Advisor management fee payable		(120,009	)		768,979
Trading Advisor incentive fee payable		—			(9,544,682	)
Commissions and other trading fees payable on open contracts		24,308			27,796
Cash Manager fees payable		(50,507	)		—
General Partner management fee payable		(57,579	)		43,179
Selling Agent fees payable – General Partner		(42,676	)		27,464
Administrative expenses payable – General Partner		(14,707	)		20,187
Net cash provided by operating activities		89,564,516			304,421,529

Cash flows from financing activities
Subscriptions		22,255,578			60,088,011
Subscriptions received in advance		12,782,644			50,663,004
Redemptions		(56,489,723	)		(24,692,238	)
Net cash provided by (used in) financing activities		(21,451,501	)		86,058,777

Net increase in cash and cash equivalents		68,113,015			390,480,306
Cash and cash equivalents, beginning of period		395,842,519			718,671,095
Cash and cash equivalents, end of period	$	463,955,534		$	1,109,151,401

End of period cash and cash equivalents consists of
Cash in broker trading accounts	$	431,312,211		$	497,887,656
Cash and cash equivalents		32,643,323			611,263,745
Total end of period cash and cash equivalents	$	463,955,534		$	1,109,151,401

Supplemental disclosure of cash flow information
Prior period redemptions paid	$	22,127,237		$	11,807,236
Prior period subscriptions received in advance	$	15,876,320		$	23,610,336

Supplemental schedule of non-cash financing activities
Redemptions payable	$	28,731,372		$	7,146,149

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 Three Months Ended March 31, 2012 and 2011

(Unaudited)

	Class A Interests						Class B Interests
	Units			Amount			Units			Amount			Total
Three Months Ended March 31, 2012
Balance at December 31, 2011		192,640.4151		$	872,169,401			99,309.8890		$	610,486,703		$	1,482,656,104
Net loss					(13,722,214	)					(6,839,078	)		(20,561,292	)
Subscriptions		4,951.8073			22,476,685			2,535.8648			15,655,313			38,131,998
Redemptions		(7,023.6459	)		(31,659,288	)		(5,125.7623	)		(31,434,570	)		(63,093,858	)
Transfers		(189.1427	)		(842,770	)		138.6971			842,770			—
Balance at March 31, 2012		190,379.4338		$	848,421,814			96,858.6886		$	588,711,138		$	1,437,132,952

Three Months Ended March 31, 2011
Balance at December 31, 2010		172,138.6872		$	858,255,331			81,701.8729		$	543,372,363		$	1,401,627,694
Net loss					(18,400,103	)					(9,333,572	)		(27,733,675	)
Subscriptions		9,433.0927			46,891,156			5,541.5401			36,807,191			83,698,347
Redemptions		(2,199.0919	)		(10,866,693	)		(1,390.0624	)		(9,164,458	)		(20,031,151	)
Transfers		(666.5843	)		(3,265,094	)		497.8016			3,265,094			—
Balance at March 31, 2011		178,706.1037		$	872,614,597			86,351.1522		$	564,946,618		$	1,437,561,215

Net Asset Value per Unit

	Class A		Class B

March 31, 2012	$	4,456.48	$	6,078.04
December 31, 2011		4,527.45		6,147.29
March 31, 2011		4,882.96		6,542.43
December 31, 2010		4,985.84		6,650.67

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

Futures Portfolio Fund, Limited Partnership

Notes to Consolidated Financial Statements

(Unaudited)

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 two classes, Class A and Class B, which represent units of fractional undivided beneficial interest in and ownership of the Fund. The Fund will automatically terminate on December 31, 2025, unless terminated earlier as provided in the Third Amended and Restated Limited Partnership Agreement (“Partnership Agreement”).

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

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

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

The two classes of Units in the Fund differ only in the selling agent and broker dealer servicing fees applicable to each class. Class A Units are subject to a 2% per annum selling agent fee and class B Units are subject to a 0.2% per annum broker dealer servicing fee.

During 2011, the Fund made investments totaling $90 million in the Steben Institutional Fund LLC (“SIF”), whose manager is the General Partner. Presently, the Fund is the only member in SIF. Similar to the Fund, SIF uses professional commodity trading advisors to engage in the speculative trading of futures and forward currency contracts traded in the U.S. and internationally. SIF trades within six major market sectors: agricultural commodities, currencies, energy, equity indices, interest rate instruments and metals. SIF commenced trading on March 1, 2011. SIF incurs trading advisor management and incentive fees, as well as reimburses its manager for operating expenses incurred on its behalf.

Significant Accounting Policies

Accounting Principles

The Fund’s consolidated financial statements are prepared in conformity with U.S. generally accepted accounting principles (“GAAP”).

Consolidation

The accompanying consolidated financial statements include the accounts of the Fund and SIF, for which the Fund is the sole member. All material 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, options on futures, forward currency contracts, investments in securities, and certificates of deposit 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.

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 exchange-traded derivatives, U.S. Treasury securities and money market funds.

Level 2 –

Fair value is based on quoted prices for similar instruments in active markets and inputs other than quoted prices that are observable for the financial instrument, such as interest rates and yield curves that are observable at commonly quoted intervals using a market approach. Financial instruments utilizing Level 2 inputs include forward currency contracts, commercial paper and U.S. government sponsored enterprise notes.

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 periods ended March 31, 2012 and December 31, 2011, 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 and U.S. and foreign government sponsored enterprise notes 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 and U.S. and foreign government sponsored enterprise notes are classified within Level 2.

The investment in a money market fund, included in cash and cash equivalents in the consolidated statements of financial condition, and futures contracts, all of which are exchange-traded, are valued using quoted market prices for identical assets and are classified within Level 1. The fair values of forward currency contracts are based upon third-party quoted dealer values on the interbank market and are classified within Level 2.

Cash and Cash Equivalents

Cash and cash equivalents may include cash, 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.

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 March 31, 2012. 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 2008.

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

Certain amounts reported in the 2011 consolidated financial statements have been reclassified to conform to the 2012 presentation without affecting previously reported partners’ capital (net asset value).

Recently Issued Accounting Pronouncement

In November 2011, the Financial Accounting Standards Board (“FASB”) issued new guidance that requires an entity to disclose information about offsetting and related arrangements to enable users of its financial statements to understand the effect of those arrangements on its financial position. This guidance is effective for the Fund’s annual and interim periods beginning January 1, 2013. When effective, the Fund will provide the disclosures required by those amendments retrospectively for all comparative periods presented. The adoption of this guidance is not expected to have a material impact on the financial position or results of operations.

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 March 31, 2012
	Level 1			Level 2			Total
Equity in broker trading accounts:
Net unrealized loss on open futures contracts*	$	(938,155	)	$	—		$	(938,155	)
Net unrealized loss on open forward currency contracts*		—			(3,208,148	)		(3,208,148	)
Cash and cash equivalents:
Money market fund		27,087,520			—			27,087,520
Investments in securities:
U.S. Treasury securities*		91,827,366			—			91,827,366
U.S. government sponsored enterprise notes*		—			55,705,675			55,705,675
Foreign government sponsored enterprise notes*		—			1,009,407			1,009,407
Commercial paper*		—			160,436,095			160,436,095
Corporate notes*		—			612,864,149			612,864,149
Certificates of deposit*		—			103,505,236			103,505,236
Total	$	117,976,731		$	930,312,414		$	1,048,289,145

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

At December 31, 2011
	Level 1		Level 2		Total
Equity in broker trading accounts:
Net unrealized gain on open futures contracts*	$	38,413,627	$	—	$	38,413,627
Net unrealized gain on open forward currency contracts*		—		271,390		271,390
Cash and cash equivalents:
Money market fund		5,760,099		—		5,760,099
Investments in securities:
U.S. Treasury securities*		78,149,854		—		78,149,854
U.S. government sponsored enterprise notes*		—		85,904,711		85,904,711
Foreign government sponsored enterprise notes*		—		7,097,950		7,097,950
Commercial paper*		—		153,224,850		153,224,850
Corporate notes*		—		672,458,450		672,458,450
Certificates of deposit*		—		94,924,443		94,924,443
Total	$	122,323,580	$	1,013,881,794	$	1,136,205,374

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

There were no Level 3 holdings at March 31, 2012 or December 31, 2011, 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 March 31, 2012 and December 31, 2011, the Fund’s derivative contracts had the following impact on the consolidated statements of financial condition:

March 31, 2012	Derivative Assets and Liabilities, at fair value
Consolidated Statements of Financial Condition Location	Assets		Liabilities			Net
Equity in broker trading accounts
Net unrealized gain (loss) on open futures contracts
Agricultural commodities	$	11,408,566	$	(5,310,429	)	$	6,098,137
Currencies		1,984,753		(8,426,837	)		(6,442,084	)
Energy		7,309,290		(8,558,861	)		(1,249,571	)
Equity indices		11,964,023		(7,648,005	)		4,316,018
Interest rate instruments		8,184,941		(8,498,786	)		(313,845	)
Metals		6,033,289		(9,392,853	)		(3,359,564	)
Single stock futures		55,227		(42,473	)		12,754
Net unrealized gain (loss) on open futures contracts	$	46,940,089	$	(47,878,244	)	$	(938,155	)

Net unrealized gain (loss) on open forward currency contracts	$	3,514,480	$	(6,722,628	)	$	(3,208,148	)

At March 31, 2012, there were 100,044 open futures contracts and 1,875 open forward currency contracts.

December 31, 2011	Derivative Assets and Liabilities, at fair value
Consolidated Statements of Financial Condition Location	Assets		Liabilities			Net
Equity in broker trading accounts
Net unrealized gain (loss) on open futures contracts
Agricultural commodities	$	4,907,935	$	(6,874,384	)	$	(1,966,449	)
Currencies		11,500,940		(1,679,356	)		9,821,584
Energy		9,356,447		(1,948,791	)		7,407,656
Equity indices		4,557,650		(2,254,141	)		2,303,509
Interest rate instruments		27,554,583		(4,758,108	)		22,796,475
Metals		12,182,871		(14,151,729	)		(1,968,858	)
Single stock futures		55,232		(35,522	)		19,710
Net unrealized gain on open futures contracts	$	70,115,658	$	(31,702,031	)	$	38,413,627

Net unrealized gain (loss) on open forward currency contracts	$	5,681,721	$	(5,410,331	)	$	271,390

At December 31, 2011, there were 92,423 open futures contracts and 1,716 open forward currency contracts.

For the three months ended March 31, 2012 and 2011, the Fund’s derivative contracts had the following impact on the consolidated statements of operations:

	2012						2011
Types of Exposure	Net realized gain			Net change in unrealized loss			Net realized gain			Net change in unrealized loss
Futures contracts
Agricultural commodities	$	(15,265,980	)	$	8,064,586		$	7,888,220		$	(11,715,992	)
Currencies		(1,224,791	)		(16,263,668	)		(13,385,902	)		(10,139,910	)
Energy		58,257,662			(8,657,227	)		32,867,555			3,607,692
Equity indices		36,378,280			2,012,509			(10,805,780	)		12,023,461
Interest rate instruments		(26,277,198	)		(23,110,320	)		(16,036,012	)		652,661
Metals		(15,407,412	)		(1,390,706	)		9,383,211			(10,591,807	)
Single stock futures		1,787,827			(6,956	)		(4,002	)		(8,833	)
Total futures contracts		38,248,388			(39,351,782	)		9,907,290			(16,172,728	)

Forward currency contracts		(4,097,684	)		(3,479,538	)		6,399,842			(6,383,890	)

Total futures and forward currency contracts	$	34,150,704		$	(42,831,320	)	$	16,307,132		$	(22,556,618	)

For the three months ended March 31, 2012 and 2011, the number of futures contracts closed was 347,177 and 292,058, respectively, and the number of forward currency contracts closed was 10,298 and 10,911, respectively.

General Partner

At March 31, 2012 and December 31, 2011, and for the periods then ended, the General Partner did not maintain a capital balance in the Fund. However, the beneficiary of the sole shareholder of the General Partner had the following investment:

Class B Units	March 31, 2012		December 31, 2011
Units Owned		39.6245		39.6245
Value of Units	$	240,839	$	243,583

The General Partner earns the following compensation:

General Partner Management Fee – the Fund incurs a monthly fee on Class A and Class B Units equal to 1/12^th of 1.75% of the month-end net asset value of the Class A and Class B Units, payable in arrears.

Selling Agent Fees – the Class A Units incur a monthly fee equal to 1/12^th of 2% of the month-end net asset value of the Class A Units. Selling agent fees amounted to $4,394,452 and $4,390,015 for the periods ended March 31, 2012 and 2011, respectively. Such amounts are included in selling agent fees – General Partner in the consolidated statements of operations. The General Partner, in turn, pays the selling agent fees to the respective selling agents. If there is no designated selling agent or the General Partner was the selling agent, such portions of the selling agent fees are retained by the General Partner.

Broker Dealer Servicing Fees – the Class B Units incur a monthly fee equal to 1/12^th of 0.2% of the month-end net asset value of the Class B Units. Broker dealer servicing fees amounted to $306,895 and $279,972 for the periods ended March 31, 2012 and 2011, respectively. Such amounts are included in selling agent 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.

Administrative Expenses – the Fund incurs a monthly fee equal to 1/12^th of 0.45% of the month-end net asset value of the fund, payable in arrears to the General Partner. The General Partner, in turn, pays the administrative expenses of the Fund. Administrative expenses include accounting, audit, legal, salary and administrative costs incurred by the General Partner relating to marketing and administration of the Fund; such as, salaries and commissions of General Partner marketing personnel, administrative employee salaries and related costs.

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% to 2% per annum of allocated net assets (as defined in each respective advisory agreement), paid monthly or quarterly in arrears. Additionally, the Fund incurs advisor incentive fees, payable quarterly in arrears, ranging from 10% to 30% of net new trading profits (as defined in each respective advisory agreement).

Effective April 1, 2011, the Fund engaged J.P. Morgan Investment Management, Inc. and Principal Global Investors, LLC (collectively, the “Cash Managers”) to provide cash management services to the Fund. The Fund incurs monthly fees, payable in arrears to the Cash Managers, equal to approximately 1/12th of 0.11% of the investments in securities and certificates of deposit.

Deposits with Brokers

To meet margin requirements, the Fund deposits funds with its futures brokers, subject to CFTC regulations and various exchange and broker requirements. The Fund earns interest income on its assets deposited with brokers. At March 31, 2012 and December 31, 2011, the Fund had margin requirements of $196,207,907 and $175,593,513, respectively.

Subscriptions, Distributions and Redemptions

Generally, 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. Units are sold at the net asset value per unit 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 March 31, 2012 and December 31, 2011, the Fund received advance subscriptions of $12,782,644 and $15,876,320, respectively, which were recognized as subscriptions to the Fund or returned, if applicable, subsequent to month-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 or Class B 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 self-regulatory organization regulations.

Trading Activities and Related Risks

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

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

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

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

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

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

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

The Cash Managers manage the Fund’s cash and excess margin through investments in fixed income instruments, pursuant to investment parameters established by the General Partner. Fluctuations in prevailing interest rates could cause mark-to-market losses on the Fund’s fixed income instruments. Prior to April 2011, the Fund used UBS Financial Services, Inc. and Bank of America Merrill Lynch as its cash management securities brokers.

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 March 31, 2012.

Country or Region	U.S. Treasury Securities		Gov't Sponsored Enterprise Notes		Commercial Paper		Corporate Notes		Certificates of Deposit		Total		% of Partners' Capital (Net Asset Value)
United States	$	91,827,366	$	55,705,675	$	111,695,804	$	451,740,002	$	75,513,006	$	786,481,853		54.76	%
Canada		-		-		11,509,085		17,369,626		11,226,230		40,104,941		2.79	%
Great Britain		-		-		6,723,610		33,206,867		-		39,930,477		2.78	%
France		-		1,009,407		4,049,734		22,224,729		6,601,593		33,885,463		2.36	%
Netherlands		-		-		-		30,599,051		-		30,599,051		2.13	%
Australia		-		-		249,962		27,400,537		-		27,650,499		1.92	%
Netherland Antilles		-		-		4,249,707		10,029,075		-		14,278,782		0.99	%
Sweden		-		-		-		7,937,658		5,151,504		13,089,162		0.91	%
Singapore		-		-		9,739,464		-		-		9,739,464		0.68	%
Japan		-		-		3,249,503		-		5,012,903		8,262,406		0.57	%
Denmark		-		-		-		4,933,127		-		4,933,127		0.34	%
Germany		-		-		-		4,998,560		-		4,998,560		0.35	%
Luxumberg		-		-		3,999,733		-		-		3,999,733		0.28	%
South America multi-national		-		-		3,749,517		-		-		3,749,517		0.26	%
Cayman Islands		-		-		-		2,424,917		-		2,424,917		0.17	%
Norway		-		-		1,219,976		-		-		1,219,976		0.08	%
Total	$	91,827,366	$	56,715,082	$	160,436,095	$	612,864,149	$	103,505,236	$	1,025,347,928		71.37	%

The following table presents the exposure at December 31, 2011.

Country or Region	U.S. Treasury Securities		Gov't Sponsored Enterprise Notes		Commercial Paper		Corporate Notes		Certificates of Deposit		Total		% of Partners' Capital (Net Asset Value)
United States	$	78,149,854	$	85,904,711	$	98,768,308	$	482,040,564	$	52,532,831	$	797,396,268		53.81	%
Australia		-		-		10,947,333		43,034,651		-		53,981,984		3.64	%
Great Britain		-		-		4,368,743		42,486,268		-		46,855,011		3.16	%
Canada		-		-		3,999,878		20,717,866		16,234,290		40,952,034		2.76	%
Netherlands		-		-		-		37,456,257		1,750,115		39,206,372		2.64	%
France		-		1,005,116		3,999,767		21,599,835		6,592,215		33,196,933		2.24	%
Japan		-		-		12,498,107		-		12,561,062		25,059,169		1.69	%
Netherland Antilles		-		-		4,349,903		9,945,168		-		14,295,071		0.96	%
Sweden		-		-		-		5,344,511		5,253,930		10,598,441		0.71	%
Germany		-		-		-		4,998,167		-		4,998,167		0.34	%
Denmark		-		-		-		4,835,163		-		4,835,163		0.33	%
Singapore		-		-		4,295,759		-		-		4,295,759		0.29	%
South America multi-national		-		-		3,748,485		-		-		3,748,485		0.25	%
Europe multi-national		-		3,267,754		-		-		-		3,267,754		0.22	%
Luxumberg		-		-		3,249,154		-		-		3,249,154		0.22	%
Norway		-		-		2,999,413		-		-		2,999,413		0.20	%
Africa multi-national		-		2,825,080		-		-		-		2,825,080		0.19	%
Total	$	78,149,854	$	93,002,661	$	153,224,850	$	672,458,450	$	94,924,443	$	1,091,760,258		73.65	%

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 March 31, 2012, the consolidated statements of operations, cash flows and changes in partners’ capital (net asset value) for the three months ended March 31, 2012 and 2011, 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 March 31, 2012, results of operations cash flows and changes in partners’ capital (net asset value) for the three months ended March 31, 2012 and 2011. The results of operations for the three months ended March 31, 2012 and 2011 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 financial ratios for the three months ended March 31, 2012 and 2011, assuming the unit was outstanding throughout the entire period:

	2012						2011
	Class A			Class B			Class A			Class B
Per Unit Operating Performance
Net asset value per Unit at beginning of period	$	4,527.45		$	6,147.29		$	4,985.84		$	6,650.67
Loss from operations
Loss from trading⁽¹⁾		(29.85	)		(41.05	)		(24.56	)		(33.36	)
Net investment loss⁽¹⁾		(41.12	)		(28.20	)		(78.32	)		(74.88	)
Total loss from operations		(70.97	)		(69.25	)		(102.88	)		(108.24	)

Net asset value per Unit at end of period	$	4,456.48		$	6,078.04		$	4,882.96		$	6,542.43

Total return ⁽⁴⁾		(1.57	)%		(1.13	)%		(2.06	)%		(1.63	)%

Other Financial Ratios
Ratios to average net asset value
Expenses prior to Trading Advisor incentive fees and General Partner 1% allocation ^{(2) (3)}		5.93	%		4.11	%		5.73	%		3.91	%
Trading Advisor incentive fees ⁽⁴⁾		0.00	%		0.00	%		0.25	%		0.25	%
General Partner 1% allocation ⁽⁴⁾		(0.02	)%		(0.01	)%		(0.02	)%		(0.02	)%
Total expenses		5.91	%		4.10	%		5.96	%		4.14	%

Net investment loss ^{(2) (3) (5)}		(3.70	)%		(1.88	)%		(5.43	)%		(3.61	)%

Total returns are calculated based on the change in value of a 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 loss per Unit is calculated by dividing the net investment loss by the average number of Class A or Class B Units outstanding during the period. Loss from trading 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 loss from trading per Unit due to the timing of trading gains and losses during the period relative to the number of Units outstanding.

⁽²⁾ The net investment loss includes interest income and excludes net realized and net change in unrealized gain (loss) from trading 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 trading 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 Trading Advisor incentive fees and General Partner 1% allocation.

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

Cash Management

Effective April 1, 2011, the Fund engaged J.P. Morgan Investment Management, Inc. and Principal Global Investors, LLC (collectively, the “Cash Managers”) to provide cash management services to the Fund. The Fund’s objective in retaining the Cash Managers is to enhance the return on its assets not required to be held by the Fund’s brokers to support the Fund’s trading. There is no guarantee that the Cash Managers will achieve returns for the Fund, net of fees payable to the Cash Managers, in excess of the returns previously achieved through the General Partner’s efforts and/or available through the Fund’s brokers, or that the Cash Managers will avoid a loss of principal on amounts placed under their management.

Prior to April 1, 2011, the Fund used UBS Financial Services, Inc. and Bank of America Merrill Lynch as its cash management securities brokers.

Fund Investment

During 2011, the Fund made investments of $90 million in the Steben Institutional Fund LLC (“SIF”), whose manager is the General Partner. Presently, the Fund is the only member in SIF. Similar to the Fund, SIF uses professional commodity trading advisors to engage in the speculative trading of futures and forward currency contracts traded in the U.S. and internationally. SIF trades within six major market sectors: agricultural commodities, currencies, energy, equity indices, interest rate instruments and metals. SIF commenced trading on March 1, 2011. SIF incurs trading advisor management and incentive fees, as well as reimburses its manager for operating expenses incurred on its behalf.

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 only through the sale of Units, and does not intend to raise any 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 investments in futures contracts, forward currency contracts and other financial instruments in subsequent periods. It is not possible to estimate the amount, and therefore the impact, of future capital inflows and outflows 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.

Results of Operations

The returns for Units for the three months ended March 31, 2012 and 2011 were as follows:

Class of Units	2012			2011
Class A		(1.57	)%		(2.06	)%
Class B		(1.13	)%		(1.63	)%

Past performance is not necessarily indicative of future results. Further analysis of the trading gains and losses is provided below.

2012

January

In January, markets responded positively to supportive monetary policy from central banks around the world. In the U.S., the Fed announced that it expected to keep interest rates low through 2014. Meanwhile, in Europe, the European Central Bank was expected to extend its Long-Term Refinancing Operations program by providing additional loans to the region’s banks later this year, beyond the nearly half trillion euros (approximately $650 billion) already distributed to banks in December. This improved the European credit environment, helping France, Italy and Spain to hold successful bond auctions at reduced yields and allowing them to shrug off Standard & Poor’s sovereign credit downgrades earlier in the month. Positive sentiment fueled by easy monetary policy led to a rally in global equities, industrial commodities, as well as short and medium term interest rate instruments. Among currencies, it also led to a decline in the U.S. dollar, a rebound in the euro, and a surge in commodity currencies.

The Fund profited from long positions in interest rate instruments, particularly Eurodollar and Euribor contracts, as well as from long exposure to U.S. equities and the Australian dollar. In addition, a continued decline in natural gas prices benefited the Fund’s short positions. Short positions in metals, including aluminum and silver, resulted in losses, and a short currency exposure to the euro also caused a loss for the fund. Overall, the Fund returned a net profit for the month, with Class A Units up 0.11% and Class B Units up 0.26%.

February

In February, markets were driven by continued monetary stimulus from central banks around the world. The European Central Bank extended an additional €529 billion (approximately $700 billion) in low interest 3-year loans to 800 of the region’s banks in the second round of its Long Term Refinancing Operation to shore up the balance sheets of the financial sector in Europe. Since December, the ECB has made over €1 trillion (approximately $1.3 trillion) in loans to Europe’s banking sector. Elsewhere, the Bank of Japan and the Bank of England implemented new rounds of quantitative easing in their respective markets. These actions encouraged a greater risk appetite among investors, driving up global equity indices. Meanwhile, the U.S. saw an improvement in labor market data, prompting a rise in U.S. bond yields. In the Middle East, the threat of oil supply disruptions from rising tensions over Iran’s nuclear program led to a rally in energy prices, with Brent crude prices exceeding $125 per barrel.

The Fund’s largest gains came from the energy sector, where it benefited from long positions in both in crude oil and oil-related products. The Fund also profited from its long exposure to equity indices, particularly in the U.S. However, long positions in the fixed income sector caused losses as bonds in the U.S. sold off. There was also a modest decline in currencies, as depreciation of the Japanese yen hurt the Fund’s long positions. Overall, the Fund enjoyed a moderate gain for the month, with Class A Units up 0.54% and Class B Units up 0.69%.

March

In March, markets continued to price in a stronger economic growth outlook for the U.S. Following improved labor and consumption data, the Fed raised its forecast from “modest” to “moderate” growth. Investors interpreted this positive language as a signal that further Fed stimulus in the form of bond purchases was not necessary. As a result U.S. long-term bonds sold off sharply. Meanwhile U.S. equities continued to rally, with the S&P 500 enjoying its best quarter since Q3 of 2009. Elsewhere, the attempt by Chinese authorities to limit domestic inflation through a gradual deceleration of economic growth had a negative impact on commodity currencies such as the Australian dollar. In energy markets, crude oil halted its six month rise due to softer prospective Chinese demand as well as an expected release of strategic oil reserves by the U.S., UK and France.

The Fund made gains in its long equity index positions, particularly in the U.S. The energy sector was also profitable, primarily due to short positions in natural gas where a supply glut and unusually warm weather led to continued price declines. However, the Fund suffered losses in fixed income, as bond prices declined mid-month in the U.S., Europe and Japan, hurting long positions. In currencies, long exposure to the weakening Australian dollar also detracted from performance. Overall, the Fund finished with a loss for the month, with Class A Units down 2.20% and Class B Units down 2.06%.

2011

January

Class A Units of the Fund were down 1.42% for the month of January and Class B Units were down 1.27%. The Fund finished lower this month as losses from foreign currencies, interest rate instruments and metals offset profits from energy, equity indices and agricultural commodities. The most significant losses came from the Fund’s positions in international currencies as several exchange prices reversed direction in response to positive economic news in both the U.S. and Europe. Cross-currency trades in several markets, including the British pound/Japanese yen, euro/Australian dollar, and British pound/Australian dollar all reversed and moved against the Fund’s positions during the month. In equity indices, the Fund saw profits from its long positions in both European and U.S. indices. In interest rates, mixed performance among contracts led to a loss in that sector. Gold prices retreated this month generating losses for the Fund’s long positions, while rising prices in cotton, corn and sugar contributed additional profits in agricultural commodities.

February

Class A Units of the Fund were up 2.16% for the month of February and Class B Units were up 2.31%. The Fund finished higher this month as profits from energy, equity indices, metals, agricultural commodities and currencies offset losses in interest rate instruments. The most significant profits came from the Fund’s positions in energy as tensions in the Middle East, and especially in Libya, pushed oil prices higher benefiting the Funds’ long positions in that sector. Global equity prices were volatile this month, but finished higher by the end of the month which added profits from the Fund’s long positions. Both industrial and precious metals prices trended higher, as did agricultural commodity prices. The rising prices from all three of these sectors generated profits for the Fund’s long positions. Prices were mixed in interest rate instruments, with losses offsetting profits in that sector.

March

Class A Units of the Fund were down 2.75% for the month of March and Class B Units were down 2.61%. The Fund finished lower this month with losses in equity indices, agricultural commodities, interest rate instruments and metals. The most significant profits came from the energy markets as events in Japan and Libya sent energy prices sharply higher benefiting the Fund’s long positions. The same global events also generated reversals in global stock indices that went against the Fund’s long positions. Although equity prices rebounded later in the month it wasn’t enough to offset the earlier losses. Agricultural commodity prices led by corn, sugar and cocoa, experienced significant volatility this month. Prices generally moved against the Fund’s long positions generating losses. Prices in interest rate instruments and foreign currencies were mixed this month with losses offsetting profits in that sector.

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 commodity 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 30%.

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 invests in U.S. Treasury securities, U.S. and foreign government sponsored enterprise notes, certificates of deposit, commercial paper 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 Estimates

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

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

Item 3. Quantitative and Qualitative Disclosures about Market Risk

Introduction

The 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 March 31, 2012 and December 31, 2011. All open position trading risk exposures of the Fund have been included in calculating the figures set forth below.

	March 31, 2012					December 31, 2011
Market Sector	Value at Risk		% of Total Capitalization			Value at Risk		% of Total Capitalization

Agricultural commodities	$	15,333,395		1.07	%	$	14,326,308		0.97	%
Currencies		41,813,422		2.91			39,181,399		2.64
Energy		28,609,291		1.99			16,421,733		1.11
Equity indices		57,071,778		3.97			29,852,293		2.01
Interest rate instruments		51,191,688		3.56			67,417,861		4.55
Metals		15,121,700		1.05			22,681,640		1.53
Single stock futures		948,591		0.07			1,582,289		0.11
Total	$	210,089,865		14.62	%	$	191,463,523		12.92	%

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

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

Non-Trading Risk

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

Qualitative Disclosures Regarding Primary Trading Risk Exposures.

The following qualitative disclosures regarding the Fund's market risk exposures - except for those disclosures that are statements of historical fact and the descriptions of how the Fund manages its primary market risk exposures - constitute forward-looking statements within the meaning of Section 27A of the Securities Act of 1933, (“1933 Act”) and Section 21E of the Securities Exchange Act of 1934, (“1934 Act”).

The Fund's primary market risk exposures as well as the strategies used and to be used by the Fund’s Trading Advisors for managing such exposures are subject to numerous uncertainties, contingencies and risks, any one of which could cause the actual results of the Fund's risk controls to differ materially from the objectives of such strategies. Government interventions, defaults and expropriations, illiquid markets, the emergence of dominant fundamental factors, political upheavals, changes in historical price relationships, an influx of new market participants, increased regulation and many other factors could result in material losses as well as in material changes to the risk exposures and the risk management strategies of the Fund. There can be no assurance that the Fund's current market exposure and/or risk management strategies will not change materially or that any such strategies will be effective in either the short- or long-term. Investors must be prepared to lose all or substantially all of their investment in the Fund.

The following were the primary trading risk exposures of the Fund as of March 31, 2012, by market sector.

Agricultural Commodities

The Fund’s primary exposure is due to price movements in agricultural commodities, which are often directly affected by severe or unexpected weather conditions as well as other factors. The Fund's agricultural exposure is primarily to cotton, coffee, cocoa, rubber, corn, soybeans, sugar and wheat.

Currencies

The Fund's currency risk exposure is due to exchange rate fluctuations, primarily fluctuations which disrupt the historical pricing relationships between different currencies and currency pairs. These fluctuations are influenced by interest rate changes 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). The General Partner does not anticipate that the risk profile of the Fund's currency sector will change significantly in the future.

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. 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. Additionally, the Fund bears the risk that static markets would not cause major market changes but would make it difficult for the Fund to avoid being "whipsawed" into numerous small losses. The equity 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 exposure of the Fund. Interest rate movements directly affect the price of the sovereign bond futures positions held by the Fund and indirectly the value of its stock index and currency positions. Interest rate movements in one country as well as relative interest rate movements between countries materially impact the Fund's profitability. The Fund's primary interest rate exposure is mainly in, but not limited to, interest rate fluctuations in the U.S., Japan, Great Britain, the European Economic Union, Sweden, Canada, Australia and New Zealand. The General Partner anticipates that interest rates fluctuations will remain the primary market exposure of the Fund for the foreseeable future.

Metals

The Fund's metals market exposure is primarily due to fluctuations in the price of aluminum, copper, gold, silver, nickel, platinum, lead and zinc.

Single Stock Futures

The Fund has a very small exposure to Single Stock Futures (“SSF”). The Fund’s SSF exposure is primarily due to adverse price movements in the underlying stock.

Qualitative Disclosures Regarding Non-Trading Risk Exposure

The following were the only non-trading risk exposures of the Fund as of March 31, 2012.

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.

U.S. Treasury Securities, U.S. and Foreign Government Sponsored Enterprise Notes, Commercial Paper, Corporate Notes 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 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 not aware 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 uses a small percentage of assets as margin, the Fund does not believe that any proposed increase in margin requirements 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 March 31, 2012 (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.

There has been no change in internal control over financial reporting that occurred during the first quarter of 2012 that has materially affected, or is reasonably likely to materially affect, the Fund’s internal control over financial reporting.

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, 2011.

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 March 31, 2012. 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 first quarter of 2012 were as follows:

	January		February		March		Total
A Units
Units redeemed		1,953.9265		2,087.2315		2,982.4879		7,023.6459
Average net asset value per Unit	$	4,532.65	$	4,556.96	$	4,456.48	$	4,507.53

B Units
Units redeemed		1,192.0568		1,393.4169		2,540.2886		5,125.7623
Average net asset value per Unit	$	6,163.53	$	6,205.83	$	6,078.04	$	6,132.66

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 *	Form of Selling Agreement

3.1 *	Maryland Certificate of Limited Partnership

4.1 *	Limited Partnership Agreement

10.1 *	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

* Filed with the Registrant’s Form 10, filed on April 29, 2004, and incorporated herein by reference.

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 May 14, 2012	Futures Portfolio Fund, Limited Partnership

	By:	Steben & Company, Inc.
		General Partner

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

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