UNITED STATES
SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM 10-K

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

EXCHANGE ACT OF 1934

For the Fiscal Year Ended December 31, 2018

Commission file number: 000-50728

FUTURES PORTFOLIO FUND, LIMITED PARTNERSHIP

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

c/o Steben & Company, Inc.
9711 Washingtonian Blvd., Suite 400
Gaithersburg, MD 20878
Telephone: (240) 631-7600

Securities to be registered pursuant to Section 12(b) of the Act: NONE

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

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

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

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

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

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

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

Large Accelerated Filer  ☐	Accelerated Filer  ☐
Non-Accelerated Filer  ☒	Smaller reporting company  ☐
	Emerging growth company  ☐

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

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

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

Table of Contents

	Part I
Item 1.	Business	3
Item 1A.	Risk Factors	7
Item 1B.	Unresolved Staff Comments	12
Item 2.	Properties	13
Item 3.	Legal Proceedings	13
Item 4.	Mine Safety Disclosures	13
	Part II
Item 5.	Market for Registrant’s Common Equity, Related Stockholder Matters and Issuer Purchases of Equity Securities	13
Item 6.	Selected Financial Data	14
Item 7.	Management’s Discussion and Analysis of Financial Condition and Results of Operations	18
Item 7A.	Quantitative and Qualitative Disclosures About Market Risk	28
Item 8.	Financial Statements and Supplementary Data	32
Item 9.	Changes in and Disagreements with Accountants on Accounting and Financial Disclosure	32
Item 9A.	Controls and Procedures	32
Item 9B.	Other Information	32
	Part III
Item 10.	Directors, Executive Officers, and Corporate Governance	33
Item 11.	Executive Compensation	34
Item 12.	Security Ownership of Certain Beneficial Owners and Management	35
Item 13.	Certain Relationships and Related Transactions, and Director Independence	36
Item 14.	Principal Accountant Fees and Services	36
	Part IV
Item 15.	Exhibits and Financial Statement Schedules	36
Signatures		38

PART I

Item 1. Business

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

The Fund’s fiscal year ends each December 31, and the Fund will automatically terminate on December 31, 2025, unless terminated earlier as provided in the Third Amended and Restated Limited Partnership Agreement (“Partnership Agreement”). At December 31, 2018, the capitalization of the Fund and net asset value per limited partner interest (“Units”) was as follows:

Class of Units	Capitalization		Net Asset Value per Unit
Class A	$	189,019,997	$	3,911.85
Class A2		146,018		996.71
Class B		79,984,663		6,018.20
Class I		3,440,608		992.59
Class R		13,667,838		998.83
Total	$	286,259,124

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

The Fund holds an interest in Class I shares of the Steben Managed Futures Strategy Fund (“SMFSF”). SMFSF is a non-diversified series of shares of beneficial interest of Steben Alternative Investment Fund (the “Trust”), a statutory trust organized under the laws of the State of Delaware, and is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end investment company.  The General Partner serves as the investment manager of SMFSF.

SMFSF has a similar investment strategy to the Fund, using commodity trading advisors to engage in the speculative trading of futures contracts, forward currency contracts and other financial instruments.

At February 28, 2019, the Fund owned 37% of the value of the outstanding shares of SMFSF. Prior to August 31, 2017, the Fund owned more than 50% of the value of outstanding shares of SMFSF and therefore had effective control of that entity. Accordingly, the assets, liabilities and operating results of SMFSF were consolidated with the Fund through that date. The portion of SMFSF that was not owned by the Fund was presented as the non-controlling interest. Effective August 31, 2017, the Fund no longer consolidated the assets, liabilities and operating results of SMFSF into the Fund. The Fund reports changes in the fair value of its investment in SMFSF on the Statement of Operations. The investment in SMFSF is reported on the statement of financial condition as investment in SMFSF. For financial reporting purposes, SMFSF is treated as a related party. During 2018, the Fund redeemed $5 million of its investment in SMFSF.

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

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

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General Partner

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

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

Trading Advisors

As of February 28, 2019, the Trading Advisors of the Fund and the allocation of the Fund’s trading level are reflected as follows:

	% of Total Allocations
Crabel Capital Management, LLC		17.8	%
Winton Capital Management Ltd.		16.0	%
FORT, LP		13.2	%
Millburn Ridgefield Corporation		10.5	%
Mondiale Asset Management Ltd.		10.1	%
Other Trading Advisors who individually represent less than 10% of the Fund’s net assets		32.4	%

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

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

Selling Agents

The General Partner acts as a selling agent for the Fund. The General Partner has and intends to continue to appoint certain other broker-dealers registered under the Securities Exchange Act of 1934, as amended (“1934 Act”), and members of FINRA, to act as additional selling agents with respect to Class A, A2, A3, B, I and R Units. Selling agents are selected to assist in the making of offers and sales of Class A, A2, A3, B, I and R Units. The Fund currently has approximately 100 selling agents. The selling agents are not required to purchase any Class A, A2, A3, B, I or R Units, or sell any specific number or dollar amount of Class A, A2, A3, B, I and R Units, but instead use their best efforts to sell such Units. Where the General Partner acts as the selling agent it retains the selling agent fees, if any.

Futures Brokers and Forward Currency Counterparties

The Fund’s futures trading is currently conducted with SG Americas Securities, LLC (“SGAS”), J.P. Morgan Securities LLC (“JPMS”), and Deutsche Bank Securities, Inc. (“DBSI”). The Fund’s forward currency trading is conducted with Société Générale International Limited and Deutsche Bank AG. SGAS and Société Générale International Limited are wholly-owned subsidiaries of Société Générale. Société Générale is a société anonyme governed by French law. JPMS is an indirect, wholly-owned subsidiary of JPMorgan Chase & Co., one of the largest bank holding companies in the U.S. DBSI is an indirect, wholly-owned subsidiary of Deutsche Bank AG, one of the largest bank holding companies in Europe. UBS AG is another of the fund’s forward currency counterparties.

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

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Cash Managers

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

Description of Current Charges

Charges	Amount
Trading Advisor Management Fees	Each class of Units incurs monthly trading advisor management fees, payable monthly or quarterly in arrears, to the Trading Advisors (based on the assets under their management). The fees range from 0% to 3% annually.
Trading Advisor Incentive Fees	Each class of Units incurs periodic trading advisor incentive fees, payable in arrears to the Trading Advisors, for any “Net New Trading Profits” generated on the portion of the Fund the respective Trading Advisor manages. The incentive fees range from 0% to 30%. Net New Trading Profits are calculated based on formulas defined in each Trading Advisor’s trading agreement. In determining Net New Trading Profits, any trading losses generated by the respective Trading Advisor for the Fund in prior periods are carried forward, so that the incentive fee is assessed only if and to the extent the profits generated by the Trading Advisor for the period exceed any losses from prior periods. The loss carry-forward is proportionally reduced if and to the extent the Fund reduces the amount of assets allocated to the Trading Advisor.
Brokerage Commissions and Trading Expenses	The Fund incurs brokerage commissions and expenses on U.S. futures exchanges at an average of $2.24 per “round-turn” futures transaction (includes NFA, execution, clearing and exchange fees). Brokerage commissions and expenses may be higher for trades executed on certain foreign exchanges.
Cash Manager Fees	Each class of Units incurs a monthly cash manager fee, payable in arrears to the Cash Manager, equal to approximately 1/12th of 0.11% of the investments in securities and certificates of deposit.
General Partner Management Fee	The Fund incurs a monthly fee on Class A, A2, A3, B, and R Units equal to 1/12th of 1.5% of the month-end net asset value of the Class A, A2, A3, B and R Units, payable in arrears. The Fund incurs a monthly fee on Class I Units equal to 1/12th of 0.75% of the month-end net asset value of the Class I Units, payable in arrears.
General Partner Performance Fee	The Fund incurs a monthly fee on Class I Units equal to 7.5% of any Net New Trading Profits of the Class I Units calculated monthly. The general partner performance fee is payable quarterly in arrears. In determining Net New Trading Profits, any trading losses incurred by the Class I Units in prior periods are carried forward, so that the incentive fee is assessed only if and to the extent the profits generated by the Class I units exceed any losses from prior periods.
General Partner 1 percent allocation	Each year, the General Partner receives an annual allocation of 1% of net income earned by the Fund, or pays to the Fund 1% of any net loss incurred by the Fund.
Selling Agent Fees and Broker Dealer Servicing Fees	The General Partner charges monthly selling agent fees and broker dealer servicing fees, equal to 1/12th of 2% and 0.2% of the month-end net asset value for Class A and B Units, respectively, payable in arrears. Class A2 Units may pay an up-front sales commission of up to 3% of the offering price and a 0.6% per annum selling agent fee. Class A3 Units may pay an up-front sales commission of up to 2% of the offering price and a 0.75% per annum selling agent fee. The General Partner, in turn, pays selling agent fees and broker dealer servicing fees to the respective selling agents. If selling agent fees are not paid to the selling agents, or if the General Partner was the selling agent, such portions of the selling agent fees are retained by the General Partner.

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Charges

Amount

Administrative Fee

Each class of Units incur a monthly General Partner administrative fee equal to 1/12th of 0.45% of Fund net assets at the end of each month, payable in arrears. In return, the General Partner provides operating and administrative services, including accounting, audit, legal, marketing, and administration (exclusive of extraordinary costs and administrative expenses charged by other commodity pools with which the Fund may have investments). The General Partner uses a portion of this fee to pay third party service providers.

Market Sectors

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

Market Types

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

Regulations

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

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

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

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

6

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

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

Competition

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

● The Fund competes with other commodity pools and other investment vehicles for investors.

● The Trading Advisors may compete with other traders in the markets in establishing or liquidating positions on behalf of the Fund.

Available Information

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

Reports to Security Holders

None.

Enforceability of Civil Liabilities Against Foreign Persons

None.

Item 1A. Risk Factors

No Limitations on Trading Policies

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

Potential Increase in Leverage

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

Volatility

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

7

Liquidity

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

Complex Fee Structure

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

Fund Expenses Will Be Substantial

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

Reliance on General Partner

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

Dependence on Key Personnel

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

Reliance on the Trading Advisors

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

Reliance on Futures Brokers’ Financial Condition

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

Use of Cash Manager

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

Investment in Other Investment Pools

The Fund purchased holds an investment in Class I shares of the Steben Managed Futures Strategy Fund (“SMFSF”). SMFSF is a non-diversified series of shares of beneficial interest of Steben Alternative Investment Fund, a statutory trust organized under the laws of the State of Delaware, and is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. SMFSF has a similar investment strategy to the Fund, using trading advisors to engage in the speculative trading of futures contracts, forward currency contracts and other financial instruments. The General Partner serves as the investment manager of SMFSF.

8

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

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

Use of Electronic Trading

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

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

Changes in Trading Strategies

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

Disadvantages of Periodic Incentive Fees

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

Disadvantages of Multi-Trader Structure

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

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

9

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

Disadvantages of Replacing Trading Advisors

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

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

Limited Partners Do Not Participate in Management

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

Non-Transferability of Units

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

Possible Adverse Effect of Large Redemptions

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

Mandatory Redemptions

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

Cybersecurity Breaches

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

Indemnification

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

10

Termination of Fund

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

Lack of Regulation

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

Conflicts of Interest

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

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

Payment of Incentive Fees to the Trading Advisors

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

Personal Trading

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

Trades by the Trading Advisors and their Principals

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

11

Effects of Speculative Position Limits

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

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

Other Activities of the Principals of the Advisors

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

Fiduciary Responsibility of the General Partner

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

Selling Agents

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

The General Partner Serving as Selling Agent

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

Futures Brokers

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

Item 1B. Unresolved Staff Comments

None.

12

Item 2. Properties

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

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

Item 3. Legal Proceedings

None.

Item 4. Mine Safety Disclosures

Not applicable.

PART II

Item 5. Market for Registrant’s Common Equity, Related Stockholder Matters and Issuer Purchases of Equity Securities

Market Information

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

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

Holders

As of February 28, 2019, there were 2,745 holders of Class A Units, 2 holders of Class A2 Units, 1,160 holders of Class B Units, 4 holders of Class I Units and 163 holders of Class R Units of the Fund.

Dividends

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

Securities Authorized for Issuance under Equity Compensation Plans

No Units were authorized for issuance under equity compensation plans.

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

There were no sales of unregistered securities of the Fund during the year ended December 31, 2018.

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

Issuer Purchases of Equity Securities

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

13

Redemptions of Class A, A2, B, I and R Units during the fourth quarter 2018 were as follows:

	October			November			December			Total
A Units
Units redeemed		(632.3070	)		(1,085.4007	)		(1,000.7860	)		(2,718.4937	)
Average net asset value per unit	$	3,933.87		$	3,939.46		$	3,911.85		$	3,928.00
A2 Units
Units redeemed		—			—			—			—
Average net asset value per unit	$	—		$	—		$	—		$	—
B Units
Units redeemed		(195.8741	)		(290.9163	)		(189.8792	)		(676.6696	)
Average net asset value per unit	$	6,034.09		$	6,051.67		$	6,018.20		$	6,037.19
I Units
Units redeemed		—			—			—			—
Average net asset value per unit	$	—		$	—		$	—		$	—
R Units
Units redeemed		—			(49.7902	)		—			(49.7902	)
Average net asset value per unit	$	—		$	1,004.21		$	—		$	1,004.21

Item 6. Selected Financial Data

The following selected consolidated financial data of the Fund as of and for the years ended December 31, 2018, 2017, 2016, 2015, and 2014 is derived from the consolidated financial statements that have been audited by RSM US LLP, the Fund’s independent registered public accountant. This financial data should be read in conjunction with “Management’s Discussion and Analysis of Financial Condition and Results of Operations,” and with the Fund’s consolidated financial statements and notes thereto, included elsewhere in this Annual Report on Form 10-K.

14

Certain amounts in the selected financial information prior to 2018 have been reclassified to conform to the 2018 presentation without affecting previously reported partners’ capital (net asset value) or net income (loss).

	For the Year Ended December 31,
	2018			2017			2016			2015			2014
Income Statement Items
Net gain (loss) from trading	$	(6,364,577	)	$	22,703,022		$	21,931,511		$	10,861,775		$	104,112,103
Interest income		5,924,353			5,288,556			5,047,602			3,317,092			2,765,368
Net total expenses		(15,947,441	)		(26,412,159	)		(35,522,528	)		(42,969,595	)		(53,435,119	)
Net income (loss)	$	(16,387,665	)	$	1,579,419		$	(8,543,415	)	$	(28,790,728	)	$	53,442,352
Balance Sheet Items
Total assets	$	293,278,322		$	372,685,946		$	588,385,437		$	659,382,239		$	769,596,902
Total partners’ capital (net asset value)	$	286,259,124		$	357,535,425		$	563,199,285		$	643,585,886		$	741,554,213
Class A Units
Net asset value per unit	$	3,911.85		$	4,146.91		$	4,096.03		$	4,212.26		$	4,414.30
Increase (decrease) in net asset value per unit	$	(235.06	)	$	50.88		$	(116.23	)	$	(202.04	)	$	299.79
Total return		(5.67	)%		1.24	%		(2.76	)%		(4.58	)%		7.29	%
Class A2 Units (began trading 11/1/18)
Net asset value per unit	$	996.71		$	—		$	—		$	—		$	—
Increase (decrease) in net asset value per unit	$	(3.29	)	$	—		$	—		$	—		$	—
Total return1		(0.33	)%		—			—			—			—
Class B Units
Net asset value per unit	$	6,018.20		$	6,266.93		$	6,080.47		$	6,142.34		$	6,323.56
Increase (decrease) in net asset value per unit	$	(248.73	)	$	186.46		$	(61.87	)	$	(181.22	)	$	533.83
Total return		(3.97	)%		3.07	%		(1.01	)%		(2.87	)%		9.22	%
Class I Units
Net asset value per unit	$	992.59		$	1,023.37		$	983.11		$	984.17		$	1,004.98
Increase (decrease) in net asset value per unit	$	(30.78	)	$	40.26		$	(1.06	)	$	(20.81	)	$	94.56
Total return		(3.01	)%		4.10	%		(0.11	)%		(2.07	)%		10.39	%
Class R Units (began trading 4/1/17)
Net asset value per unit	$	998.83		$	1,038.05		$	—		$	—		$	—
Increase (decrease) in net asset value per unit	$	(39.22	)	$	38.05		$	—		$	—		$	—
Total return2		(3.78	)%		3.80	%		—			—			—

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

¹ Class A2 Units were introduced in December 2018. Total return for 2018 is for the period from introduction to year end and is not annualized.

² Class R Units were introduced in April 2017. Total return is for 2017 is for the period from introduction to year end and is not annualized.

15

The following unaudited supplementary summarized quarterly data are presented for the three-months ended March 31, June 30, September 30 and December 31, 2018 and 2017.

	March 31, 2018
	Class A			Class A2		Class B			Class I			Class R
Net income (loss)	$	(7,946,101	)	$	—	$	(2,661,301	)	$	(98,643	)	$	(368,589	)
Increase (decrease) in net asset value per unit		(143.25	)		—		(189.43	)		(28.45	)		(30.88	)
Net asset value per unit		4,003.66			—		6,077.50			994.92			1,007.17
Ending net asset value		223,196,758			—		92,353,665			3,448,656			13,026,654

	June 30, 2018
	Class A		Class A2		Class B		Class I		Class R
Net income (loss)	$	1,878,480	$	—	$	1,200,167	$	53,530	$	179,155
Increase (decrease) in net asset value per unit		33.97		—		78.99		15.44		13.60
Net asset value per unit		4,037.63		—		6,156.49		1,010.36		1,020.77
Ending net asset value		215,568,443		—		89,488,818		3,502,186		13,600,247

	September 30, 2018
	Class A		Class A2		Class B		Class I		Class R
Net income (loss)	$	676,965	$	—	$	678,781	$	35,942	$	111,854
Increase (decrease) in net asset value per unit		13.17		—		47.72		10.37		8.42
Net asset value per unit		4,050.80		—		6,204.21		1,020.73		1,029.19
Ending net asset value		206,565,353		—		86,216,039		3,538,128		13,603,059

	December 31, 2018
	Class A			Class A2			Class B			Class I			Class R
Net income (loss)	$	(7,044,788	)	$	(482	)	$	(2,574,894	)	$	(97,520	)	$	(410,221	)
Increase (decrease) in net asset value per unit		(138.95	)		(3.29	)		(186.01	)		(28.14	)		(30.36	)
Net asset value per unit		3,911.85			996.71			6,018.20			992.59			998.83
Ending net asset value		189,019,997			146,018			79,984,663			3,440,608			13,667,838

16

	March 31, 2017
	Class A			Class A2		Class B			Class I			Class R
Net income (loss)	$	(3,399,506	)	$	—	$	(1,022,150	)	$	(3,204	)	$	—
Increase (decrease) in net asset value per unit		(41.22	)		—		(34.26	)		(3.11	)		—
Net asset value per unit		4,054.81			—		6,046.21			980.00			—
Ending net asset value		307,969,847			—		161,099,098			3,260,577			—

	June 30, 2017
	Class A			Class A2		Class B			Class I			Class R
Net income (loss)	$	(17,582,191	)	$	—	$	(7,766,019	)	$	(191,615	)	$	(739,959	)
Increase (decrease) in net asset value per unit		(242.33	)		—		(335.91	)		(52.14	)		(55.09	)
Net asset value per unit		3,812.48			—		5,710.30			927.86			944.91
Ending net asset value		264,989,636			—		118,394,318			3,568,962			12,258,370

	September 30, 2017
	Class A			Class A2		Class B		Class I		Class R
Net income (loss)	$	353,507		$	—	$	782,183	$	24,721	$	80,003
Increase (decrease) in net asset value per unit		(0.14	)		—		25.33		6.43		4.66
Net asset value per unit		3,812.34			—		5,735.63		934.29		949.57
Ending net asset value		241,910,199			—		99,574,584		3,238,494		11,666,801

	December 31, 2017
	Class A		Class A2		Class B		Class I		Class R
Net income (loss)	$	20,891,115	$	—	$	9,094,818	$	308,805	$	1,081,202
Increase (decrease) in net asset value per unit		334.57		—		531.30		89.08		88.48
Net asset value per unit		4,146.91		—		6,266.93		1,023.37		1,038.05
Ending net asset value		240,860,323		—		100,657,081		3,547,299		12,470,722

17

Item 7. Management’s Discussion and Analysis of Financial Condition and Results of Operations

Current Positioning

As of December 31, 2018, the Fund’s portfolio was net short oil, flat stocks, long the US Dollar against most currencies except the Japanese Yen, and long fixed income, particularly in Europe.

Results of Operations

The returns for each Class of Units for the years ended December 31, 2018, 2017, and 2016 were:

Class of Units	2018			2017			2016
Class A		(5.67	)%		1.24	%		(2.76	)%
Class A2		(0.33	)%		—			—
Class B		(3.97	)%		3.07	%		(1.01	)%
Class I		(3.01	)%		4.10	%		(0.11	)%
Class R		(3.78	)%		3.80	%		—

Results from past periods are not necessarily indicative of results that may be expected for any future period. Monthly analysis of the trading gains and losses is provided below.

2018

January

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

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

February

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

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

18

March

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

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

April

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

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

May

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

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

June

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

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

July

U.S. stocks rose in July as a result of strong earnings and solid second quarter GDP growth, which were boosted by fiscal stimulus from this year’s tax cuts. The month saw a sharp rotation from high momentum technology stocks into value-oriented stocks. In international markets, Chinese equities continued to slump as a result of both central bank tightening and an ongoing trade spat with the U.S. In the energy sector, increased supply from Saudi Arabia and Libya caused a pullback in oil prices. Fixed income markets saw a reversal during the month. Bond yields rose in Europe and Japan (and bond prices fell) in anticipation of announcements of the gradual withdrawal of easy monetary policy.

19

The Fund’s trading style is primarily trend-following, leading to profits in markets where trends are sustained and losses in markets where trends reverse. In July, the Fund made gains in long positions in stock indices and short positions in precious metals. However, these profits were offset by declines in other sectors. Long positions in oil and refined oil products were impacted by a reversal of bullish price trends in the energy sector. In bond futures, long German and Japanese positions saw losses as a result of a rise in yields in anticipation of less accommodative central bank policy. Choppiness in the U.S. dollar led to a giveback in the currency sector. The Fund finished with a net loss of 1.41%, 1.26%, 1.18%, and 1.24% for Class A, B, I, and R Units, respectively.

August

August saw a panic in emerging markets, as countries with large USD-denominated debt buckled under the strength of the U.S. dollar and rising U.S. interest rates. A politically induced trade spat with the U.S. proved to be an additional catalyst in Turkey as the Lira fell 25% during August. Fear spread to other emerging markets, culminating in a dramatic drop in the Argentine peso at month end. Investor risk aversion caused a decline in European and Asian stocks and a rotation into bonds. Despite this international turmoil, U.S. equity markets proved robust, with the S&P 500 rising on strong earnings and a rally in technology stocks.

The Fund had a strong month and was profitable in each of the sectors it trades. Metals were the biggest positive contributor, as the Fund made gains in short positions in gold, which declined with U.S. dollar strength, and in short positions in industrial metals, which fell on weaker Chinese demand. In energy, long positions profited from a rise in crude oil prices. In agricultural markets, short coffee positions saw the strongest gains. Turning to financial futures markets, the Fund profited from long exposure to U.S. stock indices, long exposure to European bonds and broadly long U.S. dollar exposure against other currencies. The Fund finished with a net gain of 2.81%, 2.96%, 3.05%, and 2.98% for Class A, B, I, and R Units, respectively.

September

With U.S. economic data continuing to show strength in September, the Federal Reserve made its third interest rate hike of the year and signaled four more hikes by the end of 2019. U.S. Treasury yields rose and bonds sold off as Fed minutes dropped long-standing references to an “accommodative” monetary policy. The European Central Bank’s plans to move ahead with tapering of their quantitative easing policy caused European bonds to decline as well. The trade conflict between the U.S. and China escalated with U.S. tariffs announced on $200 billion of Chinese goods. U.S. equity markets were relatively unfazed by these developments, but many Asian stock markets fell. Oil prices continued to climb with looming U.S. sanctions on Iran, a major producer.

The Fund’s biggest gains in the month came from the energy sector with long positions in crude oil. However, the interest rates sector detracted from performance. The Fund had a positive contribution from short U.S. positions, but saw losses from long European bond futures positions. In currencies, the Fund benefited from the continued depreciation of the Japanese yen, but saw reversals in other markets. Stock index trading saw a balance between gains in the U.S. and declines in Europe. The Fund finished with a net loss of 1.02%, 0.87%, 0.79%, and 0.86% for Class A, B, I, and R Units, respectively.

October

Global equities reversed sharply in October, in the second major sell-off this year. The S&P 500 fell 6.84% during the month, as fears mounted over the pace of monetary policy tightening by the Federal Reserve. Investor expectations for earnings and economic growth also moderated during the month, hurting the high growth technology sector as well as traditional cyclical sectors such as consumer discretionary, industrials, materials and energy. As part of a broad decline in risk assets, crude oil prices fell from $73 to $65 per barrel. What may be viewed as a safe haven, currencies such as the U.S. dollar and Japanese yen rallied. Bonds rallied in Europe and Japan, but not in the U.S. where quantitative tightening gathered pace.

The Fund employs a range of managed futures strategies, but has a concentration in trend-following. Trend-based strategies may profit during extended bullish or bearish trends, but tend to see declines at turning points when markets reverse course. October saw a sharp reversal of the 6-month bullish trend in stock indices, causing losses in the equities sector. The Fund’s positions adjusted from long to neutral in stocks as a result, ready to move onto the next trend, long or short. In commodities, reversals in oil prices and sugar prices also detracted from performance. The Fund made gains in the fixed income sector, being short the U.S. and long international bond futures. The currency sector profited from long US dollar positioning. The Fund finished with a net loss of 2.89%, 2.74%, 2.66%, and 2.73% for Class A, B, I, and R Units, respectively.

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November

November was a choppy month for stocks, as markets reacted to the U.S. mid-term elections, U.S.-China trade relations and tightening monetary policy. The S&P 500 traded in a wide 7% range between its intra-month high and low, finishing on an up note, as Fed Chairman Jerome Powell commented that interest rates may now be close to neutral, hinting at more limited rate hikes going forward. In Europe, concerns over a messy Brexit deal and an impasse over the Italian budget caused a flight to quality and a rally in bonds. Commodities saw significant volatility as crude oil prices dropped more than 20% on high production and weakening demand, while natural gas prices spiked on low inventories and a projected cold winter in North America.

The Fund profited from the large price moves in the energy sector, benefiting from short positions in oil and long positions in natural gas. In equity indices, small long positions in U.S. stocks were positive. The fixed income sector saw mixed performance as gains were made in long positions in European bonds, but these were offset by losses in short U.S. bond exposures. Currencies were the main detractor for the month as a rebound in the Australian dollar and New Zealand dollar hurt the Fund’s short positions. The Fund finished with a net gain of 0.14%, 0.29%, 0.37%, and 0.31% for Class A, B, I, and R Units, respectively.

December

The year finished in a turbulent fashion for equities, as investors worried about slowing global growth, monetary tightening by the Fed, and the trade conflict between the U.S. and China. In December, the S&P 500 Total Return Index experienced an intra-month drop of 15.6% before making a partial recovery. That index finished the month down 9.0% and ended the year down 4.4%. Low demand and increased supply hit oil prices, which declined from $51 to $45 per barrel. Government bonds rallied in a flight to quality, while perceived safe haven currencies like the Japanese yen appreciated.

The Fund had significantly less volatility than the broader markets due to its low net exposure to equity indices. The Fund’s foreign exchange positioning was long the US dollar against other major currencies, which led to a loss as the Japanese yen rallied. In energy markets, the Fund made gains in short oil positions, but saw offsetting losses in long natural gas positions which declined with warmer than expected weather. In other commodities, the Fund was profitable in short grain positions, but saw a modest loss in short precious metals positions. The Fund ended the year with relatively defensive positioning, being net long global bonds, short most industrial commodities, and with little equity exposure. The Fund finished with a net loss of 0.70%, 0.59%, 0.55%, 0.47% and 0.54% for Class A, A2, B, I, and R Units, respectively.

2017

January

Markets digested the impact of the new U.S. administration’s economic policy proposals as the calendar year began. The policy specifics remain uncertain, but market participants showed optimism that potential changes to the tax code and increased infrastructure spending would bolster economic growth. Equity markets in the U.S. and Europe were generally higher, while interest rates held mostly steady. Following broad based strength in the second half of 2016, the U.S. dollar weakened during the start of the year as concerns about trade protection and accusations of currency manipulation began to emerge.

Ongoing strength in equity markets was a positive contributor to Fund performance. Specifically, long positions in Nasdaq, S&P 500 and Hang Seng indices were key contributors. Increased economic bullishness also led to a near 9% rise in copper prices, benefitting the Fund’s long copper position. After several months of strength, energy prices drifted lower in January, due partially to the belief that OPEC’s attempts to cut production would be short lived. The Fund’s long energy positions detracted from performance. Within foreign exchange markets, the U.S. dollar reversal caused losses, as the Fund was long U.S. dollar versus Euro, British pound and Japanese yen. The Fund finished with a net loss. Overall, the Fund finished with a net loss of 2.27%, 2.13% and 2.04% for Class A, B and I Units, respectively.

February

February saw a continued rise in investor risk appetite. The S&P 500 rallied to new highs and rich valuations got even richer, spurred by positive earnings data and the Trump administration’s pledge to cut corporate taxes and spend heavily on infrastructure. International equity markets also had a positive month as global economic data showed improvement. In Europe, the political risk of potential nationalist party victories in upcoming elections in France and the Netherlands led to a rally in safe haven German bonds and a depreciation of the Euro.

The Fund’s largest gains during the month came from long equity index positions, which benefited from the global rally in stocks. Long positions in European bonds and a short currency position in the Euro both profited from market skittishness over possible populist electoral gains. The Fund did see modest losses in energy as trend-following programs were whipsawed by choppy directionless oil prices. Overall, the Fund finished the month with a net profit. Overall, the Fund finished the month with a net gain of 3.33%, 3.48% and 3.57% for Class A, B and I Units, respectively.

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March

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

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

April

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

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

May

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

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

June

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

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

July

Summertime markets were mostly quiet in July, despite political fireworks in the U.S. as Congress attempted to repeal the Affordable Care Act. The contentious nature of the vote and an inability to reach solidarity within the Republican Party was viewed as an impediment for passing tax reform and infrastructure spending later this year. The sector most impacted by the uncertainty was currencies. After starting the year at $1.05 against the U.S. dollar, the Euro strengthened to $1.18, rising in six of seven months this year and returning to its highest levels since early 2015. Equity indices drifted to all-time highs and largely ignored the political tumult in Washington.

The Fund was profitable in equity and currency markets, with slight losses in commodity and interest rate sectors. During the last three months, the Fund switched from a long U.S. dollar position against the Euro to being short U.S. dollar and long Euro. The timing worked out favorably for the Fund due to the continued appreciation of the Euro. Equity indices have been in an uptrend since March 2016 and the Fund continues to benefit from being long equities. Commodity prices were mostly rangebound in July and had a limited impact on overall Fund performance. Overall, the Fund finished the month with a net gain of 0.81%, 0.96%, 1.04% and 0.98% for Class A, B, I and R Units, respectively.

August

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

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

September

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

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

October

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

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

November

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

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

December

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

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

2016

January

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

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

February

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

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

March

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

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

April

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

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

May

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

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

June

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

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

July

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

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

August

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

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

September

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

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

October

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

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

November

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

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

December

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

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

Liquidity

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

Capital Resources

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

Contractual Obligations

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

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Off-Balance Sheet Risk

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

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

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

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

Significant Accounting Policies

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

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

Item 7A. Quantitative and Qualitative Disclosures about Market Risk

Introduction

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

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

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

Standard of Materiality

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

Quantifying the Fund’s Trading Value at Risk

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

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

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

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

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

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

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

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

The following table indicates the trading Value at Risk associated with the Fund’s open positions by market sector at December 31, 2018 and 2017. All open position trading risk exposures of the Fund have been included in calculating the figures set forth below. At December 31, 2018 and 2017, the Fund’s total capitalization was $286,259,124 and $357,535,425, respectively.

	December 31,
	2018					2017
Market Sector	Value at Risk		% of Total Capitalization			Value at Risk		% of Total Capitalization
Agricultural commodities	$	2,708,629		0.95	%	$	4,433,155		1.24	%
Currencies		10,062,868		3.52			19,663,340		5.50
Energy		3,971,984		1.39			6,107,457		1.71
Equity indices		14,877,628		5.19			28,841,492		8.06
Interest rate instruments		5,707,512		1.99			6,824,373		1.91
Metals		2,574,353		0.90			5,017,984		1.40
Single stock futures		828,662		0.29			4,565,988		1.28
Total	$	40,731,636		14.23	%	$	75,453,789		21.10	%

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

The face value of the market sector instruments held by the Fund is typically many times the applicable margin requirement (margin requirements generally range between approximately 1% and 15% of contract face value) as well as many times the capitalization of the Fund. The magnitude of the Fund’s open positions creates a risk of ruin not typically found in most other investment vehicles. Because of the size of its positions, certain market conditions - unusual, but historically recurring from time to time - could cause the Fund to incur severe losses over a short period of time. The foregoing Value at Risk tables, as well as the past performance of the Fund, gives no indication of this risk of ruin.

Non-Trading Risk

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

Qualitative Disclosures Regarding Primary Trading Risk Exposures

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

The following were the primary trading risk exposures of the Fund as of December 31, 2018, by market sector.

Agricultural Commodities

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

Currencies

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

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Energy

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

Equity Indices

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

Interest Rate Instruments

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

Metals

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

Single Stock Futures

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

Qualitative Disclosures Regarding Non-Trading Risk Exposure

The following were the significant non-trading risk exposures of the Fund as of December 31, 2018 and 2017.

Foreign Currency Balances

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

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

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

Qualitative Disclosures Regarding Means of Managing Risk Exposure

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

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

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Item 8. Financial Statements and Supplementary Data

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

Item 9. Changes in and Disagreements with Accountants on Accounting and Financial Disclosures

None.

Item 9A. Controls and Procedures

Evaluation of Disclosure Controls and Procedures

The General Partner of the Fund, with the participation of the Chief Executive Officer and Chief Financial Officer, evaluated the effectiveness of the design and operation of the Fund’s disclosure controls and procedures at December 31, 2018 (the “Evaluation Date”). Based on their evaluation, the Chief Executive Officer and Chief Financial Officer of the General Partner concluded that, as of the Evaluation Date, the Fund’s disclosure controls and procedures were effective.

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

Management’s Annual Report on Internal Control over Financial Reporting

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

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

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

Management assessed the effectiveness of the Fund’s internal control over financial reporting as of December 31, 2018, based on the framework set forth by the Committee of Sponsoring Organizations of the Treadway Commission (COSO) in Internal Control-Integrated Framework published in 2013. Based on that assessment, management concluded that, as of December 31, 2018, the Fund’s internal control over financial reporting is effective based on the criteria established in Internal Control-Integrated Framework published in 2013.

Changes in Internal Control Over Financial Reporting

There has been no change in internal control over financial reporting that occurred during the year ended December 31, 2018 that has materially affected, or is reasonably likely to materially affect, the Fund’s internal control over financial reporting.

Item 9B. Other Information

None.

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PART III

Item 10. Directors, Executive Officers and Corporate Governance

Directors and Executive Officers

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

Kenneth E. Steben is the General Partner’s founder, President and Chief Executive Officer. Additionally, he is Chairman of the board of directors of the General Partner. Mr. Steben, born in January 1955, received his Bachelor’s Degree in Interdisciplinary Studies, with a concentration in Accounting in 1979 from Maharishi University of Management. Mr. Steben has been a licensed stockbroker since 1981 and a licensed commodities broker since 1983. Mr. Steben holds his Series 3, 5, 7, 24, 63 and 65 FINRA and NFA licenses. Mr. Steben has been a CFTC listed Principal, and registered as an Associated Person since March 15, 1989.

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

Carl A. Serger is Chief Financial Officer and a Director. Mr. Serger joined the General Partner in December of 2009 and has been listed as a CFTC Principal of the General Partner since February 2, 2010. Mr. Serger, born in March 1960, graduated cum laude from Old Dominion University with a BS in Business Administration and has a Technology Management Certification from the California Institute of Technology. Prior to joining the General Partner, Mr. Serger was the CFO and Senior Vice President of Operations of Peracon, Inc., a software platform for institutional commercial real estate transactions from November 2007 through November 2009. From July 2007 to November 2007, he acted as an independent consultant to start-up companies in the financial services and technology industries. From January 2007 to July 2007, Mr. Serger was the CFO, Senior Vice President and Treasurer of Ebix, Inc., an international software company serving the financial services and insurance industries. From October 2006 through December 2006, he was President of Finetre Corporation, a division of Ebix, Inc. From December 1999 until its October 2006 acquisition by Ebix, Inc., Mr. Serger was the CFO, Senior Vice President and Treasurer of Finetre Corporation, a financial technology platform company providing services to major brokerage firms, banks and insurance companies. Mr. Serger holds a Series 28 FINRA license.

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

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

Since August 1, 2013, the General Partner has acted as the general partner for Steben Select Multi-Strategy Partners, L.P., a privately offered investment fund. Since August 1, 2013, the General Partner has been the Investment Manager for Steben Select Multi-Strategy Master Fund, a privately offered closed-end fund. Additionally, since January 1, 2014, the General Partner acts as the investment manager for Steben Select Multi-Strategy Fund, a publicly offered closed-end fund. Since April 2014, the General Partner has acted as the investment manager for Steben Managed Futures Strategy Fund, an open-end mutual fund. Because Steben & Company, Inc. serves as the general partner or manager of these funds, the officers and directors of Steben & Company, Inc. effectively manage the respective funds.

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Significant Employees

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

Family Relationships

None.

Business Experience

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

Involvement in Certain Legal Proceedings

None.

Promoters and Control Persons

Not applicable.

Section 16 (A) Beneficial Ownership Reporting Compliance

Section 16(a) of the 1934 Act requires that reports of beneficial ownership of limited partner interests and changes in such ownership be filed with the SEC by Section 16 “reporting persons.” The Fund is required to disclose in this annual report on Form 10-K each reporting person whom it knows to have failed to file any required reports under Section 16(a) on a timely basis during the year ended December 31, 2018. During the year ended December 31, 2018, all reporting persons complied with all Section 16(a) filing requirements applicable to them.

Code of Ethics

The General Partner has adopted a code of ethics, as of the period covered by this report, which applies to the Fund’s principal executive officer and principal financial officer, or persons performing similar functions. A copy of the code of ethics is available without charge upon request by calling 240-631-7600.

Item 11. Executive Compensation

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

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

■ General Partner Management Fee – the Fund incurs a monthly fee on Class A, A2, A3, B and R Units equal to 1/12^th of 1.5% of the month-end net asset value of the Class A, A2, A3, B and R Units, payable in arrears. The Fund incurs a monthly fee on Class I Units equal to 1/12^th of 0.75% of the month-end net asset value of the Class I Units, payable in arrears. During 2018, 2017 and 2016, the General Partner earned $4,848,144, $6,427,712 and $9,105,770, respectively, in General Partner management fees.

■ General Partner Performance Fee – the Fund incurs a monthly fee on Class I Units equal to 7.5% of new profits of the Class I Units. The general partner performance fee is payable quarterly in arrears. During 2018, 2017 and 2016, the General Partner earned $0, $0 and $3,607, respectively, in General Partner performance fees.

■ Selling Agent Fees – the Class A Units incur a monthly fee equal to 1/12^th of 2% of the month-end net asset value of the Class A Units. Class A2 Units may pay an up-front sales commission of up to 3% of the offering price and a 0.6% per annum selling agent fee. Class A3 Units may pay an up-front sales commission of up to 2% of the offering price and a 0.75% per annum selling agent fee. Such amounts are included in selling agent and broker dealer servicing fees – General Partner in the consolidated statements of operations. The General Partner, in turn, pays the selling agent fee 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 fee are retained by the General Partner.

34

■ 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 and such amounts are included in selling agent and broker dealer servicing fees – General Partner in the consolidated statements of operations. The General Partner, in turn, pays the fee 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 fee are retained by the General Partner. During 2018, 2017, and 2016, the General Partner earned $4,531,257, $5,963,392 and $8,453,865, respectively, in selling agent and broker dealer servicing fees.

■ Administrative Fee – each class of Units incur a monthly General Partner administrative fee equal to 1/12^th of 0.45% of Fund net assets at the end of each month, payable in arrears. In return, the General Partner provides operating and administrative services, including accounting, audit, legal, marketing, and administration (exclusive of extraordinary costs and administrative expenses charged by other commodity pools with which the Fund may have investments). The General Partner uses a portion of this fee to pay third party service providers. During 2018, 2017, and 2016, the General partner earned $936,489, $1,208,280 and $1,741,461, respectively, in administrative fees.

Additionally, each year the General Partner receives from the Fund 1% of any net income earned by the Fund or pays to the Fund 1% of any net loss incurred by the Fund. For the years ended December 31, 2018, 2017 and 2016, the General Partner received from or paid the Fund the following amounts:

Year	Received From the Fund		Paid to the Fund
2018	$	—	$	165,532
2017		28,756		—
2016		—		98,751
Total	$	28,756	$	264,283

During the time when SMFSF was consolidated with the Fund, it paid management distribution and operating services fees to the General Partner. The fees paid during the period of consolidation are described below:

■ Management fee – SMFSF incurs a monthly fee equal to 1/12^th of 1.75% of the month-end net asset value of the trust, payable in arrears to the General Partner. During 2017 and 2016, the investment manager earned $953,748 and $1,428,562, respectively, in management fees.

■ Distribution (12b-1) fee – SMFSF incurs a monthly 12b-1 fee of 1/12th of 0.25% of the month-end net asset value of the Class A and N shares, and 1/12th of 1% of the month-end value of the Class C shares. During 2017 and 2016 the General Partner earned $25,397 and $29,837, respectively, in distribution (12b-1) fees.

■ Operating Services fee – SMFSF incurs a monthly fee equal to 1/12th of 0.24% of the month-end net asset value of the trust, payable to the General Partner. The General Partner, in turn, pays the operating expenses of the trust, pursuant to an operating services agreement between the parties. Prior to March 1, 2016, the operating services fee was 1/12th of 0.5% per month. During 2017 and 2016 the General Partner earned $130,800 and $239,662, respectively, in operating services fees.

Item 12. Security Ownership of Certain Beneficial Owners and Management and Related Stockholder Matters

The Fund has no officers or directors as its affairs are managed by the General Partner. Set forth in the table below is information regarding the beneficial ownership of the officers and directors of the Fund’s General Partner at February 28, 2019. There are no securities authorized for issuance under an equity compensation plan.

At February 28, 2019, no person or group is known to have been the beneficial owner of more than 5% of the Units.

At February 28, 2019, the General Partner did not own any Units. At February 28, 2019, the directors, executive officers and principals of the General Partner beneficially owned interests in the Fund as follows:

Name	Class of Units Owned	Number of Units Owned		Value of Units		Percentage of the Fund
Kenneth E. Steben	I		254.4114	$	244,923.50		0.09	%
Carl A. Serger	R		47.8050		46,249.66		0.02	%
Total directors and executive officers of the General Partner as a group			302.2164	$	291,173.16		0.11	%

35

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

There has been no change in control of the Fund.

Item 13. Certain Relationships and Related Transactions, and Director Independence

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

Item 14. Principal Accountant Fees and Services

The following table sets forth the fees billed to the Fund for professional audit services provided by RSM US LLP, the Fund’s independent registered public accountant, for the audits of the Fund’s annual consolidated financial statements for the years ended December 31, 2018 and 2017, and fees billed for other professional services rendered by RSM US LLP during those years.

Fee Category	2018		2017
Audit fees(1)	$	199,750	$	213,000
Audit-related fees		—		—
Tax fees(2)		26,000		30,000
All other fees		—		—
Total fees	$	225,750	$	243,000

(1) Audit fees consist of fees for professional services rendered for the audit of the Fund’s consolidated financial statements and review of consolidated financial statements included in the Fund’s quarterly reports, as well as services normally provided by the independent accountant in connection with statutory and regulatory filings or engagements.

(2) Tax fees consist of fees for the preparation of original tax returns.

The General Partner’s Board of Directors pre-approves all audit and permitted non-audit services of the Fund’s independent accountants, including all engagement fees and terms. The General Partner’s Board of Directors approved all the services provided by RSM US LLP during 2018 and 2017 to the Fund described above. The General Partner’s Board of Directors has determined that the payments made to RSM US LLP for these services during 2018 and 2017 are compatible with maintaining that firm’s independence.

PART IV

Item 15. Exhibits and Financial Statement Schedules

Consolidated Financial Statements

Futures Portfolio Fund, Limited Partnership

Report of Independent Registered Public Accounting Firm

Statements of Financial Condition as of December 31, 2018 and 2017

Condensed Schedule of Investments as of December 31, 2018

Condensed Schedule of Investments as of December 31, 2017

Consolidated Statements of Operations for the Years Ended December 31, 2018, 2017 and 2016

Consolidated Statements of Cash Flows for the Years Ended December 31, 2018, 2017, and 2016

Consolidated Statements of Changes in Partners’ Capital (Net Asset Value) for the Years Ended December 31, 2018, 2017 and 2016

Notes to Consolidated Financial Statements

36

Financial statement schedules not included in this Form 10-K have been omitted for the reason that they are not required or are not applicable or that equivalent information has been included in the financial notes or statements thereto.

Exhibits.

The following exhibits are filed herewith or incorporated by reference.

Exhibit No.	Description of Exhibit
1.1(a)	Form of Selling Agreement
3.1(a)	Maryland Certificate of Limited Partnership.
4.1(a)	Limited Partnership Agreement.
10.1(a)	Form of Subscription Agreement
16.1(a)	Letter regarding change in certifying accountant.
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

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

37

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.

Name	Title	Date
/s/ Kenneth E. Steben Kenneth E. Steben	President, Chief Executive Officer and Director of the General Partner	March 15, 2019
/s/ Carl A. Serger Carl A. Serger	Chief Financial Officer and Director of the General Partner	March 15, 2019

Pursuant to the requirements of Section 13 or 15(d) of the Securities Exchange Act of 1934, as amended, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

Dated March 15, 2019	Futures Portfolio Fund, Limited Partnership
	By:	Steben & Company, Inc. General Partner
	By:	/s/ Kenneth E. Steben
	Name:	Kenneth E. Steben
	Title:	President, Chief Executive Officer and Director of the General Partner

38

Report of Independent Registered Public Accounting Firm

To the Partners of Futures Portfolio Fund, Limited Partnership

Opinion on the Financial Statements

We have audited the accompanying statements of financial condition, including the condensed schedules of investments, of Futures Portfolio Fund, Limited Partnership (the “Fund”) as of December 31, 2018 and 2017, the related consolidated statements of operations, cash flows, and changes’ in partners’ capital (net asset value), for each of the three years in the period ended December 31, 2018, and the related notes (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund as of December 31, 2018 and 2017, and the results of their operations and their cash flows for each of the three years in the period ended December 31, 2018, in conformity with accounting principles generally accepted in the United States of America.

Basis for Opinion

These financial statements are the responsibility of the Fund’s management. Our responsibility is to express an opinion on the Fund’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud. The Fund is not required to have, nor were we engaged to perform, an audit of its internal control over financial reporting. As part of our audits we are required to obtain an understanding of internal control over financial reporting but not for the purpose of expressing an opinion on the effectiveness of the Fund’s internal control over financial reporting. Accordingly, we express no such opinion.

Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audits provide a reasonable basis for our opinion.

/s/ RSM US LLP

We have served as the Fund’s auditor since 2007.

Chicago, Illinois 

March 15, 2019

F-1

Futures Portfolio Fund, Limited Partnership 

Statements of Financial Condition 

December 31, 2018 and 2017

	2018		2017
Assets
Equity in broker trading accounts
Cash	$	27,926,584	$	45,780,428
Net unrealized gain (loss) on open futures contracts		2,148,112		8,930,417
Net unrealized gain (loss) on open forward currency contracts		155,058		1,902,516
Total equity in broker trading accounts		30,229,754		56,613,361
Cash and cash equivalents		18,259,197		44,360,633
Investment in SMFSF, at fair value (cost $30,659,588 and $29,594,058)		27,423,206		34,101,936
Investments in securities, at fair value (cost $217,418,518 and $237,596,840)		217,055,133		237,378,016
General Partner 1% allocation receivable		165,532		—
Exchange membership, at fair value (cost $189,000)		145,500		232,000
Total assets	$	293,278,322	$	372,685,946
Liabilities and Partners’ Capital (Net Asset Value)
Liabilities
Trading Advisor management fees payable	$	369,048	$	569,189
Trading Advisor incentive fees payable		492,547		1,297,698
Commissions and other trading fees payable on open contracts		50,074		83,313
Cash Managers fees payable		55,890		75,371
General Partner management and performance fees payable		362,658		460,536
General Partner 1% allocation payable		—		28,756
Selling agent and broker dealer servicing fees payable – General Partner		339,563		434,439
Administrative fee payable – General Partner		67,240		88,542
Redemptions payable		5,057,655		11,825,677
Subscriptions received in advance		224,523		287,000
Total liabilities		7,019,198		15,150,521
Partners’ Capital (Net Asset Value)
Class A Interests – 48,319.8508 and 58,081.8421 units outstanding at December 31, 2018 and December 31, 2017, respectively		189,019,997		240,860,323
Class A2 Interests – 146.5000 and 0 units outstanding at December 31, 2018 and December 31, 2017, respectively		146,018		—
Class B Interests – 13,290.4576 and 16,061.6377 units outstanding at December 31, 2018 and December 31, 2017, respectively		79,984,663		100,657,081
Class I Interests – 3,466.2779 and 3,466.2779 units outstanding at December 31, 2018 and December 31, 2017, respectively		3,440,608		3,547,299
Class R Interests – 13,683.8897 and 12,013.6394 units outstanding at December 31, 2018 and December 31, 2017, respectively		13,667,838		12,470,722
Total partners’ capital (net asset value)		286,259,124		357,535,425
Total liabilities and partners’ capital (net asset value)	$	293,278,322	$	372,685,946

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

F-2

Futures Portfolio Fund, Limited Partnership 

Condensed Schedule of Investments 

December 31, 2018

				Description			Fair Value		% of Partners’ Capital (Net Asset Value)
INVESTMENTS IN SECURITIES
	U.S. Treasury Securities
		Face Value	Maturity Date	Name	Yield1
	$	10,000,000	1/17/19	U.S. Treasury	2.29	%	$	9,989,327		3.49	%
		10,000,000	2/28/19	U.S. Treasury	1.50	%		10,036,567		3.50	%
		10,000,000	2/14/19	U.S. Treasury	2.34	%		9,970,594		3.48	%
		6,000,000	3/15/19	U.S. Treasury	1.00	%		6,001,041		2.10	%
		10,000,000	3/21/19	U.S. Treasury	2.35	%		9,948,667		3.48	%
		9,000,000	4/30/19	U.S. Treasury	1.25	%		8,982,278		3.14	%
		3,975,000	5/15/19	U.S. Treasury	0.88	%		3,956,063		1.38	%
		8,500,000	7/31/19	U.S. Treasury	1.38	%		8,490,770		2.97	%
	Total U.S. Treasury securities (cost:  $67,200,708)							67,375,307		23.54	%
	U.S. Commercial Paper
		Face Value	Maturity Date	Name	Yield1
	Aerospace
	$	1,500,000	1/9/19	General Dynamics Corporation	2.54	%		1,499,158		0.52	%
		500,000	1/16/19	Northrop Grumman Corporation	2.71	%		499,440		0.17	%
	Automotive
		1,300,000	1/8/19	Hyundai Capital America	2.69	%		1,299,325		0.45	%
		300,000	1/7/19	Nissan Motor Acceptance Corporation	2.44	%		299,879		0.11	%
		800,000	1/14/19	Nissan Motor Acceptance Corporation	2.45	%		799,298		0.28	%
		1,200,000	3/20/19	VW Credit, Inc.	3.19	%		1,191,810		0.42	%
	Banks
		1,200,000	1/11/19	Cafco, LLC	2.47	%		1,199,183		0.42	%
		1,500,000	1/30/19	Mitsubishi UFJ Trust & Banking Corporation (U.S.A.)	2.62	%		1,496,858		0.52	%
		300,000	1/7/19	Nieuw Amsterdam Receivables Corporation	2.52	%		299,875		0.11	%
	Beverages
		1,700,000	1/11/19	Brown-Forman Corporation	2.67	%		1,698,749		0.59	%
	Diversified financial services
		1,400,000	2/7/19	American Express Credit Corporation	2.69	%		1,396,158		0.49	%
		1,500,000	1/3/19	CME Group Inc.	2.50	%		1,499,793		0.52	%
		1,500,000	2/4/19	DCAT, LLC	2.67	%		1,496,246		0.52	%
		1,000,000	1/16/19	Fairway Financial Corporation	2.54	%		998,950		0.35	%
		1,400,000	1/10/19	Gotham Funding Corporation	2.52	%		1,399,125		0.49	%
		1,500,000	3/1/19	Liberty Street Funding LLC	2.78	%		1,493,240		0.52	%
		1,400,000	2/15/19	Manhattan Asset Funding Company LLC	2.65	%		1,395,398		0.49	%
		1,300,000	2/6/19	National Rural Utilities Cooperative Finance Corp.	2.60	%		1,296,646		0.45	%
		1,400,000	2/19/19	Thunder Bay Funding, LLC	2.72	%		1,394,855		0.49	%
	Energy
		1,200,000	1/10/19	NextEra Energy Capital Holdings, Inc.	2.72	%		1,199,190		0.42	%
		1,500,000	1/15/19	One Gas, Inc.	2.52	%		1,498,542		0.52	%
		1,500,000	1/18/19	WEC Energy Group Inc.	3.02	%		1,497,875		0.52	%
	Machinery
		1,600,000	1/25/19	Caterpillar Financial Services Corporation	2.67	%		1,597,173		0.56	%
		400,000	1/2/19	Parker-Hannifin Corporation	2.67	%		399,971		0.15	%
	REIT
		1,500,000	1/7/19	Simon Property Group, L.P.	2.47	%		1,499,388		0.52	%
	Total U.S. commercial paper (cost:  $30,285,187)							30,346,125		10.60	%

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

F-3

Futures Portfolio Fund, Limited Partnership 

Condensed Schedule of Investments (continued) 

December 31, 2018

			Description			Fair Value		% of Partners’ Capital (Net Asset Value)
Foreign Commercial Paper
	Face Value	Maturity Date	Name	Yield1
Automotive
$	1,300,000	1/8/19	Magna International Inc.	3.02	%	$	1,299,242		0.45	%
Banks
	1,200,000	2/5/19	Sumitomo Mitsui Banking Corporation	2.67	%		1,196,908		0.42	%
Chemicals
	1,100,000	1/7/19	Nutrien Ltd.	2.69	%		1,099,511		0.38	%
Diversified financial services
	1,200,000	1/2/19	Anglesea Funding Plc	2.56	%		1,199,915		0.42	%
	800,000	1/14/19	Ontario Teachers’ Finance Trust	2.53	%		799,275		0.28	%
Engineering
	1,500,000	1/22/19	La Compagnie De Telephone Bell Du Canada Ou Bell Canada	2.77	%		1,497,594		0.53	%
Total foreign commercial paper (cost:  $7,073,489)							7,092,445		2.48	%
Total commercial paper (cost:  $37,358,676)							37,438,570		13.08	%
U.S. Corporate Notes
	Face Value	Maturity Date	Name	Yield1
Aerospace
$	5,000,000	8/16/21	United Technologies Corporation	3.35	%		5,049,063		1.77	%
Agriculture
	4,850,000	5/5/21	Altria Group, Inc.	4.75	%		4,992,536		1.74	%
Banks
	4,250,000	1/10/20	Citigroup Inc.	3.20	%		4,287,007		1.50	%
	5,000,000	10/29/20	JPMorgan Chase & Co.	2.55	%		4,965,408		1.73	%
	3,000,000	10/29/20	JPMorgan Chase & Co.	3.71	%		3,047,949		1.06	%
	4,750,000	1/15/21	Wells Fargo Bank, National Association	2.60	%		4,747,762		1.66	%
Beverages
	1,954,000	2/1/21	Anheuser-Busch InBev Finance Inc.	2.65	%		1,942,162		0.68	%
Diversified financial services
	2,600,000	2/15/19	Goldman Sachs Group, Inc.	7.50	%		2,686,173		0.94	%
	2,250,000	4/25/19	Goldman Sachs Group, Inc.	3.53	%		2,268,737		0.79	%
	3,000,000	2/1/19	Morgan Stanley	2.45	%		3,029,155		1.06	%
Energy
	4,850,000	2/15/21	Enterprise Products Operating LLC	2.80	%		4,847,904		1.69	%
Food
	3,000,000	4/16/21	General Mills, Inc.	3.20	%		3,004,190		1.05	%
Healthcare
	3,000,000	6/1/21	CVS Health Corporation	2.13	%		2,907,453		1.02	%
	5,000,000	9/17/21	Halfmoon Parent, Inc.	3.40	%		5,037,511		1.77	%
Media
	3,000,000	9/20/19	Discovery Communications, LLC	3.50	%		3,000,982		1.05	%
Pharmaceuticals
	4,200,000	5/11/20	Amgen Inc.	3.06	%		4,212,691		1.47	%
	3,500,000	6/25/21	Bayer US Finance II LLC	3.45	%		3,455,729		1.21	%
Software
	3,500,000	10/8/19	Oracle Corporation	2.25	%		3,501,671		1.22	%
Telecommunications
	3,000,000	2/22/19	Apple Inc.	3.50	%		3,014,395		1.05	%
	2,500,000	9/20/19	Cisco Systems, Inc.	3.13	%		2,503,085		0.87	%
Total U.S. corporate notes (cost:  $72,986,920)							72,501,563		25.33	%

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

F-4

Futures Portfolio Fund, Limited Partnership 

Condensed Schedule of Investments (continued) 

December 31, 2018

			Description			Fair Value		% of Partners’ Capital (Net Asset Value)
Foreign Corporate Notes
	Face Value	Maturity Date	Name	Yield1
Banks
$	4,000,000	1/18/19	ABN AMRO Bank N.V.	3.08	%	$	4,026,145		1.41	%
	5,500,000	3/2/20	Danske Bank A/S	2.20	%		5,421,142		1.89	%
Energy
	5,500,000	5/3/19	BP Capital Markets P.L.C.	1.68	%		5,488,176		1.92	%
	1,000,000	9/12/19	Shell International Finance B.V.	1.38	%		993,303		0.35	%
	2,500,000	5/11/20	Shell International Finance B.V.	2.13	%		2,481,653		0.87	%
Insurance
	4,000,000	9/20/21	AIA Group Limited	3.31	%		3,985,136		1.39	%
Manufacturing
	3,500,000	11/15/20	GE Capital International Funding Company	2.34	%		3,388,044		1.18	%
Pharmaceuticals
	2,250,000	3/12/20	Allergan Funding SCS	4.03	%		2,261,856		0.79	%
Total foreign corporate notes (cost:  $28,176,810)							28,045,455		9.80	%
Total corporate notes (cost:  $101,163,730)							100,547,018		35.13	%
U.S. Asset Backed Securities
	Face Value	Maturity Date	Name	Yield1
Automotive
$	535,461	1/8/21	AmeriCredit Automobile Receivables Trust 2015-2	2.40	%		535,220		0.19	%
	675,000	1/18/22	AmeriCredit Automobile Receivables Trust 2018-3	3.11	%		676,258		0.24	%
	745,000	2/22/21	Capital Auto Receivables Asset Trust 2018-2	3.02	%		745,278		0.26	%
	141,983	9/15/20	CarMax Auto Owner Trust 2017-3	1.64	%		141,716		0.05	%
	575,000	6/15/21	Drive Auto Receivables Trust 2018-2	2.88	%		575,081		0.20	%
	500,000	11/15/21	Drive Auto Receivables Trust 2018-3	3.01	%		500,019		0.17	%
	700,000	4/15/26	Ford Credit Auto Owner Trust 2014-REV2	2.31	%		695,819		0.24	%
	89,815	1/21/20	GM Financial Automobile Leasing Trust 2017-2	1.72	%		89,650		0.03	%
	406,675	4/20/20	GM Financial Automobile Leasing Trust 2018-1	2.39	%		405,845		0.14	%
	800,000	9/21/20	GM Financial Automobile Leasing Trust 2018-3	2.89	%		799,834		0.28	%
	450,153	5/17/21	GM Financial Consumer Auto Receivables Trust 2018-2	2.55	%		449,389		0.16	%
	36,011	2/18/20	Hyundai Auto Receivables Trust 2017-A	1.48	%		36,010		0.01	%
	470,747	4/15/20	Mercedes- Benz Auto Lease Trust 2018-A	2.20	%		470,176		0.16	%
	43,358	8/15/19	Mercedes-Benz Auto Lease Trust 2017-A	2.66	%		43,407		0.02	%
	163,259	9/16/19	Nissan Auto Lease Trust 2017-A	1.64	%		163,162		0.06	%
	96,418	2/16/21	Santander Drive Auto Receivables Trust 2016-2	2.08	%		96,438		0.03	%
	208,158	3/20/20	Santander Retail Auto Lease Trust 2017-A	2.02	%		207,518		0.07	%
	128,432	12/20/19	Tesla Auto Lease Trust 2018-A	2.32	%		128,170		0.04	%
Credit cards
	325,000	4/15/19	Capital One Multi-Asset Execution Trust	2.91	%		325,686		0.11	%
	175,000	5/15/19	Chase Issuance Trust	2.87	%		175,352		0.06	%
	600,000	8/15/19	Chase Issuance Trust	1.58	%		595,537		0.21	%
	600,000	1/15/19	Discover Card Execution Note Trust	1.64	%		599,987		0.21	%
Equipment
	171,137	4/15/21	CNH Equipment Trust 2015-A	1.85	%		170,566		0.06	%
	135,325	11/16/20	CNH Equipment Trust 2017-B	1.59	%		135,008		0.05	%
	263,997	2/24/20	Dell Equipment Finance Trust 2017-2	1.97	%		263,234		0.09	%
	500,000	10/22/20	Dell Equipment Finance Trust 2018-1	2.80	%		500,952		0.17	%
	475,000	12/20/20	Verizon Owner Trust 2017-2	1.92	%		470,419		0.16	%
	1,175,000	4/20/22	Verizon Owner Trust 2017-3	2.06	%		1,161,674		0.41	%

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

F-5

 
Futures Portfolio Fund, Limited Partnership 

Condensed Schedule of Investments (continued) 

December 31, 2018

			Description			Fair Value			% of Partners’ Capital (Net Asset Value)
U.S. Asset Backed Securities (continued)
	Face Value	Maturity Date	Name	Yield1
Student loans
$	213,293	3/25/67	Navient Student Loan Trust 2018-1	2.70	%	$	213,387			0.07	%
	278,555	3/25/67	Navient Student Loan Trust 2018-2	2.75	%		278,705			0.10	%
	44,538	11/25/27	SLM Student Loan Trust 2011-2	3.11	%		44,741			0.02	%
Total U.S. asset backed securities (cost:  $11,695,404)							11,694,238			4.07	%
Total investments in securities (cost:  $217,418,518)						$	217,055,133			75.82	%
OPEN FUTURES CONTRACTS
	Long U.S. Futures Contracts
			Agricultural commodities			$	66,814			0.02	%
			Currencies				182,729			0.06	%
			Energy				(1,434,763	)		(0.50	)%
			Equity indices				(188,683	)		(0.07	)%
			Interest rate instruments				698,695			0.24	%
			Metals2				(6,940,650	)		(2.42	)%
			Single stock futures				(36,683	)		(0.01	)%
	Net unrealized gain (loss) on open long U.S. futures contracts						(7,652,541	)		(2.68	)%
	Short U.S. Futures Contracts
			Agricultural commodities				865,115			0.30	%
			Currencies				(413,137	)		(0.14	)%
			Energy				1,978,283			0.69	%
			Equity indices				1,261,593			0.44	%
			Interest rate instruments				(1,223,198	)		(0.43	)%
			Metals2				6,492,571			2.27	%
			Single stock futures				51,931			0.02	%
	Net unrealized gain (loss) on open short U.S. futures contracts						9,013,158			3.15	%
	Total U.S. Futures Contracts - net unrealized gain (loss) on open U.S. futures contracts						1,360,617			0.47	%
	Long Foreign Futures Contracts
			Agricultural commodities				10,178			0.00	%
			Currencies				(78,283	)		(0.03	)%
			Energy				19,962			0.01	%
			Equity indices				(1,520,967	)		(0.53	)%
			Interest rate instruments2				2,938,406			1.03	%
			Metals				2,710			0.00	%
	Net unrealized gain (loss) on open long foreign futures contracts						1,372,006			0.48	%

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

F-6

Futures Portfolio Fund, Limited Partnership 

Condensed Schedule of Investments (continued) 

December 31, 2018

	Description	Fair Value			% of Partners’ Capital (Net Asset Value)
OPEN FUTURES CONTRACTS (continued)
Short Foreign Futures Contracts
	Agricultural commodities	$	(66,257	)		(0.02	)%
	Currencies		95,922			0.03	%
	Equity indices		79,455			0.03	%
	Interest rate instruments		(698,453	)		(0.24	)%
	Metals		4,822			0.00	%
Net unrealized gain (loss) on open short foreign futures contracts			(584,511	)		(0.20	)%
Total foreign futures contracts - net unrealized gain (loss) on open foreign futures contracts			787,495			0.28	%
Net unrealized gain (loss) on open futures contracts		$	2,148,112			0.75	%
OPEN FORWARD CURRENCY CONTRACTS
U.S. Forward Currency Contracts
	Long	$	519,445			0.18	%
	Short		(549,732	)		(0.19	)%
Net unrealized gain (loss) on open U.S. forward currency contracts			(30,287	)		(0.01	)%
Foreign Forward Currency Contracts
	Long		(197,500	)		(0.07	)%
	Short		382,845			0.13	%
Net unrealized gain (loss) on open foreign forward currency contracts			185,345			0.06	%
Net unrealized gain (loss) on open forward currency contracts		$	155,058			0.05	%

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

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

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

F-7

Futures Portfolio Fund, Limited Partnership 

Condensed Schedule of Investments 

December 31, 2017 

				Description			Fair Value		% of Partners’ Capital (Net Asset Value)
INVESTMENTS IN SECURITIES
	U.S. Treasury Securities
		Face Value	Maturity Date	Name	Yield1
	$	15,000,000	1/11/18	U.S. Treasury	1.03	%	$	14,994,718		4.19	%
		12,000,000	2/15/18	U.S. Treasury	1.24	%		11,980,967		3.35	%
		5,250,000	2/15/18	U.S. Treasury	1.00	%		5,267,888		1.47	%
		15,000,000	3/15/18	U.S. Treasury	1.31	%		14,960,225		4.18	%
		4,000,000	4/30/18	U.S. Treasury	2.63	%		4,033,583		1.14	%
		7,000,000	7/31/18	U.S. Treasury	2.25	%		7,091,810		1.98	%
	Total U.S. Treasury securities (cost:  $58,285,077)							58,329,191		16.31	%
	U.S. Commercial Paper
		Face Value	Maturity Date	Name	Yield1
	Automotive
	$	1,500,000	1/24/18	Hyundai Capital America	1.54	%		1,498,535		0.42	%
		1,500,000	1/3/18	Nissan Motor Acceptance Corporation	1.32	%		1,499,890		0.42	%
	Banks
		1,500,000	1/10/18	Nieuw Amsterdam Receivables Corporation	1.37	%		1,499,486		0.42	%
		1,600,000	2/5/18	Standard Chartered Bank	1.43	%		1,597,791		0.44	%
		1,500,000	2/20/18	United Overseas Bank Limited	1.53	%		1,496,833		0.41	%
	Beverages
		1,500,000	1/29/18	Brown-Forman Corporation	1.68	%		1,498,052		0.42	%
	Computers
		1,500,000	1/8/18	Hewlett Packard Enterprise Company	1.62	%		1,499,530		0.42	%
	Diversified financial services
		1,600,000	1/18/18	DCAT, LLC	1.46	%		1,598,904		0.45	%
		1,500,000	1/12/18	Gotham Funding Corporation	1.36	%		1,499,377		0.42	%
		1,500,000	1/9/18	Liberty Street Funding LLC	1.35	%		1,499,550		0.42	%
		1,600,000	1/4/18	Manhattan Asset Funding Company LLC	1.34	%		1,599,821		0.45	%
		1,500,000	1/5/18	Regency Markets No. 1, LLC	1.43	%		1,499,763		0.42	%
	Electronic equipment
		1,500,000	1/16/18	Molex Electronic Technologies, LLC	1.78	%		1,498,894		0.42	%
	Energy
		1,500,000	1/25/18	Oglethorpe Power Corporation	1.63	%		1,498,380		0.42	%
		1,600,000	1/19/18	Sempra Energy Global Enterprises	1.86	%		1,598,520		0.44	%
		1,500,000	1/10/18	Southern Company Funding Corporation	1.71	%		1,499,363		0.42	%
	Insurance
		1,500,000	1/18/18	AXA Financial, Inc.	1.42	%		1,499,001		0.42	%
	Nonprofit
		1,600,000	1/5/18	The Salvation Army	1.32	%		1,599,765		0.45	%
	Manufactoring
		1,500,000	1/22/18	Caterpillar Financial Services Corporation	1.38	%		1,498,801		0.42	%
	Semiconductors
		1,500,000	1/9/18	Lam Research Corporation	1.64	%		1,499,457		0.42	%
	Total U.S. commercial paper (cost:  $30,434,788)							30,479,713		8.52	%
	Foreign Commercial Paper
		Face Value	Maturity Date	Name	Yield1
	Banks
	$	1,500,000	2/2/18	Bank of Nova Scotia	1.70	%		1,497,746		0.42	%
		1,600,000	1/5/18	DBS Bank Ltd.	1.35	%		1,599,760		0.45	%
		1,500,000	1/4/18	KfW (Kreditanstalt fur Wiederaufbau)	1.30	%		1,499,838		0.42	%

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

F-8

Futures Portfolio Fund, Limited Partnership 

Condensed Schedule of Investments (continued) 

December 31, 2017

			Description			Fair Value		% of Partners’ Capital (Net Asset Value)
Foreign Commercial Paper (continued)
	Face Value	Maturity Date	Name	Yield1
Energy
$	1,500,000	1/8/18	Total Capital Canada Ltd.	1.66	%	$	1,499,519		0.42	%
Telecommunications
	1,600,000	2/5/18	Telstra Corporation Limited	1.47	%		1,597,729		0.45	%
Total foreign commercial paper (cost:  $7,683,747)							7,694,592		2.16	%
Total commercial paper (cost:  $38,118,535)							38,174,305		10.68	%
U.S. Corporate Notes
	Face Value	Maturity Date	Name	Yield1
Automotive
$	5,700,000	3/2/18	Daimler Finance North America LLC	1.91	%		5,709,253		1.60	%
	6,500,000	1/9/18	Ford Motor Credit Company LLC	2.29	%		6,534,842		1.83	%
Banks
	6,950,000	4/27/18	Credit Suisse AG	2.05	%		6,986,324		1.94	%
	3,000,000	10/29/20	JPMorgan Chase & Co.	2.58	%		3,080,581		0.86	%
	6,625,000	2/9/18	MUFG Americas Holdings Corporation	1.97	%		6,645,233		1.86	%
Computers
	2,000,000	2/22/19	Apple Inc.	1.70	%		2,007,229		0.56	%
	3,000,000	2/22/19	Apple Inc.	2.27	%		3,033,911		0.85	%
Diversified financial services
	2,600,000	2/15/19	Goldman Sachs Group, Inc.	7.50	%		2,821,243		0.79	%
	2,250,000	4/25/19	Goldman Sachs Group, Inc.	2.41	%		2,278,614		0.64	%
	3,000,000	10/15/18	Intercontinental Exchange, Inc.	2.50	%		3,027,533		0.85	%
	3,000,000	2/1/19	Morgan Stanley	2.45	%		3,038,005		0.85	%
Healthcare
	7,500,000	6/7/18	Aetna Inc.	1.70	%		7,496,650		2.10	%
	500,000	1/15/18	Anthem, Inc.	1.88	%		504,288		0.14	%
	6,325,000	4/1/18	Zimmer Biomet Holdings, Inc.	2.00	%		6,358,902		1.78	%
Media
	3,000,000	9/20/19	Discovery Communications, LLC	2.34	%		3,018,925		0.84	%
Pharmaceuticals
	5,775,000	5/14/18	AbbVie Inc.	1.80	%		5,785,684		1.62	%
	4,200,000	5/11/20	Amgen Inc.	1.86	%		4,226,820		1.18	%
Retail
	6,000,000	7/20/18	CVS Health Corporation	1.90	%		6,049,123		1.69	%
	3,000,000	9/10/18	Home Depot, Inc.	2.25	%		3,029,363		0.85	%
Software
	3,500,000	10/8/19	Oracle Corporation	2.25	%		3,533,591		0.99	%
Telecommunications
	6,000,000	2/15/19	AT&T Inc.	5.80	%		6,357,427		1.78	%
	2,500,000	9/20/19	Cisco Systems, Inc.	1.97	%		2,516,388		0.70	%
Total U.S. corporate notes (cost:  $94,458,841)							94,039,929		26.30	%

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

F-9

Futures Portfolio Fund, Limited Partnership 

Condensed Schedule of Investments (continued) 

December 31, 2017

			Description			Fair Value		% of Partners’ Capital (Net Asset Value)
Foreign Corporate Notes
	Face Value	Maturity Date	Name	Yield1
Banks
$	6,000,000	1/18/19	ABN AMRO Bank N.V.	1.99	%	$	6,049,704		1.69	%
	4,000,000	8/17/18	ING Bank N.V.	2.20	%		4,026,210		1.13	%
	3,500,000	7/23/18	National Australia Bank Limited	2.00	%		3,523,463		0.99	%
Energy
	5,500,000	5/3/19	BP Capital Markets P.L.C.	1.68	%		5,485,426		1.53	%
	5,500,000	9/12/19	Shell International Finance B.V.	1.38	%		5,454,808		1.53	%
	2,500,000	5/11/20	Shell International Finance B.V.	2.13	%		2,502,003		0.70	%
Pharmaceuticals
	5,915,000	3/12/18	Allergan Funding SCS	2.63	%		5,932,274		1.66	%
	2,250,000	3/12/20	Allergan Funding SCS	2.80	%		2,286,062		0.63	%
Total foreign corporate notes (cost:  $35,149,970)							35,259,950		9.86	%
Total corporate notes (cost:  $129,608,811)							129,299,879		36.16	%
U.S. Asset Backed Securities
	Face Value	Maturity Date	Name	Yield1
Automotive
$	98,838	5/18/20	Americredit Automobile Receivables Trust 2017-1	1.51	%		98,733		0.03	%
	146,957	7/15/24	Ari Fleet Lease Trust 2016-A	1.82	%		147,004		0.04	%
	336,449	9/20/19	Capital Auto Receivables Asset Trust 2015-2	1.73	%		336,620		0.09	%
	37,929	4/22/19	Capital Auto Receivables Asset Trust 2016-3	1.92	%		37,965		0.01	%
	356,197	11/15/19	CarMax Auto Owner Trust 2016-4	1.21	%		355,640		0.10	%
	450,000	9/15/20	CarMax Auto Owner Trust 2017-3	1.64	%		449,383		0.13	%
	99,576	11/15/19	Drive Auto Receivables Trust 2016-C	1.67	%		99,636		0.03	%
	228,248	8/15/19	Drive Auto Receivables Trust 2017-2	1.76	%		228,446		0.06	%
	650,000	4/15/20	Drive Auto Receivables Trust 2017-3	1.85	%		649,605		0.18	%
	330,485	1/15/20	Drive Auto Receivables Trust 2017-A	1.77	%		330,643		0.09	%
	164,867	2/22/21	Enterprise Fleet Financing, LLC	1.59	%		164,807		0.05	%
	300,000	1/21/20	GM Financial Automobile Leasing Trust 2017-2	1.72	%		299,567		0.08	%
	697,342	2/18/20	Hyundai Auto Receivables Trust 2017-A	1.48	%		696,699		0.19	%
	938,786	8/15/19	Mercedes-Benz Auto Lease Trust 2017-A	1.68	%		939,698		0.26	%
	700,000	9/16/19	Nissan Auto Lease Trust 2017-A	1.64	%		698,739		0.20	%
	650,000	2/16/21	Santander Drive Auto Receivables Trust 2016-2	2.08	%		650,731		0.18	%
	66,077	11/15/19	Santander Drive Auto Receivables Trust 2016-3	1.34	%		66,091		0.02	%
	333,862	5/15/19	Santander Drive Auto Receivables Trust 2017-1	1.82	%		334,219		0.09	%
	300,000	6/15/20	Santander Drive Auto Receivables Trust 2017-3	1.67	%		299,683		0.08	%
	350,000	3/20/20	Santander Retail Auto Lease Trust 2017-A	2.02	%		349,621		0.11	%
Credit cards
	600,000	1/15/19	Discover Card Execution Note Trust	1.64	%		598,529		0.17	%
	600,000	8/15/18	World Financial Network CC Master Note Trust	1.44	%		598,614		0.17	%
Equipment
	400,000	11/16/20	CNH Equipment Trust 2017-B	1.59	%		399,107		0.11	%
	80,251	9/22/20	Dell Equipment Finance Trust 2015-2	1.72	%		80,277		0.02	%
	625,000	2/24/20	Dell Equipment Finance Trust 2017-2	1.97	%		624,052		0.17	%
	1,121,319	6/20/19	GreatAmerica Leasing Receivables Funding, LLC	1.73	%		1,120,812		0.31	%
Student loans
	560,237	11/15/23	SMB Private Education Loan Trust 2016-B	2.13	%		561,265		0.16	%
	358,771	3/25/31	Sofi Professional Loan Program 2016-B	1.68	%		358,455		0.11	%
Total U.S. asset backed securities (cost:  $11,584,417)							11,574,641		3.24	%
Total investments in securities (cost:  $237,596,840)						$	237,378,016		66.39	%

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

F-10

Futures Portfolio Fund, Limited Partnership 

Condensed Schedule of Investments (continued) 

December 31, 2017

	Description	Fair Value			% of Partners’ Capital (Net Asset Value)
OPEN FUTURES CONTRACTS
Long U.S. Futures Contracts
	Agricultural commodities	$	305,151			0.09	%
	Currencies		1,214,348			0.34	%
	Energy2		4,890,568			1.37	%
	Equity indices		1,917,330			0.53	%
	Interest rate instruments		168,325			0.05	%
	Metals
	Copper LME (504 contracts, Jan-May 2018)		4,962,173			1.39	%
	Other2		8,470,155			2.37	%
	Single stock futures		69,750			0.02	%
Net unrealized gain (loss) on open long U.S. futures contracts			21,997,800			6.16	%
Short U.S. Futures Contracts
	Agricultural commodities		445,659			0.12	%
	Currencies		(800,473	)		(0.22	)%
	Energy		(1,010,725	)		(0.28	)%
	Equity indices		(468,325	)		(0.13	)%
	Interest rate instruments		896,903			0.25	%
	Metals2
	Copper LME (424 contracts, Jan-Mar 2018)		(4,103,670	)		(1.15	)%
	Other2		(6,851,903	)		(1.92	)%
	Single stock futures		(34,323	)		(0.01	)%
Net unrealized gain (loss) on open short U.S. futures contracts			(11,926,857	)		(3.34	)%
Total U.S. Futures Contracts - net unrealized gain (loss) on open U.S. futures contracts			10,070,943			2.82	%
Long Foreign Futures Contracts
	Agricultural commodities	$	(334	)		0.00	%
	Currencies		(24,734	)		(0.01	)%
	Energy		4,034			0.00	%
	Equity indices		523,254			0.15	%
	Interest rate instruments		(2,676,823	)		(0.75	)%
	Metals		7,752			0.00	%
	Single stock futures		(972	)		0.00	%
Net unrealized gain (loss) on open long foreign futures contracts			(2,167,823	)		(0.61	)%
Short Foreign Futures Contracts
	Agricultural commodities		214,672			0.06	%
	Currencies		311,035			0.09	%
	Energy		42,517			0.01	%
	Equity indices		200,527			0.06	%
	Interest rate instruments		264,190			0.07	%
	Metals		(5,644	)		0.00	%
Net unrealized gain (loss) on open short foreign futures contracts			1,027,297			0.29	%
Total foreign futures contracts - net unrealized gain (loss) on open foreign futures contracts			(1,140,526	)		(0.32	)%
Net unrealized gain (loss) on open futures contracts		$	8,930,417			2.50	%

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

F-11

Futures Portfolio Fund, Limited Partnership 

Condensed Schedule of Investments (continued) 

December 31, 2017

	Description	Fair Value			% of Partners’ Capital (Net Asset Value)
OPEN FORWARD CURRENCY CONTRACTS
U.S. Forward Currency Contracts
	Long	$	3,171,470			0.88	%
	Short		(2,160,530	)		(0.60	)%
Net unrealized gain (loss) on open U.S. forward currency contracts			1,010,940			0.28	%
Foreign Forward Currency Contracts
	Long		(273,779	)		(0.08	)%
	Short		1,165,355			0.33	%
Net unrealized gain (loss) on open foreign forward currency contracts			891,576			0.25	%
Net unrealized gain (loss) on open forward currency contracts		$	1,902,516			0.53	%

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.

F-12

Futures Portfolio Fund, Limited Partnership 

Consolidated Statements of Operations 

Years Ended December 31, 2018, 2017 and 2016

	2018			2017			2016
Realized and Change in Unrealized Gain (Loss) on Investments
Net realized gain (loss) on:
Futures, forward and swap contracts	$	8,358,826		$	23,750,949		$	24,891,752
Investments in SMFSF		(64,475	)		442,126			—
Investments in securities and certificates of deposit		(584,903	)		174,166			(871,127	)
Net change in unrealized gain (loss) on:
Futures, forward contracts and swap contracts		(8,037,263	)		2,273,990			3,107,925
Investments in SMFSF		(1,694,792	)		1,056,968			—
Investments in securities and certificates of deposit		(6,890	)		(88,535	)		(58,379	)
Exchange membership		(86,500	)		43,000			—
Brokerage commissions and trading expenses		(4,248,580	)		(4,949,642	)		(5,138,660	)
Net realized and change in unrealized gain (loss) on investments		(6,364,577	)		22,703,022			21,931,511
Net Investment Income (Loss)
Income
Interest income		5,924,353			5,288,556			5,047,602
Expenses
Trading Advisor management fees		4,929,797			6,647,546			8,297,973
Trading Advisor incentive fees		626,857			4,699,504			5,831,065
Cash Managers fees		240,429			336,470			489,477
General Partner management and performance fees		4,848,144			6,427,712			9,109,377
Selling agent and broker dealer servicing fees – General Partner		4,531,257			5,963,392			8,453,865
General Partner 1% allocation		(165,532	)		19,310			(98,751	)
Administrative fee – General Partner		936,489			1,208,280			1,741,461
Investment Manager fees		—			953,748			1,428,562
Distribution (12b-1) fees		—			25,397			29,837
Operating services fee		—			130,800			239,662
Total expenses		15,947,441			26,412,159			35,522,528
Net investment income (loss)		(10,023,088	)		(21,123,603	)		(30,474,926	)
Net income (loss)		(16,387,665	)		1,579,419			(8,543,415	)
Less:  net (income) loss attributable to non-controlling interest		—			332,291			(1,232,889	)
Net Income (Loss) attributable to the Fund	$	(16,387,665	)	$	1,911,710		$	(9,776,304	)

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

F-13

Futures Portfolio Fund, Limited Partnership 

Consolidated Statements of Operations (continued) 

Years Ended December 31, 2018, 2017 and 2016

	Class A Units								Class A2 Units
		2018			2017		2016			2018			2017		2016
Increase (decrease) in net asset value per unit for the year	$	(235.06	)	$	50.88	$	(116.23	)	$	(3.29	)	$	—	$	—
Net income (loss) per unit†	$	(233.32	)	$	3.75	$	(96.83	)	$	(3.29	)	$	—	$	—
Weighted average number of units outstanding		53,296.7889			70,186.5235		91,658.5356			146.5000			—		—

	Class B Units								Class I Units
		2018			2017		2016			2018			2017		2016
Increase (decrease) in net asset value per unit for the year	$	(248.73	)	$	186.46	$	(61.87	)	$	(30.78	)	$	40.26	$	(1.06	)
Net income (loss) per unit†	$	(230.40	)	$	49.92	$	(28.54	)	$	(30.78	)	$	38.89	$	(1.06	)
Weighted average number of units outstanding		14,571.3605			21,810.1053		31,419.6305			3,466.2779			3,566.9128		3,828.4541

	Class R Units
		2018			2017		2016
Increase (decrease) in net asset value per unit for the year	$	(39.22	)	$	38.05	$	—
Net income (loss) per unit†	$	(37.43	)	$	33.19	$	—
Weighted average number of units outstanding		13,031.4414			12,691.5728		—

† based on weighted average number of units outstanding during the year.

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

F-14

Futures Portfolio Fund, Limited Partnership 

Consolidated Statements of Cash Flows 

Years Ended December 31, 2018, 2017 and 2016

	2018			2017			2016
Cash flows from operating activities
Net income (loss)	$	(16,387,665	)	$	1,579,419		$	(8,543,415	)
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities
Net change in unrealized (gain) loss from futures, forwards and swap trading		8,529,763			(2,362,114	)		(3,512,299	)
Net realized and change in unrealized (gain) loss on SMFSF, securities and certificates of deposit		2,351,060			(1,584,725	)		929,506
Purchases of securities and certificates of deposit		(544,118,416	)		(713,358,772	)		(1,375,281,507	)
Proceeds from disposition of SMFSF, securities and certificates of deposit		568,768,969			886,282,982			1,388,094,718
Changes in
Exchange membership		86,500			(43,000	)		—
Trading Advisor management fee payable		(200,141	)		(316,335	)		(416,228	)
Trading Advisor incentive fee payable		(805,151	)		(283,481	)		1,364,323
Commissions and other trading fees payable on open contracts		(33,239	)		(39,407	)		(15,486	)
Cash Managers fees payable		(19,481	)		(27,251	)		(6,972	)
General Partner management and performance fees payable		(97,878	)		(222,010	)		(106,606	)
General Partner 1% allocation receivable/payable		(194,288	)		127,507			172,679
Selling agent and broker dealer servicing fees payable – General Partner		(94,876	)		(196,288	)		(104,787	)
Administrative fee payable – General Partner		(21,302	)		(38,594	)		(28,335	)
Investment Manager fee payable		—			(16,315	)		44,798
Distribution (12b-1) fees payable		—			370			757
Operating services fee payable		—			(2,238	)		(15,906	)
Net cash provided by (used in) operating activities		17,763,855			169,499,748			2,575,240
Cash flows from financing activities
Subscriptions		6,256,533			6,390,837			27,306,759
Subscriptions received in advance		224,523			287,000			2,687,191
Redemptions		(68,200,191	)		(188,262,404	)		(104,146,723	)
Non-controlling interest – subscriptions		—			12,855,910			16,228,805
Non-controlling interest – redemptions		—			(9,262,326	)		(5,539,950	)
Non-controlling interest – dividends declared		—			—			(69,109	)
Non-controlling interest – dividends reinvested		—			—			67,579
Effect of deconsolidation		—			(19,504,266	)		—
Net cash provided by (used in) financing activities		(61,719,135	)		(197,495,249	)		(63,465,448	)
Net increase (decrease) in cash and cash equivalents		(43,955,280	)		(27,995,501	)		(60,890,208	)
Cash and cash equivalents, beginning of year		90,141,061			118,136,562			179,026,770
Cash and cash equivalents, end of year	$	46,185,781		$	90,141,061		$	118,136,562
End of year cash and cash equivalents consists of
Cash in broker trading accounts	$	27,926,584		$	45,780,428		$	80,906,352
Cash and cash equivalents		18,259,197			44,360,633			37,230,210
Total end of year cash and cash equivalents	$	46,185,781		$	90,141,061		$	118,136,562

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

F-15

Futures Portfolio Fund, Limited Partnership 

Consolidated Statements of Cash Flows (continued) 

Years Ended December 31, 2018, 2017 and 2016

Supplemental disclosure of cash flow information
Prior year redemptions paid	$	11,825,677	$	18,217,216	$	11,143,201
Prior year subscriptions received in advance	$	287,000	$	2,687,191	$	1,086,965
Supplemental schedule of non-cash financing activities
Redemptions payable	$	5,057,655	$	11,825,677	$	18,217,216

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

F-16

Futures Portfolio Fund, Limited Partnership 

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

Years Ended December 31, 2018, 2017 and 2016

	Class A			Class A2			Class B			Class I			Class R			Non-Controlling Interest			Total
Balance at December 31, 2015	$	412,948,548		$	—		$	204,329,032		$	3,767,830		$	—		$	22,540,476		$	643,585,886
Net income (loss)		(8,875,442	)		—			(896,813	)		(4,049	)		—			1,232,889			(8,543,415	)
Subscriptions		17,888,149			—			10,505,575			—			—			16,525,308			44,919,032
Redemptions		(71,271,268	)		—			(39,669,950	)		—			—			(5,819,470	)		(116,760,688	)
Transfers		(3,244,230	)		—			3,244,230			—			—			—			—
Dividends declared		—			—			—			—			—			(69,109	)		(69,109	)
Dividends reinvested		—			—			—			—			—			67,579			67,579
Balance at December 31, 2016		347,445,757			—			177,512,074			3,763,781			—			34,477,673			563,199,285
Net income (loss)		262,925			—			1,088,832			138,707			421,246			(332,291	)		1,579,419
Subscriptions		4,210,828			—			3,582,200			500,000			785,000			13,017,620			22,095,648
Redemptions		(109,127,184	)		—			(70,063,639	)		(855,189	)		(2,129,913	)		(8,993,026	)		(191,168,951	)
Transfers		(1,932,003	)		—			(11,462,386	)		—			13,394,389			—			—
Effect of Deconsolidation		—			—			—			—			—			(38,169,976	)		(38,169,976	)
Balance at December 31, 2017		240,860,323			—			100,657,081			3,547,299			12,470,722			—			357,535,425
Net income (loss)		(12,435,444	)		(482	)		(3,357,247	)		(106,691	)		(487,801	)		—			(16,387,665	)
Subscriptions		2,101,833			146,500			1,998,200			—			2,297,000			—			6,543,533
Redemptions		(39,247,936	)		—			(21,572,150	)		—			(612,083	)		—			(61,432,169	)
Transfers		(2,258,779	)		—			2,258,779			—			—			—			—
Balance at December 31, 2018	$	189,019,997		$	146,018		$	79,984,663		$	3,440,608		$	13,667,838		$	—		$	286,259,124

Units

	Class A			Class A2		Class B			Class I			Class R
Balance at December 31, 2015		98,034.9581			—		33,265.6588			3,828.4541			—
Subscriptions		4,089.2273			—		1,658.7195			—			—
Redemptions		(16,542.2022	)		—		(6,245.3148	)		—			—
Transfers		(756.9529	)		—		514.7436			—			—
Balance at December 31, 2016		84,825.0303			—		29,193.8071			3,828.4541			—
Subscriptions		1,049.5961			—		593.1117			519.3249			801.6052
Redemptions		(27,302.0042	)		—		(11,836.2255	)		(881.5011	)		(2,186.9855	)
Transfers		(490.7801	)		—		(1,889.0556	)		—			13,399.0197
Balance at December 31, 2017		58,081.8421			—		16,061.6377			3,466.2779			12,013.6394
Subscriptions		517.9846			146.5000		326.3758			—			2,274.1270
Redemptions		(9,717.5796	)		—		(3466.3744	)		—			(603.8767	)
Transfers		(562.3963	)		—		368.8185			—			—
Balance at December 31, 2018		48,319.8508			146.5000		13,290.4576			3,466.2779			13,683.8897

Net Asset Value per Unit

	Class A		Class A2		Class B		Class I		Class R
December 31, 2018	$	3,911.85	$	996.71	$	6,018.20	$	992.59	$	998.83
December 31, 2017		4,146.91		—		6,266.93		1,023.37		1,038.05
December 31, 2016		4,096.03		—		6,080.47		983.11		—

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

F-17

Futures Portfolio Fund, Limited Partnership

Notes to Consolidated Financial Statements

1. Organization and Summary of Significant Accounting Policies

Description of the Fund

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

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

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

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

The six classes of Units in the Fund differ only in the fees applicable to each class. Class A Units are subject to a 2% per annum selling agent fee. Class A2 Units may pay an up-front sales commission of up to 3% of the offering price and a 0.6% per annum selling agent fee. Class A3 Units may pay an up-front sales commission of up to 2% of the offering price and a 0.75% per annum selling agent fee. Class B Units are subject to a 0.2% per annum broker dealer servicing fee. Class I Units are subject to higher minimum investments requirements and lower General Partner management fees (0.75% per annum instead of 1.50% per annum) as well as a General Partner performance fee (7.5% of new profits, described more fully in Footnote 4). Class R Units do not pay selling compensation or servicing fees to selling agents, and are generally intended for clients of registered investment advisors. Class R Units were introduced in March 2017, and on April 1, 2017, approximately $14 million in Class B Units transferred to R Units. Class A2 and A3 Units were introduced in June 2017. There were no Class A3 Units outstanding on December 31, 2018.

At December 31, 2018, the Fund owned approximately $27 million of Class I shares of the Steben Managed Futures Strategy Fund (“SMFSF”), which represents approximately 36% of that fund. SMFSF is a non-diversified series of shares of beneficial interest of Steben Alternative Investment Fund (the “Trust”), a statutory trust organized under the laws of the State of Delaware, and is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end investment company.  SMFSF issues four classes of shares: Class A, C, I and N. The General Partner serves as the investment manager of SMFSF. SMFSF has a similar investment strategy to the Fund, using commodity trading advisors to engage in the speculative trading of futures contracts, forward currency contracts and other financial instruments.

Prior to August 31, 2017, the Fund owned more than 50% of the outstanding shares of SMFSF and therefore had effective control of that entity. Accordingly, the assets, liabilities and operating results of SMFSF were consolidated with the Fund through that date. The portion of SMFSF that was not owned by the Fund was presented as the non-controlling interest. On August 31, 2017, the Fund’s ownership of SMFSF dropped below 50%. With this decrease in ownership, the Fund no longer has effective control of SMFSF, and effective August 31, 2017 no longer consolidates the assets, liabilities and operating results of SMFSF into the Fund. The Fund continues to hold an investment in SMFSF and any changes in the fair value of its investment in SMFSF are reported on the Statement of Operations. The investment in SMFSF is reported on the statements of financial condition as investment in SMFSF. For financial reporting purposes, SMFSF is treated as a related party. For the years ended December 31, 2018 and 2017, the Fund redeemed $5 million and $19 million, respectively, of its investment in SMFSF.

F-18

Significant Accounting Policies

Accounting Principles

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

Consolidation

Through August 31, 2017, the accompanying consolidated financial statements included the accounts of the Fund and SMFSF, for which the Fund was the majority shareholder. On August 31, 2017, the Fund ceased being the majority shareholder of SMFSF and no longer consolidates that entity into its financial statements. Intercompany accounts and transactions have been eliminated in consolidation.

Use of Estimates

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

Revenue Recognition

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

Fair Value of Financial Instruments

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

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

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

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

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.

F-19

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 years ended December 31, 2018 and 2017, there were no such transfers between levels.

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

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

The investment in SMFSF (a mutual fund), a money market fund and futures contracts are valued using quoted market prices for identical assets in active markets, and are classified within Level 1. The money market fund is included in cash and cash equivalents in the statements of financial condition. The fair values of forward currency contracts are based upon third-party quoted dealer values on the interbank market and are classified within Level 2.

Cash and Cash Equivalents

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

Exchange Membership

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

Brokerage Commissions and Trading Expenses

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

Redemptions Payable

Redemptions payable represent redemptions that meet the requirements of the Fund and have been approved by the General Partner prior to year-end. These redemptions have been recorded using the year 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 December 31, 2018. With few exceptions, the Fund is no longer subject to U.S. federal, or state and local income tax examinations by tax authorities for years before 2015.

Foreign Currency Transactions

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

F-20

Swap Agreement

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

Reclassification

Certain amounts in the 2017 and 2016 consolidated financial statements may have been reclassified to conform to the 2018 presentation without affecting previously reported partners’ capital (net asset value) or net income (loss).

New Accounting Pronouncements

Revenue from Contracts with Customers

In May 2014, the FASB issued revenue recognition guidance, which will replace most pre-existing revenue recognition guidance in current U.S. generally accepted accounting principles. The guidance provides a framework for addressing revenue recognition and, for the Fund, was effective January 1, 2018. The Fund evaluated the impact of this new guidance and has determined that its adoption did not have a material effect on the financial statements.

Restricted Cash

In November 2016, the FASB issued guidance regarding the presentation of changes in restricted cash and restricted cash equivalents within the statement of cash flows. The Fund adopted the guidance on January 1, 2018, and its adoption did not have a material effect on the financial statements.

Fair Value Disclosures

In August 2018, the FASB issued guidance updating the disclosure requirements for fair value measurement and the fair value hierarchy. Primarily, the guidance added or modified certain disclosures regarding Level 3 fair value measurements and removed certain disclosures involving transfers between Level 1 and Level 2 of the fair value hierarchy. Historically, the Fund has not had any Level 3 fair value measurements and has not had any transfers between Level 1 and Level 2 on the fair value hierarchy. The update is effective beginning after December 15, 2019, although early adoption is permitted. The Fund does not believe that adoption of this guidance will have a material effect on the financial statements.

2. 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 December 31, 2018
	Level 1		Level 2		Total
Equity in broker trading accounts:
Net unrealized gain (loss) on open futures contracts*	$	2,148,112	$	—	$	2,148,112
Net unrealized gain (loss) on open forward currency contracts*		—		155,058		155,058
Cash and cash equivalents:
Money market fund		14,836,223		—		14,836,223
Investment in SMFSF		27,423,206		—		27,423,206
Investments in securities:
U.S. Treasury securities*		67,375,307		—		67,375,307
Asset backed securities*		—		11,694,238		11,694,238
Commercial paper*		—		37,438,570		37,438,570
Corporate notes*		—		100,547,018		100,547,018
Exchange membership		—		145,500		145,500
Total	$	111,782,848	$	149,980,384	$	261,763,232

*See the condensed schedule of investments for further description.

F-21

At December 31, 2017
	Level 1		Level 2		Total
Equity in broker trading accounts:
Net unrealized gain (loss) on open futures contracts*	$	8,930,417	$	—	$	8,930,417
Net unrealized gain (loss) on open forward currency contracts*		—		1,920,516		1,902,516
Cash and cash equivalents:
Money market fund		42,775,036		—		42,775,036
Investment in SMFSF		34,101,936		—		34,101,936
Investments in securities:
U.S. Treasury securities*		58,329,191		—		58,329,191
Asset backed securities*		—		11,574,641		11,574,641
Commercial paper*		—		38,174,305		38,174,305
Corporate notes*		—		129,299,879		129,299,879
Exchange membership		—		232,000		232,000
Total	$	144,136,580	$	181,183,341	$	325,319,921

*See the condensed schedule of investments for further description.

There were no Level 3 holdings at December 31, 2018 and 2017, or during the three years ended December 31, 2018.

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.

3. 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 December 31, 2018 and 2017, the Fund’s derivative contracts had the following impact on the statements of financial condition:

December 31, 2018	Derivative Assets and Liabilities, at fair value
Statements of Financial Condition Location	Gross Amounts of Recognized Assets		Gross Amounts Offset in the Statements of Financial Condition			Net Amount of Assets Presented in the Statements of Financial Condition
Equity in broker trading accounts: Net unrealized gain (loss) on open futures contracts
Agricultural commodities	$	1,218,664	$	(342,814	)	$	875,850
Currencies		760,876		(973,645	)		(212,769	)
Energy		2,141,913		(1,578,431	)		563,482
Equity indices		2,064,863		(2,433,465	)		(368,602	)
Interest rate instruments		3,725,805		(2,010,355	)		1,715,450
Metals		8,434,167		(8,874,714	)		(440,547	)
Single stock futures		81,038		(65,790	)		15,248
Net unrealized gain (loss) on open futures contracts	$	18,427,326	$	(16,279,214	)	$	2,148,112
Net unrealized gain (loss) on open forward currency contracts	$	2,315,077	$	(2,160,019	)	$	155,058

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

F-22

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

				Gross Amounts Not Offset in the Statements of Financial Condition
Counterparty	Net Amount of Assets in the Statements of Financial Condition			Financial Instruments		Cash Collateral Received		Net Amount
Deutsche Bank AG	$	(125,958	)	$	—	$	—	$	(125,958	)
Deutsche Bank Securities, Inc.		(204,863	)		—		—		(204,863	)
JP Morgan Securities, LLC		(208,608	)		—		—		(208,608	)
SG Americas Securities, LLC		2,561,583			—		—		2,561,583
Société Générale International Limited		281,016			—		—		281,016
Total	$	2,303,170		$	—	$	—	$	2,303,170

December 31, 2017	Derivative Assets and Liabilities, at fair value
Statements of Financial Condition Location	Gross Amounts of Recognized Assets		Gross Amounts Offset in the Statements of Financial Condition			Net Amount of Assets Presented in the Statements of Financial Condition
Equity in broker trading accounts: Net unrealized gain (loss) on open futures contracts
Agricultural commodities	$	1,610,106	$	(644,958	)	$	965,148
Currencies		1,970,468		(1,270,292	)		700,176
Energy		5,254,612		(1,328,218	)		3,926,394
Equity indices		4,652,670		(2,479,884	)		2,172,786
Interest rate instruments		2,293,476		(3,640,881	)		(1,347,405	)
Metals		13,922,808		(11,443,945	)		2,478,863
Single stock futures		234,102		(199,647	)		34,455
Net unrealized gain (loss) on open futures contracts	$	29,938,242	$	(21,007,825	)	$	8,930,417
Net unrealized gain (loss) on open forward currency contracts	$	5,193,499	$	(3,290,983	)	$	1,902,516

At December 31, 2017, there were 45,440 open futures contracts and 2,030 open forward currency contracts.

The Fund’s financial assets, derivative assets, and cash collateral held by counterparties at December 31, 2017 were:

			Gross Amounts Not Offset in the Statements of Financial Condition
Counterparty	Net Amount of Assets in the Statements of Financial Condition		Financial Instruments		Cash Collateral Received		Net Amount
Deutsche Bank AG	$	332,031	$	—	$	—	$	332,031
Deutsche Bank Securities, Inc.		838,938		—		—		838,938
JP Morgan Securities, LLC		1,270,509		—		—		1,270,509
SG Americas Securities, LLC		6,820,970		—		—		6,820,970
Société Générale International Limited		1,122,595		—		—		1,122,595
UBS AG		447,890		—		—		447,890
Total	$	10,832,933	$	—	$	—	$	10,832,933

F-23

For the years ended December 31, 2018, 2017 and 2016, the Fund’s futures and forwards contracts had the following impact on the consolidated statements of operations:

	2018						2017
Types of Exposure	Net realized gain (loss)			Net change in unrealized gain (loss)			Net realized gain (loss)			Net change  in unrealized gain (loss)
Futures contracts
Agricultural commodities	$	(2,561,835	)	$	(89,298	)	$	(6,968,291	)	$	274,000
Currencies		(788,025	)		(912,945	)		(7,944,502	)		34,900
Energy		14,523,103			(3,362,912	)		(16,322,348	)		1,714,614
Equity indices		(4,387,205	)		(2,541,388	)		85,262,449			(792,640	)
Interest rate instruments		1,473,055			3,062,855			(21,099,792	)		(3,289,779	)
Metals		1,917,247			(2,919,410	)		(5,438,472	)		3,067,571
Single stock futures		(102,236	)		(19,207	)		2,546,268			206,565
Total futures contracts		10,074,104			(6,782,305	)		30,035,312			1,215,231
Forward currency contracts		(1,375,239	)		(1,747,458	)		(7,815,159	)		1,146,883
Total futures, forward currency and swap contracts	$	8,698,865		$	(8,529,763	)	$	22,220,153		$	2,362,114

	2016
Types of Exposure	Net realized gain (loss)			Net change   in unrealized gain (loss)
Futures contracts
Agricultural commodities	$	(4,535,068	)	$	(779,900	)
Currencies		11,798,113			(960,570	)
Energy		(17,711,372	)		(1,339,229	)
Equity indices		6,114,947			4,650,786
Interest rate instruments		32,280,416			6,307,243
Metals		(11,266,353	)		(3,058,407	)
Single stock futures		848,998			(311,372	)
Total futures contracts		17,529,681			4,508,551
Forward currency contracts		(436,996	)		2,444,644
Swap contract		8,706,658			(3,440,896	)
Total futures, forward currency and swap contracts	$	25,799,343		$	3,512,299

For the years ended December 31, 2018, 2017 and 2016, the number of futures contracts closed was 1,846,304, 2,003,372 and 1,886,735, respectively, and the number of forward currency contracts closed was 449,669, 236,846 and 173,576, respectively.

4. General Partner

At December 31, 2018, 2017 and 2016, and for the years then ended, the General Partner did not maintain a capital balance in the Fund; however, the beneficiary of the majority shareholder of the General Partner had the following investment in Class I Units:

	2018		2017		2016
Units Owned		254.4114		254.4114		254.4114
Value of Units	$	252,527	$	260,358	$	250,114

F-24

The following fees are paid to the General Partner:

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

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

■ Selling Agent Fees – the Class A Units incur a monthly fee equal to 1/12^th of 2% of the month-end net asset value of the Class A Units. Class A2 Units may pay an up-front sales commission of up to 3% of the offering price and a 0.6% per annum selling agent fee. Class A3 Units may pay an up-front sales commission of up to 2% of the offering price and a 0.75% per annum selling agent fee. Selling agent fees amounted to $4,349,989, $5,698,448 and $8,048,257 for the years ended 2018, 2017 and 2016, respectively. Such amounts are included in selling agent and broker dealer servicing fees – General Partner in the consolidated statements of operations. The General Partner, in turn, pays the 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 $181,268, $264,944 and $405,608 for the years ended 2018, 2017 and 2016, respectively. Such amounts are included in selling agent and broker dealer servicing fees – General Partner in the consolidated statements of operations. The General Partner, in turn, pays the fees to the respective selling agents. If there is no designated selling agent or the General Partner was the selling agent, such portions of the broker dealer servicing fees are retained by the General Partner.

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

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

The following fees were paid to the General Partner during the period in which it consolidated SMFSF:

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

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

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

5. Trading Advisors and Cash Managers

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

F-25

Principal Global Investors, LLC serves as the cash manager for the Fund. Prior to December 31, 2017, J.P. Morgan Investment Management, Inc. also served as a cash manager (collectively, the “Cash Managers”). The Fund incurs monthly fees, payable in arrears to the Cash Managers, equal to approximately 1/12th of 0.11% and 1/12th of 0.14% of the investments in securities and certificates of deposit as of the period ended December 31, 2018 and 2017, respectively.

6. Deposits with Brokers

To meet margin requirements, the Fund deposits funds with brokers, subject to CFTC regulations and various exchange and broker requirements. The Fund earns interest income on its assets deposited with brokers. At December 31, 2018 and December 31, 2017, the Fund had assets totaling $60,138,342 and $98,549,270, respectively, with brokers and margin deposit requirements of $38,554,368 and $71,513,422, respectively.

7. Subscriptions, Distributions and Redemptions

Investments in the Fund are made by subscription agreement and must be received within five business days of the end of the month, subject to acceptance by the General Partner. The minimum investment is $10,000 for Class A, A2, A3, B and R units and $2,000,000 for Class I units. Units are sold at the respective net asset value per unit for Class A, A2, A3, B, I or R interests as of the close of business on the last day of the month in which the subscription is accepted. Investors whose subscriptions are accepted are admitted as limited partners as of the beginning of the month following the month in which their subscriptions were accepted. At December 31, 2018 and 2017, the Fund received advance subscriptions of $224,523 and $287,000, respectively, which were recognized as subscriptions to the Fund subsequent to period-end.

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

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

8. Trading Activities and Related Risks

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

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

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

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

F-26

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

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

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

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

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

Through its investments in debt securities and certificates of deposit, the Fund has exposure to U.S. and foreign enterprises.  The following table presents the exposure at December 31, 2018.

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

The following table presents the exposure at December 31, 2017.

Country or Region	U.S. Treasury Securities		Commercial Paper		Corporate Notes		Asset Backed Securities		Total		% of Partners’ Capital (Net Asset Value)
United States	$	58,329,191	$	30,479,713	$	94,039,929	$	11,574,641	$	194,423,474		54.38	%
Netherlands		—		—		18,032,725		—		18,032,725		5.04	%
Canada		—		—		8,218,336		—		8,218,336		2.30	%
France		—		—		5,485,426		—		5,485,426		1.53	%
Australia		—		1,597,729		3,523,463		—		5,121,192		1.43	%
Luxumbourg		—		2,997,265		—		—		2,997,265		0.84	%
Singapore		—		1,599,760		—		—		1,599,760		0.45	%
Germany		—		1,499,838		—		—		1,499,838		0.42	%
Total	$	58,329,191	$	38,174,305	$	129,299,879	$	11,574,641	$	237,378,016		66.39	%

F-27

9. 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. Financial Highlights

The following information presents per unit operating performance data and other ratios for the years ended December 31, 2018, 2017 and 2016, assuming the unit was outstanding throughout the entire year:

							2018
	Class A			Class A2††			Class B			Class I			Class R†
Per Unit Operating Performance
Net asset value per unit, beginning of period	$	4,146.91		$	1,000.00		$	6,266.93		$	1,023.37		$	1,038.05
Net realized and change in unrealized gain (loss) on investments (1)		(84.38	)		(1.80	)		(129.61	)		(21.82	)		(21.91	)
Net investment income (loss) (1)		(150.68	)		(1.49	)		(119.12	)		(8.96	)		(17.31	)
Total income (loss) from operations		(235.06	)		(3.29	)		(248.73	)		(30.78	)		(39.22	)
Net asset value per unit, end of period	$	3,911.85		$	996.71		$	6,018.20		$	992.59		$	998.83
Total return		(5.67	)%		(0.33	)%		(3.97	)%		(3.01	)%		(3.78	)%
Other Financial Ratios
Ratios to average net asset value
Expenses prior to General Partner 1% allocation (2)		5.62	%		0.54	%		3.81	%		2.76	%		3.60	%
General Partner 1% allocation		(0.06	)%		0.00	%		(0.04	)%		(0.03	)%		(0.04	)%
Net total expenses		5.56	%		0.54	%		3.77	%		2.73	%		3.56	%
Net investment income (loss) (2) (3)		(3.78	)%		(0.15	)%		(1.97	)%		(0.92	)%		(1.73	)%

						2017
	Class A			Class A2††		Class B			Class I			Class R†
Per Unit Operating Performance
Net asset value per unit, beginning of period	$	4,096.03		$	—	$	6,080.47		$	983.11		$	1,000.00
Net realized and change in unrealized gain (loss) on investments (1)		274.94			—		415.13			67.05			62.87
Net investment income (loss) (1)		(224.06	)		—		(228.67	)		(26.79	)		(24.82	)
Total income (loss) from operations		50.88			—		186.46			40.26			38.05
Net asset value per unit, end of period	$	4,146.91		$	—	$	6,266.93		$	1,023.37		$	1,038.05
Total return		1.24	%		—		3.07	%		4.10	%		3.80	%
Other Financial Ratios
Ratios to average net asset value
Expenses prior to General Partner 1% allocation (2)		6.86	%		—		5.06	%		3.97	%		4.61	%
General Partner 1% allocation		0.00	%		—		0.01	%		0.04	%		0.03	%
Net total expenses		6.86	%		—		5.07	%		4.01	%		4.64	%
Net investment income (loss) (2) (3)		(5.61	)%		—		(3.81	)%		(2.72	)%		(3.31	)%

F-28

						2016
	Class A			Class A2††		Class B			Class I			Class R†
Per Unit Operating Performance
Net asset value per unit, beginning of period	$	4,212.26		$	—	$	6,142.34		$	984.17		$	—
Net realized and change in unrealized gain (loss) on investments (1)		130.21			—		185.48			28.96			—
Net investment income (loss) (1)		(246.44	)		—		(247.35	)		(30.02	)		—
Total income (loss) from operations		(116.23	)		—		(61.87	)		(1.06	)		—
Net asset value per unit, end of period	$	4,096.03		$	—	$	6,080.47		$	983.11		$	—
Total return		(2.76	)%		—		(1.01	)%		(0.11	)%		—
Other Financial Ratios
Ratios to average net asset value
Expenses prior to General Partner 1% allocation (2)		6.56	%		—		4.73	%		3.77	%		—
General Partner 1% allocation		(0.02	)%		—		0.00	%		0.00	%		—
Net total expenses		6.54	%		—		4.73	%		3.77	%		—
Net investment income (loss) (2) (3)		(5.72	)%		—		(3.89	)%		(2.94	)%		—

† Class R Units were introduced in April 2017. Total return for 2017 is for the period from introduction to year end and is not annualized.

†† Class A2 Units were introduced in December 2018. Total return for 2018 is for the period from introduction to year end and is not annualized.

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

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

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

⁽³⁾ Ratio excludes General Partner 1% allocation.

11.        Subsequent Events

Subsequent to year end, there were $2,458,823 of contributions and $9,950,198 of redemptions from the Fund.

12. Deconsolidation of Steben Managed Futures Strategy Fund

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

F-29

The assets and liabilities which the Fund deconsolidated were:

Assets	August 31, 2017
Equity in broker trading accounts
Cash	$	17,813,620
Net unrealized gain (loss) on open futures contracts		1,206,044
Net unrealized gain (loss) on open forward currency contracts		74,520
Total equity in broker trading accounts		19,094,184
Cash and cash equivalents		1,690,646
Investments in securities, at fair value		53,611,230
Subscription receivable		543,627
Liabilities
Trading advisor management fees		112,367
Distribution (12b-1) fees payable		3,331
Operating services fee payable		15,410
Redemptions payable		35,760
Net assets deconsolidated		74,772,819
Less:  non-controlling interest		(38,169,976	)
Fair value of interest retained	$	36,602,843

The fair value of the Fund’s investment in SMFSF is based on the unadjusted quoted market price per share. At December 31, 2018, the Fund’s investment in SMFSF was approximately $27 million.

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

On the statement of operations, the income and expenses incurred by SMFSF during the period of consolidation are recognized as income and expenses of the Fund pursuant to the principles of consolidation. Income and expenses incurred by SMFSF following deconsolidation on August 31, 2017 are not directly recognized by the Fund, but they do impact the net asset value of SMFSF and consequently the fair value of the Fund’s investment in SMFSF. Realized gains (losses) and changes in unrealized gains (losses) on the Fund’s investment in SMFSF following deconsolidation on August 31, 2017 are recognized on the Fund’s statement of operations.

F-30