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, 20142017

Commission file number: 000-50728

FUTURES PORTFOLIO FUND, LIMITED PARTNERSHIP

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):

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

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 contactscontracts and other financial instruments traded in the United States (“U.S.”) and internationally. The Fund primarily trades futures contracts within six majorseven market sectors: agricultural commodities, currencies, energy products, equity indices, currencies, interest rate instruments, energy products, metals and agricultural commodities.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, 2014,2017, the aggregate capitalization of the Fund was $741,554,213, which includes Class A interest of $468,243,719, Class B interest of $262,572,733 and Class I interest of $3,455,693. The net asset value per limited partner interestsinterest (“Units”) of the Class A Units was $4,414.30, Class B Units was $6,323.56 and Class I units was $1,004.98 at December 31, 2014.as follows:

The Fund’s assets are allocated among professional commodity 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.Fund and without prior notice to investors.

The Fund held an investment in the Steben Institutional Fund LLC (“SIF”), whose manager was the general partner of the Fund. The Fund was the only member in SIF. Similar to the Fund, SIF used professional trading advisors to engage in the speculative trading of futures and forward currency contracts traded in the U.S. and internationally. SIF traded within six major market sectors: agricultural commodities, currencies, energy, equity indices, interest rate instruments and metals. SIF incurred trading advisor management and incentive fees, as well as reimbursed its manager for operating expenses incurred on its behalf. During 2012, the General Partner liquidated SIF and all of the assets of SIF were transferred to the Fund by October 31, 2012.

During 2014, the Fund purchased $58.5 million of Class I shares of the Steben Managed Futures Strategy Fund (“SMFF”SMFSF”). SMFFSMFSF 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"“1940 Act”), as an open-end management investment company. SMFFSMFSF issues four classes of shares: Class A, C, I and N. The General Partner serves as the investment manager of SMFSF.

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

At December 31, 2014,February 28, 2018, the Fund owned a majority40% of the value of the outstanding shares of SMFFSMFSF. 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 SMFF have beenSMFSF were consolidated with Futures Portfolio Fund. SMFF has a similar investment strategy to the Fund exceptthrough that it uses a total return swap with Deutsche Bank AG to obtain access todate. The portion of SMFSF that was not owned by the returns of select commodity trading advisors. The General Partner servesFund 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 managerin SMFSF on the Statement of SMFF.

Operations. The investment in SMFSF is reported on the statement of financial condition as investment in SMFSF. For financial reporting purposes, SMFSF is treated as a related party. During 2017, the Fund redeemed $19 million of its investment in SMFSF.

The Fund maintains its margin deposits and reserves in cash, U.S. Treasury securities, U.S. and foreign government sponsored enterprise notes, 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 interestrelated income earned by the Fund accrues to the benefit of the Fund.

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

General Partner

Under the Partnership Agreement, management of all aspects of the Fund’s business and administration is carried out exclusively by the General Partner, a Maryland 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; possibly 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, 2015,2018, the Trading Advisors of the Fund and the allocation of the Fund’s trading level are reflected as follows:

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

An objective of the Fund’s multi-manager approach is to reduce the Fund’s volatility without sacrificing overall rates of return. The General Partner may, from time to time, adjust the amount of assets allocated to each Trading Advisor, add new Trading Advisors, terminate Trading Advisors or replace Trading Advisors without prior notice to investors. Trading Advisors are selected by the General Partner based on theira number of operational and performance histories and other 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 IR Units. Selling agents are selected to assist in the making of offers and sales of Class A, A2, A3, B, I and IR 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 IR Units, or sell any specific number or dollar amount of Class A, A2, A3, B, I and IR 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.fees, if any.

Futures Brokers and Forward Currency Counterparties

The Fund’s futures trading is currently conducted with SG Americas Securities, LLC (“SGAS”, formerly Newedge USA, LLC)), 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, Deutsche Bank AG, and UBS AG. SGAS is aand Société Générale International Limited are wholly-owned subsidiarysubsidiaries of Société Générale. Société Générale is a société anonyme governed by French law. Société Générale Newedge UK Limited (formerly Newedge UK Finance Limited) is the Fund’s forward currency counterparty, is a wholly-owned subsidiary of Société Générale, and is regulated by the Financial Services Authority for the conduct of business in the UK. 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. UBS AG is a global financial services company operating in more than 50 countries.

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

Cash Managers

The Fund has engaged J.P. Morgan Investment Management, Inc. (“JPMIM”) and Principal Global Investors, LLC (“PGI” and, together with JPMIM,or the “Cash Managers”Manager”) to provide cash management services to the Fund. The Cash Managers will managePGI manages the Fund’s cash and excess margin through investments in fixed income instruments, pursuant to investment parameters established by the General Partner.

Description of Current Charges

Market Sectors

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

UnderCommodity 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 are subjectadvisors, 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 regulationcomply 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. The

Pursuant to authority in the CEAct, the NFA has been formed and registered with the CFTC as a registered“registered futures association underassociation.” At the CEAct,present time, the NFA is the only non-exchange self-regulatory organization for commodity industrycommodities professionals. The CFTC has delegated to the NFA responsibility for thecertain registration of commodity trading advisors, commodity pool operators, futures commission merchants, introducing brokers and their respective associated persons and floor brokers.processing. The CEAct requires commodity pool operators, commodity trading advisors and futures brokers or futures commission merchants such asGeneral Partner, the Fund’s futures brokers to be registered and to comply with various reporting and recordkeeping requirements. The General Partner and the Fund’s futures brokersswap dealers are members of the NFA.NFA (the Fund itself is not required to become a member of the NFA). As members, they are subject to NFA standards relating to fair trade practices, financial condition and consumer protection. As the self-regulatory body of the commodities industry, the NFA promulgates rules governing the conduct of commodity professionals and disciplines those professionals which do not comply with such standards. The NFA also arbitrates disputes between members and their customers and conducts registration and fitness screening of applicants for membership and audits of its existing members.

The regulations of the CFTC may suspendand the NFA prohibit any representation by a commodity pool operator’sperson registered with the CFTC or trading advisor’sby any member of the NFA that such registration if it findsor membership, respectively, in any respect indicates that its trading practices tend to disrupt orderly market conditions,the CFTC or the NFA, as the resultcase 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 violationscommodity trading in the U.S. and other countries is an evolving area of law, particularly in the CEAct orcontext 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 promulgated thereunder. In the event the General Partner’s registration as a commodity pool operator were terminated or suspended, the General Partner would be unable to continue to manage the business of the Fund. Should the General Partner’s registration be suspended, dissolution of the Fund might result.

The Dodd-Frank Wall Street ReformCFTC, NFA, and Consumer Protection Act (“Reform Act”) was enacted in July 2010. The Reform Act includes provisions that comprehensively regulate the over-the-counter derivatives markets. The Reform Act will mandate that a substantial portion of over-the-counter derivatives must be executed in regulated markets and submitted for clearing to regulated clearinghouses. The mandates imposed by the Reform Act may result in the Fund bearing higher upfront and mark-to-market margin, less favorable trade pricing, and the possible imposition of new or increased fees.

The Reform Act also amended the definition of eligible contract participant, and the CFTC has interpreted that definition in such a manner that the Fund may no longer be permitted to engage in forward currency transactions by directly accessing the interbank market. Rather, if and when the Reform Act’s new definition goes into effect, the Fund may be limited to engaging in retail forex transactions which could limit the Fund’s potential forward currency counterparties to futures commission merchants and retail foreign exchange dealers. Thus, limiting the Fund’s potential forward currency counterparties could lead to the Fund bearing higher upfront and mark-to-market margin, less favorable trade pricing, and the possible imposition of new or increased fees. The retail forex markets could also be significantly less liquid than the interbank market. Moreover, the creditworthiness of the futures commission merchants and retail foreign exchange dealers with whom the Fund may be required to trade could be significantly weaker than the creditworthiness of the financial institutions with whom the Fund currently engages for its forward currency transactions. Although the impact of requiring the Fund to conduct forward currency transactions in the retail market could be substantial, the full scope is currently unknown and the ultimate effect could also be negligible.

Additionally, the CFTC and certain commodity exchanges have established limits on the maximum net long and net short positions which any person, including the Fund, may hold or control in particular commodities. Most exchanges also limit the maximum changes in futures contract prices that may occur during a single trading day. The Fund also trades in dealer markets for forward currency contracts, which are not regulated by the CFTC. Federal and state banking authorities do not regulate forward trading or forward dealers. In addition, the Fund trades on foreign commodity exchanges, which are not subject to regulation by any U.S. government agency. The CFTC adopted a separate position limits regime for 28 so-called “exempt” (i.e. metals and energy products) and agricultural futures and options contracts and their economically equivalent swap contracts, subject to a delayed implementation schedule. Position limits in spot months are 25% of the official estimated deliverable supply of the underlying commodity and in a non-spot month a percentage of the average open interest in all months for each contract. The General Partner believes that the proposed limits are sufficiently large that when implemented, they should not restrict the Fund’s trading strategy.other regulatory bodies.

Competition

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

Available Information

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

Reports to Security Holders

None.

Enforceability of Civil Liabilities Against Foreign Persons

None.

No Limitations on Trading Policies

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

Potential Increase in Leverage

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

Volatility

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

Liquidity

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

Complex Fee Structure

Allocation to more than one Trading Advisor makes the Fund’s fee structure more complex which in turn could diminishmay 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 and management fees, to the General Partner and various Trading AdvisorsCash 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.

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 ManagersManager

A significant percentage of the Fund’s assets not placed as margin with the futures brokers are managed by the Cash Managers.PGI. Using investment guidelines established by the General Partner, the Cash ManagersPGI 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

Until October 2012, the Fund had an investment in Steben Institutional Fund LLC (“SIF”). SIF incurred trading advisor management and incentive fees, cash manager fees, as well as reimbursed its manager for operating expenses incurred on its behalf. During 2014, the Fund purchased $58.5 million of Class I shares of the Steben Managed Futures Strategy Fund (“SMFF”SMFSF”). SMFFSMFSF 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"“1940 Act”), as an open-end management investment company. SMFFSMFSF has a similar investment strategy to the Fund, except that it usesusing trading advisors to engage in the speculative trading of futures contracts, forward currency contracts and other financial instruments. Prior to March 2016, SMFSF used a total return swap to obtaingain access to the returnsgains and losses of select commoditya basket of trading advisors. The General Partner serves as the investment manager of SMFSF.

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).

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 Investment Company Acttechnology, 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 1940.hardware and software systems, loss or corruption of data as well as misappropriation of confidential information. If a cybersecurity breach occurs, the Fund may incur substantial costs, including (without limitation) those associated with: forensic analysis of the origin and scope of the breach; increased and upgraded cybersecurity; investment losses from sabotaged trading systems; identity theft; unauthorized use of proprietary information; litigation; adverse investor reaction; the unauthorized dissemination of confidential and proprietary information; and reputational damage. Any such breach could expose each of the General Partner, the applicable Trader, and/or the Fund to civil liability as well as regulatory inquiry and/or action. In addition, any such breach could cause substantial withdrawals from the Fund.

Indemnification

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

Termination of Fund

The Fund will automatically terminate on December 31, 2025, unless terminated earlier as provided in the Partnership Agreement. For example, the General Partner can withdraw as general partner on 6090 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 Partnerspartners 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, SGAS, JPMS,futures brokers and forward currency counterparties, or their respective principals, or the written policies relating to such trading. Client records are not available for inspection due to their confidential nature.

Effects of Speculative Position Limits

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

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

Other Activities of the Principals of the Advisors

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

Operation of Other Commodity Pools

The General Partner currently operates two other commodity pools and might have an incentive to favor those pools over the Fund.

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

None.

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

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

None.

Not applicable.

PART II

Market Information

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

Class A, A2, A3, B, I and IR 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 BR Units is $10,000, and for Class I Units it is $2,000,000.

Holders

As of February 28, 2015,2018, there were 6,4333,390 holders of Class A Units, 3,4191,374 holders of Class B Units, and 34 holders of Class I Units and 155 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. SinceFrom 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, 2014.2017.

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 IR 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.

Redemptions of Class A, B, I and IR Units during the fourth quarter 20142017 were as follows:

The following selected consolidated financial data of the Fund as of and for the years ended December 31, 2017, 2016, 2015, 2014, 2013, 2012, 2011, and 20102013 is derived from the consolidated financial statements that have been audited by McGladreyRSM US LLP, (formerly known as McGladrey & Pullen, LLP), the Fund’s independent registered public accountant. This financial data should be read in conjunction with “Management’s Discussion and Analysis of Financial Condition and Results of Operations,” and with the Fund’s consolidated financial statements and notes thereto, included elsewhere in this Annual Report on Form 10-K.

Certain amounts in the selected financial information prior to 2017 have been reclassified to conform to the 2017 presentation without affecting previously reported partners’ capital (net asset value) or net income (loss).

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

The following unaudited supplementary summarized quarterly data are presented for the three-months ended March 31, June 30, September 30 and December 31, 20142017 and 2013.2016.

Current Positioning

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

Cash ManagementResults of Operations

J.P. Morgan Investment Management, Inc.

The returns for each Class of Units for the years ended December 31, 2017, 2016, and Principal Global Investors, LLC (collectively,2015 were:

Results from past periods are not necessarily indicative of results that may be expected for any future period. Monthly analysis of the “Cash Managers”) provide cash management servicestrading gains and losses is provided below.

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 Fund.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 objectivelong 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 retaininginvestor risk appetite. The S&P 500 rallied to new highs and rich valuations got even richer, spurred by positive earnings data and the Cash Managers isTrump administration’s pledge to enhancecut 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.

March

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

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

April

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

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

May

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

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

June

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

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

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

November

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

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

December

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

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

2016

January

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

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

February

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

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

March

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

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

April

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

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

May

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

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

June

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

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

July

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

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

August

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

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

September

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

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

October

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

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

November

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

The Fund’s long positions in stock index futures profited from the bounce in equities in November. In currencies, the Fund made gains on short positions in the euro, but this was offset by losses on short positions in the British pound, which appreciated during the month. The sharp drop in bond prices hit the Fund’s long bond exposures, which were subsequently unwound. Short energy positions proved to be helda 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 Fund’s brokersPresidential 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 supportconcerns 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 trading.long equity positions. The Fund also experienced small gains across a variety of interest rate contracts with a positive contribution from long interest rate contracts in Germany and short U.S. interest rate contracts. Foreign exchange trends were similar to November and the Fund profited from being short euro, short British pound and short Japanese yen against the U.S. dollar. Choppy price action led to modest losses in agricultural commodity contracts and metals. Overall, the Fund finished the month with a gain of 2.52%, 2.67% and 2.75% for Class A, B and I Units, respectively.

2015

January

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

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

February

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

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

March

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

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

April

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

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

May

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

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

June

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

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

July

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

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

August

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

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

September

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

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

October

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

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

November

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

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

December

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

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

Liquidity

At December 31, 2014, there

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 offered pursuant to the offering, 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).

Results of Operations

During 2014, the Fund purchased $58.5 million of Class I shares of the Steben Managed Futures Strategy Fund (“SMFF”). SMFF 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 1940 Act, as an open-end management investment company. SMFF has a similar investment strategy to the Fund, except that it uses a total return swap with Deutsche Bank AG to obtain access to the returns of select commodity trading advisors.

The returns for each Class of Units for the years ended December 31, 2014, 2013, and 2012 were:

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.

2014

January

January saw a broad flight to safety, sparked by a sharp sell-off in emerging market currencies, as investors worried about the impact of Fed tapering and weak Chinese manufacturing on emerging economies. This heightened risk aversion quickly spread to developed markets, which saw declines in equity indices and rallies in bonds, gold and safe haven currencies. Meanwhile, in energy markets, natural gas prices surged due to freezing temperatures across the U.S.

January saw a reversal of many of the most profitable trends from the fourth quarter of 2013, resulting in negative performance for the Fund’s trend-following programs. In equity markets, the Fund’s long positions in the S&P 500 and Nikkei saw losses as global indices fell sharply. Although the Fund has historically been non-correlated to stocks over the long run, in the short term it can have positive or negative correlation depending on whether existing equity trends cause the Fund to be positioned long or short. In currencies, the Fund’s short Japanese yen position suffered as the exchange rate appreciated on safe haven buying. The Fund did make gains in interest rates, where long positions in European and Japanese bonds benefited from fund flows into fixed income markets. In agricultural commodities, the Fund also profited from the continued bearish trend in wheat. Overall, the Fund finished the month with a loss, with Class A Units down 3.50%, Class B Units down 3.36%, and Class I Units down 3.28%.

February

In February, global equities rallied despite weakness in economic data caused by inclement weather. New Fed Chair Janet Yellen reassured investors that interest rate hikes would be unlikely in the current environment and that the gradual tapering of bond purchases would remain contingent on sustained labor market improvement. This relatively dovish stance raised bond prices and weakened the U.S. dollar. Energy prices surged during the month as unusually cold temperatures boosted demand in the U.S., while the escalating crisis in Ukraine threatened to disrupt European supply channels.

The Fund made its largest gains from rising equity markets through a range of long positions in U.S. and European indices. Additionally, the Fund profited from long positions in global bonds, which rallied on continued accommodative policy guidance from central banks. Long positions in natural gas and crude oil also benefited the Fund as energy prices moved higher. However, the metals sector caused losses as a rebound in gold and silver on U.S. dollar weakness hurt the Fund’s short positions. Overall, the Fund finished the month with a gain, with Class A Units up 2.09%, Class B Units up 2.24%, and Class I Units up 2.32%.

March

March was a choppy month in equity and energy markets, due to the Russia/Ukraine crisis and as China saw its first domestic corporate bond default in a sign of slowing growth. In the U.S., Fed Chair Yellen stirred up fixed income and currency markets by initially suggesting that interest rates hikes might come sooner than expected, then later backtracking on those comments.

The Fund made gains in currencies during the month from long positions in the New Zealand dollar, which rallied as that country became the first developed market to raise interest rates in the current cycle. The agricultural sector was also profitable, with the Fund capitalizing on rising price trends in soybeans (due to poor weather in Brazil) and in lean hogs (due to a disease outbreak in the U.S.). However, uncertainty over both the health of China’s economy and the timing of Fed tightening caused whipsaw market action in global stocks, oil markets and U.S. bonds, which generated losses for trend-following strategies in those sectors. Overall, the Fund finished the month with a loss, with Class A Units down 2.17%, Class B Units down 2.02%, and Class I Units down 1.93%.

April

In April, equities initially sold off amid concerns over stock valuations and weak economic numbers. Optimism returned and global equities rallied mid-month with the Fed calming fears, stating that they remained committed to supportive monetary policy and noting than the recent weather-induced U.S. growth slowdown would be short-lived. Meanwhile, risks of deflation in Europe led to speculation that the ECB might resort to quantitative easing. In contrast, UK unemployment dipped below the Bank of England’s 7% threshold, prompting speculation that the BOE may begin raising interest rates. Tension surrounding Ukraine and sanctions on Russia drove many commodity markets higher on fears of supply disruptions.

The Fund recorded its largest gains in the interest rate sector where long positions benefited from risk aversion and potential quantitative easing in Europe fueling demand for bonds. The Fund also made profits in commodities, particularly through long positions in natural gas and soybeans. In currencies, gains were made from long positions in the British pound which rose to four year highs on speculation over interest rate hikes. However, this was offset by losses due to a reversal in the Japanese yen. The Fund saw its largest losses in equities due to an early sell off in stock indices, which then caused the Fund to cut its long positions and prevented it from fully benefiting from the market rebound going into month-end. Overall, the Fund finished the month with a loss, with Class A Units down 0.28%, Class B Units down 0.13%, and Class I Units down 0.05%.

May

In May, global bond markets rallied as 10-year yields fell to 1.4% in Germany and 2.5% in the U.S. In Europe, this move was driven by investor expectations of a near term interest rate cut and potential future quantitative easing by the European Central Bank to counteract weak economic growth and deflationary risks. Meanwhile in the U.S., Fed Chair Janet Yellen expressed concern over a weak housing recovery, suggesting the Fed could keep interest rates low for longer than previously anticipated. Equity markets interpreted these signals of continued easy monetary policy in a positive light, leading to gains in most developed market stock indices. Volatility in many asset classes continued to decline in May towards historic lows, as exemplified by the VIX index, which fell to the pre-crisis levels of 2007.

The Fund was well positioned to profit from the key moves in fixed income and equities during the month. The bulk of returns came from long positions in bonds, in particular the U.S. 10-year, the U.S. long bond and the Euro Bund. In equities, the largest gains came from a short position in VIX futures and a long position in the Eurostoxx 50. Agricultural commodities had a small giveback as upward trending grain prices reversed on improved weather and harvest prospects. Overall, the Fund finished the month with a gain, with Class A Units up 3.29%, Class B Units up 3.45%, and Class I Units up 3.53%.

June

In June, equity markets continued to set record highs as the Federal Reserve reiterated its dovish policy stance in light of a weaker U.S. growth outlook. Meanwhile European fixed income markets rallied as the European Central Bank imposed negative deposit rates to stem deflation and encourage bank lending. Only the Bank of England gave any indication that it could soon begin to raise interest rates, which led to further strengthening in the British pound. Violence escalated in the Middle East, as the militant ISIS group seized key regions in Iraq, pushing up oil prices on fears of a supply disruption.

The Fund recorded its largest gains for the month in long equity positions. The portfolio also capitalized on rising energy prices with its long oil positions. The Fund profited in currency trading, particularly in the British pound, which rose on signals of a tightening bias at the Bank of England. However, short positions in gold and silver lost money, as demand climbed for these safe haven assets on fears of a full-blown civil war in Iraq. In agricultural markets, long soybean positions were hurt as prices fell with U.S. farmers planting a record crop. Overall, the Fund finished the month with a gain, with Class A Units up 0.62%, Class B Units up 0.77%, and Class I Units up 0.90%.

July

Despite small gains for U.S. equities in early July, a strong GDP report at month-end sparked fears that the Federal Reserve might tighten monetary policy sooner than expected, causing a sharp sell-off in stocks and bonds, as well as a rally in the U.S. dollar. Meanwhile, European equities were driven down by both tougher sanctions on Russia (hurting regional trade) and the collapse of a large Portuguese bank. In energy, crude oil prices fell for the month as supply disruptions due to the civil war in Iraq proved to be less than anticipated. In agricultural commodities, grain prices fell as record plantings and ideal weather in the U.S. drove expected supply levels higher.

In July, the agricultural sector was the top contributor to the Fund’s returns, as short exposures in corn and wheat profited from price declines. In foreign exchange markets, the strong surge in the U.S. dollar against major currencies helped the Fund in its short euro position, but this was more than offset by losses from long positions in the Australian dollar and the British pound. In equities, where the Fund was positioned long globally, the U.S. and Europe lost ground, while Asian markets made gains on signs of a manufacturing rebound in China. Bonds and energy both detracted from performance during the month, as long positions were hurt by price corrections in these two sectors. The Fund closed the month with a loss, with Class A Units down 2.35%, Class B down 2.21% and Class I down 2.13%.

August

Global bond markets rallied strongly in August. In the U.S., weaker than expected employment numbers and a dovish speech from Fed Chairwoman Yellen suggested the timing of interest rate hikes might be pushed further out. Meanwhile, Europe threatened to slip into deflation, prompting speculation that the European Central Bank might get more aggressive in its expansionary monetary policy. This fueled a rise in European debt prices and a depreciation of the Euro. In equity markets, tension between Ukraine and Russia caused an initial sell-off, but the expectation of continued support from central banks helped stock indices rebound sharply in the second half of the month.

The interest rate sector was the Fund’s top contributor, as long exposures in U.S. and European bonds profited from a decline in yields. In currencies, the Fund made gains from a short position in the Euro, as expectations of further monetary easing pushed the currency to a year-to-date low. In equities, the fund benefited from a long position in the S&P 500 as equity markets rallied into month-end. The Fund closed the month with a gain, with Class A Units up 4.03%, Class B Units up 4.18% and Class I Units up 4.27%.

September

Equity markets rose early in September but declined by month end on poor European economic data and concerns about Chinese growth. Fixed income markets sold off and the U.S. dollar rallied as the Federal Reserve Bank of San Francisco published a report suggesting that markets are underestimating the pace of future rate increases. The euro continued to weaken as the European Central Bank lowered interest rates further and introduced measures to combat low inflation.

In September, the Fund’s performance was primarily driven by a strong U.S. dollar. Short positions in the physical commodities gained as prices fell on dollar strength, particularly in crude oil and silver. In currencies, short positions in the euro and the Japanese yen against the U.S. dollar proved profitable, but gains were offset by losses on long positions in the New Zealand dollar and Australian dollar which depreciated during the month. Global growth concerns weighed on equity prices which went against the Fund’s long positions. In the fixed income sector, rate increase worries hurt the fund’s long position in the U.S. 10-Year note. The Fund ended the month with a small negative return, with Class A Units down 0.33%, Class B Units down 0.18% and Class I Units down 0.10%.

October

During October, fears of a slowdown in global growth made for volatile financial markets. High unemployment and low inflation readings in Europe drove global equity markets and long-term bond yields lower. Fed meeting minutes showed a concern that the slowdown in Eurozone growth might negatively affect the U.S. economy, just as the Fed was concluding its quantitative easing program. Decreased demand expectations also brought commodity markets to multi-year lows. However, investor risk appetite was renewed mid-month following improved U.S. economic data and strong corporate earnings. Global stock markets and the U.S. dollar surged at month-end when the Bank of Japan announced an unexpected easing program, encouraging expectations for the European Central Bank to do the same.

The interest rate sector was the top contributor to performance, as long exposures in U.S. and European bonds profited from a decline in yields. In commodities, the Fund made gains from short positions in oil, which declined on fears of a global growth slowdown. In currencies, the Fund made profits in its short euro position, as expectations for monetary easing in the Eurozone pushed the currency to multi-year lows. The Fund recorded losses in its global equity positions as whipsaw markets prompted the Fund to reduce its long exposure after the initial sell-off, thus missing out on the sharp rebound going into month-end. The Fund closed the month with a positive return, with Class A Units up 1.01%, Class B Unit up 1.16% and Class I Units up 1.24%.

November

In November, central banks in Europe, China and Japan signaled their intention to adopt additional stimulus measures to combat slowing economic growth, which pushed bond yields to new lows and boosted global equities. Comparatively stronger growth and tighter monetary policy in the U.S. caused the dollar to appreciate against other currencies, in particular the Japanese yen. Meanwhile, oil prices fell precipitously on low demand, growing shale supply and OPEC’s decision not to cut production.

Fixed income trading contributed the Fund’s largest gains during the month, as long exposures in European bonds and interest rates profited from the European Central Bank’s anticipated monetary easing. The Fund recorded gains in its long equity positions as growing investor risk appetite caused indices to rally over the month. In commodities, the Fund was able to capitalize on the bear market in oil through its short positions. The Fund also took advantage of the rising U.S. dollar to make a profit in currencies and closed the month with its largest monthly gain since October 2008, with Class A Units up 5.47%, Class B Units up 5.62% and Class I Units up 5.71%.

December

December began with a rise in investor risk aversion over Europe’s economic woes and Japan’s slide back into recession. Global equities sold off sharply in the first half of the month, while bonds rallied. Oil prices continued to trend downwards, as OPEC resisted production cuts despite weakening demand projections. Russia suffered collateral damage as shrinking oil revenues caused a run on the ruble, requiring an emergency interest rate hike to avoid further collapse. In contrast, U.S. economic growth remained strong, helping the U.S. dollar appreciate against most global currencies. Falling energy prices allowed the Fed to emphasize “patience” in its guidance on future interest rate increases, which improved sentiment and fueled a stock market rebound in the second half of the month.

The Fund saw gains in December from long positions in Japanese and European bonds, which rallied on expectations of further central bank easing. The Fund also profited from short positions in energy and long positions in the U.S. dollar. However, these were offset by losses in equity markets where whipsaw reversals during the month hurt trend-following programs. The Fund ended the month with a negative return, with Class A Units down 0.42%, Class B Units down 0.27% and Class I Units down 0.18%.

2013

January

Spurred on by the resolution of the U.S. “fiscal cliff” negotiations, markets began 2013 with a strong risk appetite. This led to a rally in global equities and industrial commodities and caused a sell-off in safe haven bonds. In Europe, investors gained confidence that the region’s sovereign debt crisis had been contained, helping the euro strengthen against other currencies. Meanwhile, Japan’s new government implemented a stimulus program consisting of major fiscal spending, coupled with measures to weaken the yen to help the country’s exporters.

The Fund started the year on a positive note, as it profited from long positions in stock indices and energy, as well as short positions in the Japanese yen. These gains were partially offset by losses from long fixed income positions, as bond yields and interest rates climbed during the month. Overall, the Fund returned a profit for the month, with Class A Units up 2.20%, Class B Units up 2.35%, and Class I Units up 2.25%.

February

Although February began with a continuation of January’s risk-seeking market trends, the second half of the month saw “risk-off” price reversals across many sectors. Weak European data signaled a region-wide economic contraction. The UK suffered a credit rating downgrade as it is on the verge of a triple-dip recession. Meanwhile, Italian voters toppled the country’s incumbent government with an election result that repudiated austerity as a means of managing Europe’s sovereign debt crisis. In the U.S., minutes from the most recent Fed meeting hinted at a sooner than expected slowdown of monetary stimulus, frightening investors who anticipated longer term quantitative easing.

The Fund entered February with “risk-on” exposures in many of the markets it trades, including long positions in equities, industrial commodities, the euro and high-yielding currencies. February’s market reversals caused losses in a number of these positions. The largest losses came from energy, as oil prices fell late in the month on concerns over global demand as well as U.S. supply hitting a 20-year high due to shale fracking. In currencies, the decline of the euro detracted from performance. The Fund did however make gains in fixed income with long positions in U.S. bonds. In the agricultural sector, easing drought conditions in the Midwest lowered wheat prices, helping the Fund’s short position. In stock indices, the Fund made a small net gain as profits in the U.S. and Asia were offset by losses in Europe. Overall, the Fund finished with a loss for the month, with Class A Units down 1.41%, Class B Units down 1.26%, and Class I Units down 1.18%.

March

Overall, the Fund returned a profit for the month, with Class A Units up 1.10%, Class B Units up 1.25%, and Class I Units up 1.48%. In March, financial headlines were dominated by the banking crisis in Cyprus. Eurozone members led by Germany made the release of bailout funds contingent on a Cypriot financial contribution through a one-time “tax” on bank deposits. This action sparked protests over the plan’s fairness. A last minute compromise deal exempted smaller insured deposits from capital seizure. Investors feared that the Cyprus bailout might create a precedent for haircutting depositors at troubled banks in Spain and Italy. This prompted a sell-off in the euro, a slide in southern European stock markets and a rally in safe haven German bunds. Meanwhile, in the U.S., equities climbed with largely positive economic data and a statement from Fed Chairman Bernanke that he saw no evidence of a stock bubble. In Japan, monetary easing by the Abe government continued, boosting bond and equity markets and depreciating the yen.

The Fund profited in March from long positions in stocks, especially in the U.S. Gains were also made in the currency sector from short positions in the Japanese yen. The Fund was flat in fixed income as gains from being long the German bund were offset by losses due to trend reversals in the U.S. bond market. The contribution of physical commodity markets to the Fund’s performance during the month was minimal.

April

In April, economic data in China confirmed a slowdown in growth, while U.S. GDP estimates for the first quarter were weaker than expected. This led to a sell-off in industrial commodities such as energy and base metals, and a rally in Treasury bonds. The price of gold tumbled mid-month, triggered by reports that Cyprus might sell part of its gold reserves to pay down the country’s debt. Furthermore, the current absence of global inflation has reduced the attractiveness of precious metals that are often used as a hedge against inflation. Meanwhile, the Japanese central bank continued its policy of monetary stimulus, further weakening the yen and boosting the Nikkei stock index.

During the month, the Fund profited from its long bond positions, particularly in the U.S., where the fixed income market rallied on disappointing economic growth. The Fund’s short positions in gold and copper also made a positive return contribution after the decline in precious and base metals prices. Partly offsetting these gains were losses from long exposures to declining oil markets, as well as from trend reversals in agricultural markets such as corn. Overall, the Fund finished the month with a profit, with Class A Units up 3.11%, Class B Units up 3.26%, and Class I Units up 3.10%.

May

In May, improving economic data in the U.S. drove stock indices higher, but also prompted the Fed to signal that it might soon taper its quantitative easing program. Fixed income markets reacted negatively to the prospect of a reduction in the Fed’s $85 billion in monthly purchases of Treasury bonds and mortgage backed securities. U.S. 10-year Treasury bond yields jumped 46 basis points from 1.67% to 2.13% during the month, while international bond markets also sold off. Meanwhile in Japan, the high flying Nikkei index, which at one point was up 50% on the year, fell abruptly by 13% over the last 9 days of the month. This was caused by investors taking profits after signs of slowing Chinese growth and impending U.S. monetary tightening.

May proved to be a challenging month for the Fund’s trend-following strategies. The majority of losses were a result of sharp declines in global bond markets, particularly in the U.S. and Europe, which hurt the Fund’s long positions. The Fund’s trading systems responded by cutting back bond positions substantially, standing ready to reposition as new trends emerge, whether bullish or bearish. In the currencies sector, long positions in the Australian dollar and New Zealand dollar detracted from performance, following a surprise interest rate cut in Australia and central bank intervention to weaken the currency in New Zealand. In energy markets, long positions in natural gas suffered as prices declined on higher than expected inventory levels. The Fund did, however, make a profit in equity indices through its long positions across the globe. The Fund was also positive in agricultural commodities, benefitting from a rally in soybeans. Overall, the Fund finished the month with a loss, with Class A Units down 4.97%, Class B Units down 4.83%, and Class I Units down 4.75%.

June

In June, the Fed reaffirmed its desire to phase out its quantitative easing program as long as U.S. economic data continues to improve. Markets interpreted this as the beginning of the end of an era of ultra-easy monetary policy. As a result, global equities and bonds sold off sharply. Ironically, the largest stock market declines were not in the U.S. Prospective tightening by the U.S. Federal Reserve had a greater impact in Europe, where the economic recovery lags the U.S., and in Asia and emerging markets, where a slowdown in China also worried investors. Meanwhile, the Fed’s new stance caused gold prices to plummet to levels last seen in 2010, as the risk of inflation due to loose monetary conditions diminished.

The market moves in June were a continuation of the sharp and sudden trend reversals that began at the end of May. These price patterns are particularly difficult for trend-following systems to navigate. The Fund came into June with long exposure to global equities. Although these positions were reduced significantly over the month, the Fund nevertheless saw losses in this sector, particularly in European indices. In currencies, choppy price movements in the euro and British pound sterling against the U.S. dollar were also a detriment to performance. Residual long positions in bonds and interest rates, primarily in Europe, caused losses before positions were closed out. By the end of the month, most of the Fund’s trading advisors had systematically moved to net short positions in fixed income instruments. On the positive side, the Fund was able to profit from the downward trend in precious metals, such as gold and silver, as well as in industrial metals, such as copper. Overall, the Fund finished the month with a loss, with Class A Units down 4.34%, Class B Units down 4.20%, and Class I Units down 4.12%.

July

In July, global equity indices rebounded from their losses in the prior month. This was a result of central banks seeking to reassure skittish investors that they would wait to pull back on monetary easing until an economic recovery became more firmly established. In the U.S., investors came to believe that the imminent tapering of the Fed’s quantitative easing program may be more gradual than previously thought, as Bernanke softened his tone on potential tightening amid still modest economic growth and low inflation. Meanwhile, the European Central Bank announced that interest rates would stay at current levels or lower for an extended period. Gold and bond markets saw a bounce as a result. In energy markets, surprisingly high summer demand in the U.S. coupled with lower inventories caused WTI crude oil prices to jump to a 16-month high of $108/barrel.

The Fund profited from long equity positions, particularly in the U.S. However, the size of these gains was tempered by the fact that our trend-following managers had trimmed their exposures after stock market declines in the previous month. Elsewhere, the Fund benefited from its long positions in crude oil. Offsetting these profits were losses from short positions in metals, as gold prices reversed from their downward trend. The Fund also saw small negative contributions from reversals in currencies and bond markets. Overall, the Fund finished the month with a loss, with Class A Units down 0.56%, Class B Units down 0.41%, and Class I Units down 0.33%.

August

August saw continued positive economic data in the U.S. and early signs of a recovery in the Eurozone, where a positive second quarter GDP report marked the end of an 18-month recession in the region. This raised the risk of near-term monetary policy tightening, which caused bond yields to rise across developed markets and weighed on equity indices. In the latter half of the month, political tensions escalated in the Middle East. The U.S. and France threatened to intervene in Syria’s civil war, causing a sell-off in stocks and a rally in oil and gold.

In August, the Fund’s short positions in metals suffered losses, as stronger than expected Chinese industrial production caused a rebound in base metal prices, while the Syrian crisis boosted demand for precious metals. The currency sector also detracted from performance as a result of choppy movements in European exchange rates. Meanwhile, the Fund saw a negative contribution from long positions in equity indices as global stock markets fell, with the S&P 500 seeing its biggest monthly decline since May 2012. On the positive side, the Fund’s long energy positions were able to profit from the rise in oil prices. Overall, the Fund finished the month with a loss, with Class A Units down 2.71%, Class B Units down 2.57%, and Class I Units down 2.49%.

September

In September, the Federal Reserve surprised markets by delaying a much anticipated “tapering” of its quantitative easing program until there are more signs of a robust U.S. economic recovery. The Fed’s decision boosted stock indices, lowered bond yields and weakened the U.S. dollar. Meanwhile, oil prices fell as the U.S. backed away from military intervention in Syria, following the Assad regime’s acceptance of a chemical disarmament proposal. Towards the end of the month, a breakdown in U.S. budget and debt ceiling negotiations caused a sell-off in equities ahead of a government shutdown.

The Fund profited in September from long exposure to rising equity indices, although the political impasse over the U.S. budget led to a giveback of some of the stock gains from early in the month. In fixed income markets, the Fund benefited from long positions in Japanese bonds, which rallied on continued monetary stimulus by the Bank of Japan. The Fund’s main losses came from long positions in the energy sector, as oil prices fell from their highs with an easing of the Syrian crisis. The Fund also saw small losses in metals and agricultural commodities. In currencies, gains from long positions in the Euro and British pound were offset by losses from short positions in the Australian dollar. Overall the Fund finished the month with flat performance, with Class A Units at 0.00%, Class B Units up 0.15%, and Class I Units up 0.23%.

October

In October, a budget stalemate in Washington caused a government shutdown and threatened to trigger a sovereign default as the U.S. hovered at its debt ceiling. An agreement reached mid-month reopened government offices and extended the nation’s borrowing capacity until February 2014. As a result, global equities rallied, with the S&P 500 rising to all-time highs. Amid a dysfunctional fiscal policy environment with weak employment growth, the Federal Reserve decided to maintain its current level of bond purchases through its quantitative easing program and pushed out the likely start of monetary tightening further into the future. Meanwhile, in energy markets, crude oil prices fell from their highs reached during the Syrian crisis while natural gas was down on warmer temperature forecasts for the fall season.

The Fund enjoyed strong gains in its long equity positions on the back of rallies in the U.S. and European stock markets. In the fixed income sector, interest rates and bond yields fell, benefiting the Fund’s long positions, particularly in Eurodollars and Japanese bonds. These gains outweighed losses sustained on trend reversals in gold, natural gas and crude oil, allowing the Fund to end the month with net positive performance. Overall, the Fund finished the month with a gain, with Class A Units up 2.54%, Class B Units up 2.69%, and Class I Units up 2.77%.

November

Global equity markets continued their broad-based rally in November, as positive economic news in the U.S. outweighed potentially bearish Fed comments that suggested it could begin to taper its quantitative easing program in future months. Meanwhile, the European Central Bank added to its monetary stimulus with a surprise cut in interest rates. Elsewhere, the Bank of Japan signaled it would continue its expansionary monetary policy, which resulted in the Japanese yen falling to new lows. In commodity markets, precious metals declined in anticipation of Fed tightening, while some energy markets rallied due to higher demand from unseasonably cold weather.

The Fund profited from the global stock rally, with the largest gains coming from long positions in the S&P 500 and DAX indices. In currencies, the Fund garnered strong returns through a short position in the depreciating Japanese yen. In the metals sector, declines in gold and silver proved profitable for the Fund’s short exposure. However, a short position in natural gas saw losses as prices jumped on unusually chilly temperatures in the U.S. The Fund closed the month with a net positive return, with Class A Units up 1.96%, Class B Units up 2.12%, and Class I Units up 2.20%.

December

In December, equities initially fell as strong U.S. economic performance heightened concerns that the Federal Reserve might unwind its quantitative easing program more sharply than previously expected. However, the Fed allayed the worst of investors’ fears by announcing a moderate $10B reduction in monthly bond purchases, while also signaling that it would keep short-term interest rates low through 2015. This prompted a relief rally in global stock indices into the year-end. Elsewhere, the European Union received a credit rating downgrade, but saw stronger than expected economic growth data. In Asia, the Japanese yen fell to multi-year lows on the belief that the Bank of Japan would continue its monetary easing program. Overall, the Fund enjoyed a moderate gain for the month, with Class A Units up 0.74%, Class B Units up 0.89%, and Class I Units up 0.97%.

2012

January

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

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

February

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

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

March

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

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

April

April saw a reversal of the positive equity market sentiment that characterized much of the first quarter of 2012, with renewed worries over global growth and the European debt crisis. Both the U.S. and China reported slowing GDP growth for Q1. Meanwhile in Europe, the UK and Spain posted a second consecutive quarter of negative growth and thus joined Italy, Ireland, Portugal and Greece in falling into a double dip recession. The possibility of a Spanish default became the latest focus for sovereign bond investors, as the effectiveness of its fiscal austerity program came into doubt, with the unemployment rate rising to 24%.

The Fund saw profits in April from its long positions in fixed income, as bond yields in major markets declined, with a global swing towards risk aversion. The Fund also made gains in the agricultural sector, as soybeans continued their strong year-to-date rally due to a lack of rain in South America threatening the harvest. These profits were partly offset by losses from long positions in global equities and in oil-related commodities. Overall the Fund finished with a positive return for the month, with Class A Units up 2.19% and Class B Units up 2.34%.

May

In May, the escalating European debt crisis and weak U.S. and Chinese economic data led to a flight to safety in financial markets. In Greece, electoral gains by anti-austerity political parties stoked fears that the country might ultimately exit the Eurozone. Elsewhere, concerns grew over the health of Spain’s banks, as the already debt-laden Spanish government was forced to bail out the country’s third largest lender. Meanwhile, labor market conditions deteriorated in the U.S. and industrial production slowed in China. In response, investors sold global equities, energies and commodity currencies and sought the relative safe harbor of bonds and the U.S. dollar.

The Fund made its largest gains from long positions in U.S., German and UK bonds, as yields trended lower and prices moved higher. In currencies, the Fund profited from a short position in the euro which depreciated over 6% against the U.S. dollar during the month. The Fund had some offsetting losses in long equity index and oil positions, before trimming those exposures by month-end. Overall, the Fund finished May with a positive return, with Class A Units up 3.06% and Class B units up 3.22%.

June

The risk appetite of global investors returned in 5.0% June, as markets anticipated increased central bank intervention to spur weakening economic growth. In Europe, the risk of a splintering of the euro currency union subsided, as Greek parliamentary elections were won by political parties favoring a European bailout with austerity conditions attached, in effect keeping the country in the Eurozone. This was followed by a European summit meeting at month end where EU leaders agreed to ease conditions on loans to Spain and Italy, thereby stemming the surge in borrowing costs in those countries. In response, investors rotated from bonds into equities and sold off the U.S. dollar in favor of the euro and emerging market currencies.

June’s market reversals caused the Fund to give back profits made from trends over the prior two months. In the interest rates sector, the Fund’s long positions caused losses, particularly in the German Bund which saw its largest monthly decline since 1994. In currencies, the Fund’s short euro exposure detracted from performance, as the currency rallied on the positive news out of Europe. Meanwhile, trading in the physical commodities was unprofitable, as sharp reversals in energy and corn prices went against the Fund’s short positions. The Fund generated a positive return in equity indices through long positions in U.S. stock markets. Overall, the Fund finished the month with a loss, with Class A, B and I Units down 5.35%, 5.22% and 5.22%, respectively.

July

The Fund delivered strong returns in July, as more signs emerged of a faltering global economic recovery. U.S. labor market data continued to disappoint and Chinese growth weakened. Europe, however, remained the primary focus of investors. Spain’s credit conditions deteriorated, as the 10-year sovereign bond yield spiked as high as 7.75% during the month, its highest level since the inception of the euro. The European Central Bank (ECB) cut interest rates, but this did little to reverse the depreciation of the euro. The tide of negative sentiment was stanched only later in the month, when the ECB President vowed to use all necessary means to save the currency union.

The largest contribution to the Fund came from the fixed income sector, where long positions profited from the ECB rate cut as well as market speculation of additional future central bank easing in Europe and the U.S. The Fund also made solid gains in currencies through its short euro exposure. Lastly, in the agricultural sector, the Fund profited from a surge in grain prices, as hot, dry weather in the U.S. damaged crop yields. Class A, B and I Units finished the month up 4.86%, 5.02% and 4.78%, respectively.

August

In August, investor sentiment towards the future of the Eurozone turned from pessimistic to mildly optimistic. U.S. economic reports, including non-farm payroll data, also came in better than expected. These factors extended the rally in global equities, caused a rebound in the euro and prompted an initial sell-off in safe haven U.S. and German government bonds. As the month progressed, speculation mounted that global central banks would engage in further quantitative easing, which caused bonds to recover from their earlier declines. Rising tensions between Iran and Israel caused crude oil prices to climb, while the U.S. experienced its most widespread drought since 1956, leading to higher grain prices.

During the month, the Fund gave back some of the profits it made in July. The Fund’s short positions in the euro and long positions in the Australian dollar suffered on market reversals. Long bond exposures were also a negative contributor in the first half of the month. The Fund did see gains in long equity and long oil positions. However, the Fund finished the month with a net loss, with Class A, B and I Units down 1.68%, 1.53% and 1.39%, respectively.

September

September saw an increase in the scale of global central bank intervention in an attempt to prevent further deterioration of economic growth. The European Central Bank announced a plan to buy unlimited amounts of government bonds of distressed countries such as Spain, in exchange for their accepting austerity reforms. Meanwhile in the U.S., the Fed announced “QE3”, a third round of quantitative easing, involving the purchase of $40 billion of agency-backed mortgages each month for an indefinite period of time. In response, equities rallied worldwide, as did the euro, gold and industrial metals. There was a corresponding sell-off in perceived safe haven assets such as U.S. bonds and the U.S. dollar.

The Fund entered the month with balanced exposure between long equity and long bond positions. The Fund’s gains from the ensuing stock rally offset losses from the decline in bond prices for a flat net impact across these two sectors. However, the Fund did experience losses in other sectors that were unrelated to macroeconomic policy moves. In the agricultural markets, grain prices corrected after their recent run-up, hurting the Fund’s long positions, after reports that the U.S. drought had not damaged crop yields as much as expected. In energy, natural gas prices climbed with the start of cooler temperatures, causing losses for the Fund’s short positions. Overall, the Fund finished the month with a loss, with Class A, B and I units down 2.65%, 2.51% and 2.37%, respectively.

October

October was characterized by trend reversals across a broad range of sectors. Weaker than expected corporate earnings prompted a selloff in U.S. equity markets, as well as in global risk assets such as oil, industrial metals, and commodity-related currencies. In spite of this, safe haven assets such as bonds and gold did not rally and in fact declined, as investors pared back previous expectations over the scope and duration of quantitative easing by central banks.

Given the breadth of market reversals, October proved to be a difficult month for trend-following programs across the entire managed futures industry. The Fund was no exception and experienced losses that were spread across all sectors in the portfolio. The largest declines came from the Fund’s long bond positions both in the U.S. and Europe. Other major markets that detracted from performance included U.S. equities, gasoline and gold. On the positive side, the Fund reversed its net long position in crude oil in time to profit from the decline in that market. The Fund also made gains on long exposure to non-U.S. stock markets. Overall, the Fund finished the month with a loss, with Class A, B and I units down 5.42%, 5.28% and 5.15%, respectively.

November

As the U.S. election maintained the status quo in Washington, investor attention turned to the ability of a divided government to deal with the looming “fiscal cliff”. The year-end expiration of key tax cuts and automatic reduction in government expenditures, if unaddressed, could potentially cause a recession in 2013, according to the Congressional Budget Office. Global equities sold off over the first half of November as a result. However, sentiment recovered and stocks rebounded in the latter part of the month, as reports indicated some willingness on the part of Democrats and Republicans to compromise in budget talks.

In November, the Fund made gains in long positions in the fixed income sector as global bonds rallied on continued easy central bank monetary policy. The currency sector made a small profit from short positions in the Japanese yen, which depreciated on speculation of more aggressive money printing with a potential Liberal Democratic Party victory in the country’s upcoming election. However, the Fund saw losses due to price reversals in physical commodities. Base metals and crude oil prices rebounded from their downward trend on stronger Chinese industrial production data, while grain prices declined from their recent highs on higher than expected supply. Equity markets also proved difficult to trade during the month, as an early sell-off reversed sharply mid-month with a return of investor risk appetite.Overall, the Fund finished the month with a loss, with Class A, B and I units down 0.78%, 0.63% and 0.55%, respectively.

December

In December, U.S. “fiscal cliff” negotiations dominated news headlines. Investors rotated from bonds into stocks on speculation the two U.S. political parties would ultimately reach a compromise budget deal by the end of the year. Meanwhile, in Japan, the Liberal Democratic Party (LDP) returned to power, pledging to lift the country out of a deflationary spiral with an aggressive fiscal stimulus plan and by pressuring the Bank of Japan to further weaken the yen.

The Japanese election was the primary driver of the Fund’s performance for the month. The Fund profited from both a short position in the depreciating Japanese yen and a long position in the surging Nikkei stock index. Elsewhere, the Fund benefited from its long exposure to other global stock indices which rallied on optimism over U.S. budget talks, although these gains were partly offset by losses from the related decline in bond prices. The Fund saw small losses in physical commodities, as choppy conditions prevailed in a number of markets. Overall, the Fund finished the month with a positive return with Class A, B and I units up 1.07%, 1.22% and 1.21%, respectively.

Off-Balance Sheet Risk

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

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.

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'sFund’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'sFund’s main line of business.

Market movements result in frequent changes in the fair value of the Fund'sFund’s open positions and, consequently, in its earnings and cash flow. The Fund'sFund’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'sFund’s open positions and the liquidity of the markets in which it trades.

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

Standard of Materiality

Materiality as used in this section, "Quantitative“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'sFund’s market sensitive instruments.

Quantifying the Fund’s Trading Value at Risk

The following quantitative disclosures regarding the Fund'sFund’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'sFund’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'sFund’s experience to date (i.e., "risk“risk of ruin"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'sFund’s losses in any market sector will be limited to Value at Risk or by the Fund'sFund’s attempts to manage its market risk.

The Fund'sFund’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'sFund’s open positions is directly reflected in the Fund'sFund’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'sFund’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'scategory’s aggregate Value at Risk. The diversification effects resulting from the fact that the Fund'sFund’s positions are rarely, if ever, 100% positively correlated, have not been reflected.

Value at Risk as calculated hereinprovided 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'sFund’s open positions by market sector at December 31, 20142017 and 2013.2016. All open position trading risk exposures of the Fund have been included in calculating the figures set forth below. At December 31, 20142017 and 2013,2016, the Fund'sFund’s total capitalization was $741,554,213$357,535,425 and $880,409,705,$563,199,285, respectively.

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

The face value of the market sector instruments held by the Fund is typically many times the applicable margin requirement (margin requirements generally rangingrange between approximately 1% and 10%15% of contract face value) as well as many times the capitalization of the Fund. The magnitude of the Fund'sFund’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'sFund’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'sFund’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'sFund’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'sFund’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, 2014 and 2013,2017, by market sector.

Agricultural Commodities

The Fund’s primaryFund takes positions in a broad range of agricultural exposure is due to price movementsfutures, including soybeans, wheat, corn, sugar, and cotton among others. Prices in agricultural commodities, which are often directlythese markets can be affected by severechanges 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 unexpectedcross-rates between two foreign currencies. Exchange rates can be impacted by economic differences between regions (such as interest rate differentials or economic growth differentials), political events, as well as investor risk sentiment.

Energy

The Fund gains trading exposure in energy markets through oil and gas futures, which include WTI crude oil, Brent crude oil, distillates such as heating oil, and natural gas. Prices have historically been highly volatile, driven by demand side factors such as global economic growth and weather conditions, as well as othersupply side factors that affect inventory levels or supply and demand characteristics. The Fund's agricultural exposure is primarily to cotton, coffee, cocoa, rubber, corn, soybeans, sugar and wheat.

Currencies

The Fund's currency risk exposure is due to exchange rate fluctuations, primarily fluctuations which disrupt the historical pricing relationships between different currencies and currency pairs. These fluctuations are influenced by interest rate changessuch as well as political and general economic conditions. The Fund trades various currencies, including cross-rates (i.e., positions between two currencies other than the U.S. dollar).

Energy

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

Equity Indices

The Fund's primaryFund has exposure to major stock market indices around the world through equity exposure is due to equity price riskindex futures. Primary exposures are in many countries other thandeveloped markets such as the U.S. The stock index futures traded by, the Fund are limited to futures on broadly based indices. The Fund is primarily exposed to the risk of adverse price trends or static markets in the major Australian, Canadian, European,UK, Germany, Japan, Hong Kong Japanese and U.S.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

Interest rate risk is a significant marketThe Fund has exposure of the Fund. Interest rate movements directly affect the price of the sovereignto global fixed income markets through bond futures positions held by the Fund and indirectly the value of its stock index and currency positions. Interest rate movements in one country as well as relative interest rate movements betweenfutures in countries materially impactsuch as the Fund's profitability.U.S., the UK, Germany, Japan and Australia. The Fund's primary interest rateFund has exposure is to interest rate fluctuationsacross the yield curve with positions in the U.S., Japan, Great Britain, the European Economic Union, Sweden, Canada, Australiafutures for both short term and New Zealand.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'sFund has exposure to metals market exposure is primarily due to fluctuations in the price of aluminum, copper,futures, including both precious metals such as gold, silver nickel,and platinum, leadas 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 very small exposure to Single Stock Futures (“SSF”).single stock futures, with positions primarily in companies that trade on U.S. exchanges. The Fund’s SSF exposure is primarily dueprice drivers here tend to adverse price movements in the underlying stock.be more microeconomic with corporate earnings and industry trends being important. However, macroeconomic and market-wide factors can also affect single stock futures prices.

Qualitative Disclosures Regarding Non-Trading Risk Exposure

The following were the significant non-trading risk exposures of the Fund as of December 31, 20142017 and 2013.2016.

Foreign Currency Balances

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

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

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

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

None.

Evaluation of Disclosure Controls and Procedures

The General Partner of the Fund, with the participation of the Chief Executive Officer and Chief Financial Officer, evaluated the effectiveness of the design and operation of the Fund’s disclosure controls and procedures at December 31, 20142017 (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, 2014,2017, based on the framework set forth by the Committee of Sponsoring Organizations of the Treadway Commission (COSO) in Internal Control-Integrated Framework published in 1992.2013. Based on that assessment, management concluded that, as of December 31, 2014,2017, the Fund’s internal control over financial reporting is effective based on the criteria established in Internal Control-Integrated Framework published in 1992.2013.

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, 20142017 that has materially affected, or is reasonably likely to materially affect, the Fund’s internal control over financial reporting.

None.

PART III

Directors and Executive Officers

The Fund itself has no directors or officers and has no employees. It is managed by the General Partner in its capacity as General Partner. The Kenneth E. Steben Revocable Trust, dated January 29, 2008, (“Trust”) is the majority shareholder of the General Partner and Mr. Kenneth E. Steben is the sole trustee and 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 Senior Vice President of Research and Risk Management, and a Director. Mr. Bulley is a CAIA^SMdesignee 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 holds Series 3, 7, 28 and 30 FINRA licenses. Mr. Bulley has been a CFTC listed Principal and registered as an Associated Person of the General Partner since January 18, 2003.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.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 2013.2014. 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, 2013.2014.

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 March 27, 2007, Steben & Company, Inc. has acted as general partner of a Delaware limited partnership, Seneca Global Fund, L.P., whose units of limited partner interests are registered with the SEC pursuant to a public offering. 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.

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, 2014.2017. During the year ended December 31, 2014,2017, 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.

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.

As compensation for its services in managing the Fund,

The following fees are paid to the General Partner earns the following compensation:Partner:

Additionally, each year the General Partner receives from the Fund 1% of any net income earned by the Fund or pays to the Fund 1% of any net loss incurred by the Fund. For the years ended December 31, 2014, 20132017, 2016 and 2012,2015, the General Partner received from or paid the Fund the following amounts: