UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM 10-Q

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

SECURITIES EXCHANGE ACT OF 1934

For the quarterly period ended ~~June~~September 30, 2016

Commission file number: 000-50728

FUTURES PORTFOLIO FUND, LIMITED PARTNERSHIP

Organized in Maryland

IRS Employer Identification No.: 52-1627106

c/o Steben & Company, Inc.

9711 Washingtonian Blvd., Suite 400

Gaithersburg, Maryland 20878

(240) 631-7600

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

Yes☒ No☐

Indicate by check mark whether the registrant has submitted electronically and posted on its corporate Web site, if any, every Interactive Data File required to be submitted and posted pursuant to Rule 405 of Regulation S-T 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 whether the registrant is a large accelerated filer, an accelerated filer, a non-accelerated filer, or a smaller reporting company. See definition of “large accelerated filer”, “accelerated filer” and “smaller reporting company” in Rule 12b-2 of the Exchange Act.

Large accelerated filer	☐	Accelerated filer	☐
Non-accelerated filer	☒	Smaller Reporting Company	☐

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

Yes ☐ No☒

PART I: FINANCIAL INFORMATION

Item 1. Financial Statements

Futures Portfolio Fund, Limited Partnership

Consolidated Statements of Financial Condition

~~June~~September 30, 2016 and December 31, 2015

		June 30, 2016 (unaudited)				December 31, 2015				September 30, 2016 (unaudited)				December 31, 2015
Assets
Equity in broker trading accounts
Cash		$	114,257,286			$	122,736,345			$	90,132,643			$	122,736,345
Net unrealized gain (loss) on open futures contracts			29,272,138				4,412,678				9,035,594				4,412,678
Net unrealized gain (loss) on open forward currency contracts			4,070,847				(1,614,491	)			886,743				(1,614,491	)
Net unrealized gain (loss) on swap contract			—				3,440,896				—				3,440,896
Total equity in broker trading accounts			147,600,271				128,975,428				100,054,980				128,975,428
Cash and cash equivalents			34,605,960				56,290,425				37,789,418				56,290,425
Investments in securities, at fair value (cost $450,560,503 and $453,001,973)			450,393,961				451,049,033
Certificates of deposit (CDs), at fair value (cost $28,914,584 and $22,673,242)			28,996,631				22,710,509
Investments in securities, at fair value (cost $445,911,456 and $453,001,973)											445,913,474				451,049,033
Certificates of deposit (CDs), at fair value (cost $44,559,584 and $22,673,242)											44,678,549				22,710,509
General Partner 1% allocation receivable			—				271,430				—				271,430
Subscriptions receivable			204,829				85,414				246,392				85,414
Total assets		$	661,801,652			$	659,382,239			$	628,682,813			$	659,382,239

Liabilities and Partners’ Capital (Net Asset Value)
Liabilities
Trading Advisor management fees payable		$	1,116,273			$	1,301,752			$	831,383			$	1,301,752
Trading Advisor incentive fees payable			1,791,275				216,856				991,813				216,856
Commissions and other trading fees payable on open contracts			108,594				138,206				134,503				138,206
Cash Managers fees payable			114,272				109,594				111,971				109,594
General Partner management and performance fees payable			783,567				789,152				737,255				789,152
General Partner 1% allocation payable			391,629				—				165,646				—
Selling agent and broker dealer servicing fees payable – General Partner			724,079				735,514				683,460				735,514
Administrative expenses payable – General Partner			153,112				155,471				138,632				155,471
Investment Manager fees payable			120,725				83,884				128,687				83,884
Distribution (12b-1) fees payable			2,280				2,204				2,705				2,204
Operating services fee payable			16,557				33,554				17,648				33,554
Redemptions payable			9,596,232				11,143,201				7,373,477				11,143,201
Subscriptions received in advance			1,657,373				1,086,965				1,729,565				1,086,965
Total liabilities			16,575,968				15,796,353				13,046,745				15,796,353

Partners’ Capital (Net Asset Value)
Class A Interests – 91,239.5336 and 98,034.9581 units outstanding at June 30, 2016 and December 31, 2015, respectively			407,113,938				412,948,548
Class B Interests – 31,453.9898 and 33,265.6588 units outstanding at June 30, 2016 and December 31, 2015, respectively			206,493,177				204,329,032
Class I Interests – 3,828.4541 units outstanding at June 30, 2016 and December 31, 2015, respectively			4,043,579				3,767,830
Class A Interests – 89,599.3012 and 98,034.9581 units outstanding at September 30, 2016 and December 31, 2015, respectively											384,625,756				412,948,548
Class B Interests – 30,700.6502 and 33,265.6588 units outstanding at September 30, 2016 and December 31, 2015, respectively											194,767,711				204,329,032
Class I Interests – 3,828.4541 units and 3,828.4541 units outstanding at September 30, 2016 and December 31, 2015, respectively											3,917,247				3,767,830
Non-controlling interest			27,574,990				22,540,476				32,325,354				22,540,476
Total partners’ capital (net asset value)			645,225,684				643,585,886				615,636,068				643,585,886
Total liabilities and partners’ capital (net asset value)		$	661,801,652			$	659,382,239			$	628,682,813			$	659,382,239

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

Futures Portfolio Fund, Limited Partnership

Consolidated Condensed Schedule of Investments
~~June~~

September 30, 2016 (unaudited)

Description Fair Value % of Partners’
Capital (Net
Asset Value)
INVESTMENTS IN SECURITIES
U.S. Treasury Securities
Face Value Maturity Date Name Yield¹
$          40,000,000 9/22/16 U.S. Treasury Bill 0.20% $          39,977,600 6.19%
           11,500,000 7/15/16 U.S. Treasury Notes 0.63%              11,533,633 1.79%
             5,000,000 8/15/16 U.S. Treasury Notes 0.63%               5,013,312 0.78%
             4,600,000 8/31/16 U.S. Treasury Notes 1.00%               4,620,067 0.72%
             4,400,000 11/30/16 U.S. Treasury Notes 2.75%               4,453,721 0.69%
             4,000,000 3/31/17 U.S. Treasury Notes 0.50%               4,005,379 0.62%
             2,000,000 4/30/17 U.S. Treasury Notes 0.50%               2,001,589 0.31%
             2,000,000 4/30/18 U.S. Treasury Notes 0.75%               2,008,465 0.31%
Total U.S. Treasury securities (cost:  $73,614,654)              73,613,766 11.41%

U.S. Commercial Paper
Face Value Maturity Date Name Yield¹
Automotive
$            2,100,000 7/7/16 Hyundai Capital America 0.70%               2,099,756 0.33%
             1,200,000 10/28/16 Hyundai Capital America 0.76%               1,196,080 0.19%
             2,000,000 7/1/16 Nissan Motor Acceptance Corporation 0.67%               2,000,000 0.31%
               400,000 7/22/16 PACCAR Financial Corp. 0.48%                  399,888 0.06%
Banks
               400,000 7/6/16 Bank of Tokyo-Mitsubishi UFJ, Ltd. 0.63%                  399,965 0.06%
             1,500,000 7/15/16 Bank of Tokyo-Mitsubishi UFJ, Ltd. 0.63%               1,499,633 0.23%
             1,700,000 7/22/16 Mizuho Bank, Ltd. 0.60%               1,699,405 0.26%
               400,000 8/9/16 Mizuho Bank, Ltd. 0.58%                  399,749 0.06%
             1,600,000 9/9/16 Oversea-Chinese Banking Corporation Ltd 0.59%               1,598,164 0.25%
               400,000 9/1/16 Oversea-Chinese Banking Corporation Ltd 0.58%                  399,600 0.06%
             2,100,000 7/18/16 Standard Chartered Bank 0.62%               2,099,385 0.33%
Beverages
             1,700,000 7/20/16 Bacardi U.S.A., Inc. 0.79%               1,699,291 0.26%
             1,400,000 7/5/16 Brown-Forman Corporation 0.56%               1,399,913 0.22%
               500,000 7/7/16 Brown-Forman Corporation 0.58%                  499,952 0.08%
             1,700,000 11/17/16 Coca-Cola Company 1.02%               1,695,491 0.26%
             1,000,000 1/4/17 Coca-Cola Company 0.96%                  996,042 0.15%
Commerical
             1,200,000 9/14/16 ERAC USA Finance LLC 0.25%               1,197,826 0.19%
Diversified financial services
             1,500,000 7/5/16 DCAT, LLC 0.66%               1,499,890 0.23%
             1,700,000 8/12/16 Gotham Funding Corporation 0.50%               1,699,008 0.26%
               500,000 7/1/16 ING (U.S.) Funding LLC 0.54%                  500,000 0.08%
               400,000 7/11/16 Intercontinental Exchange, Inc. 0.50%                  399,944 0.06%
             1,700,000 8/10/16 Intercontinental Exchange, Inc. 0.53%               1,698,999 0.26%
               400,000 9/2/16 J.P. Morgan Securities LLC 0.63%                  399,559 0.06%
             1,600,000 7/8/16 Manhattan Asset Funding Company LLC 0.50%               1,599,844 0.25%
             1,450,000 8/16/16 Nieuw Amsterdam Receivables Corporation 0.55%               1,448,981 0.22%
Electronics
             1,500,000 7/13/16 Amphenol Corporation 0.75%               1,499,625 0.23%
Energy
             2,000,000 7/27/16 Dominion Resources, Inc. 0.75%               1,998,917 0.31%
             1,900,000 7/13/16 Duke Energy Corporation 0.76%               1,899,519 0.29%
               500,000 7/25/16 Oglethorpe Power Corporation 0.48%                  499,840 0.08%
             2,100,000 7/18/16 Pacific Gas and Electric Company 0.70%               2,099,306 0.33%
             1,700,000 7/6/16 Questar Corporation 0.66%               1,699,844 0.26%

						Description						Fair Value				% of Partners’ Capital (Net Asset Value)
INVESTMENTS IN SECURITIES
U.S. Treasury Securities
	Face Value			Maturity Date		Name			Yield¹
$	20,000,000			10/20/16		U.S. Treasury Bill			0.06	%		$	19,997,834				3.25	%
	20,000,000			11/17/16		U.S. Treasury Bill			0.25	%			19,995,733				3.25	%
	20,000,000			12/22/16		U.S. Treasury Bill			0.17	%			19,989,164				3.25	%
	5,500,000			11/30/16		U.S. Treasury Notes			0.88	%			5,521,343				0.90	%
	4,400,000			11/30/16		U.S. Treasury Notes			2.75	%			4,457,516				0.72	%
	7,650,000			1/31/17		U.S. Treasury Notes			0.50	%			7,659,734				1.24	%
	6,950,000			2/28/17		U.S. Treasury Notes			0.50	%			6,955,408				1.13	%
	4,900,000			8/15/17		U.S. Treasury Notes			0.88	%			4,914,854				0.80	%
	1,500,000			12/31/17		U.S. Treasury Notes			0.75	%			1,503,371				0.24	%
Total U.S. Treasury securities (cost: $91,064,456)													90,994,957				14.78	%

U.S. Commercial Paper
Face Value				Maturity Date		Name			Yield¹
Automotive
$	400,000			11/8/16		Caterpillar Financial Services Corporation			0.50	%			399,790				0.06	%
	1,900,000			11/16/16		Ford Motor Credit Company LLC			0.70	%			1,898,301				0.31	%
	2,100,000			10/5/16		Hyundai Capital America			0.71	%			2,099,834				0.34	%
	1,200,000			10/28/16		Hyundai Capital America			0.76	%			1,199,238				0.19	%
	2,000,000			10/3/16		Nissan Motor Acceptance Corporation			0.70	%			1,999,922				0.32	%
Banks
	1,700,000			8/24/17		Danske Corporation			1.44	%			1,678,021				0.27	%
	1,500,000			10/14/16		Mitsubishi UFJ Trust & Banking Corp			0.75	%			1,499,594				0.24	%
	500,000			10/13/16		Mizuho Bank			0.65	%			499,892				0.08	%
	500,000			11/3/16		Oversea-Chinese Banking Corp.			0.70	%			499,679				0.08	%
	1,600,000			10/24/16		Rabobank USA Finance Corp.			0.69	%			1,599,295				0.26	%
	500,000			11/7/16		Rabobank USA Finance Corp.			0.75	%			499,615				0.08	%
	2,100,000			11/15/16		Standard Chartered Bank			0.68	%			2,098,215				0.34	%
	1,800,000			9/12/17		Standard Chartered Bank			1.54	%			1,773,593				0.29	%
	1,600,000			11/4/16		Sumitomo Mitsui Banking Corporation			0.60	%			1,599,093				0.26	%
	500,000			12/19/16		Sumitomo Mitsui Banking Corporation			0.88	%			499,034				0.08	%
	400,000			10/4/16		The Bank of Tokyo-Mitsubishi UFJ, Ltd.			0.67	%			399,978				0.06	%
	1,600,000			12/12/16		Toronto Dominion Holdings (U.S.A.), Inc.			0.83	%			1,597,344				0.26	%
	2,000,000			10/14/16		United Overseas Bank Limited			0.70	%			1,999,494				0.32	%
Beverages
	2,000,000			10/26/16		Brown-Forman Corporation			0.55	%			1,999,236				0.32	%
	1,700,000			11/17/16		The Coca-Cola Company			1.02	%			1,699,009				0.28	%
Diversified financial services
	2,200,000			11/22/16		American Express Credit Corporation			0.73	%			2,197,680				0.36	%
	1,600,000			10/4/16		DCAT, LLC			0.65	%			1,599,913				0.26	%
	1,700,000			10/6/16		Fairway Financial Corporation			0.65	%			1,699,847				0.28	%
	1,700,000			12/14/16		Gotham Funding Corporation			0.98	%			1,696,575				0.28	%
	500,000			10/24/16		Intercontinental Exchange, Inc.			0.53	%			499,831				0.08	%
	1,700,000			11/14/16		Intercontinental Exchange, Inc.			0.54	%			1,698,878				0.28	%
	1,600,000			10/17/16		Liberty Street Funding LLC			0.70	%			1,599,502				0.26	%
	1,500,000			12/12/16		Manhattan Asset Funding Company LLC			0.96	%			1,497,120				0.24	%
	1,600,000			10/27/16		Thunder Bay Funding, LLC			0.50	%			1,599,422				0.26	%
Energy
	500,000			10/4/16		Dominion Resources, Inc.			0.71	%			499,970				0.08	%
	1,400,000			10/18/16		Dominion Resources, Inc.			0.76	%			1,399,498				0.23	%
	1,400,000			10/26/16		Oglethorpe Power Corporation			0.52	%			1,399,494				0.23	%
	400,000			11/4/16		Oglethorpe Power Corporation			0.50	%			399,811				0.06	%

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

2

Futures Portfolio Fund, Limited Partnership

Consolidated Condensed Schedule of Investments (continued)

September 30, 2016 (unaudited)

						Description						Fair Value				% of Partners’ Capital (Net Asset Value)
U.S. Commercial Paper (continued)
	Face Value			Maturity Date		Name			Yield¹
Energy (continued)
$	1,300,000			11/22/16		Schlumberger Holdings Corporation			0.27	%		$	1,298,532				0.21	%
	2,100,000			10/25/16		Sempra Energy Global Enterprises			0.92	%			2,098,712				0.34	%
	500,000			10/12/16		The Southern Company			0.76	%			499,884				0.08	%
Healthcare
	2,100,000			10/17/16		Catholic Health Initiatives			0.85	%			2,099,207				0.35	%
Insurance
	1,700,000			11/14/16		Nationwide Life Insurance Company			0.54	%			1,698,878				0.28	%
	500,000			11/14/16		Nationwide Life Insurance Company			0.54	%			499,670				0.08	%
	500,000			11/8/16		New York Life Capital Corporation			0.50	%			499,736				0.08	%
Nonprofit
	500,000			10/12/16		The Salvation Army USA			0.65	%			499,901				0.08	%
Pharmaceuticals
	2,200,000			3/20/17		Pfizer Inc.			0.83	%			2,191,400				0.37	%
REIT
	1,600,000			10/25/16		Simon Property Group, L.P.			0.50	%			1,599,467				0.26	%
Total U.S. commercial paper (cost: $58,248,898)													58,311,105				9.47	%

Foreign Commercial Paper
	Face Value			Maturity Date		Name			Yield¹
Banks
$	500,000			10/26/16		John Deere Financial Limited			0.47	%			499,836				0.08	%

	500,000			11/2/16		Bank of Nova Scotia			0.70	%			499,689				0.08	%
	400,000			10/5/16		Commonwealth Bank of Australia			0.58	%			399,974				0.06	%
	1,600,000			10/6/16		DBS Bank Ltd.			0.60	%			1,599,867				0.27	%
	400,000			12/21/16		DBS Bank Ltd.			0.96	%			399,136				0.06	%
	700,000			10/17/16		Macquarie Bank Limited			1.02	%			699,814				0.11	%
	500,000			10/26/16		Skandinaviska Enskilda Banken AB			0.60	%			499,792				0.08	%

	400,000			11/21/16		BASF SE			0.65	%			399,632				0.06	%
	1,500,000			1/9/17		BASF SE			0.70	%			1,497,067				0.25	%

	1,200,000			1/6/17		Electricite de France			1.05	%			1,196,583				0.19	%
	800,000			1/9/17		Electricite de France			1.06	%			797,639				0.13	%
	2,000,000			10/11/16		Engie			0.75	%			1,999,583				0.33	%
	1,000,000			11/10/16		Engie			0.49	%			999,453				0.16	%

	400,000			10/3/16		Reckitt Benckiser Treasury Services PLC			0.60	%			399,987				0.06	%
	1,800,000			8/30/17		Reckitt Benckiser Treasury Services PLC			1.18	%			1,780,428				0.30	%

	1,500,000			10/27/16		AstraZeneca PLC			0.70	%			1,499,242				0.25	%

	1,200,000			9/13/17		Vodafone Group Public Limited Company			1.62	%			1,181,544				0.19	%
Total foreign commercial paper (cost: $16,287,119)													16,349,266				2.66	%
Total commercial paper (cost: $74,536,017)													74,660,371				12.13	%

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

3

Futures Portfolio Fund, Limited Partnership
Consolidated Condensed Schedule of Investments (continued)
~~June~~September 30, 2016 (unaudited)

Description Fair Value % of Partners’
Capital (Net
Asset Value)
U.S. Commercial Paper (continued)
Face Value Maturity Date Name Yield¹
Healthcare
$            2,100,000 7/11/16 Catholic Health Initiatives 0.72% $             2,099,580 0.33%
Household products
               500,000 8/2/16 Clorox Company 0.70%                  499,689 0.08%
Life insurance
             1,600,000 8/4/16 AXA Financial, Inc. 0.70%               1,598,942 0.25%
             2,100,000 7/12/16 Nationwide Life Insurance Company 0.52%               2,099,666 0.33%
Pharmaceutical
               400,000 7/25/16 Pfizer Inc. 0.46%                  399,877 0.06%
REITs
               500,000 7/6/16 Simon Property Group, L.P. 0.50%                  499,965 0.08%
             1,600,000 8/8/16 Simon Property Group, L.P. 0.50%               1,599,156 0.25%
Total U.S. commercial paper (cost:  $48,971,034)              49,020,291 7.60%

Foreign Commercial Paper
Face Value Maturity Date Name Yield¹
Banks
$               500,000 8/26/16 Bank of Nova Scotia 0.60%                  499,533 0.08%
             1,700,000 7/8/16 DBS Bank Ltd. 0.59%               1,699,805 0.27%
               500,000 8/19/16 DNB Bank ASA 0.51%                  499,653 0.08%
             1,000,000 8/18/16 HSBC Bank PLC 0.51%                  999,393 0.15%
               700,000 10/17/16 Macquarie Bank Limited 1.02%                  698,468 0.11%
               500,000 8/31/16 Nordea Bank AB 0.55%                  499,534 0.08%
Chemicals
             1,500,000 1/9/17 BASF SE 1.00%               1,493,141 0.23%
Diversified financial services
               500,000 7/8/16 Ontario Teachers Finance Trust 0.55%                  499,947 0.08%
Energy
             1,200,000 1/6/17 Electricite de France 1.11%               1,192,014 0.18%
               800,000 1/9/17 Electricite de France 1.11%                  794,579 0.12%
             2,000,000 7/18/16 Engie 0.75%               1,999,292 0.31%
             1,000,000 11/10/16 Engie 0.49%                  997,580 0.15%
               400,000 7/15/16 Total Capital Canada Ltd. 0.59%                  399,908 0.06%
             1,500,000 8/1/16 Total Capital Canada Ltd. 0.60%               1,499,225 0.23%
Household products
             2,000,000 10/3/16 Reckitt Benckiser Treasury Services PLC 0.50%               1,997,055 0.31%
Pharmaceutical
             1,700,000 8/8/16 Novartis Securities Investment Ltd. 0.49%               1,699,121 0.26%
               500,000 8/24/16 Novartis Securities Investment Ltd. 0.52%                  499,610 0.08%
Telecommunications
             1,350,000 1/23/17 Vodafone Group Public Limited Company 1.02%               1,340,227 0.21%
Total foreign commercial paper (cost:  $19,245,828)              19,308,085 2.99%
Total commercial paper (cost:  $68,216,862)              68,328,376 10.59%

U.S. Corporate Notes
Face Value Maturity Date Name Yield¹ ��
Advertising
$            1,800,000 12/15/16 Rockwell Collins, Inc. 1.00%               1,802,062 0.28%
Automotive
               566,000 7/13/18 American Honda Finance Corporation 1.09%                  568,637 0.09%
               368,000 2/22/19 American Honda Finance Corporation 1.48%                  372,664 0.06%
             2,500,000 9/15/16 Daimler Finance North America LLC 2.63%               2,527,773 0.39%

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

~~Futures Portfolio Fund, Limited Partnership~~
~~Consolidated Condensed Schedule of Investments (continued)~~
~~June 30, 2016 (unaudited)~~

					Description					Fair Value		% of Partners’ Capital (Net Asset Value)						Description						Fair Value				% of Partners’ Capital (Net Asset Value)
U.S. Corporate Notes (continued)
U.S. Corporate Notes													U.S. Corporate Notes
Face Value													Face Value			Maturity Date		Name			Yield¹
Aerospace													Aerospace
$													1,800,000			12/15/16		Rockwell Collins, Inc.			1.20	%		$	1,802,369				0.29	%
Automotive													Automotive
	Face Value		Maturity Date		Name		Yield¹						566,000			7/13/18		American Honda Finance Corporation			1.13	%			570,072				0.09	%
Automotive (continued)
$	438,000		3/10/17		Daimler Finance North America LLC		1.13%		$	439,519		0.07%
	649,000		8/3/17		Daimler Finance North America LLC		1.35%			650,876		0.10%	368,000			2/22/19		American Honda Finance Corporation			1.64	%			373,110				0.06	%
	6,700,000		3/2/18		Daimler Finance North America LLC		1.11%			6,661,307		1.03%	438,000			3/10/17		Daimler Finance North America LLC			1.13	%			438,317				0.07	%
	6,500,000		1/9/18		Ford Motor Credit Company LLC		1.57%			6,523,464		1.01%	649,000			8/3/17		Daimler Finance North America LLC			1.47	%			652,656				0.11	%
	850,000		1/9/18		Ford Motor Credit Company LLC		1.57%			853,068		0.13%	6,700,000			3/2/18		Daimler Finance North America LLC			1.26	%			6,691,119				1.09	%
	1,422,000		4/6/18		Nissan Motor Acceptance Corporation		1.43%			1,426,366		0.22%	7,350,000			1/9/18		Ford Motor Credit Company LLC			1.60	%			7,405,896				1.20	%
	1,400,000		9/23/16		Toyota Motor Credit Corporation		0.74%			1,400,620		0.22%	1,422,000			4/6/18		Nissan Motor Acceptance Corporation			1.46	%			1,426,584				0.23	%
	1,000,000		3/27/17		Toyota Motor Credit Corporation		0.97%			1,001,080		0.16%	1,000,000			3/27/17		Toyota Motor Credit Corporation			1.18	%			1,001,150				0.16	%
	670,000		2/19/19		Toyota Motor Credit Corporation		1.45%			670,564		0.10%	670,000			2/19/19		Toyota Motor Credit Corporation			1.63	%			679,139				0.11	%
	500,000		5/23/17		Volkswagen Group of America Finance, LLC		1.02%			497,025		0.08%	500,000			5/23/17		Volkswagen Group of America Finance, LLC			1.19	%			498,113				0.08	%
	200,000		11/20/17		Volkswagen Group of America Finance, LLC		1.08%			198,741		0.03%	200,000			11/20/17		Volkswagen Group of America Finance, LLC			1.25	%			199,044				0.03	%
Banks	Banks												Banks
	800,000		11/14/16		Bank of America, National Association		1.10%			801,824		0.12%	1,473,000			11/14/16		Bank of America			1.13	%			1,479,315				0.24	%
	1,473,000		11/14/16		Bank of America, National Association		1.13%			1,476,050		0.23%	800,000			11/14/16		Bank of America			1.29	%			801,916				0.13	%
	500,000		2/13/17		Capital One Bank		1.20%			502,553		0.08%	500,000			2/13/17		Capital One Bank			1.20	%			500,451				0.08	%
	1,800,000		5/26/17		Credit Suisse AG		1.38%			1,803,895		0.28%	8,000,000			4/27/18		Credit Suisse AG			1.41	%			8,030,011				1.31	%
	8,000,000		4/27/18		Credit Suisse AG		1.31%			8,007,458		1.23%	1,000,000			2/23/18		PNC Realty Investors, Inc.			1.50	%			1,004,637				0.16	%
	880,000		8/2/16		Huntington National Bank		1.35%			884,966		0.14%	900,000			11/20/16		The Huntington National Bank			1.30	%			904,556				0.15	%
	900,000		11/20/16		Huntington National Bank		1.30%			902,346		0.14%	1,800,000			1/30/17		U.S. Bank National Association			1.10	%			1,803,639				0.29	%
	1,000,000		12/21/16		Mizuho Securities USA Inc.		0.51%			1,000,194		0.16%	500,000			8/23/17		U.S. Bank National Association			1.27	%			501,555				0.08	%
	1,123,000		9/19/16		PNC Funding Corp		2.70%			1,134,175		0.18%	806,000			9/11/17		U.S. Bank National Association			1.05	%			806,492				0.13	%
	570,000		10/3/16		PNC Realty Investors, Inc.		1.30%			572,401		0.09%	450,000			1/29/18		U.S. Bank National Association			1.45	%			452,362				0.07	%
	1,000,000		2/23/18		PNC Realty Investors, Inc.		1.50%			1,012,406		0.16%	1,722,000			9/8/17		Wells Fargo & Company			1.40	%			1,723,024				0.28	%
	1,800,000		1/30/17		U.S. Bank National Association		1.10%			1,809,183		0.28%	834,000			1/22/18		Wells Fargo Bank, National Association			1.44	%			840,243				0.14	%
	500,000		8/23/17		U.S. Bank National Association		1.10%			500,941		0.08%
	806,000		9/11/17		U.S. Bank National Association		0.86%			805,659		0.12%
	1,722,000		9/8/17		Wells Fargo & Company		1.40%			1,734,866		0.27%
	834,000		1/22/18		Wells Fargo Bank, National Association		1.38%			839,905		0.13%
Beverages	Beverages												Beverages
	3,617,000		1/15/18		Anheuser-Busch Companies, LLC		5.50%			3,951,902		0.61%	3,617,000			1/15/18		Anheuser-Busch Companies, LLC			5.50	%			3,864,913				0.63	%
	1,000,000		1/15/17		SABMiller Holdings Inc.		2.45%			1,017,920		0.16%	1,000,000			1/15/17		SABMiller Holdings Inc.			2.45	%			1,008,165				0.16	%
Commercial services
	4,000,000		12/14/17		Visa Inc.		1.20%			4,019,587		0.62%
Computers	Computers												Computers
	800,000		5/3/18		Apple Inc.		0.89%			801,498		0.12%
	2,000,000		2/22/19		Apple Inc.		1.70%			2,046,429		0.32%	800,000			5/3/18		Apple Inc.			1.01	%			801,619				0.13	%
	3,000,000		2/22/19		Apple Inc.		1.47%			3,038,210		0.47%	3,000,000			2/22/19		Apple Inc.			1.64	%			3,050,411				0.50	%
	650,000		2/22/19		Apple Inc.		1.70%			665,089		0.10%	2,650,000			2/22/19		Apple Inc.			1.70	%			2,686,555				0.44	%
Diversified financial services	Diversified financial services												Diversified financial services
	1,800,000		9/19/16		American Express Credit Corporation		2.80%			1,821,926		0.28%	1,000,000			6/5/17		American Express Credit Corporation			1.11	%			997,767				0.16	%
	1,000,000		6/5/17		American Express Credit Corporation		0.95%			996,140		0.15%	1,226,000			3/7/18		Berkshire Hathaway Finance Corporation			1.38	%			1,235,112				0.20	%
	1,615,000		7/28/16		Bank of New York Company, Inc.		2.30%			1,632,381		0.25%	1,400,000			4/3/17		Branch Banking and Trust Company			1.00	%			1,406,495				0.23	%
	1,500,000		8/15/16		Berkshire Hathaway Finance Corporation		0.95%			1,505,908		0.23%	800,000			5/10/19		Branch Banking and Trust Company			1.29	%			803,431				0.13	%
	1,226,000		3/7/18		Berkshire Hathaway Finance Corporation		1.23%			1,233,272		0.19%	3,600,000			10/15/18		Intercontinental Exchange, Inc.			2.50	%			3,728,260				0.61	%
	1,400,000		4/3/17		Branch Banking and Trust Company		1.00%			1,403,716		0.22%	798,000			4/5/17		MassMutual Global Funding II			2.00	%			809,068				0.13	%
	800,000		5/10/19		Branch Banking and Trust Company		1.16%			801,544		0.12%	1,000,000			4/10/17		Metropolitan Life Global Funding I			1.04	%			1,003,499				0.16	%
	1,500,000		7/15/16		Capital One Financial Corporation		3.15%			1,522,643		0.24%	3,500,000			4/10/17		Metropolitan Life Global Funding I			1.30	%			3,525,288				0.57	%
	400,000		12/15/17		Goldman Sachs Group, Inc.		1.45%			399,242		0.06%	1,000,000			12/21/16		Mizuho Securities USA Inc.			1.25	%			1,000,303				0.16	%
	3,500,000		2/15/19		Goldman Sachs Group, Inc.		7.50%			4,103,482		0.64%	1,060,000			10/18/16		Morgan Stanley			5.75	%			1,089,441				0.18	%
	3,000,000		4/25/19		Goldman Sachs Group, Inc.		1.68%			3,008,589		0.47%	5,900,000			1/9/17		Morgan Stanley			5.45	%			6,039,440				0.98	%
													500,000			2/1/19		Morgan Stanley			2.45	%			512,672				0.08	%
													8,125,000			2/9/18		MUFG Americas Holdings Corporation			1.36	%			8,125,534				1.33	%
													1,500,000			10/5/17		NYSE Euronext			2.00	%			1,526,067				0.25	%
													5,000,000			11/25/16		Pricoa Global Funding I			1.15	%			5,022,858				0.82	%
													1,675,000			6/27/18		Pricoa Global Funding I			1.14	%			1,675,354				0.27	%
													1,800,000			12/1/17		Principal Life Global Funding II			1.34	%			1,809,670				0.29	%

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

Futures Portfolio Fund, Limited Partnership
Consolidated Condensed Schedule of Investments (continued)
~~June~~September 30, 2016 (unaudited)

Description Fair Value % of Partners’
Capital (Net
Asset Value)
U.S. Corporate Notes (continued)
Face Value Maturity Date Name Yield¹
Diversified financial services (continued)
$            3,000,000 10/15/18 Intercontinental Exchange, Inc. 2.50% $              3,091,343 0.48%
             2,600,000 7/28/16 Jackson National Life Global Funding 0.89%               2,604,528 0.40%
               798,000 4/5/17 MassMutual Global Funding II 2.00%                  808,797 0.13%
             3,500,000 4/10/17 Metropolitan Life Global Funding I 1.30%               3,521,165 0.55%
             1,000,000 4/10/17 Metropolitan Life Global Funding I 1.01%               1,003,500 0.16%
             1,060,000 10/18/16 Morgan Stanley 5.75%               1,086,556 0.17%
             4,900,000 1/9/17 Morgan Stanley 5.45%               5,136,763 0.80%
             1,000,000 1/9/17 Morgan Stanley 5.45%               1,048,319 0.16%
               500,000 2/1/19 Morgan Stanley 2.45%                  515,195 0.08%
             8,125,000 2/9/18 MUFG Americas Holdings Corporation 1.20%               8,120,201 1.25%
             1,000,000 3/1/17 New York Life Global Funding 1.13%               1,005,816 0.16%
             1,614,000 10/30/17 New York Life Global Funding 1.30%               1,626,415 0.25%
             1,500,000 10/5/17 NYSE Euronext 2.00%               1,519,191 0.24%
             5,000,000 11/25/16 Pricoa Global Funding I 1.15%               5,009,671 0.78%
             1,675,000 6/27/18 Pricoa Global Funding I 0.50%               1,675,242 0.26%
             1,800,000 12/1/17 Principal Life Global Funding II 1.17%               1,804,391 0.28%
    ��        2,000,000 9/26/16 UBS AG 1.14%               2,001,603 0.31%
             1,000,000 6/1/17 UBS AG 1.38%               1,002,665 0.16%
             4,750,000 6/1/17 UBS AG 1.23%               4,756,923 0.74%
             1,757,000 12/13/16 USAA Capital Corporation 2.25%               1,778,159 0.28%
Energy
             1,000,000 8/1/16 Arizona Public Service Company 6.25%               1,029,836 0.16%
             1,461,000 11/9/17 Chevron Corporation 0.99%               1,462,971 0.23%
               500,000 9/15/16 Dayton Power and Light Company 1.88%                  503,580 0.08%
             1,000,000 8/15/16 Georgia Power Company 1.03%               1,001,741 0.16%
             3,350,000 12/1/17 Kinder Morgan, Inc. 2.00%               3,335,584 0.52%
             4,778,000 7/15/16 Pioneer Natural Resources Company 5.88%               4,916,038 0.76%
Healthcare
           10,000,000 6/7/18 Aetna Inc. 1.70%              10,092,389 1.55%
               500,000 1/15/18 Anthem, Inc. 1.88%                  507,778 0.08%
             1,500,000 3/15/18 Medtronic, Inc. 1.50%               1,520,560 0.24%
             7,750,000 1/17/17 UnitedHealth Group Incorporated 1.08%               7,807,318 1.20%
             4,775,000 4/1/18 Zimmer Biomet Holdings, Inc. 2.00%               4,843,283 0.75%
Insurance
             2,700,000 10/18/16 American International Group, Inc. 5.60%               2,764,086 0.43%
Machinery
               994,000 11/20/17 Caterpillar Financial Services Corporation 0.88%                  994,241 0.15%
               789,000 2/23/18 Caterpillar Financial Services Corporation 1.35%                  795,430 0.12%
               700,000 7/11/17 John Deere Capital Corporation 1.08%                  703,986 0.11%
             1,000,000 1/8/19 John Deere Capital Corporation 1.20%               1,007,456 0.16%
Manufacturing
             1,000,000 1/9/17 General Electric Capital Corporation 0.91%               1,003,173 0.16%
               241,000 2/25/17 Illinois Tool Works Inc. 0.90%                  241,882 0.04%
Pharmaceutical
             7,775,000 5/14/18 AbbVie Inc. 1.80%               7,847,619 1.21%
             1,400,000 10/7/16 Bayer US Finance LLC 0.88%               1,402,069 0.22%
               500,000 3/17/17 EMD FIN LLC 1.01%                  499,746 0.08%
               750,000 12/1/16 Gilead Sciences, Inc. 3.05%                  758,671 0.12%
REITs
               950,000 9/15/16 HCP, Inc. 6.30%                  976,288 0.15%

						Description						Fair Value				% of Partners’ Capital (Net Asset Value)
U.S. Corporate Notes (continued)
Face Value				Maturity Date		Name		Yield¹
Diversified financial services (continued)
$	400,000			12/15/17		The Goldman Sachs Group, Inc.			1.65	%		$	400,229				0.07	%
	3,500,000			2/15/19		The Goldman Sachs Group, Inc.			7.50	%			3,998,727				0.65	%
	3,000,000			4/25/19		The Goldman Sachs Group, Inc.			1.75	%			3,020,892				0.49	%
	1,000,000			6/1/17		UBS AG			1.38	%			1,004,280				0.16	%
	4,750,000			6/1/17		UBS AG			1.40	%			4,757,640				0.77	%
	4,500,000			12/14/17		Visa Inc.			1.20	%			4,537,065				0.74	%
Energy
	1,461,000			11/9/17		Chevron Corporation			1.15	%			1,467,993				0.24	%
	3,350,000			12/1/17		Kinder Morgan, Inc.			2.00	%			3,387,375				0.55	%
Healthcare
	10,000,000			6/7/18		Aetna Inc.			1.70	%			10,081,441				1.65	%
	500,000			1/15/18		Anthem, Inc.			1.88	%			504,619				0.08	%
	1,500,000			3/15/18		Medtronic, Inc.			1.50	%			1,508,140				0.24	%
	7,750,000			1/17/17		UnitedHealth Group Incorporated			1.13	%			7,790,473				1.27	%
	4,775,000			4/1/18		Zimmer Biomet Holdings, Inc.			2.00	%			4,853,119				0.79	%
Insurance
	2,700,000			10/18/16		American International Group, Inc.			5.60	%			2,773,806				0.45	%
	352,000			8/15/18		Berkshire Hathaway Inc.			1.15	%			352,449				0.06	%
	1,000,000			3/1/17		New York Life Global Funding			1.13	%			1,001,359				0.16	%
	1,614,000			10/30/17		New York Life Global Funding			1.30	%			1,625,540				0.26	%
Manufacturing
	994,000			11/20/17		Caterpillar Financial Services Corporation			1.06	%			996,074				0.16	%
	789,000			2/23/18		Caterpillar Financial Services Corporation			1.52	%			795,945				0.13	%
	1,000,000			1/9/17		General Electric Capital Corporation			0.94	%			1,002,952				0.16	%
	241,000			2/25/17		Illinois Tool Works Inc.			0.90	%			241,122				0.04	%
	700,000			7/11/17		John Deere Capital Corporation			1.11	%			703,403				0.11	%
	1,000,000			1/8/19		John Deere Capital Corporation			1.23	%			1,007,108				0.16	%
Pharmaceuticals
	7,775,000			5/14/18		AbbVie Inc.			1.80	%			7,860,447				1.28	%
	1,400,000			10/7/16		Bayer US Finance LLC			0.91	%			1,403,059				0.23	%
	500,000			3/17/17		EMD FIN LLC			1.21	%			499,901				0.08	%
	750,000			12/1/16		Gilead Sciences, Inc.			3.05	%			760,198				0.12	%
Retail
	5,500,000			7/20/18		CVS Health Corporation			1.90	%			5,579,295				0.91	%
	783,000			7/15/17		Dollar General Corporation			4.13	%			807,483				0.13	%
	4,750,000			9/10/18		Home Depot, Inc.			2.25	%			4,861,969				0.79	%
	1,500,000			10/15/16		Lowe’s Companies, Inc.			5.40	%			1,538,709				0.25	%
	310,000			4/15/17		Lowe’s Companies, Inc.			1.63	%			313,168				0.05	%
Software
	2,000,000			8/18/17		IBM			1.25	%			2,009,871				0.33	%
	1,400,000			8/8/19		Microsoft Corporation			1.10	%			1,397,521				0.23	%
	900,000			7/7/17		Oracle Corporation			0.86	%			899,971				0.15	%
	600,000			4/15/18		Oracle Corporation			5.75	%			657,962				0.11	%
Telecommunications
	6,750,000			2/15/19		AT&T Inc.			5.80	%			7,476,307				1.21	%
	4,000,000			9/20/19		Cisco Systems, Inc.			1.20	%			4,011,343				0.65	%
	4,800,000			6/9/17		Verizon Communications, Inc.			1.23	%			4,805,778				0.78	%
	4,500,000			9/14/18		Verizon Communications, Inc.			2.61	%			4,627,622				0.75	%
Transportation
	4,500,000			10/28/16		Kansas City Southern			1.44	%			4,514,784				0.73	%
Total U.S. corporate notes (cost: $204,251,800)													204,144,831				33.16	%

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

Futures Portfolio Fund, Limited Partnership
Consolidated Condensed Schedule of Investments (continued)
~~June~~September 30, 2016 (unaudited)

Description Fair Value % of Partners’
Capital (Net
Asset Value)
U.S. Corporate Notes (continued)
Face Value Maturity Date Name Yield¹
Retail
$            3,500,000 7/20/18 CVS Health Corporation 1.90% $              3,585,775 0.56%
             4,750,000 9/10/18 Home Depot, Inc. 2.25%               4,928,446 0.76%
             1,500,000 10/15/16 Lowe`s Companies, Inc. 5.40%               1,536,927 0.24%
Software
             2,000,000 8/18/17 International Business Machines Corporation 1.08%               2,009,422 0.31%
               900,000 7/7/17 Oracle Corporation 0.83%                  899,264 0.14%
               600,000 4/15/18 Oracle Corporation 5.75%                  657,533 0.10%
Telecommunication
             1,500,000 8/15/16 AT&T Inc. 2.40%               1,516,225 0.23%
             2,000,000 2/15/19 AT&T Inc. 5.80%               2,267,622 0.35%
             2,150,000 9/15/16 Verizon Communications, Inc. 2.18%               2,159,267 0.33%
             4,800,000 6/9/17 Verizon Communications, Inc. 1.06%               4,805,979 0.74%
Transportation
             4,500,000 10/28/16 Kansas City Southern 1.33%               4,511,125 0.70%
Total U.S. corporate notes (cost:  $217,553,393)            217,361,819 33.69%

Foreign Corporate Notes
Face Value Maturity Date Name Yield¹
Banks
$            2,200,000 12/13/16 Bank of Nova Scotia 1.08%               2,202,791 0.34%
             2,365,000 9/9/16 Bank of Tokyo-Mitsubishi UFJ, Ltd. 1.55%               2,378,968 0.37%
             1,584,000 9/22/16 Barclays Bank PLC 5.00%               1,619,204 0.25%
             1,998,000 3/13/17 Commonwealth Bank of Australia 1.02%               1,999,382 0.31%
               548,000 1/19/17 Cooperatieve Rabobank U.A. 3.38%                  563,407 0.09%
             5,000,000 8/17/18 ING Bank N.V. 1.41%               4,979,098 0.77%
             1,500,000 8/15/16 Macquarie Bank Limited 2.00%               1,513,163 0.23%
               500,000 2/22/17 Macquarie Bank Limited 5.00%                  520,382 0.08%
             2,000,000 12/9/16 National Australia Bank Limited 0.91%               2,001,518 0.31%
             5,000,000 7/23/18 National Australia Bank Limited 1.28%               4,981,295 0.77%
             1,800,000 4/4/17 Svenska Handelsbanken AB 2.88%               1,835,355 0.28%
               882,000 9/29/17 Swedbank AB 2.13%                  896,005 0.14%
             1,500,000 7/23/18 Toronto-Dominion Bank 1.18%               1,499,254 0.23%
Diversified financial services
               800,000 1/29/18 Caisse centrale Desjardins 1.30%                  799,685 0.12%
Energy
             1,000,000 5/10/17 Shell International Finance B.V. 0.95%               1,002,472 0.16%
Manufactoring
               222,000 1/13/17 Hutchison Whampoa International (11) Limited 3.50%                  228,401 0.04%
Pharmaceuticals
             6,790,000 3/12/18 Actavis Funding SCS 1.74%               6,829,436 1.07%
Semiconductor
             1,520,000 10/17/16 Siemens Financieringsmaatschappij N.V. 5.75%               1,559,261 0.24%
Telecommunication
             1,287,000 9/8/16 America Movil, S.A.B. De C.V. 2.38%               1,300,237 0.20%
Total foreign corporate notes (cost:  $38,749,702)              38,709,314 6.00%
Total corporate notes (cost:  $256,303,095)            256,071,133 39.69%

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

~~Futures Portfolio Fund, Limited Partnership~~
~~Consolidated Condensed Schedule of Investments (continued)~~
~~June 30, 2016 (unaudited)~~

																		Description						Fair Value				% of Partners’ Capital (Net Asset Value)
Foreign Corporate Notes													Foreign Corporate Notes
Face Value													Face Value			Maturity Date		Name			Yield¹
Banks													Banks
$													1,000,000			2/2/17		ABN AMRO Bank N.V.			4.25	%		$	1,016,246				0.17	%
													2,200,000			12/13/16		Bank of Nova Scotia, The			1.27	%			2,203,569				0.36	%
					Description					Fair Value		% of Partners’ Capital (Net Asset Value)	1,998,000			3/13/17		Commonwealth Bank of Australia			1.21	%			2,001,051				0.33	%
													548,000			1/19/17		Cooperatieve Rabobank U.A.			3.38	%			555,406				0.09	%
													5,000,000			8/17/18		ING Bank N.V.			1.58	%			5,020,501				0.82	%
													500,000			2/22/17		Macquarie Bank Limited			5.00	%			509,534				0.08	%
													2,000,000			12/9/16		National Australia Bank Limited			1.08	%			2,002,374				0.33	%
													5,000,000			7/23/18		National Australia Bank Limited			1.35	%			5,003,343				0.81	%
													1,800,000			4/4/17		Svenska Handelsbanken AB			2.88	%			1,841,637				0.30	%
													882,000			9/29/17		Swedbank AB			2.13	%			888,546				0.14	%
													1,500,000			7/23/18		Toronto-Dominion Bank			1.25	%			1,501,334				0.24	%
Diversified financial services													Diversified financial services
													800,000			1/29/18		Caisse centrale Desjardins			1.42	%			801,028				0.13	%
													222,000			1/13/17		Hutchison Whampoa International Ltd			3.50	%			225,071				0.04	%
Energy													Energy
													1,000,000			5/10/17		Shell International Finance B.V.			1.13	%			1,002,848				0.16	%
Pharmaceuticals													Pharmaceuticals
													6,790,000			3/12/18		Actavis Funding SCS			1.93	%			6,878,855				1.11	%
Semiconductors													Semiconductors
													1,520,000			10/17/16		Siemens Financieringsmaatschappij N.V.			5.75	%			1,562,398				0.25	%
Total foreign corporate notes (cost: $32,963,498)													Total foreign corporate notes (cost: $32,963,498)												33,013,741				5.36	%
Total corporate notes (cost: $237,215,298)													Total corporate notes (cost: $237,215,298)												237,158,572				38.52	%

U.S. Asset Backed Securities	U.S. Asset Backed Securities												U.S. Asset Backed Securities
	Face Value		Maturity Date		Name		Yield¹
Face Value													Face Value			Maturity Date		Name			Yield¹
Automotive	Automotive												Automotive
$	1,521,000		10/15/18		Ally Auto Receivables Trust		1.17%		$	1,524,706		0.24%	1,440,857			10/15/18		Ally Auto Receivables Trust			1.17	%			1,443,643				0.23	%
	388,232		9/20/17		Ally Auto Receivables Trust 2014-SN2		1.03%			388,307		0.06%	174,417			9/20/17		Ally Auto Receivables Trust 2014-SN2			1.03	%			174,488				0.03	%
	490,821		3/15/18		Ally Auto Receivables Trust 2015-2		0.98%			491,015		0.08%	293,636			3/15/18		Ally Auto Receivables Trust 2015-2			0.98	%			293,843				0.05	%
	467,667		8/15/18		Ally Auto Receivables Trust 2016-1		1.20%			468,707		0.07%	343,842			8/15/18		Ally Auto Receivables Trust 2016-1			1.20	%			344,436				0.06	%
	881,196		1/8/19		AmeriCredit Automobile Receivables Trust 2006-A-F		1.07%			881,749		0.14%	603,769			1/8/19		AmeriCredit Automobile Receivables Tr 2006-A-F			1.07	%			604,225				0.10	%
	267,035		2/8/19		AmeriCredit Automobile Receivables Trust 2006-A-F		0.90%			267,120		0.04%	159,570			2/8/19		AmeriCredit Automobile Receivables Tr 2006-A-F			0.90	%			159,402				0.03	%
	2,000,000		6/10/19		AmeriCredit Automobile Receivables Trust 2014-3		1.15%			2,001,548		0.32%	1,526,164			6/10/19		AmeriCredit Automobile Receivables Trust 2014-3			1.15	%			1,527,700				0.25	%
	67,080		4/9/18		AmeriCredit Automobile Receivables Trust 2014-4		0.85%			67,108		0.01%	375,000			7/15/24		ARI Fleet Lease Trust			1.82	%			376,668				0.06	%
	375,000		7/15/24		ARI Fleet Lease Trust 2016-A		1.82%			376,316		0.06%	125,807			4/16/18		Bank of the West Auto Trust 2015-1			0.87	%			125,848				0.02	%
	237,953		4/16/18		Bank of the West Auto Trust 2015-1		0.87%			237,938		0.04%	675,000			1/22/18		BMW Vehicle Lease Trust			1.17	%			675,502				0.11	%
	675,000		1/22/18		BMW Vehicle Lease Trust		1.17%			675,876		0.10%	1,084,924			1/22/18		BMW Vehicle Lease Trust 2015-2			1.07	%			1,085,975				0.18	%
	1,321,914		1/22/18		BMW Vehicle Lease Trust 2015-2		1.07%			1,323,009		0.21%	812,000			5/28/19		BMW Vehicle Owner Trust 2016-A			0.99	%			811,695				0.13	%
	525,000		7/20/18		Capital Auto Receivables Asset Trust 2013-4		1.47%			526,081		0.08%	196,686			10/20/17		Capital Auto Receivables Asset Tr 2015-2			0.93	%			196,757				0.03	%
	400,433		10/20/17		Capital Auto Receivables Asset Trust 2015-2		0.85%			400,405		0.06%	525,000			7/20/18		Capital Auto Receivables Asset Trust 2013-4			1.47	%			526,002				0.09	%
	131,749		2/15/18		CarMax Auto Owner Trust 2014-4		0.67%			131,774		0.02%	324,513			6/15/18		CarMax Auto Owner Trust 2015-2			0.82	%			324,574				0.05	%
	573,190		6/15/18		CarMax Auto Owner Trust 2015-2		0.82%			573,214		0.09%	491,328			2/7/27		Chesapeake Funding LLC			1.01	%			490,451				0.08	%
	537,310		2/7/27		Chesapeake Funding LLC		0.94%			536,669		0.08%	400,000			7/15/19		Drive Auto Receivables Trust			1.67	%			401,489				0.07	%
	400,000		7/15/19		Drive Auto Receivables Trust		1.67%			400,997		0.06%	211,540			5/15/18		Fifth Third Auto Trust 2015-1			1.02	%			211,672				0.03	%
	4,626		3/20/19		Enterprise Fleet Financing, LLC		1.06%			4,627		0.00%	449,600			5/15/18		Ford Credit Auto Lease Trust 2015-B			1.04	%			450,080				0.07	%
	321,004		5/15/18		Fifth Third Auto Trust 2015-1		1.02%			321,265		0.05%	1,520,000			11/15/18		Ford Credit Auto Lease Trust 2016-A			1.42	%			1,525,370				0.25	%
	570,923		5/15/18		Ford Credit Auto Lease 2015-B		1.04%			571,229		0.09%	70,842			3/15/18		Ford Credit Auto Owner Trust 2012-D			0.67	%			70,851				0.01	%
	93,509		9/15/17		Ford Credit Auto Lease Trust 2014-B		0.89%			93,541		0.01%	266,494			3/15/18		Ford Credit Auto Owner Trust 2015-B			0.72	%			266,546				0.04	%
	1,520,000		11/15/18		Ford Credit Auto Lease Trust 2016-A		1.42%			1,523,579		0.24%	554,000			3/15/19		Ford Credit Auto Owner Trust 2016-B			1.08	%			554,181				0.09	%
	239,803		3/15/18		Ford Credit Auto Owner Trust 2012-D		0.67%			239,697		0.04%	342,000			1/15/19		Ford Credit Floorplan Master Owner Trust A			1.92	%			343,294				0.06	%
	589,631		3/15/18		Ford Credit Auto Owner Trust 2015-B		0.72%			589,685		0.09%
	554,000		3/15/19		Ford Credit Auto Owner Trust 2016-B		1.08%			554,753		0.09%
	500,000		7/20/19		GE Dealer Floorplan Master Note		0.83%			498,982		0.08%
	600,645		1/15/19		Harley-Davidson Motorcycle Trust 2015-2		0.80%			600,736		0.09%
	921,313		4/10/28		Hertz Fleet Lease Funding LP		0.84%			921,118		0.14%
	45,543		5/15/17		Honda Auto Receivables 2013-3 Owner Trust		0.77%			45,559		0.01%
	879,985		9/18/17		Honda Auto Receivables 2013-4 Owner Trust		0.69%			879,798		0.14%
	141,548		6/15/17		Honda Auto Receivables 2015-1 Owner Trust		0.70%			141,576		0.02%
	385,605		11/20/17		Honda Auto Receivables 2015-3 Owner Trust		0.92%			385,810		0.06%
	796,933		7/23/18		Honda Auto Receivables 2015-4 Owner Trust		0.82%			796,875		0.12%
	719,000		6/18/18		Honda Auto Receivables 2016-1 Owner Trust		1.01%			719,727		0.11%
	1,460,000		9/17/18		Honda Auto Receivables Owner Trust		1.13%			1,464,166		0.23%
	1,313,625		11/15/17		Hyundai Auto Lease Securitization Tr 2014-B		0.98%			1,314,541		0.20%
	169,456		10/16/17		Hyundai Auto Receivables Trust 2015-A		0.68%			169,478		0.03%
	585,592		11/15/18		Hyundai Auto Receivables Trust 2015-C		0.99%			585,854		0.09%
	713,000		6/17/19		Hyundai Auto Receivables Trust 2016-A		1.21%			714,952		0.11%
	1,785,000		7/16/18		MBALT 2016-A A2A 1.33 16 JUL 2018		1.34%			1,790,293		0.28%
	914,445		1/16/18		Mercedes-Benz Auto Lease Trust 2015-B		1.00%			915,123		0.14%
	1,089,145		11/15/17		Nissan Auto Lease Trust 2015-A		0.79%			1,089,267		0.17%
	346,467		8/15/18		Nissan Auto Receivables 2013-C Owner Trust		0.67%			346,275		0.05%
	367,920		9/15/17		Nissan Auto Receivables 2015-A Owner Trust		0.67%			367,954		0.06%
	1,005,000		4/15/19		Nissan Auto Receivables 2016-B Owner Trust		1.05%			1,007,191		0.16%
	101,504		11/21/17		Porsche Innovative Lease Owner Tr 2015-1		0.79%			101,461		0.02%
	427,028		9/17/18		Santander Drive Auto Receivables Trust 2014-4		1.08%			427,297		0.07%
	914,597		4/8/19		Santander Drive Auto Receivables Trust 2015-4		1.26%			915,658		0.14%
	305,481		11/15/18		Santander Drive Auto Receivables Trust 2015-5		1.12%			305,810		0.05%

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

Futures Portfolio Fund, Limited Partnership
Consolidated Condensed Schedule of Investments (continued)
~~June~~September 30, 2016 (unaudited)

Description Fair Value % of Partners’
Capital (Net
Asset Value)
U.S. Asset Backed Securities (continued)
Face Value Maturity Date Name Yield¹
Automotive (continued)
$               225,000 9/16/19 Santander Drive Auto Receivables Trust 2015-5 1.58% $                225,761 0.03%
               244,000 7/15/19 Santaner Drive Auto Receivables Tr 2016-1 1.41%                  244,524 0.04%
               376,113 2/15/18 Toyota Auto Receivables 2015 Co-owner Tr 0.77%                  376,204 0.06%
               617,000 8/15/17 Toyota Auto Receivables 2016-A Owner Trust 1.03%                  618,113 0.10%
                 77,792 8/21/17 Volkswagen Auto Loan Enhanced Trust 2013-1 0.56%                    77,768 0.01%
               303,761 4/20/18 Volkswagen Auto Loan Enhanced Trust 2013-2 0.70%                  303,221 0.05%
               288,759 10/22/18 Volkswagen Auto Loan Enhanced Trust 2014-1 0.91%                  287,878 0.04%
Commerical mortgage
             1,533,077 1/15/49 Banc of America Commercial Mortgage Trust 2007-1 5.43%               1,559,366 0.24%
               772,056 10/15/49 Citigroup Commercial Mortgage Trust 2006-C5 5.43%                  777,032 0.12%
               638,502 9/15/39 LB-UBS Commercial Mortgage Trust 2006-C6 5.37%                  640,891 0.10%
               970,075 12/12/49 ML-CFC Commercial Mortgage Trust 2006-4 5.17%                  979,793 0.15%
               467,442 2/12/44 Morgan Stanley Capital I Trust 2007-HQ11 0.58%                  464,046 0.07%
Credit card
             1,000,000 1/15/20 BA Credit Card Trust 0.73%               1,000,025 0.15%
             2,000,000 9/16/19 Capital One Multi-Asset Execution Trust 0.96%               2,002,083 0.31%
             1,500,000 1/15/20 Capital One Multi-Asset Execution Trust 1.26%               1,505,606 0.23%
               850,000 10/15/18 Chase Issuance Trust 1.01%                  850,832 0.13%
             2,000,000 9/7/18 Citibank Credit Card Issuance Trust 1.32%               2,010,217 0.31%
             1,760,000 11/7/18 Citibank Credit Card Issuance Trust 0.86%               1,762,646 0.27%
             1,500,000 2/22/19 Citibank Credit Card Issuance Trust 1.02%               1,507,053 0.23%
             1,000,000 3/15/21 World Financial Network Credit Card Master Note Trust 1.26%                  999,490 0.15%
Other
               234,931 8/15/18 CNH Equipment Trust 2013-B 0.69%                  234,813 0.04%
               474,966 2/15/18 John Deere Owner Trust 2015 0.87%                  475,112 0.07%
               985,000 10/15/18 John Deere Owner Trust 2016 1.15%                  986,420 0.15%
               184,816 12/15/17 Kubota Credit Owner Trust 2015-1 0.94%                  184,797 0.03%
Student loans
               203,548 5/16/22 Navient Private Education Loan Tr 2014-A 0.92%                  203,491 0.03%
                 28,605 8/15/25 SLM Private Education Loan Trust 2012-A 1.84%                    28,633 0.00%
                 24,842 8/15/23 SLM Private Education Loan Trust 2012-C 1.54%                    24,854 0.00%
               209,365 10/16/23 SLM Private Education Loan Trust 2012-E 1.19%                  209,312 0.03%
               164,357 8/15/22 SLM Private Education Loan Trust 2013-A 1.04%                  164,289 0.03%
Total U.S. asset backed securities (cost:  $52,425,892)              52,380,686 8.11%
Total investments in securities (cost:  $450,560,503) $          450,393,961 69.80%

CERTIFICATES OF DEPOSIT
U.S. Certificates of Deposit
Face Value Maturity Date Name Yield¹
Banks
$           1,000,000 6/30/17 Bank of Montreal 1.00% $              1,000,029 0.15%
             2,000,000 11/14/16 BMO Harris Bank National Association 1.09%               2,012,753 0.31%
             1,800,000 5/23/17 Canadian Imperial Bank of Commerce 1.02%               1,803,797 0.28%
             1,000,000 5/24/17 Canadian Imperial Bank of Commerce 1.06%               1,001,313 0.15%
             2,000,000 8/25/16 Cooperatieve Rabobank U.A. 0.82%               2,006,903 0.31%
             1,000,000 5/3/17 Credit Suisse Group AG 1.40%               1,003,464 0.16%
             1,622,000 5/24/17 National Bank of Canada 1.06%               1,620,573 0.25%
             2,000,000 2/13/17 Nordea Bank Finland PLC 0.91%               2,002,540 0.31%
             1,000,000 10/14/16 Royal Bank of Canada 0.88%               1,002,602 0.16%
             2,000,000 3/22/18 Royal Bank of Canada 1.35%               2,000,673 0.31%

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

~~Futures Portfolio Fund, Limited Partnership~~
~~Consolidated Condensed Schedule of Investments (continued)~~
~~June 30, 2016 (unaudited)~~

Description Fair Value % of Partners’
Capital (Net
Asset Value)
U.S. Certificates of Deposit (continued)
Face Value Maturity Date Name Yield¹
Banks (continued)
$            1,200,000 8/4/16 Standard Chartered Bank 0.80% $              1,209,168 0.19%
             1,800,000 3/30/17 State Street Bank and Trust Company 0.91%               1,800,046 0.28%
               700,000 7/5/16 Sumitomo Mitsui Banking Corporation 0.82%                  700,461 0.11%
             1,000,000 12/7/17 Svenska Handelsbanken AB 1.16%               1,002,025 0.15%
             2,000,000 11/8/16 Toronto-Dominion Bank 1.00%               2,014,683 0.31%
             2,000,000 5/3/17 Toronto-Dominion Bank 1.15%               2,005,758 0.31%
             1,000,000 7/21/16 U.S. Bank National Association 0.79%               1,003,843 0.16%
             1,500,000 1/19/17 Westpac Banking Corporation 0.98%               1,503,892 0.23%
             1,000,000 3/17/17 Westpac Banking Corporation 1.13%               1,004,730 0.16%
Total U.S. certificates of deposit (cost:  $27,619,193)              27,699,253 4.29%

Foreign Certificates of Deposit
Face Value Maturity Date Name Yield¹
Banks
$               591,000 12/5/16 Bank of Nova Scotia 0.56%                  591,409 0.09%
               705,000 8/17/16 Svenska Handelsbanken AB 0.81%                  705,969 0.11%
Total foreign certificates of deposit (cost:  $1,295,391)               1,297,378 0.20%

Total certificates of deposit (cost:  $28,914,584) $            28,996,631 4.49%

OPEN FUTURES CONTRACTS
Long U.S. Futures Contracts
Agricultural commodities $                899,801 0.14%
Currencies               1,577,787 0.24%
Energy                  189,246 0.03%
Equity indices               1,123,387 0.17%
Interest rate instruments²               7,878,610 1.22%
Metals²              10,046,511 1.57%
Single stock futures                  413,224 0.06%
Net unrealized gain (loss) on open long U.S. futures contracts              22,128,566 3.43%

Short U.S. Futures Contracts
Agricultural commodities               2,217,060 0.34%
Currencies               3,017,816 0.47%
Energy                (452,023) (0.07)%
Equity indices                    38,716 0.01%
Interest rate instruments                (980,539) (0.15)%
Metals²              (9,486,618) (1.48)%
Single stock futures                  (66,985) (0.01)%
Net unrealized gain (loss) on open short U.S. futures contracts              (5,712,573) (0.89)%

Total U.S. Futures Contracts - Net unrealized gain (loss) on open U.S. futures contracts              16,415,993 2.54%

						Description						Fair Value				% of Partners’ Capital (Net Asset Value)
U.S. Asset Backed Securities (continued)
Face Value				Maturity Date		Name		Yield¹
Automotive (continued)
$	500,000			7/20/19		GE Dealer Floorplan Master Note			0.91	%		$	499,929				0.08	%
	374,285			1/15/19		Harley-Davidson Motorcycle Trust 2015-2			0.80	%			374,283				0.06	%
	751,860			4/10/28		Hertz Fleet Lease Funding LP			0.93	%			752,274				0.12	%
	320,974			9/18/17		Honda Auto Receivables 2013-4 Owner Tr			0.69	%			320,984				0.05	%
	609,346			7/23/18		Honda Auto Receivables 2015-4 Owner Trust			0.82	%			608,991				0.10	%
	719,000			6/18/18		Honda Auto Receivables 2016-1 Owner Trust			1.01	%			719,464				0.12	%
	1,460,000			9/17/18		Honda Auto Receivables 2016-2 Owner Trust			1.13	%			1,462,860				0.24	%
	229,709			11/20/17		Honda Auto Receivables Owner Trust			0.92	%			229,880				0.04	%
	700,000			7/16/18		Hyundai Auto Lease Securitization Tr 2016-A			1.07	%			701,510				0.11	%
	586,997			11/15/17		Hyundai Auto Lease Securitization Trust			0.98	%			587,212				0.10	%
	451,498			11/15/18		Hyundai Auto Receivables Trust 2015-C			0.99	%			451,511				0.07	%
	713,000			6/17/19		Hyundai Auto Receivables Trust 2016-A			1.21	%			714,381				0.12	%
	1,785,000			7/16/18		Mercedes-Benz Auto Lease Trust			1.34	%			1,788,280				0.28	%
	649,738			1/16/18		Mercedes-Benz Auto Lease Trust 2015-B			1.00	%			650,200				0.11	%
	761,000			9/14/17		Mercedes-Benz Auto Receivables Trust			1.11	%			761,491				0.12	%
	622,736			11/15/17		Nissan Auto Lease Trust 2015-A			0.87	%			623,144				0.10	%
	234,105			8/15/18		Nissan Auto Receivables 2013-C Owner Trust			0.67	%			234,123				0.04	%
	52,884			9/15/17		Nissan Auto Receivables 2015-A Owner Tr			0.67	%			52,893				0.01	%
	1,005,000			4/15/19		Nissan Auto Receivables 2016-B Owner Trust			1.05	%			1,005,772				0.16	%
	509,000			5/15/19		Nissan Auto Receivables 2016-C Owner Trust			1.07	%			508,896				0.08	%
	45,522			11/21/17		Porsche Innovation Lease Owner Trust			0.79	%			45,528				0.01	%
	665,470			4/8/19		Santander Drive Auto Receivables Trust 2015-4			1.26	%			666,452				0.11	%
	180,168			11/15/18		Santander Drive Auto Receivables Trust 2015-5			1.12	%			180,394				0.03	%
	225,000			9/16/19		Santander Drive Auto Receivables Trust 2015-5			1.58	%			225,822				0.04	%
	246,028			2/15/18		Toyota Auto Receivables Owner Trust			0.85	%			246,183				0.04	%
	617,000			8/15/17		Toyota Auto Receivables Owner Trust			1.03	%			617,542				0.10	%
	551,000			1/15/19		Toyota Auto Receivables Owner Trust			1.00	%			551,088				0.09	%
	224,601			10/22/18		Volkswagen Auto Loan Enhanced Tr 2014-1			0.91	%			224,226				0.04	%
	197,352			4/20/18		Volkswagen Auto Loan Enhanced Trust 2013-2			0.70	%			197,242				0.03	%
Credit card
	1,000,000			1/15/20		BA Credit Card Trust			0.81	%			1,001,132				0.16	%
	300,000			6/15/20		Cabela’s Credit Card Master Note Trust			1.45	%			301,279				0.05	%
	2,000,000			9/16/19		Capital One Multi-Asset Execution Trust			0.96	%			2,001,025				0.32	%
	1,500,000			1/15/20		Capital One Multi-Asset Execution Trust			1.26	%			1,503,004				0.24	%
	850,000			10/15/18		Chase Issuance Trust			1.01	%			850,492				0.14	%
	1,760,000			11/7/18		Citibank Credit Card Issuance Trust			1.02	%			1,763,021				0.29	%
	1,500,000			2/22/19		Citibank Credit Card Issuance Trust			1.02	%			1,502,144				0.24	%
	1,000,000			3/15/21		World Financial Network Credit Card Master Note Tr			1.26	%			1,000,410				0.16	%
Other
	138,502			8/15/18		CNH Equipment Trust 2013-B			0.69	%			138,487				0.02	%
	500,000			3/23/20		Dell Equipment Finance Trust 2015-1			1.30	%			499,903				0.08	%
	985,000			10/15/18		John Deere Owner Trust			1.15	%			986,545				0.16	%
	298,107			2/15/18		John Deere Owner Trust 2015			0.87	%			298,124				0.05	%
	108,535			12/15/17		Kubota Credit Owner Trust 2015-1			0.94	%			108,552				0.02	%
Student loans
	52,504			5/16/22		Navient Private Education Loan Trust			1.00	%			52,528				0.01	%
	18,388			8/15/25		SLM Private Education Loan Trust 2012-A			1.92	%			18,410				0.00	%
	117,812			10/16/23		SLM Private Education Loan Trust 2012-E			1.27	%			117,877				0.02	%
	124,188			8/15/22		SLM Private Education Loan Trust 2013-A			1.12	%			124,344				0.02	%

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

Futures Portfolio Fund, Limited Partnership
Consolidated Condensed Schedule of Investments (continued)
~~June~~September 30, 2016 (unaudited)

Description Fair Value % of Partners’
Capital (Net
Asset Value)
Long Foreign Futures Contracts
Agricultural commodities $                  57,301 0.01%
Currencies                  441,405 0.07%
Energy                    15,548 0.00%
Equity indices               1,192,375 0.18%
Interest rate instruments²              12,064,934 1.87%
Metals                        237 0.00%
Net unrealized gain (loss) on open long foreign futures contracts              13,771,800 2.13%

Short Foreign Futures Contracts
Agricultural commodities                    36,957 0.01%
Currencies                  463,474 0.07%
Energy                    18,501 0.00%
Equity indices                (506,772) (0.08)%
Interest rate instruments                (913,789) (0.14)%
Metals                    (2,903) 0.00%
Single stock futures                  (11,123) 0.00%
Net unrealized gain (loss) on open short foreign futures contracts                (915,655) (0.14)%

Total foreign futures contracts - net unrealized gain (loss) on open foreign futures contracts              12,856,145 1.99%

Net unrealized gain (loss) on open futures contracts $            29,272,138 4.53%

OPEN FORWARD CURRENCY CONTRACTS
U.S. Forward Currency Contracts
Long $               (699,686) (0.11)%
Short               3,202,319 0.50%
Net unrealized gain (loss) on open U.S. forward currency contracts               2,502,633 0.39%

Foreign Forward Currency Contracts
Long                (518,383) (0.08)%
Short               2,086,597 0.32%
Net unrealized gain (loss) on open foreign forward currency contracts               1,568,214 0.24%

Net unrealized gain (loss) on open forward currency contracts $              4,070,847 0.63%

						Description						Fair Value				% of Partners’ Capital (Net Asset Value)
U.S. Asset Backed Securities (continued)
Face Value				Maturity Date		Name		Yield¹
Commercial mortgages
$	1,490,007			1/15/49		Banc of America Commercial Mortgage Tr 2007-1			5.43	%		$	1,504,947				0.24	%
	341,345			2/12/44		Morgan Stanley Capital I Trust 2007-HQ11			0.66	%			340,103				0.06	%
Total U.S. asset backed securities (cost: $43,095,685)													43,099,574				7.00	%
Total investments in securities (cost: $445,911,456)												$	445,913,474				72.43	%

CERTIFICATES OF DEPOSIT
U.S. Certificates of Deposit
Face Value				Maturity Date		Name			Yield¹
Banks
$	1,000,000			6/30/17		Bank of Montreal			1.10	%		$	1,001,675				0.16	%
	1,500,000			8/16/17		Bank of Montreal			1.28	%			1,505,603				0.24	%
	800,000			5/16/17		Bank of Nova Scotia			1.29	%			801,716				0.13	%
	2,000,000			11/14/16		BMO Harris Bank National Association			1.09	%			2,017,176				0.33	%
	1,800,000			5/23/17		Canadian Imperial Bank of Commerce			1.19	%			1,802,549				0.29	%
	1,000,000			5/24/17		Canadian Imperial Bank of Commerce			1.23	%			1,001,626				0.16	%
	250,000			5/3/17		Credit Suisse Group AG			1.40	%			251,665				0.04	%
	1,800,000			9/12/17		Credit Suisse Group AG			1.65	%			1,803,707				0.29	%
	1,800,000			5/26/17		DNB Bank ASA			1.24	%			1,803,070				0.29	%
	2,000,000			8/4/17		HSBC BANK USA			1.32	%			2,006,294				0.33	%
	1,000,000			3/15/17		Mitsubishi UFJ Trust & Banking Corp			1.25	%			1,000,795				0.16	%
	2,000,000			7/13/17		Mizuho Bank, Ltd.			1.30	%			2,004,781				0.33	%
	1,622,000			5/24/17		National Bank of Canada			1.23	%			1,624,570				0.26	%
	2,000,000			2/13/17		Nordea Bank Finland PLC			1.10	%			2,004,048				0.33	%
	1,500,000			3/1/17		Nordea Bank Finland PLC			1.19	%			1,502,908				0.24	%
	2,000,000			3/6/17		Rabobank USA Finance Corp.			1.18	%			2,002,595				0.33	%
	1,000,000			10/14/16		Royal Bank of Canada			0.92	%			1,002,217				0.16	%
	2,000,000			3/22/18		Royal Bank of Canada			1.57	%			2,005,709				0.33	%
	1,000,000			7/19/17		Sumitomo Mitsui Banking Corporation			1.45	%			1,003,196				0.16	%
	1,500,000			7/20/17		Sumitomo Mitsui Trust Bank Ltd			1.50	%			1,505,463				0.24	%
	1,000,000			8/8/17		Sumitomo Mitsui Trust Bank Ltd			1.53	%			1,002,944				0.16	%
	1,000,000			12/7/17		Svenska Handelsbanken AB			1.31	%			1,000,168				0.16	%
	850,000			7/26/17		The Norinchukin Bank			1.43	%			852,693				0.14	%
	1,150,000			7/27/17		The Norinchukin Bank			1.43	%			1,153,590				0.19	%
	2,000,000			5/3/17		The Toronto-Dominion Bank			1.15	%			2,008,466				0.33	%
	1,700,000			7/13/17		The Toronto-Dominion Bank			1.20	%			1,702,961				0.28	%
	750,000			9/22/17		Wells Fargo Bank, National Association			1.34	%			750,156				0.13	%
	1,500,000			1/19/17		Westpac Banking Corporation			1.04	%			1,504,624				0.24	%
	1,000,000			3/17/17		Westpac Banking Corporation			1.13	%			1,006,081				0.16	%
	750,000			7/14/17		Westpac Banking Corporation			1.23	%			751,316				0.13	%
	1,800,000			3/30/17		State Street Corporation			1.12	%			1,799,917				0.29	%
	900,000			7/14/17		State Street Corporation			1.13	%			902,602				0.15	%
Total U.S. certificates of deposit (cost: $43,969,193)													44,086,881				7.16	%

Foreign Certificates of Deposit
Face Value				Maturity Date		Name			Yield¹
Banks
$	591,000			12/5/16		Bank of Nova Scotia			0.56	%			591,668				0.10	%
Total foreign certificates of deposit (cost: $590,391)													591,668				0.10	%

Total certificates of deposit (cost: $44,559,584)												$	44,678,549				7.26	%

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

Futures Portfolio Fund, Limited Partnership
Consolidated Condensed Schedule of Investments (continued)
September 30, 2016 (unaudited)

		Description		Fair Value				% of Partners’ Capital (Net Asset Value)
OPEN FUTURES CONTRACTS
Long U.S. Futures Contracts
		Agricultural commodities		$	746,322				0.12	%
		Currencies			1,265,721				0.21	%
		Energy			70,056				0.01	%
		Equity indices			2,257,909				0.37	%
		Interest rate instruments			(156,098	)			(0.03	)%
		Metals			5,900,515				0.95	%
		Single stock futures			770,249				0.13	%
Net unrealized gain (loss) on open long U.S. futures contracts					10,854,674				1.76	%

Short U.S. Futures Contracts
		Agricultural commodities			1,843,263				0.30	%
		Currencies			591,725				0.10	%
		Energy			(2,079,194	)			(0.34	)%
		Equity indices			407,696				0.07	%
		Interest rate instruments			(212,069	)			(0.03	)%
		Metals²			(7,300,422	)			(1.19	)%
		Single stock futures			16,954				0.00	%
Net unrealized gain (loss) on open short U.S. futures contracts					(6,732,047	)			(1.09	)%

Total U.S. Futures Contracts - Net unrealized gain (loss) on open U.S. futures contracts					4,122,627				0.67	%

Long Foreign Futures Contracts
		Agricultural commodities			19,866				0.00	%
		Currencies			216,531				0.04	%
		Energy			55,533				0.01	%
		Equity indices			1,447,089				0.24	%
		Interest rate instruments			3,372,117				0.54	%
		Metals			—				0.00	%
		Single stock futures			404				0.00	%
Net unrealized gain (loss) on open long foreign futures contracts					5,111,540				0.83	%

Short Foreign Futures Contracts
		Agricultural commodities			69,275				0.01	%
		Currencies			413,382				0.07	%
		Energy			(67,020	)			(0.01	)%
		Equity indices			(9,643	)			0.00	%
		Interest rate instruments			(611,139	)			(0.10	)%
		Metals			6,572				0.00	%
		Single stock futures			—				0.00	%
Net unrealized gain (loss) on open short foreign futures contracts					(198,573	)			(0.03	)%

Total foreign futures contracts - net unrealized gain (loss) on open foreign futures contracts					4,912,967				0.80	%

Net unrealized gain (loss) on open futures contracts				$	9,035,594				1.47	%

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

Futures Portfolio Fund, Limited Partnership
Consolidated Condensed Schedule of Investments (continued)
September 30, 2016 (unaudited)

		Description		Fair Value			% of Partners’ Capital (Net Asset Value)
OPEN FORWARD CURRENCY CONTRACTS
U.S. Forward Currency Contracts
		Long		$	1,148,978			0.19	%
		Short			(901,517	)		(0.15	)%
Net unrealized gain (loss) on open U.S. forward currency contracts					247,461			0.04	%

Foreign Forward Currency Contracts
		Long			492,907			0.08	%
		Short			146,375			0.02	%
Net unrealized gain (loss) on open foreign forward currency contracts					639,282			0.10	%

Net unrealized gain (loss) on open forward currency contracts				$	886,743			0.14	%

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

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

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

Futures Portfolio Fund, Limited Partnership
Consolidated Condensed Schedule of Investments
December 31, 2015

						Description						Fair Value				% of Partners’ Capital (Net Asset Value)
INVESTMENTS IN SECURITIES
U.S. Treasury Securities
Face Value				Maturity Date		Name			Yield¹
$	50,000,000			2/18/16		U.S. Treasury Bill			0.09	%		$	49,993,194				7.77	%
	2,000,000			12/8/16		U.S. Treasury Bill			0.72	%			1,988,643				0.31	%
	10,500,000			1/15/16		U.S. Treasury Notes			0.38	%			10,517,770				1.63	%
	1,750,000			3/15/16		U.S. Treasury Notes			0.38	%			1,752,420				0.27	%
	1,500,000			6/30/16		U.S. Treasury Notes			0.50	%			1,499,781				0.23	%
	4,600,000			8/31/16		U.S. Treasury Notes			1.00	%			4,624,882				0.72	%
	1,500,000			10/31/16		U.S. Treasury Notes			1.00	%			1,505,484				0.23	%
	1,800,000			11/15/16		U.S. Treasury Notes			0.63	%			1,799,062				0.28	%
	1,500,000			11/30/16		U.S. Treasury Notes			2.75	%			1,529,797				0.24	%
	1,788,200			12/15/16		U.S. Treasury Notes			0.63	%			1,785,926				0.28	%
Total U.S. Treasury securities (cost: $77,027,397)													76,996,959				11.96	%

U.S. Commercial Paper
Face Value				Maturity Date		Name			Yield¹
Automotive
$	500,000			1/11/16		Nissan Motor Acceptance Corporation			0.50	%			499,928				0.08	%
	1,600,000			1/22/16		Nissan Motor Acceptance Corporation			0.78	%			1,599,272				0.25	%
Banks
	400,000			1/21/16		Standard Chartered Bank			0.27	%			399,940				0.06	%
Beverages
	2,100,000			1/6/16		Bacardi U.S.A., Inc.			0.51	%			2,099,851				0.33	%
	1,500,000			1/7/16		Brown-Forman Corporation			0.45	%			1,499,888				0.23	%
	500,000			1/7/16		Brown-Forman Corporation			0.45	%			499,963				0.08	%
	1,700,000			11/17/16		Coca-Cola Company			0.80	%			1,689,858				0.26	%
Chemicals
	500,000			1/14/16		Clorox Company			0.46	%			499,917				0.08	%
	1,500,000			1/27/16		Clorox Company			0.51	%			1,499,448				0.23	%
Diversified financial services
	375,000			1/19/16		American Express Credit Corporation			0.55	%			374,897				0.06	%
	1,700,000			1/15/16		DCAT, LLC			0.42	%			1,699,722				0.26	%
	1,700,000			1/5/16		Gotham Funding Corporation			0.28	%			1,699,947				0.26	%
	1,700,000			1/20/16		Hewlett Packard Enterprise Company			0.92	%			1,699,175				0.26	%
	400,000			3/2/16		ING (U.S.) Funding LLC			0.65	%			399,559				0.06	%
	1,700,000			1/4/16		Intercontinental Exchange, Inc.			0.42	%			1,699,940				0.26	%
	450,000			1/15/16		J.P. Morgan Securities LLC			0.25	%			449,956				0.07	%
	1,400,000			1/12/16		Manhattan Asset Funding Company LLC			0.27	%			1,399,885				0.22	%
	1,700,000			1/13/16		Regency Group, Inc.			0.40	%			1,699,773				0.26	%
	1,300,000			1/4/16		The Southern Company			0.53	%			1,299,943				0.20	%
Energy
	500,000			1/27/16		Dominion Resources, Inc.			0.67	%			499,758				0.08	%
	2,100,000			1/21/16		Enterprise Products Operating LLC			0.78	%			2,099,090				0.34	%
	2,100,000			1/7/16		Motiva Enterprises LLC			0.60	%			2,099,790				0.34	%
	400,000			1/5/16		Oglethorpe Power Corp.			0.32	%			399,986				0.06	%
	1,700,000			2/1/16		Oglethorpe Power Corp.			0.48	%			1,699,297				0.26	%

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

Futures Portfolio Fund, Limited Partnership
Consolidated Condensed Schedule of Investments (continued)
December 31, 2015

						Description						Fair Value				% of Partners’ Capital (Net Asset Value)
U.S. Commercial Paper (continued)
	Face Value			Maturity Date		Name			Yield¹
Healthcare
$	1,850,000			1/20/16		Catholic Health Initiatives			0.45	%		$	1,849,561				0.29	%
Insurance
	2,200,000			1/12/16		AXA Financial, Inc.			0.35	%			2,199,766				0.34	%
REIT
	1,500,000			2/9/16		Simon Property Group, L.P.			0.45	%			1,499,269				0.23	%
Total U.S. commercial paper (cost: $35,039,075)													35,057,379				5.45	%

Foreign Commercial Paper
	Face Value			Maturity Date		Name			Yield¹
Banks
$	1,400,000			6/2/16		Bank of China Hong Kong Ltd			0.99	%			1,394,628				0.22	%
	2,200,000			1/11/16		Bank of Tokyo-Mitsubishi UFJ, Ltd.			0.23	%			2,199,859				0.34	%
	400,000			2/11/16		DBS Bank Ltd.			0.54	%			399,754				0.06	%
	3,000,000			2/23/16		DNB Bank ASA			0.55	%			2,998,889				0.47	%
	700,000			10/17/16		Macquarie Bank Limited			0.89	%			695,151				0.11	%
	1,700,000			1/6/16		Mizuho Bank, Ltd.			0.29	%			1,699,932				0.26	%
	300,000			1/7/16		Mizuho Bank, Ltd.			0.30	%			299,985				0.05	%
	400,000			1/5/16		Oversea-Chinese Banking Corp. Ltd			0.40	%			399,982				0.06	%
	450,000			2/16/16		Skandinaviska Enskilda Banken AB			0.33	%			449,810				0.07	%
	1,600,000			3/16/16		Sumitomo Mitsui Bank			0.65	%			1,597,833				0.25	%
Diversified financial services
	500,000			4/1/16		Ontario Teachers Finance Trust			0.65	%			499,178				0.08	%
Energy
	1,200,000			1/6/17		Electricite de France SA			1.67	%			1,180,966				0.18	%
	800,000			1/9/17		Electricite de France SA			1.67	%			787,192				0.12	%
	1,600,000			1/25/16		Engie			0.30	%			1,599,680				0.25	%
	500,000			1/25/16		Engie			0.27	%			499,910				0.08	%
	400,000			1/21/16		Total Capital Canada Ltd.			0.45	%			399,900				0.06	%
Insurance
	1,700,000			1/19/16		Prudential PLC			0.25	%			1,699,788				0.26	%
Manufacturing
	2,000,000			1/13/16		John Deere Financial Limited			0.25	%			1,999,833				0.31	%
Telecommunications
	400,000			2/22/16		Telstra Corporation Limited			0.38	%			399,780				0.06	%
	1,000,000			3/21/16		Vodafone Group Public Limited Company			0.90	%			998,783				0.16	%
Total foreign commercial paper (cost: $22,169,024)													22,200,833				3.45	%
Total commercial paper (cost: $57,208,099)													57,258,212				8.90	%

U.S. Corporate Notes
	Face Value			Maturity Date		Name			Yield¹
Advertising
$	2,379,000			4/15/16		Omnicom Group Inc.			5.90	%			2,439,009				0.38	%
Aerospace
	1,200,000			5/1/16		Lockheed Martin Corporation			7.65	%			1,241,939				0.19	%
	3,800,000			12/15/16		Rockwell Collins, Inc.			0.86	%			3,803,447				0.59	%
Automotive
	1,584,000			2/28/17		American Honda Finance Corporation			2.13	%			1,612,408				0.25	%
	566,000			7/13/18		American Honda Finance Corporation			0.78	%			565,677				0.09	%
	700,000			1/11/16		Daimler Finance North America LLC			1.25	%			704,161				0.11	%
	2,500,000			9/15/16		Daimler Finance North America LLC			2.63	%			2,542,748				0.40	%
	649,000			8/3/17		Daimler Finance North America LLC			1.04	%			649,353				0.10	%

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

Futures Portfolio Fund, Limited Partnership
Consolidated Condensed Schedule of Investments (continued)
December 31, 2015

						Description						Fair Value				% of Partners’ Capital (Net Asset Value)
U.S. Corporate Notes (continued)
Face Value				Maturity Date		Name		Yield¹
Automotive (continued)
$	6,700,000			3/2/18		Daimler Finance North America LLC			0.84	%		$	6,623,197				1.03	%
	7,350,000			1/9/18		Ford Motor Credit Company LLC			1.26	%			7,308,669				1.13	%
	1,388,000			3/15/16		Nissan Motor Acceptance Corporation			1.00	%			1,392,489				0.22	%
	1,762,000			9/26/16		Nissan Motor Acceptance Corporation			1.30	%			1,761,988				0.27	%
	1,400,000			9/23/16		Toyota Motor Credit Corporation			0.69	%			1,397,807				0.22	%
	500,000			5/23/17		Volkswagen Group of America Finance, LLC			0.75	%			484,025				0.08	%
	200,000			11/20/17		Volkswagen Group of America Finance, LLC			0.81	%			192,023				0.03	%
Banks
	5,250,000			3/22/16		Bank of America, NA			1.41	%			5,265,175				0.82	%
	4,250,000			6/15/16		Bank of America, NA			0.79	%			4,248,615				0.66	%
	1,473,000			11/14/16		Bank of America, NA			1.13	%			1,472,341				0.23	%
	800,000			11/14/16		Bank of America, NA			0.83	%			800,400				0.12	%
	1,615,000			7/28/16		Bank of New York Company, Inc.			2.30	%			1,644,459				0.26	%
	1,400,000			4/3/17		Branch Banking and Trust Company			1.00	%			1,395,869				0.22	%
	1,500,000			2/13/17		Capital One Bank			0.86	%			1,498,334				0.23	%
	1,500,000			7/15/16		Capital One Financial Corporation			3.15	%			1,535,652				0.24	%
	1,000,000			2/26/16		Fifth Third Bank			0.82	%			1,000,681				0.16	%
	607,000			1/15/16		Goldman Sachs Group, Inc.			5.35	%			622,609				0.10	%
	950,000			2/7/16		Goldman Sachs Group, Inc.			3.63	%			965,675				0.15	%
	400,000			12/15/17		Goldman Sachs Group, Inc.			1.31	%			401,900				0.06	%
	880,000			8/2/16		Huntington National Bank			1.35	%			884,972				0.14	%
	900,000			11/20/16		Huntington National Bank			1.30	%			900,732				0.14	%
	4,500,000			2/26/16		JPMorgan Chase & Co.			1.03	%			4,509,217				0.70	%
	1,060,000			10/18/16		Morgan Stanley			5.75	%			1,108,690				0.17	%
	5,900,000			1/9/17		Morgan Stanley			5.45	%			6,286,679				0.98	%
	8,125,000			2/9/18		MUFG Americas Holdings Corporation			0.91	%			8,127,276				1.25	%
	1,123,000			9/19/16		PNC Funding Corp			2.70	%			1,142,621				0.18	%
	300,000			1/28/16		PNC Realty Investors, Inc.			0.80	%			301,015				0.05	%
	570,000			10/3/16		PNC Realty Investors, Inc.			1.30	%			573,028				0.09	%
	1,800,000			1/30/17		U.S. Bank National Association			1.10	%			1,805,706				0.28	%
	806,000			9/11/17		U.S. Bank National Association			0.69	%			804,160				0.12	%
	2,000,000			9/26/16		UBS AG			1.10	%			2,000,294				0.31	%
	4,750,000			6/1/17		UBS AG			0.97	%			4,752,655				0.74	%
	2,500,000			12/15/16		Wells Fargo & Company			2.63	%			2,536,869				0.39	%
Beverages
	1,350,000			1/15/16		Anheuser-Busch Inbev Finance Inc.			0.80	%			1,354,981				0.21	%
Biotechnology
	750,000			12/1/16		Gilead Sciences, Inc.			3.05	%			766,081				0.12	%
Diversified financial services
	1,800,000			9/19/16		American Express Credit Corporation			2.80	%			1,837,207				0.29	%
	1,000,000			6/5/17		American Express Credit Corporation			0.72	%			993,291				0.15	%
	2,700,000			10/18/16		American International Group, Inc.			5.60	%			2,822,703				0.44	%
	1,500,000			8/15/16		Berkshire Hathaway Finance Corporation			0.95	%			1,506,223				0.23	%
	1,000,000			1/9/17		General Electric Capital Corporation			0.60	%			1,001,768				0.16	%
	2,600,000			7/28/16		Jackson National Life Global Funding			0.57	%			2,602,783				0.40	%
	1,174,000			12/9/16		MassMutual Global Funding II			0.71	%			1,172,646				0.18	%
	798,000			4/5/17		MassMutual Global Funding II			2.00	%			807,344				0.13	%
	1,500,000			4/10/17		Metropolitan Life Global Funding I			1.30	%			1,503,816				0.23	%
	1,000,000			4/10/17		Metropolitan Life Global Funding I			0.70	%			1,003,167				0.16	%
	1,240,000			5/27/16		National Rural Utilities Coop Fin Corp			0.66	%			1,240,664				0.19	%
	1,000,000			3/1/17		New York Life Global Funding			1.13	%			1,003,318				0.16	%

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

Futures Portfolio Fund, Limited Partnership
Consolidated Condensed Schedule of Investments (continued)
December 31, 2015

						Description						Fair Value				% of Partners’ Capital (Net Asset Value)
U.S. Corporate Notes (continued)
Face Value				Maturity Date		Name		Yield¹
Diversified financial services (continued)
$	8,500,000			11/25/16		Pricoa Global Funding I			1.15	%		$	8,469,554				1.31	%
	1,800,000			12/1/17		Principal Life Global Funding II			0.98	%			1,800,152				0.28	%
	1,158,000			3/7/16		State Street Corporation			2.88	%			1,172,622				0.18	%
	1,757,000			12/13/16		USAA Capital Corporation			2.25	%			1,787,773				0.28	%
Energy
	812,000			9/15/16		Anadarko Petroleum Corporation			5.95	%			848,602				0.13	%
	1,000,000			8/1/16		Arizona Public Service Company			6.25	%			1,052,152				0.16	%
	1,461,000			11/9/17		Chevron Corporation			0.72	%			1,460,560				0.23	%
	500,000			9/15/16		Dayton Power and Light Company			1.88	%			501,620				0.08	%
	5,750,000			4/3/17		Duke Energy Corporation			0.70	%			5,751,540				0.89	%
	1,000,000			8/15/16		Georgia Power Company			0.76	%			1,000,453				0.16	%
	3,350,000			12/1/17		Kinder Morgan, Inc.			2.00	%			3,235,921				0.50	%
	2,000,000			2/1/16		ONEOK Partners, L.P.			3.25	%			2,028,323				0.32	%
	4,778,000			7/15/16		Pioneer Natural Resources Company			5.88	%			5,002,042				0.78	%
	1,500,000			5/15/16		Sierra Pacific Power Company			6.00	%			1,537,909				0.24	%
	5,500,000			6/15/16		Spectra Energy Partners, LP			2.95	%			5,511,061				0.86	%
Engineering and construction
	1,375,000			6/15/16		ABB Treasury Center (USA), Inc.			2.50	%			1,383,400				0.21	%
Healthcare
	500,000			1/15/18		Anthem, Inc.			1.88	%			502,578				0.08	%
	7,750,000			1/17/17		UnitedHealth Group Incorporated			0.77	%			7,761,182				1.20	%
	2,695,000			9/26/16		Ventas Realty, Limited Partnership			1.55	%			2,712,922				0.42	%
	3,775,000			4/1/18		Zimmer Biomet Holdings, Inc.			2.00	%			3,774,019				0.59	%
Manufacturing
	700,000			7/11/17		John Deere Capital Corporation			0.77	%			701,864				0.11	%
Pharmaceutical
	7,775,000			5/14/18		AbbVie Inc.			1.80	%			7,755,563				1.20	%
	1,400,000			10/7/16		Bayer US Finance LLC			0.57	%			1,401,153				0.22	%
	500,000			3/17/17		EMD FIN LLC			0.88	%			499,452				0.08	%
Retail
	1,500,000			10/15/16		Lowe’s Companies, Inc.			5.40	%			1,568,330				0.24	%
	2,000,000			3/1/16		The Home Depot, Inc.			5.40	%			2,050,064				0.32	%
Software
	1,500,000			2/5/16		IBM			0.40	%			1,500,557				0.23	%
	900,000			7/7/17		Oracle Corporation			0.52	%			900,450				0.14	%
Telecommunication
	1,500,000			8/15/16		AT&T Inc.			2.40	%			1,523,455				0.24	%
	2,150,000			9/15/16		Verizon Communications, Inc.			2.04	%			2,170,327				0.34	%
	1,300,000			11/1/16		Verizon Communications, Inc.			2.00	%			1,312,430				0.20	%
	4,800,000			6/9/17		Verizon Communications, Inc.			0.88	%			4,793,185				0.74	%
Transportation
	4,500,000			10/28/16		Kansas City Southern			1.16	%			4,496,674				0.70	%
Total U.S. corporate notes (cost: $198,467,053)													196,888,445				30.59	%

Foreign Corporate Notes
	Face Value			Maturity Date		Name			Yield¹
Banks
$	1,810,000			1/22/16		ABN AMRO Bank N.V.			1.38	%			1,821,127				0.28	%
	2,365,000			9/9/16		Bank of Tokyo-Mitsubishi UFJ, Ltd.			1.55	%			2,380,844				0.37	%
	2,584,000			9/22/16		Barclays Bank PLC			5.00	%			2,685,835				0.42	%
	800,000			1/29/18		Caisse Centrale Desjardins			0.99	%			799,842				0.12	%
	2,000,000			9/20/16		Commonwealth Bank of Australia			1.07	%			2,003,104				0.31	%
	1,800,000			5/26/17		Credit Suisse AG			1.38	%			1,793,903				0.28	%

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

Futures Portfolio Fund, Limited Partnership
Consolidated Condensed Schedule of Investments (continued)
December 31, 2015

						Description						Fair Value				% of Partners’ Capital (Net Asset Value)
Foreign Corporate Notes (continued)
	Face Value			Maturity Date		Name			Yield¹
Banks (continued)
$	8,000,000			4/27/18		Credit Suisse AG			1.00	%		$	7,959,269				1.23	%
	756,000			1/11/16		Deutsche Bank AG			3.25	%			767,886				0.12	%
	3,700,000			5/24/16		HSBC Bank PLC			3.10	%			3,743,250				0.58	%
	1,000,000			3/15/16		ING Bank N.V.			4.00	%			1,018,058				0.16	%
	5,000,000			8/17/18		ING Bank N.V.			1.14	%			5,024,448				0.78	%
	1,500,000			8/15/16		Macquarie Bank Limited			2.00	%			1,517,041				0.24	%
	2,000,000			12/9/16		National Australia Bank Limited			0.73	%			1,998,123				0.31	%
	5,000,000			7/23/18		National Australia Bank Limited			0.96	%			5,006,135				0.78	%
	1,950,000			5/13/16		Nordea Bank AB			0.88	%			1,952,066				0.30	%
	548,000			1/19/17		Rabobank Nederland			3.38	%			568,507				0.09	%
	1,158,000			9/9/16		Royal Bank of Canada			1.45	%			1,165,655				0.18	%
	1,200,000			1/18/16		Sumitomo Mitsui Bank			0.90	%			1,204,890				0.19	%
	1,800,000			7/12/16		Svenska Handelsbanken AB			3.13	%			1,846,627				0.29	%
	1,500,000			7/23/18		Toronto-Dominion Bank			0.86	%			1,497,653				0.23	%
Diversified financial services
	1,012,000			4/15/16		GE Capital International Funding Co.			0.96	%			1,012,921				0.16	%
Energy
	750,000			3/11/16		BP Capital Markets P.L.C.			3.20	%			760,566				0.12	%
	4,800,000			5/9/16		CNOOC Finance (2013) Limited			1.13	%			4,798,968				0.75	%
	1,000,000			5/10/17		Shell International Finance B.V.			0.66	%			999,488				0.16	%
	1,000,000			1/15/16		TransCanada PipeLines Limited			0.75	%			1,003,288				0.16	%
Holding company
	222,000			1/13/17		Hutchison Whampoa International (11) Ltd			3.50	%			229,384				0.04	%
Pharmaceutical
	6,790,000			3/12/18		Actavis Funding SCS			1.58	%			6,870,944				1.06	%
Semiconductors
	1,520,000			10/17/16		Siemens Financieringsmaatschappij N.V.			5.75	%			1,592,129				0.25	%
Telecommunication
	1,287,000			9/8/16		America Movil SAB DE CV			2.38	%			1,300,842				0.20	%
	1,300,000			4/11/16		Deutsche Telekom International Finance B.V.			3.13	%			1,316,291				0.20	%
	1,000,000			2/16/16		Telefonica Emisiones, S.A.U.			3.99	%			1,017,721				0.16	%
Total foreign corporate notes (cost: $67,851,993)													67,656,805				10.52	%
Total corporate notes (cost: $266,319,046)													264,545,250				41.11	%

U.S. Asset Backed Securities
Face Value				Maturity Date		Name			Yield¹
Automotive
$	700,000			3/15/18		Ally Auto Receivables Trust 2015-2			0.98	%			699,431				0.11	%
	258,662			4/9/18		Americredit Automobile Receivables Tr 2014-4			0.68	%			258,621				0.04	%
	1,300,000			1/8/19		AmeriCredit Automobile Receivables Trust 2006-A-F			1.07	%			1,297,418				0.20	%
	513,173			2/8/19		AmeriCredit Automobile Receivables Trust 2006-A-F			0.90	%			512,195				0.08	%
	317,374			1/15/21		Ari Fleet Lease Tr 2012-B			0.63	%			316,798				0.05	%
	486,782			4/16/18		Bank of the West Auto Trust 2015-1			0.87	%			486,202				0.08	%
	1,400,000			1/22/18		BMW Vehicle Lease Trust 2015-2			1.07	%			1,396,601				0.22	%
	67,783			6/20/17		Capital Auto Receivables Asset Trust 2013-1			0.79	%			67,786				0.01	%
	475,000			10/20/17		Capital Auto Receivables Asset Trust 2015-2			0.81	%			474,265				0.07	%
	856,429			2/15/18		CarMax Auto Owner Trust 2014-4			0.67	%			855,631				0.13	%
	1,117,496			6/15/18		CarMax Auto Owner Trust 2015-2			0.82	%			1,115,167				0.17	%
	70,609			11/15/17		Drive Auto Receivables Tr 2015-A			1.01	%			70,592				0.01	%
	220,808			12/15/17		Drive Auto Receivables Tr 2015-B			0.93	%			220,621				0.03	%

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

Futures Portfolio Fund, Limited Partnership
Consolidated Condensed Schedule of Investments (continued)
December 31, 2015

						Description						Fair Value				% of Partners’ Capital (Net Asset Value)
U.S. Asset Backed Securities (continued)
Face Value				Maturity Date		Name		Yield¹
Automotive (continued)
$	55,476			3/20/19		Enterprise Fleet Financing, LLC			1.06	%		$	55,459				0.01	%
	345,000			5/15/18		Fifth Third Auto Trust 2015-1			1.02	%			344,327				0.05	%
	600,000			5/15/18		Ford Credit Auto Lease 2015-B			1.04	%			598,447				0.09	%
	217,000			9/15/17		Ford Credit Auto Lease Trust 2014-B			0.89	%			216,793				0.03	%
	645,000			3/15/18		Ford Credit Auto Owner Trust 2012-D			0.67	%			644,154				0.10	%
	754,588			8/15/17		Ford Credit Auto Owner Trust 2014-C			0.61	%			754,540				0.12	%
	1,332,350			3/15/18		Ford Credit Auto Owner Trust 2015-B			0.72	%			1,331,478				0.21	%
	500,000			7/20/19		GE Dealer Floorplan Master Note			0.78	%			498,239				0.08	%
	1,073,001			1/15/19		Harley-Davidson Motorcycle Trust 2015-2			0.80	%			1,069,918				0.17	%
	337,447			5/15/17		Honda Auto Receivables 2013-3 Owner Trust			0.77	%			337,380				0.05	%
	2,262,218			9/18/17		Honda Auto Receivables 2013-4 Owner Trust			0.69	%			2,260,433				0.36	%
	528,585			6/15/17		Honda Auto Receivables 2015-1 Owner Trust			0.70	%			528,234				0.08	%
	500,000			11/20/17		Honda Auto Receivables 2015-3 Owner Tr			0.92	%			499,511				0.08	%
	800,000			7/23/18		Honda Auto Receivables 2015-4 Owner Trust			0.82	%			798,033				0.12	%
	1,900,000			11/15/17		Hyundai Auto Lease Securitization Tr 2014-B			0.98	%			1,898,765				0.30	%
	821,121			10/16/17		Hyundai Auto Receivables Trust 2015-A			0.68	%			820,891				0.13	%
	700,000			11/15/18		Hyundai Auto Receivables Trust 2015-C			0.99	%			698,990				0.11	%
	1,020,000			1/16/18		Mercedes-Benz Auto Lease Trust 2015-B			1.00	%			1,017,989				0.16	%
	1,767,624			11/15/17		Nissan Auto Lease Trust 2015-A			0.68	%			1,766,793				0.27	%
	620,981			8/15/18		Nissan Auto Receivables 2013-C Owner Trust			0.67	%			619,775				0.10	%
	581,520			6/15/17		Nissan Auto Receivables 2014-B Owner Trust			0.60	%			581,275				0.09	%
	1,056,510			9/15/17		Nissan Auto Receivables 2015-A Owner Trust			0.67	%			1,055,702				0.16	%
	215,904			11/21/17		Porsche Innovative Lease Owner Tr 2015-1			0.79	%			215,439				0.03	%
	450,000			11/15/18		Santander Drive Auto Receivables Trust 2015-5			1.12	%			449,482				0.07	%
	1,000,000			9/17/18		Santander Drive Auto Receivables Trust 2014-4			1.08	%			999,912				0.16	%
	93,553			4/16/18		Santander Drive Auto Receivables Trust 2014-5			0.73	%			93,469				0.01	%
	1,008,000			4/8/19		Santander Drive Auto Receivables Trust 2015-4			1.26	%			1,006,995				0.16	%
	500,000			2/15/18		Toyota Auto Receivables 2015-C Owner Tr			0.66	%			499,531				0.08	%
	512,648			8/21/17		Volkswagen Auto Loan Enhanced Trust 2013-1			0.56	%			511,991				0.08	%
	549,589			4/20/18		Volkswagen Auto Loan Enhanced Trust 2013-2			0.70	%			546,997				0.08	%
	400,000			10/22/18		Volkswagen Auto Loan Enhanced Trust 2014-1			0.91	%			397,899				0.06	%
Commercial mortgages
	1,540,572			1/15/49		Banc of America Commercial Mortgage Trust 2007-1			5.43	%			1,594,549				0.25	%
	419,268			5/10/45		Banc of America Commercial Mortgage Trust 2006-2			5.84	%			422,547				0.07	%
	1,089,084			10/15/49		Citigroup Commercial Mortgage Trust 2006-C5			5.43	%			1,108,596				0.17	%
	196,707			4/15/43		JPMorgan Chase & Co.			5.48	%			197,562				0.03	%
	1,977,927			9/15/39		LB-UBS Commercial Mortgage Trust 2006-C6			5.37	%			2,012,480				0.32	%
	1,098,139			12/12/49		ML-CFC Commercial Mortgage Trust 2006-4			5.17	%			1,125,130				0.17	%
	467,442			2/12/44		Morgan Stanley Capital I Trust 2007-HQ11			0.45	%			461,295				0.07	%
Credit cards
	1,000,000			1/15/20		BA Credit Card Trust			0.62	%			997,953				0.16	%
	1,500,000			11/15/18		Capital One Multi-Asset Execution Trust			0.63	%			1,500,323				0.23	%
	2,000,000			9/16/19		Capital One Multi-Asset Execution Trust			0.96	%			1,997,970				0.31	%
	850,000			10/15/18		Chase Issuance Trust			1.01	%			849,923				0.13	%
	2,000,000			9/7/18		Citibank Credit Card Issuance Trust			1.32	%			2,012,261				0.32	%
	1,760,000			11/7/18		Citibank Credit Card Issuance Trust			0.57	%			1,760,731				0.27	%
	1,500,000			2/22/19		Citibank Credit Card Issuance Trust			1.02	%			1,501,889				0.23	%
	1,000,000			3/15/21		World Financial Network Credit Card Master Note Trust			1.26	%			997,240				0.15	%

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

Futures Portfolio Fund, Limited Partnership
Consolidated Condensed Schedule of Investments (continued)
December 31, 2015

						Description						Fair Value				% of Partners’ Capital (Net Asset Value)
U.S. Asset Backed Securities (continued)
Face Value				Maturity Date		Name			Yield¹
Other
$	1,072,358			8/15/18		CNH Equipment Trust 2013-B			0.69	%		$	1,070,863				0.17	%
	926,407			2/15/18		John Deere Owner Trust 2015			0.87	%			925,544				0.14	%
	338,929			12/15/17		Kubota Credit Owner Trust 2015-1			0.94	%			338,921				0.05	%
Student loans
	46,674			5/16/22		Navient Private Ed Loan Tr 2014-A			0.81	%			46,591				0.01	%
	139,582			8/15/23		SLM Private Ed Loan Tr 2012-C			1.43	%			139,847				0.02	%
	49,088			8/15/25		SLM Private Education Loan Trust 2012-A			1.73	%			49,337				0.01	%
	247,119			10/16/23		SLM Private Education Loan Trust 2012-E			1.08	%			246,891				0.04	%
Total U.S. asset backed securities (cost: $52,447,431)													52,248,612				8.12	%
Total investments in securities (cost: $453,001,973)												$	451,049,033				70.09	%

CERTIFICATES OF DEPOSIT
U.S. Certificates of Deposit
	Face Value			Maturity Date		Name			Yield¹
Banks
$	1,000,000			9/16/16		Credit Suisse Group AG			0.88	%		$	1,002,097				0.16	%
	1,622,000			5/24/17		National Bank of Canada			0.78	%			1,622,403				0.25	%
	2,000,000			2/13/17		Nordea Bank Finland PLC			0.64	%			2,000,778				0.31	%
	2,000,000			3/11/16		Norinchukin Bank (NY Branch)			0.50	%			2,002,796				0.31	%
	1,000,000			10/14/16		Royal Bank of Canada			0.57	%			1,000,418				0.16	%
	1,200,000			8/4/16		Standard Chartered Bank			0.80	%			1,203,192				0.19	%
	850,000			2/12/16		Sumitomo Mitsui Bank (NY Branch)			0.52	%			853,973				0.13	%
	1,500,000			8/8/16		Toronto-Dominion Bank			0.75	%			1,503,773				0.23	%
	2,000,000			11/8/16		Toronto-Dominion Bank			1.00	%			2,002,927				0.31	%
	1,800,000			10/21/16		Westpac Banking Corporation			0.57	%			1,801,450				0.28	%
Total U.S. certificates of deposit (cost: $14,970,784)													14,993,807				2.33	%

Foreign Certificates of Deposit
Face Value				Maturity Date		Name			Yield¹
Banks
$	2,200,000			5/9/16		Bank of Nova Scotia			0.50	%			2,200,684				0.34	%
	1,800,000			5/23/17		Canadian Imperial Bank of Commerce			0.73	%			1,800,350				0.28	%
	2,000,000			2/19/16		Landesbank Hessen-Thuringen Girozentrale			0.57	%			2,010,319				0.31	%
	705,000			8/17/16		Svenska Handelsbanken AB			0.54	%			705,318				0.11	%
	1,000,000			12/7/17		Svenska Handelsbanken AB			0.93	%			1,000,031				0.16	%
Total foreign certificates of deposit (cost: $7,702,458)													7,716,702				1.20	%

Total certificates of deposit (cost: $22,673,242)												$	22,710,509				3.53	%

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

Futures Portfolio Fund, Limited Partnership
Consolidated Condensed Schedule of Investments (continued)
December 31, 2015

		Description			Fair Value				% of Partners’ Capital (Net Asset Value)
OPEN FUTURES CONTRACTS
Long U.S. Futures Contracts
		Agricultural commodities		$	(87,790	)			(0.01	)%
		Currencies			(13,903	)			(0.00	)%
		Energy			(71,925	)			(0.01	)%
		Equity indices			(267,223	)			(0.04	)%
		Interest rate instruments			(1,919,882	)			(0.30	)%
		Metals			(2,395,884	)			(0.38	)%
		Single stock futures			80,372				0.01	%
Net unrealized gain (loss) on open long U.S. futures contracts					(4,676,235	)			(0.73	)%

Short U.S. Futures Contracts
		Agricultural commodities			1,382,973				0.21	%
		Currencies			1,781,349				0.28	%
		Energy			3,397,258				0.53	%
		Equity indices			(155,214	)			(0.02	)%
		Interest rate instruments			432,469				0.07	%
		Metals			5,114,526				0.79	%
		Single stock futures			59,932				0.01	%
Net unrealized gain (loss) on open short U.S. futures contracts					12,013,293				1.87	%

Total U.S. Futures Contracts - Net unrealized gain (loss) on open U.S. futures contracts					7,337,058				1.14	%

Long Foreign Futures Contracts
		Agricultural commodities			92,172				0.01	%
		Currencies			113,487				0.02	%
		Equity indices			(257,076	)			(0.04	)%
		Interest rate instruments			(2,743,226	)			(0.42	)%
		Metals			1,805				0.00	%
		Single stock futures			929				0.00	%
Net unrealized gain (loss) on open long foreign futures contracts					(2,791,909	)			(0.43	)%

Short Foreign Futures Contracts
		Agricultural commodities			82,706				0.01	%
		Currencies			218,328				0.03	%
		Energy			260,934				0.04	%
		Equity indices			(747,330	)			(0.11	)%
		Interest rate instruments			34,671				0.01	%
		Metals			20,191				0.00	%
		Single stock futures			(1,971	)			(0.00	)%
Net unrealized gain (loss) on open short foreign futures contracts					(132,471	)			(0.02	)%

Total foreign futures contracts - net unrealized gain (loss) on open foreign futures contracts					(2,924,380	)			(0.45	)%

Net unrealized gain (loss) on open futures contracts				$	4,412,678				0.69	%

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

Futures Portfolio Fund, Limited Partnership
Consolidated Condensed Schedule of Investments (continued)
December 31, 2015

				Description					Fair Value			% of Partners’ Capital (Net Asset Value)
OPEN FORWARD CURRENCY CONTRACTS
U.S. Forward Currency Contracts
				Long					$	(153,940	)		(0.02	)%
				Short						87,056			0.01	%
Net unrealized gain (loss) on open U.S. forward currency contracts										(66,884	)		(0.01	)%

Foreign Forward Currency Contracts
				Long						713,075			0.11	%
				Short						(2,260,682	)		(0.35	)%
Net unrealized gain (loss) on open foreign forward currency contracts										(1,547,607	)		(0.24	)%

Net unrealized gain (loss) on open forward currency contracts									$	(1,614,491	)		(0.25	)%

TOTAL RETURN SWAP CONTRACT

		Termination Date		Counterparty
		4/1/19		Deutsche Bank, AG					$	3,440,896			0.53	%

Comprised of a proprietary basket of Commodity Trading Advisor’s (“CTA”) programs investing in various futures, forwards and currency derivative contracts and other similar investments. See Notes 2 and 3.

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

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

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

~~Futures Portfolio Fund, Limited Partnership~~

~~Consolidated Condensed Schedule of Investments~~

~~December 31, 2015~~

Description Fair Value % of Partners’ Capital (Net Asset Value)
INVESTMENTS IN SECURITIES
U.S. Treasury Securities
Face Value Maturity Date Name Yield¹
$      50,000,000 2/18/16 U.S. Treasury Bill 0.09% $            49,993,194 7.77%
           2,000,000 12/8/16 U.S. Treasury Bill 0.72%              1,988,643 0.31%
         10,500,000 1/15/16 U.S. Treasury Notes 0.38%            10,517,770 1.63%
           1,750,000 3/15/16 U.S. Treasury Notes 0.38%              1,752,420 0.27%
           1,500,000 6/30/16 U.S. Treasury Notes 0.50%              1,499,781 0.23%
           4,600,000 8/31/16 U.S. Treasury Notes 1.00%              4,624,882 0.72%
           1,500,000 10/31/16 U.S. Treasury Notes 1.00%              1,505,484 0.23%
           1,800,000 11/15/16 U.S. Treasury Notes 0.63%              1,799,062 0.28%
           1,500,000 11/30/16 U.S. Treasury Notes 2.75%              1,529,797 0.24%
           1,788,200 12/15/16 U.S. Treasury Notes 0.63%              1,785,926 0.28%
Total U.S. Treasury securities (cost:  $77,027,397)            76,996,959 11.96%

U.S. Commercial Paper
Face Value Maturity Date Name Yield¹
Automotive
$           500,000 1/11/16 Nissan Motor Acceptance Corporation 0.50%                 499,928 0.08%
           1,600,000 1/22/16 Nissan Motor Acceptance Corporation 0.78%              1,599,272 0.25%
Banks
              400,000 1/21/16 Standard Chartered Bank 0.27%                 399,940 0.06%
Beverages
           2,100,000 1/6/16 Bacardi U.S.A., Inc. 0.51%              2,099,851 0.33%
           1,500,000 1/7/16 Brown-Forman Corporation 0.45%              1,499,888 0.23%
              500,000 1/7/16 Brown-Forman Corporation 0.45%                 499,963 0.08%
           1,700,000 11/17/16 Coca-Cola Company 0.80%              1,689,858 0.26%
Chemicals
              500,000 1/14/16 Clorox Company 0.46%                 499,917 0.08%
           1,500,000 1/27/16 Clorox Company 0.51%              1,499,448 0.23%
Diversified financial services
              375,000 1/19/16 American Express Credit Corporation 0.55%                 374,897 0.06%
           1,700,000 1/15/16 DCAT, LLC 0.42%              1,699,722 0.26%
           1,700,000 1/5/16 Gotham Funding Corporation 0.28%              1,699,947 0.26%
           1,700,000 1/20/16 Hewlett Packard Enterprise Company 0.92%              1,699,175 0.26%
              400,000 3/2/16 ING (U.S.) Funding LLC 0.65%                 399,559 0.06%
           1,700,000 1/4/16 Intercontinental Exchange, Inc. 0.42%              1,699,940 0.26%
              450,000 1/15/16 J.P. Morgan Securities LLC 0.25%                 449,956 0.07%
           1,400,000 1/12/16 Manhattan Asset Funding Company LLC 0.27%              1,399,885 0.22%
           1,700,000 1/13/16 Regency Group, Inc. 0.40%              1,699,773 0.26%
           1,300,000 1/4/16 The Southern Company 0.53%              1,299,943 0.20%
Energy
              500,000 1/27/16 Dominion Resources, Inc. 0.67%                 499,758 0.08%
           2,100,000 1/21/16 Enterprise Products Operating LLC 0.78%              2,099,090 0.34%
           2,100,000 1/7/16 Motiva Enterprises LLC 0.60%              2,099,790 0.34%
              400,000 1/5/16 Oglethorpe Power Corp. 0.32%                 399,986 0.06%
           1,700,000 2/1/16 Oglethorpe Power Corp. 0.48%              1,699,297 0.26%

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

Futures Portfolio Fund, Limited Partnership

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

~~December 31, 2015~~

Description Fair Value % of Partners’ Capital (Net Asset Value)
U.S. Commercial Paper (continued)
Face Value Maturity Date Name Yield¹
Healthcare
$        1,850,000 1/20/16 Catholic Health Initiatives 0.45% $               1,849,561 0.29%
Insurance
           2,200,000 1/12/16 AXA Financial, Inc. 0.35%              2,199,766 0.34%
REIT
           1,500,000 2/9/16 Simon Property Group, L.P. 0.45%              1,499,269 0.23%
Total U.S. commercial paper (cost:  $35,039,075)            35,057,379 5.45%

Foreign Commercial Paper
Face Value Maturity Date Name Yield¹
Banks
$        1,400,000 6/2/16 Bank of China Hong Kong Ltd 0.99%              1,394,628 0.22%
           2,200,000 1/11/16 Bank of Tokyo-Mitsubishi UFJ, Ltd. 0.23%              2,199,859 0.34%
              400,000 2/11/16 DBS Bank Ltd. 0.54%                 399,754 0.06%
           3,000,000 2/23/16 DNB Bank ASA 0.55%              2,998,889 0.47%
              700,000 10/17/16 Macquarie Bank Limited 0.89%                 695,151 0.11%
           1,700,000 1/6/16 Mizuho Bank, Ltd. 0.29%              1,699,932 0.26%
              300,000 1/7/16 Mizuho Bank, Ltd. 0.30%                 299,985 0.05%
              400,000 1/5/16 Oversea-Chinese Banking Corp. Ltd 0.40%                 399,982 0.06%
              450,000 2/16/16 Skandinaviska Enskilda Banken AB 0.33%                 449,810 0.07%
           1,600,000 3/16/16 Sumitomo Mitsui Bank 0.65%              1,597,833 0.25%
Diversified financial services
              500,000 4/1/16 Ontario Teachers Finance Trust 0.65%                 499,178 0.08%
Energy
           1,200,000 1/6/17 Electricite de France SA 1.67%              1,180,966 0.18%
              800,000 1/9/17 Electricite de France SA 1.67%                 787,192 0.12%
           1,600,000 1/25/16 Engie 0.30%              1,599,680 0.25%
              500,000 1/25/16 Engie 0.27%                 499,910 0.08%
              400,000 1/21/16 Total Capital Canada Ltd. 0.45%                 399,900 0.06%
Insurance
           1,700,000 1/19/16 Prudential PLC 0.25%              1,699,788 0.26%
Manufacturing
           2,000,000 1/13/16 John Deere Financial Limited 0.25%              1,999,833 0.31%
Telecommunications
              400,000 2/22/16 Telstra Corporation Limited 0.38%                 399,780 0.06%
           1,000,000 3/21/16 Vodafone Group Public Limited Company 0.90%                 998,783 0.16%
Total foreign commercial paper (cost:  $22,169,024)            22,200,833 3.45%
Total commercial paper (cost:  $57,208,099)            57,258,212 8.90%

U.S. Corporate Notes
Face Value Maturity Date Name Yield¹
Advertising
$        2,379,000 4/15/16 Omnicom Group Inc. 5.90%              2,439,009 0.38%
Aerospace
           1,200,000 5/1/16 Lockheed Martin Corporation 7.65%              1,241,939 0.19%
           3,800,000 12/15/16 Rockwell Collins, Inc. 0.86%              3,803,447 0.59%
Automotive
           1,584,000 2/28/17 American Honda Finance Corporation 2.13%              1,612,408 0.25%
              566,000 7/13/18 American Honda Finance Corporation 0.78%                 565,677 0.09%
              700,000 1/11/16 Daimler Finance North America LLC 1.25%                 704,161 0.11%
           2,500,000 9/15/16 Daimler Finance North America LLC 2.63%              2,542,748 0.40%
              649,000 8/3/17 Daimler Finance North America LLC 1.04%                 649,353 0.10%

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

~~Futures Portfolio Fund, Limited Partnership~~

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

~~December 31, 2015~~

Description Fair Value % of Partners’ Capital (Net Asset Value)
U.S. Corporate Notes (continued)
Face Value Maturity Date Name Yield¹
Automotive (continued)
$        6,700,000 3/2/18 Daimler Finance North America LLC 0.84% $               6,623,197 1.03%
           7,350,000 1/9/18 Ford Motor Credit Company LLC 1.26%              7,308,669 1.13%
           1,388,000 3/15/16 Nissan Motor Acceptance Corporation 1.00%              1,392,489 0.22%
           1,762,000 9/26/16 Nissan Motor Acceptance Corporation 1.30%              1,761,988 0.27%
           1,400,000 9/23/16 Toyota Motor Credit Corporation 0.69%              1,397,807 0.22%
              500,000 5/23/17 Volkswagen Group of America Finance, LLC 0.75%                 484,025 0.08%
              200,000 11/20/17 Volkswagen Group of America Finance, LLC 0.81%                 192,023 0.03%
Banks
           5,250,000 3/22/16 Bank of America, NA 1.41%              5,265,175 0.82%
           4,250,000 6/15/16 Bank of America, NA 0.79%              4,248,615 0.66%
           1,473,000 11/14/16 Bank of America, NA 1.13%              1,472,341 0.23%
              800,000 11/14/16 Bank of America, NA 0.83%                 800,400 0.12%
           1,615,000 7/28/16 Bank of New York Company, Inc. 2.30%              1,644,459 0.26%
           1,400,000 4/3/17 Branch Banking and Trust Company 1.00%              1,395,869 0.22%
           1,500,000 2/13/17 Capital One Bank 0.86%              1,498,334 0.23%
           1,500,000 7/15/16 Capital One Financial Corporation 3.15%              1,535,652 0.24%
           1,000,000 2/26/16 Fifth Third Bank 0.82%              1,000,681 0.16%
              607,000 1/15/16 Goldman Sachs Group, Inc. 5.35%                 622,609 0.10%
              950,000 2/7/16 Goldman Sachs Group, Inc. 3.63%                 965,675 0.15%
              400,000 12/15/17 Goldman Sachs Group, Inc. 1.31%                 401,900 0.06%
              880,000 8/2/16 Huntington National Bank 1.35%                 884,972 0.14%
              900,000 11/20/16 Huntington National Bank 1.30%                 900,732 0.14%
           4,500,000 2/26/16 JPMorgan Chase & Co. 1.03%              4,509,217 0.70%
           1,060,000 10/18/16 Morgan Stanley 5.75%              1,108,690 0.17%
           5,900,000 1/9/17 Morgan Stanley 5.45%              6,286,679 0.98%
           8,125,000 2/9/18 MUFG Americas Holdings Corporation 0.91%              8,127,276 1.25%
           1,123,000 9/19/16 PNC Funding Corp 2.70%              1,142,621 0.18%
              300,000 1/28/16 PNC Realty Investors, Inc. 0.80%                 301,015 0.05%
              570,000 10/3/16 PNC Realty Investors, Inc. 1.30%                 573,028 0.09%
           1,800,000 1/30/17 U.S. Bank National Association 1.10%              1,805,706 0.28%
              806,000 9/11/17 U.S. Bank National Association 0.69%                 804,160 0.12%
           2,000,000 9/26/16 UBS AG 1.10%              2,000,294 0.31%
           4,750,000 6/1/17 UBS AG 0.97%              4,752,655 0.74%
           2,500,000 12/15/16 Wells Fargo & Company 2.63%              2,536,869 0.39%
Beverages
           1,350,000 1/15/16 Anheuser-Busch Inbev Finance Inc. 0.80%              1,354,981 0.21%
Biotechnology
              750,000 12/1/16 Gilead Sciences, Inc. 3.05%                 766,081 0.12%
Diversified financial services
           1,800,000 9/19/16 American Express Credit Corporation 2.80%              1,837,207 0.29%
           1,000,000 6/5/17 American Express Credit Corporation 0.72%                 993,291 0.15%
           2,700,000 10/18/16 American International Group, Inc. 5.60%              2,822,703 0.44%
           1,500,000 8/15/16 Berkshire Hathaway Finance Corporation 0.95%              1,506,223 0.23%
           1,000,000 1/9/17 General Electric Capital Corporation 0.60%              1,001,768 0.16%
           2,600,000 7/28/16 Jackson National Life Global Funding 0.57%              2,602,783 0.40%
           1,174,000 12/9/16 MassMutual Global Funding II 0.71%              1,172,646 0.18%
              798,000 4/5/17 MassMutual Global Funding II 2.00%                 807,344 0.13%
           1,500,000 4/10/17 Metropolitan Life Global Funding I 1.30%              1,503,816 0.23%
           1,000,000 4/10/17 Metropolitan Life Global Funding I 0.70%              1,003,167 0.16%
           1,240,000 5/27/16 National Rural Utilities Coop Fin Corp 0.66%              1,240,664 0.19%
           1,000,000 3/1/17 New York Life Global Funding 1.13%              1,003,318 0.16%

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

~~Futures Portfolio Fund, Limited Partnership~~

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

~~December 31, 2015~~

Description Fair Value % of Partners’ Capital (Net Asset Value)
U.S. Corporate Notes (continued)
Face Value Maturity Date Name Yield¹
Diversified financial services (continued)
$        8,500,000 11/25/16 Pricoa Global Funding I 1.15% $               8,469,554 1.31%
           1,800,000 12/1/17 Principal Life Global Funding II 0.98%              1,800,152 0.28%
           1,158,000 3/7/16 State Street Corporation 2.88%              1,172,622 0.18%
           1,757,000 12/13/16 USAA Capital Corporation 2.25%              1,787,773 0.28%
Energy
              812,000 9/15/16 Anadarko Petroleum Corporation 5.95%                 848,602 0.13%
           1,000,000 8/1/16 Arizona Public Service Company 6.25%              1,052,152 0.16%
           1,461,000 11/9/17 Chevron Corporation 0.72%              1,460,560 0.23%
              500,000 9/15/16 Dayton Power and Light Company 1.88%                 501,620 0.08%
           5,750,000 4/3/17 Duke Energy Corporation 0.70%              5,751,540 0.89%
           1,000,000 8/15/16 Georgia Power Company 0.76%              1,000,453 0.16%
           3,350,000 12/1/17 Kinder Morgan, Inc. 2.00%              3,235,921 0.50%
           2,000,000 2/1/16 ONEOK Partners, L.P. 3.25%              2,028,323 0.32%
           4,778,000 7/15/16 Pioneer Natural Resources Company 5.88%              5,002,042 0.78%
           1,500,000 5/15/16 Sierra Pacific Power Company 6.00%              1,537,909 0.24%
           5,500,000 6/15/16 Spectra Energy Partners, LP 2.95%              5,511,061 0.86%
Engineering and construction
           1,375,000 6/15/16 ABB Treasury Center (USA), Inc. 2.50%              1,383,400 0.21%
Healthcare
              500,000 1/15/18 Anthem, Inc. 1.88%                 502,578 0.08%
           7,750,000 1/17/17 UnitedHealth Group Incorporated 0.77%              7,761,182 1.20%
           2,695,000 9/26/16 Ventas Realty, Limited Partnership 1.55%              2,712,922 0.42%
           3,775,000 4/1/18 Zimmer Biomet Holdings, Inc. 2.00%              3,774,019 0.59%
Manufacturing
              700,000 7/11/17 John Deere Capital Corporation 0.77%                 701,864 0.11%
Pharmaceutical
           7,775,000 5/14/18 AbbVie Inc. 1.80%              7,755,563 1.20%
           1,400,000 10/7/16 Bayer US Finance LLC 0.57%              1,401,153 0.22%
              500,000 3/17/17 EMD FIN LLC 0.88%                 499,452 0.08%
Retail
           1,500,000 10/15/16 Lowe’s Companies, Inc. 5.40%              1,568,330 0.24%
           2,000,000 3/1/16 The Home Depot, Inc. 5.40%              2,050,064 0.32%
Software
           1,500,000 2/5/16 IBM 0.40%              1,500,557 0.23%
              900,000 7/7/17 Oracle Corporation 0.52%                 900,450 0.14%
Telecommunication
           1,500,000 8/15/16 AT&T Inc. 2.40%              1,523,455 0.24%
           2,150,000 9/15/16 Verizon Communications, Inc. 2.04%              2,170,327 0.34%
           1,300,000 11/1/16 Verizon Communications, Inc. 2.00%              1,312,430 0.20%
           4,800,000 6/9/17 Verizon Communications, Inc. 0.88%              4,793,185 0.74%
Transportation
           4,500,000 10/28/16 Kansas City Southern 1.16%              4,496,674 0.70%
Total U.S. corporate notes (cost:  $198,467,053)          196,888,445 30.59%

Foreign Corporate Notes
Face Value Maturity Date Name Yield¹
Banks
$        1,810,000 1/22/16 ABN AMRO Bank N.V. 1.38%              1,821,127 0.28%
           2,365,000 9/9/16 Bank of Tokyo-Mitsubishi UFJ, Ltd. 1.55%              2,380,844 0.37%
           2,584,000 9/22/16 Barclays Bank PLC 5.00%              2,685,835 0.42%
              800,000 1/29/18 Caisse Centrale Desjardins 0.99%                 799,842 0.12%
           2,000,000 9/20/16 Commonwealth Bank of Australia 1.07%              2,003,104 0.31%
           1,800,000 5/26/17 Credit Suisse AG 1.38%              1,793,903 0.28%

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

~~Futures Portfolio Fund, Limited Partnership~~

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

~~December 31, 2015~~

Description Fair Value % of Partners’ Capital (Net Asset Value)
Foreign Corporate Notes (continued)
Face Value Maturity Date Name Yield¹
Banks (continued)
$        8,000,000 4/27/18 Credit Suisse AG 1.00% $               7,959,269 1.23%
              756,000 1/11/16 Deutsche Bank AG 3.25%                 767,886 0.12%
           3,700,000 5/24/16 HSBC Bank PLC 3.10%              3,743,250 0.58%
           1,000,000 3/15/16 ING Bank N.V. 4.00%              1,018,058 0.16%
           5,000,000 8/17/18 ING Bank N.V. 1.14%              5,024,448 0.78%
           1,500,000 8/15/16 Macquarie Bank Limited 2.00%              1,517,041 0.24%
           2,000,000 12/9/16 National Australia Bank Limited 0.73%              1,998,123 0.31%
           5,000,000 7/23/18 National Australia Bank Limited 0.96%              5,006,135 0.78%
           1,950,000 5/13/16 Nordea Bank AB 0.88%              1,952,066 0.30%
              548,000 1/19/17 Rabobank Nederland 3.38%                 568,507 0.09%
           1,158,000 9/9/16 Royal Bank of Canada 1.45%              1,165,655 0.18%
           1,200,000 1/18/16 Sumitomo Mitsui Bank 0.90%              1,204,890 0.19%
           1,800,000 7/12/16 Svenska Handelsbanken AB 3.13%              1,846,627 0.29%
           1,500,000 7/23/18 Toronto-Dominion Bank 0.86%              1,497,653 0.23%
Diversified financial services
           1,012,000 4/15/16 GE Capital International Funding Co. 0.96%              1,012,921 0.16%
Energy
              750,000 3/11/16 BP Capital Markets P.L.C. 3.20%                 760,566 0.12%
           4,800,000 5/9/16 CNOOC Finance (2013) Limited 1.13%              4,798,968 0.75%
           1,000,000 5/10/17 Shell International Finance B.V. 0.66%                 999,488 0.16%
           1,000,000 1/15/16 TransCanada PipeLines Limited 0.75%              1,003,288 0.16%
Holding company
              222,000 1/13/17 Hutchison Whampoa International (11) Ltd 3.50%                 229,384 0.04%
Pharmaceutical
           6,790,000 3/12/18 Actavis Funding SCS 1.58%              6,870,944 1.06%
Semiconductors
           1,520,000 10/17/16 Siemens Financieringsmaatschappij N.V. 5.75%              1,592,129 0.25%
Telecommunication
           1,287,000 9/8/16 America Movil SAB DE CV 2.38%              1,300,842 0.20%
           1,300,000 4/11/16 Deutsche Telekom International Finance B.V. 3.13%              1,316,291 0.20%
           1,000,000 2/16/16 Telefonica Emisiones, S.A.U. 3.99%              1,017,721 0.16%
Total foreign corporate notes (cost:  $67,851,993)            67,656,805 10.52%
Total corporate notes (cost:  $266,319,046)          264,545,250 41.11%

U.S. Asset Backed Securities
Face Value Maturity Date Name Yield¹
Automotive
$           700,000 3/15/18 Ally Auto Receivables Trust 2015-2 0.98%                 699,431 0.11%
              258,662 4/9/18 Americredit Automobile Receivables Tr 2014-4 0.68%                 258,621 0.04%
           1,300,000 1/8/19 AmeriCredit Automobile Receivables Trust 2006-A-F 1.07%              1,297,418 0.20%
              513,173 2/8/19 AmeriCredit Automobile Receivables Trust 2006-A-F 0.90%                 512,195 0.08%
              317,374 1/15/21 Ari Fleet Lease Tr 2012-B 0.63%                 316,798 0.05%
              486,782 4/16/18 Bank of the West Auto Trust 2015-1 0.87%                 486,202 0.08%
           1,400,000 1/22/18 BMW Vehicle Lease Trust 2015-2 1.07%              1,396,601 0.22%
                67,783 6/20/17 Capital Auto Receivables Asset Trust 2013-1 0.79%                   67,786 0.01%
              475,000 10/20/17 Capital Auto Receivables Asset Trust 2015-2 0.81%                 474,265 0.07%
              856,429 2/15/18 CarMax Auto Owner Trust 2014-4 0.67%                 855,631 0.13%
           1,117,496 6/15/18 CarMax Auto Owner Trust 2015-2 0.82%              1,115,167 0.17%
                70,609 11/15/17 Drive Auto Receivables Tr 2015-A 1.01%                   70,592 0.01%
              220,808 12/15/17 Drive Auto Receivables Tr 2015-B 0.93%                 220,621 0.03%

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

~~Futures Portfolio Fund, Limited Partnership~~

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

~~December 31, 2015~~

Description Fair Value % of Partners’ Capital (Net Asset Value)
U.S. Asset Backed Securitiess (continued)
Face Value Maturity Date Name Yield¹
Automotive (continued)
$             55,476 3/20/19 Enterprise Fleet Financing, LLC 1.06% $                    55,459 0.01%
              345,000 5/15/18 Fifth Third Auto Trust 2015-1 1.02% ��              344,327 0.05%
              600,000 5/15/18 Ford Credit Auto Lease 2015-B 1.04%                 598,447 0.09%
              217,000 9/15/17 Ford Credit Auto Lease Trust 2014-B 0.89%                 216,793 0.03%
              645,000 3/15/18 Ford Credit Auto Owner Trust 2012-D 0.67%                 644,154 0.10%
              754,588 8/15/17 Ford Credit Auto Owner Trust 2014-C 0.61%                 754,540 0.12%
           1,332,350 3/15/18 Ford Credit Auto Owner Trust 2015-B 0.72%              1,331,478 0.21%
              500,000 7/20/19 GE Dealer Floorplan Master Note 0.78%                 498,239 0.08%
           1,073,001 1/15/19 Harley-Davidson Motorcycle Trust 2015-2 0.80%              1,069,918 0.17%
              337,447 5/15/17 Honda Auto Receivables 2013-3 Owner Trust 0.77%                 337,380 0.05%
           2,262,218 9/18/17 Honda Auto Receivables 2013-4 Owner Trust 0.69%              2,260,433 0.36%
              528,585 6/15/17 Honda Auto Receivables 2015-1 Owner Trust 0.70%                 528,234 0.08%
              500,000 11/20/17 Honda Auto Receivables 2015-3 Owner Tr 0.92%                 499,511 0.08%
              800,000 7/23/18 Honda Auto Receivables 2015-4 Owner Trust 0.82%                 798,033 0.12%
           1,900,000 11/15/17 Hyundai Auto Lease Securitization Tr 2014-B 0.98%              1,898,765 0.30%
              821,121 10/16/17 Hyundai Auto Receivables Trust 2015-A 0.68%                 820,891 0.13%
              700,000 11/15/18 Hyundai Auto Receivables Trust 2015-C 0.99%                 698,990 0.11%
           1,020,000 1/16/18 Mercedes-Benz Auto Lease Trust 2015-B 1.00%              1,017,989 0.16%
           1,767,624 11/15/17 Nissan Auto Lease Trust 2015-A 0.68%              1,766,793 0.27%
              620,981 8/15/18 Nissan Auto Receivables 2013-C Owner Trust 0.67%                 619,775 0.10%
              581,520 6/15/17 Nissan Auto Receivables 2014-B Owner Trust 0.60%                 581,275 0.09%
           1,056,510 9/15/17 Nissan Auto Receivables 2015-A Owner Trust 0.67%              1,055,702 0.16%
              215,904 11/21/17 Porsche Innovative Lease Owner Tr 2015-1 0.79%                 215,439 0.03%
              450,000 11/15/18 Santander Drive Auto Receivables Trust 2015-5 1.12%                 449,482 0.07%
           1,000,000 9/17/18 Santander Drive Auto Receivables Trust 2014-4 1.08%                 999,912 0.16%
                93,553 4/16/18 Santander Drive Auto Receivables Trust 2014-5 0.73%                   93,469 0.01%
           1,008,000 4/8/19 Santander Drive Auto Receivables Trust 2015-4 1.26%              1,006,995 0.16%
              500,000 2/15/18 Toyota Auto Receivables 2015-C Owner Tr 0.66%                 499,531 0.08%
              512,648 8/21/17 Volkswagen Auto Loan Enhanced Trust 2013-1 0.56%                 511,991 0.08%
              549,589 4/20/18 Volkswagen Auto Loan Enhanced Trust 2013-2 0.70%                 546,997 0.08%
              400,000 10/22/18 Volkswagen Auto Loan Enhanced Trust 2014-1 0.91%                 397,899 0.06%
Commercial mortgages
           1,540,572 1/15/49 Banc of America Commercial Mortgage Trust 2007-1 5.43%              1,594,549 0.25%
              419,268 5/10/45 Banc of America Commercial Mortgage Trust 2006-2 5.84%                 422,547 0.07%
           1,089,084 10/15/49 Citigroup Commercial Mortgage Trust 2006-C5 5.43%              1,108,596 0.17%
              196,707 4/15/43 JPMorgan Chase & Co. 5.48%                 197,562 0.03%
           1,977,927 9/15/39 LB-UBS Commercial Mortgage Trust 2006-C6 5.37%              2,012,480 0.32%
           1,098,139 12/12/49 ML-CFC Commercial Mortgage Trust 2006-4 5.17%              1,125,130 0.17%
              467,442 2/12/44 Morgan Stanley Capital I Trust 2007-HQ11 0.45%                 461,295 0.07%
Credit cards
           1,000,000 1/15/20 BA Credit Card Trust 0.62%                 997,953 0.16%
           1,500,000 11/15/18 Capital One Multi-Asset Execution Trust 0.63%              1,500,323 0.23%
           2,000,000 9/16/19 Capital One Multi-Asset Execution Trust 0.96%              1,997,970 0.31%
              850,000 10/15/18 Chase Issuance Trust 1.01%                 849,923 0.13%
           2,000,000 9/7/18 Citibank Credit Card Issuance Trust 1.32%              2,012,261 0.32%
           1,760,000 11/7/18 Citibank Credit Card Issuance Trust 0.57%              1,760,731 0.27%
           1,500,000 2/22/19 Citibank Credit Card Issuance Trust 1.02%              1,501,889 0.23%
           1,000,000 3/15/21 World Financial Network Credit Card Master Note Trust 1.26%                 997,240 0.15%
Other
           1,072,358 8/15/18 CNH Equipment Trust 2013-B 0.69%              1,070,863 0.17%
              926,407 2/15/18 John Deere Owner Trust 2015 0.87%                 925,544 0.14%
              338,929 12/15/17 Kubota Credit Owner Trust 2015-1 0.94%                 338,921 0.05%

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

~~Futures Portfolio Fund, Limited Partnership~~

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

~~December 31, 2015~~

Description Fair Value % of Partners’ Capital (Net Asset Value)
U.S. Asset Backed Securitiess (continued)
Face Value Maturity Date Name Yield¹
Student loans
$             46,674 5/16/22 Navient Private Ed Loan Tr 2014-A 0.81% $                    46,591 0.01%
              139,582 8/15/23 SLM Private Ed Loan Tr 2012-C 1.43%                 139,847 0.02%
                49,088 8/15/25 SLM Private Education Loan Trust 2012-A 1.73%                   49,337 0.01%
              247,119 10/16/23 SLM Private Education Loan Trust 2012-E 1.08%                 246,891 0.04%
Total U.S. asset backed securities (cost:  $52,447,431)            52,248,612 8.12%
Total investments in securities (cost:  $453,001,973) $           451,049,033 70.09%

CERTIFICATES OF DEPOSIT
  U.S. Certificates of Deposit
Face Value Maturity Date Name Yield¹
Banks
$        1,000,000 9/16/16 Credit Suisse Group AG 0.88% $               1,002,097 0.16%
           1,622,000 5/24/17 National Bank of Canada 0.78%              1,622,403 0.25%
           2,000,000 2/13/17 Nordea Bank Finland PLC 0.64%              2,000,778 0.31%
           2,000,000 3/11/16 Norinchukin Bank (NY Branch) 0.50%              2,002,796 0.31%
           1,000,000 10/14/16 Royal Bank of Canada 0.57%              1,000,418 0.16%
           1,200,000 8/4/16 Standard Chartered Bank 0.80%              1,203,192 0.19%
              850,000 2/12/16 Sumitomo Mitsui Bank (NY Branch) 0.52%                 853,973 0.13%
           1,500,000 8/8/16 Toronto-Dominion Bank 0.75%              1,503,773 0.23%
           2,000,000 11/8/16 Toronto-Dominion Bank 1.00%              2,002,927 0.31%
           1,800,000 10/21/16 Westpac Banking Corporation 0.57%              1,801,450 0.28%
Total U.S. certificates of deposit (cost:  $14,970,784)            14,993,807 2.33%

Foreign Certificates of Deposit
Face Value Maturity Date Name Yield¹
Banks
$        2,200,000 5/9/16 Bank of Nova Scotia 0.50%              2,200,684 0.34%
           1,800,000 5/23/17 Canadian Imperial Bank of Commerce 0.73%              1,800,350 0.28%
           2,000,000 2/19/16 Landesbank Hessen-Thuringen Girozentrale 0.57%              2,010,319 0.31%
              705,000 8/17/16 Svenska Handelsbanken AB 0.54%                 705,318 0.11%
           1,000,000 12/7/17 Svenska Handelsbanken AB 0.93%              1,000,031 0.16%
Total foreign certificates of deposit (cost:  $7,702,458)              7,716,702 1.20%

Total certificates of deposit (cost:  $22,673,242) $             22,710,509 3.53%

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

~~Futures Portfolio Fund, Limited Partnership~~

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

~~December 31, 2015~~

Description Fair Value % of Partners’
Capital (Net
Asset Value)
OPEN FUTURES CONTRACTS
   Long U.S. Futures Contracts
Agricultural commodities $               (87,790) (0.01)%
Currencies                 (13,903) (0.00)%
Energy                 (71,925) (0.01)%
Equity indices               (267,223) (0.04)%
Interest rate instruments            (1,919,882) (0.30)%
Metals            (2,395,884) (0.38)%
Single stock futures                   80,372 0.01%
Net unrealized gain (loss) on open long U.S. futures contracts            (4,676,235) (0.73)%

Short U.S. Futures Contracts
Agricultural commodities              1,382,973 0.21%
Currencies              1,781,349 0.28%
Energy              3,397,258 0.53%
Equity indices               (155,214) (0.02)%
Interest rate instruments                 432,469 0.07%
Metals              5,114,526 0.79%
Single stock futures                   59,932 0.01%
Net unrealized gain (loss) on open short U.S. futures contracts            12,013,293 1.87%

Total U.S. Futures Contracts - Net unrealized gain (loss) on open U.S. futures contracts              7,337,058 1.14%

Long Foreign Futures Contracts
Agricultural commodities                   92,172 0.01%
Currencies                 113,487 0.02%
Equity indices               (257,076) (0.04)%
Interest rate instruments            (2,743,226) (0.42)%
Metals                     1,805 0.00%
Single stock futures 929 0.00%
Net unrealized gain (loss) on open long foreign futures contracts            (2,791,909) (0.43)%

Short Foreign Futures Contracts
Agricultural commodities                   82,706 0.01%
Currencies                 218,328 0.03%
Energy                 260,934 0.04%
Equity indices               (747,330) (0.11)%
Interest rate instruments                   34,671 0.01%
Metals                   20,191 0.00%
Single stock futures                   (1,971) (0.00)%
Net unrealized gain (loss) on open short foreign futures contracts               (132,471) (0.02)%

Total foreign futures contracts - net unrealized gain (loss) on open foreign futures contracts            (2,924,380) (0.45)%

Net unrealized gain (loss) on open futures contracts $            4,412,678 0.69%

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

~~Futures Portfolio Fund, Limited Partnership~~

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

~~December 31, 2015~~

Description Fair Value % of Partners’ Capital (Net
Asset Value)
OPEN FORWARD CURRENCY CONTRACTS
   U.S. Forward Currency Contracts
Long $ (153,940) (0.02)%
Short     87,056 0.01%
Net unrealized gain (loss) on open U.S. forward currency contracts      (66,884) (0.01)%

Foreign Forward Currency Contracts
Long     713,075 0.11%
Short   (2,260,682) (0.35)%
Net unrealized gain (loss) on open foreign forward currency contracts    (1,547,607) (0.24)%

Net unrealized gain (loss) on open forward currency contracts $   (1,614,491) (0.25)%

TOTAL RETURN SWAP CONTRACT
Termination Date Counterparty
4/1/19 Deutsche Bank, AG $     3,440,896 0.53%

Comprised of a proprietary basket of Commodity Trading Advisor’s (“CTA”) programs investing in various futures, forwards and currency derivative contracts and other similar investments. See Notes 2 and 3.

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

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

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

~~Futures Portfolio Fund, Limited Partnership~~

Consolidated Statements of Operations

For the Three and ~~Six~~Nine Months Ended ~~June~~September 30, 2016 and 2015 (unaudited)

		Three Months Ended June 30,								Six Months Ended June 30,								Three Months Ended September 30,								Nine Months Ended September 30,
		2016				2015				2016				2015				2016				2015				2016				2015
Realized and change in unrealized gain (loss) on investments
Net realized gain (loss) on:
Futures, forward currency and swap contracts		$	(22,350,265	)		$	(50,823,797	)		$	31,797,481			$	24,617,746			$	10,357,243			$	5,683,655			$	42,154,724			$	30,301,401
Investments in securities and CDs			(420,406	)			41,512				(312,981	)			(566,771	)			(470,142	)			89,055				(783,123	)			(477,716	)
Net change in unrealized gain (loss) on:
Futures, forward currency and swap contracts			26,857,511				(32,031,153	)			27,103,902				(40,153,822	)			(23,420,648	)			25,880,998				3,683,254				(14,272,824	)
Investments in securities and CDs			1,252,068				(237,131	)			1,298,167				801,986				(968,179	)			(509,317	)			329,988				292,669
Brokerage commissions and trading expenses			(1,381,656	)			(1,498,259	)			(2,574,262	)			(3,006,421	)			(1,348,979	)			(1,341,769	)			(3,923,241	)			(4,348,190	)
Net realized and change in unrealized gain (loss) on investments			3,957,252				(84,548,828	)			57,312,307				(18,307,282	)
Net realized and changed in unrealized gain (loss) on investments																			(15,850,705	)			29,802,622				41,461,602				11,495,340

Net investment income (loss)
Income
Interest income			1,270,605				803,034				2,419,964				1,564,756				1,303,861				825,614				3,723,825				2,390,370

Expenses
Trading Advisor management fee			2,075,184				2,396,807				4,169,066				4,945,200				2,133,783				2,343,197				6,302,849				7,288,397
Trading Advisor incentive fee			1,420,218				1,843				3,298,796				9,348,716				991,813				—				4,290,609				9,348,716
Cash manager fees			125,110				117,969				248,931				238,303				128,822				119,152				377,753				357,455
General Partner management and performance fees			2,295,847				2,653,296				4,773,385				5,542,063				2,285,856				2,501,949				7,059,241				8,044,012
Selling agent and broker dealer servicing fees – General Partner			2,129,383				2,413,631				4,434,242				5,009,958				2,121,656				2,329,539				6,555,898				7,339,497
General Partner 1% allocation			(41,963	)			(906,791	)			391,629				(425,811	)			(225,983	)			231,022				165,646				(194,789	)
Administrative expenses – General Partner			439,971				518,053				934,652				1,096,407				428,692				500,306				1,363,344				1,596,713
Investment Manager fees			363,321				260,124				651,739				499,999				392,201				258,587				1,043,940				758,586
Distribution (12b-1) fees			6,757				5,560				13,277				8,152				7,847				7,075				21,124				15,227
Operating services fee			49,827				104,049				133,126				199,999				53,788				103,435				186,914				303,434
Total expenses			8,863,655				7,564,541				19,048,843				26,462,986				8,318,475				8,394,262				27,367,318				34,857,248
Net investment income (loss)			(7,593,050	)			(6,761,507	)			(16,628,879	)			(24,898,230	)			(7,014,614	)			(7,568,648	)			(23,643,493	)			(32,466,878	)
Net income (loss)			(3,635,798	)			(91,310,335	)			40,683,428				(43,205,512	)			(22,865,319	)			22,233,974				17,818,109				(20,971,538	)
Less: net (income) loss attributable to non-controlling interest			(518,534	)			1,538,081				(1,912,169	)			1,049,751				493,024				637,167				(1,419,145	)			1,686,918
Net income (loss) attributable to the Fund		$	(4,154,332	)		$	(89,772,254	)		$	38,771,259			$	(42,155,761	)		$	(22,372,295	)		$	22,871,141			$	16,398,964			$	(19,284,620	)

		Three Months Ended June 30,																								Three Months Ended September 30,
		2016												2015												2016												2015
			Class A				Class B				Class I				Class A				Class B				Class I			Class A				Class B				Class I				Class A				Class B				Class I
Increase (decrease) in net asset value per unit		$	(32.63	)		$	(18.55	)		$	(0.37	)		$	(561.58	)		$	(781.49	)		$	(121.92	)		$	(169.30	)		$	(220.84	)		$	(33.00	)		$	138.44			$	227.19			$	38.81
Net income (loss) per unit†		$	(38.09	)		$	(19.45	)		$	(0.36	)		$	(566.53	)		$	(788.09	)		$	(121.99	)		$	(170.75	)		$	(219.80	)		$	(33.00	)		$	138.30			$	239.04			$	38.81

Weighted average number of units outstanding			92,741.3442				31,881.5810				3,828.4541				104,032.4976				38,533.1209				3,826.1262				90,388.1104				30,992.2443				3,828.4541				102,997.6252				35,467.9956				3,828.4541
		Six Months Ended June 30,
		2016												2015													Nine Months Ended September 30,
			Class A				Class B				Class I				Class A				Class B				Class I			2016												2015
																										Class A				Class B				Class I				Class A				Class B				Class I
Increase (decrease) in net asset value per unit		$	249.77			$	422.59			$	72.02			$	(282.49	)		$	(351.59	)		$	(52.98	)		$	80.47			$	201.75			$	39.02			$	(144.05	)		$	(124.40	)		$	(14.17	)
Net income (loss) per unit†		$	258.59			$	435.87			$	72.03			$	(280.28	)		$	(317.95	)		$	(60.38	)		$	96.35			$	228.34			$	39.03			$	(145.02	)		$	(107.86	)		$	(19.51	)

Weighted average number of units outstanding			94,370.1251				32,330.7179				3,828.4541				104,647.7096				39,640.4237				3,660.2025				93,090.3784				31,883.0013				3,828.4541				104,034.8343				38,249.3748				3,710.6779

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

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

20

Futures Portfolio Fund, Limited Partnership

Consolidated Statements of Cash Flows

For the Nine Months Ended September 30, 2016 and 2015 (unaudited)

		2016				2015
Cash flows from operating activities
Net income (loss)		$	17,818,109			$	(20,971,538	)
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities
Net change in unrealized (gain) loss from futures, forwards and swap trading			(3,683,254	)			14,272,824
Net realized and change in unrealized (gain) loss on securities and certificates of deposit			453,135				185,047
Purchases of securities and certificates of deposit			(811,168,364	)			(655,536,657	)
Proceeds from disposition of securities and certificates of deposit			793,882,748				692,752,130
Changes in
Trading Advisor management fee payable			(470,369	)			(293,374	)
Trading Advisor incentive fee payable			774,957				(10,977,066	)
Commissions and other trading fees payable on open contracts			(3,703	)			(12,446	)
Cash Managers fees payable			2,377				(348	)
General Partner management and performance fees payable			(51,897	)			(106,893	)
General Partner 1% allocation receivable/payable			437,076				(733,074	)
Selling agent and broker dealer servicing fees payable – General Partner			(52,054	)			(68,651	)
Administrative expenses payable – General Partner			(16,839	)			(14,384	)
Investment Manager fee payable			44,803				7,662
Distribution (12b-1) fees payable			501				1,905
Operating services fee payable			(15,906	)			3,338
Net cash provided by (used in) operating activities			(2,048,680	)			18,508,475

Cash flows from financing activities
Subscriptions			19,675,928				33,204,793
Subscriptions received in advance			1,729,565				1,485,667
Redemptions			(78,684,472	)			(101,965,590	)
Non-controlling interest – subscriptions			11,555,082				23,494,229
Non-controlling interest – redemptions			(3,332,132	)			(2,973,988	)
Net cash provided by (used in) financing activities			(49,056,029	)			(46,754,889	)

Net increase (decrease) in cash and cash equivalents			(51,104,709	)			(28,246,414	)
Cash and cash equivalents, beginning of period			179,026,770				269,943,729
Cash and cash equivalents, end of period		$	127,922,061			$	241,697,315

End of period cash and cash equivalents consists of
Cash in broker trading accounts		$	90,132,643			$	219,383,090
Cash and cash equivalents			37,789,418				22,314,225
Total end of period cash and cash equivalents		$	127,922,061			$	241,697,315

Supplemental disclosure of cash flow information
Prior period redemptions paid		$	11,143,201			$	10,423,609
Prior period subscriptions received in advance		$	1,086,965			$	2,577,065

Supplemental schedule of non-cash financing activities
Redemptions payable		$	7,373,477			$	6,651,013

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

21

Futures Portfolio Fund, Limited Partnership

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

For the ~~Six~~Nine Months Ended ~~June~~September 30, 2016 and 2015 (unaudited)

2016 2015
Cash flows from operating activities
Net income (loss) $ 40,683,428 $ (43,205,512 )
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities
Net change in unrealized (gain) loss from futures, forwards and swap trading (27,103,902 ) 40,153,822
Net realized and change in unrealized (gain) loss on securities and certificates of deposit (985,186 ) (235,215 )
Purchases of securities and certificates of deposit (493,632,646 ) (614,104,028 )
Proceeds from disposition of securities and certificates of deposit 488,986,782 629,107,189
Changes in
Trading Advisor management fee payable (185,479 ) 94,948
Trading Advisor incentive fee payable 1,574,419 (10,977,066 )
Commissions and other trading fees payable on open contracts (29,612 ) (13,775 )
Cash Managers fees payable 4,678 48,441
General Partner management and performance fees payable (5,585 ) (101,791 )
General Partner 1% allocation receivable/payable 663,059 (964,096 )
Selling agent and broker dealer servicing fees payable – General Partner (11,435 ) (74,703 )
Administrative expenses payable – General Partner (2,359 ) (21,340 )
Investment Manager fee payable 36,841 10,036
Distribution (12b-1) fees payable 76 1,771
Operating services fee payable (16,997 ) 4,015
Net cash provided by (used in) operating activities 9,976,082 (277,304 )

Cash flows from financing activities
Subscriptions 8,123,501 21,378,150
Subscriptions received in advance 1,657,373 5,265,159
Redemptions (52,976,439 ) (62,508,692 )
Non-controlling interest – subscriptions 5,605,676 17,580,245
Non-controlling interest – redemptions (2,549,717 ) (1,430,429 )
Net cash provided by (used in) financing activities (40,139,606 ) (19,715,567 )

Net increase (decrease) in cash and cash equivalents (30,163,524 ) (19,992,871 )
Cash and cash equivalents, beginning of period 179,026,770 269,943,729
Cash and cash equivalents, end of period $ 148,863,246 $ 249,950,858

End of period cash and cash equivalents consists of
Cash in broker trading accounts $ 114,257,286 $ 227,661,667
Cash and cash equivalents 34,605,960 22,289,191
Total end of period cash and cash equivalents $ 148,863,246 $ 249,950,858

Supplemental disclosure of cash flow information
Prior period redemptions paid $ 11,143,201 $ 10,423,609
Prior period subscriptions received in advance $ 1,086,965 $ 2,577,065

Supplemental schedule of non-cash financing activities
Redemptions payable $ 9,596,232 $ 9,873,363

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

Nine Months Ended September 30, 2015
Balance at December 31, 2014			106,074.0114			$	468,243,719				41,522.9665			$	262,572,733				3,438.9708			$	3,455,693			$	7,282,068			$	741,554,213
Net income (loss)							(15,086,747	)							(4,125,460	)							(72,413	)			(1,686,918	)			(20,971,538	)
Subscriptions			5,743.5295				25,376,355				1,574.4869				9,995,503				389.4833				410,000				23,350,573				59,132,431
Redemptions			(9,093.6066	)			(39,751,760	)			(9,198.4444	)			(58,398,450	)			—				—				(3,016,772	)			(101,166,982	)
Transfers			(1,082.9484	)			(4,749,538	)			749.8353				4,749,538				—				—				—				—
Balance at September 30, 2015			101,640.9859			$	434,032,029				34,648.8443			$	214,793,864				3,828.4541			$	3,793,280			$	25,928,951			$	678,548,124

			Net Asset Value per Unit
			Class A				Class B				Class I

September 30, 2016				4,292.73				6,344.09				1,023.19
December 31, 2015				4,212.26				6,142.34				984.17
September 30, 2015				4,270.25				6,199.16				990.81
December 31, 2014				4,414.30				6,323.56				1,004.98

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

22

~~Futures Portfolio Fund, Limited Partnership~~

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

~~For the Six Months Ended June 30, 2016 and 2015 (unaudited)~~

Class A Class B Class I Non-Controlling
Interest
Units Amount Units Amount Units Amount Amount Total
Six Months Ended June 30, 2016

Balance at December 31, 2015 98,034.9581 $ 412,948,548 33,265.6588 $ 204,329,032 3,828.4541 $ 3,767,830 $ 22,540,476 $ 643,585,886
Net income (loss) 24,403,386 14,092,124 275,749 1,912,169 40,683,428
Subscriptions 1,051.8622 4,654,291 711.7583 4,556,175 — — 5,725,091 14,935,557
Redemptions (7,266.2609 ) (32,372,868 ) (2,919.3809 ) (19,003,573 ) — — (2,602,746 ) (53,979,187 )
Transfers (581.0258 ) (2,519,419 ) 395.9536 2,519,419 — — — —
Balance at June 30, 2016 91,239.5336 $ 407,113,938 31,453.9898 $ 206,493,177 3,828.4541 $ 4,043,579 $ 27,574,990 $ 645,225,684

Six Months Ended June 30, 2015
��
Balance at December 31, 2014 106,074.0114 $ 468,243,719 41,522.9665 $ 262,572,733 3,438.9708 $ 3,455,693 $ 7,282,068 $ 741,554,213
Net income (loss) (29,330,966 ) (12,603,793 ) (221,002 ) (1,049,751 ) (43,205,512 )
Subscriptions 3,732.8618 16,916,811 1,017.5526 6,628,403 389.4833 410,001 18,777,599 42,732,814
Redemptions (4,983.9123 ) (22,489,838 ) (6,128.3851 ) (39,367,156 ) — — (1,531,881 ) (63,388,875 )
Transfers (646.8360 ) (2,903,813 ) 449.0664 2,903,813 — — — —
Balance at June 30, 2015 104,176.1249 $ 430,435,913 36,861.2004 $ 220,134,000 3,828.4541 $ 3,644,692 $ 23,478,035 $ 677,692,640

Net Asset Value per Unit
Class A Class B Class I

June 30, 2016 4,462.03 6,564.93 1,056.19
December 31, 2015 4,212.26 6,142.34 984.17
June 30, 2015 4,131.81 5,971.97 952.00
December 31, 2014 4,414.30 6,323.56 1,004.98

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

Futures Portfolio Fund, Limited Partnership

Notes to Consolidated Financial Statements

1.

Organization and Summary of Significant Accounting Policies

Description of the Fund

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

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

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

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

The three classes of Units in the Fund differ only in the fees applicable to each class. Class A Units are subject to a 2% per annum selling agent fee and class B Units are subject to a 0.2% per annum broker dealer servicing fee. Class I Units are subject to higher minimum investments requirements and lower General Partner Management Fees (0.75% per annum instead of 1.50% per annum) as well as a General Partner performance fee (7.5% of new profits, described more fully in Note 4).

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 (the “Trust”), a statutory trust organized under the laws of the State of Delaware, and is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. SMFF issues four classes of shares: Class A, C, I and N. At ~~June~~September 30, 2016, the Fund owned ~~68%~~64% of the outstanding shares of SMFF and therefore had effective control of that entity. Accordingly, the assets, liabilities and operating results of SMFF have been consolidated with the Fund. The portion of SMFF that is not owned by the Fund is presented as the non-controlling interest. SMFF has a similar investment strategy to the Fund, using commodity trading advisors to engage in the speculative trading of futures contracts, forward currency contracts and other financial instruments. Prior to March 2016, SMFF used a total return swap to gain access to the gains and losses of a basket of trading advisors. The General Partner serves as the investment manager of SMFF. During 2016 and 2015, the Fund redeemed $1 million and $7 million of its investment in SMFF, ~~which is~~respectively. The redemptions are eliminated in consolidation. ~~The Fund has made no redemptions during 2016.~~

Significant Accounting Policies

Accounting Principles

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

Consolidation

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

Use of Estimates

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

Revenue Recognition

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

Fair Value of Financial Instruments

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

Level 1 –

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

Level 2 –

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

Level 3 –

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

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

The Fund assesses the classification of the instruments at each measurement date, and any transfers between levels are recognized on the actual date of the event or change in circumstances that caused the transfer in accordance with the Fund’s accounting policy regarding the recognition of transfers between levels of the fair value hierarchy. For the period ended ~~June~~September 30, 2016 and year ended December 31, 2015, there were no such transfers between levels.

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

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

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

Cash and Cash Equivalents

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

Brokerage Commissions and Trading Expenses

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

Redemptions Payable

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

Income Taxes

The Fund prepares calendar year U.S. and applicable state and local tax returns. The Fund is not subject to federal income taxes as each partner is individually liable for his or her allocable share of the Fund’s income, expenses and trading gains or losses. The Fund evaluates the tax positions taken or expected to be taken in the course of preparing the Fund’s tax returns to determine whether the tax positions are more-likely-than-not to be sustained when examined by the applicable tax authority. Tax positions not deemed to meet the more-likely-than-not threshold would be recorded as a tax benefit or expense and asset or liability in the current year. Management has determined there are no material uncertain income tax positions through ~~June~~September 30, 2016. With few exceptions, the Fund is no longer subject to U.S. federal, or state and local income tax examinations by tax authorities for years before 2012.

Foreign Currency Transactions

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

Swap Agreement

Through its investment in SMFF, the Fund had a total return swap agreement with Deutsche Bank AG. This two-party contract was entered to exchange, or swap, the returns realized on a basket of CTA programs. At December 31, 2015, the notional value of the swap was $98,065,907 and SMFF had provided $12,796,500 as collateral. The collateral was included in cash in broker trading accounts in the consolidated statements of financial condition. Effective March 1, 2016, SMFF terminated the swap agreement. All proceeds from the swap, as well as the collateral, were received by SMFF prior to March 31, 2016.

Reclassification

Certain amounts reported in the 2015 consolidated financial statements may have been reclassified to conform to the 2016 presentation without affecting previously reported partners’ capital (net asset value) or net income (loss).

New Accounting Pronouncements

Revenue from Contracts with Customers

In May 2014, the Financial Accounting Standards Board issued guidance that replaces the existing accounting standards for revenue recognition. The guidance provides a new model to determine when and over what period revenue is recognized. Under this new model, revenue is recognized as goods or services are delivered in an amount that reflects the consideration to be received. In March 2016, the FASB issued an Accounting Standards Update (“ASU”),Revenue from Contracts with Customers: Principal versus Agent Considerations (Reporting Revenue Gross versus Net), which clarifies the principal versus agent guidance in the new revenue recognition standard. In April 2016, the FASB issued an ASU,Revenue from Contracts with Customers: Identifying Performance Obligations and Licensing, which clarifies the guidance on accounting for licenses of intellectual property and identifying performance obligations in the new revenue recognition standard. In May 2016, the FASB issued an ASU,Revenue from Contracts with Customers: Narrow-Scope Improvements and Practical Expedient, which clarifies the transition, collectability, noncash consideration and the presentation of sales and other similar taxes in the new revenue recognition standard. The guidance is effective for fiscal years beginning after December 15, 2017; early adoption is permitted for periods beginning after December 15, 2016. The new standard is required to be applied retrospectively to each prior reporting period presented or retrospectively with the cumulative effect of initially applying it recognized at the date of initial application. The Fund does not expect any material change as a result of adopting this guidance.

Business Combinations

In December 2014, the FASB issued guidance that supplements existing accounting standards for business combinations. The guidance provides clarification concerning accounting for identifiable intangible assets in a business combination. This standard is effective beginning the first quarter of the Fund’s 2016 fiscal year.

2.

Fair Value Disclosures

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

At June 30, 2016
At September 30, 2016
		Level 1				Level 2				Total				Level 1				Level 2				Total
Equity in broker trading accounts:
Net unrealized gain (loss) on open futures contracts*		$	29,272,138			$	—			$	29,272,138			$	9,035,594			$	—			$	9,035,594
Net unrealized gain (loss) on open forward currency contracts*			—				4,070,847				4,070,847				—				886,743				886,743
Cash and cash equivalents:
Money market fund			24,120,459				—				24,120,459				30,687,247				—				30,687,247
Investments in securities:
U.S. Treasury securities*			73,613,766				—				73,613,766				90,994,957				—				90,994,957
Asset backed securities*			—				52,380,686				52,380,686				—				43,099,574				43,099,574
Commercial paper*			—				68,328,376				68,328,376				—				74,660,371				74,660,371
Corporate notes*			—				256,071,133				256,071,133				—				237,158,572				237,158,572
Certificates of deposit*			—				28,996,631				28,996,631				—				44,678,549				44,678,549
Total		$	127,006,363			$	409,847,673			$	536,854,036			$	130,717,798			$	400,483,809			$	531,201,607

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

At December 31, 2015
		Level 1				Level 2				Total
Equity in broker trading accounts:
Net unrealized gain (loss) on open futures contracts*		$	4,412,678			$	—			$	4,412,678
Net unrealized gain (loss) on open forward currency contracts*			—				(1,614,491	)			(1,614,491	)
Net unrealized gain (loss) on swap contract*			—				3,440,896				3,440,896
Cash and cash equivalents:
Money market fund			7,814,672				—				7,814,672
Investments in securities:
U.S. Treasury securities*			76,996,959				—				76,996,959
Asset backed securities*			—				52,248,612				52,248,612
Commercial paper*			—				57,258,212				57,258,212
Corporate notes*			—				264,545,250				264,545,250
Certificates of deposit*			—				22,710,509				22,710,509
Total		$	89,224,309			$	398,588,988			$	487,813,297

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

There were no Level 3 holdings at ~~June~~September 30, 2016 and December 31, 2015, or during the periods then ended.

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

3.

Derivative Instruments Disclosures

The Fund’s derivative contracts are comprised of futures and forward currency contracts, none of which are designated as hedging instruments. At ~~June~~September 30, 2016, the Fund’s derivative contracts had the following impact on the consolidated statements of financial condition:

June 30, 2016		Derivative Assets and Liabilities, at fair value
September 30, 2016														Derivative Assets and Liabilities, at fair value
Consolidated Statements of Financial Condition Location		Gross Amounts of Recognized Assets				Gross Amounts Offset in the Statements of Financial Condition				Net Amount of Assets Presented in the Statements of Financial Condition				Gross Amounts of Recognized Assets				Gross Amounts Offset in the Statements of Financial Condition				Net Amount of Assets Presented in the Statements of Financial Condition
Equity in broker trading accounts: Net unrealized gain (loss) on open futures contracts
Equity in broker trading accounts:
Net unrealized gain (loss) on open futures contracts
Agricultural commodities		$	4,195,426			$	(984,307	)		$	3,211,119			$	3,829,346			$	(1,150,620	)		$	2,678,726
Currencies			6,163,841				(663,359	)			5,500,482				3,341,230				(853,871	)			2,487,359
Energy			934,820				(1,163,548	)			(228,728	)			814,174				(2,834,799	)			(2,020,625	)
Equity indices			3,693,854				(1,846,148	)			1,847,706				5,561,434				(1,458,383	)			4,103,051
Interest rate instruments			20,297,165				(2,247,949	)			18,049,216				5,660,167				(3,267,356	)			2,392,811
Metals			10,844,422				(10,287,195	)			557,227				7,903,257				(9,296,592	)			(1,393,335	)
Single stock futures			576,544				(241,428	)			335,116				969,914				(182,307	)			787,607
Net unrealized gain (loss) on open futures contracts		$	46,706,072			$	(17,433,934	)		$	29,272,138			$	28,079,522			$	(19,043,928	)		$	9,035,594

Net unrealized gain (loss) on open forward currency contracts		$	13,809,612			$	(9,738,765	)		$	4,070,847			$	5,780,434			$	(4,893,691	)		$	886,743

At ~~June~~September 30, 2016, there were ~~52,047~~64,083 open futures contracts and ~~2,703~~4,720 open forward currency contracts.

The Fund’s financial assets, derivative assets, and cash collateral held by counterparties at ~~June~~September 30, 2016 were:

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

Deutsche Bank AG		$	143,931			$	—			$	—			$	143,931			$	(102,899	)		$	—			$	—			$	(102,899	)
Deutsche Bank Securities, Inc.			218,913				—				—				218,913				852,838				—				—				852,838
JP Morgan Securities, LLC			4,782,930				—				—				4,782,930				2,940,563				—				—				2,940,563
SG Americas Securities, LLC			24,270,295				—				—				24,270,295				5,242,193				—				—				5,242,193
Société Générale Newedge UK Limited			1,691,036				—				—				1,691,036				490,556				—				—				490,556
UBS AG			2,235,880				—				—				2,235,880				499, 086				—				—				499,086
Total		$	33,342,985			$	—			$	—			$	33,342,985			$	9,922, 337			$	—			$	—			$	9,922,337

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

		Three Months Ended June 30, 2016								Six Months Ended June 30, 2016								Three Months Ended September 30, 2016								Nine Months Ended September 30, 2016
Types of Exposure		Net realized gain (loss)				Net change in unrealized gain (loss)				Net realized gain (loss)				Net change in unrealized gain (loss)				Net realized gain (loss)				Net change in unrealized gain (loss)				Net realized gain (loss)				Net change in unrealized gain (loss)
Futures contracts
Agricultural commodities		$	(190,529	)		$	2,408,534			$	(2,910,407	)		$	1,741,058			$	169,208			$	(532,393	)		$	(2,741,199	)		$	1,208,665
Currencies			(1,027,026	)			4,914,015				(1,605,859	)			3,401,221				3,171,248				(3,013,123	)			1,565,389				388,098
Energy			(8,811,210	)			(40,256	)			8,399,839				(3,814,995	)			(10,033,720	)			(1,791,897	)			(1,633,881	)			(5,606,892	)
Equity indices			(17,611,068	)			591,488				(18,256,874	)			3,274,549				11,022,588				2,255,345				(7,234,286	)			5,529,894
Interest rate instruments			10,481,524				14,446,300				45,527,021				22,245,184				6,945,251				(15,656,405	)			52,472,272				6,588,779
Metals			(2,762,445	)			2,062,809				(5,300,003	)			(2,183,411	)			(1,113,329	)			(1,950,562	)			(6,413,332	)			(4,133,973	)
Single stock futures			111,974				49,183				(53,896	)			195,854				259,325				452,491				205,429				648,345
Total futures contracts			(19,808,780	)			24,432,073				25,799,821				24,859,460			$	10,420,571			$	(20,236,544	)		$	36,220,392			$	4,622,916

Forward currency contracts			(2,497,769	)			2,425,438				(2,854,376	)			5,685,338				(139,804	)			(3,184,104	)			(2,994,180	)			2,501,234

Swap contract			—				—				8,706,658				(3,440,896	)			—				—				8,706,658				(3,440,896	)

Total futures, forward currency and swap contracts		$	(22,306,549	)		$	26,857,511			$	31,652,103			$	27,103,902			$	10,280,767			$	(23,420,648	)		$	41,932,870			$	3,683,254

For the three months ended ~~June~~September 30, 2016, the number of futures contracts closed was ~~507,922~~476,429 and the number of forward currency contracts closed was ~~42,773.~~45,615. For the ~~six~~nine months ended ~~June~~September 30, 2016, the number of futures contracts closed was ~~944,150~~1,420,579 and the number of forward currency contracts closed was ~~81,938.~~127,553.

At December 31, 2015, the Fund’s derivative contracts had the following impact on the consolidated statements of financial condition:

December 31, 2015		Derivative Assets and Liabilities, at fair value												Derivative Assets and Liabilities, at fair value
Consolidated Statements of Financial Condition Location		Gross Amounts of Recognized Assets				Gross Amounts Offset in the Statements of Financial Condition				Net Amount of Assets Presented in the Statements of Financial Condition				Gross Amounts of Recognized Assets				Gross Amounts Offset in the Statements of Financial Condition				Net Amount of Assets Presented in the Statements of Financial Condition
Equity in broker trading accounts: Net unrealized gain (loss) on open futures contracts
Equity in broker trading accounts:
Net unrealized gain (loss) on open futures contracts
Agricultural commodities		$	2,931,852			$	(1,461,791	)		$	1,470,061			$	2,931,852			$	(1,461,791	)		$	1,470,061
Currencies			3,316,471				(1,217,210	)			2,099,261				3,316,471				(1,217,210	)			2,099,261
Energy			7,683,689				(4,097,422	)			3,586,267				7,683,689				(4,097,422	)			3,586,267
Equity indices			1,783,774				(3,210,617	)			(1,426,843	)			1,783,774				(3,210,617	)			(1,426,843	)
Interest rate instruments			3,071,712				(7,267,680	)			(4,195,968	)			3,071,712				(7,267,680	)			(4,195,968	)
Metals			10,856,826				(8,116,188	)			2,740,638				10,856,826				(8,116,188	)			2,740,638
Single stock futures			349,078				(209,816	)			139,262				349,078				(209,816	)			139,262
Net unrealized gain (loss) on open futures contracts		$	29,993,402			$	(25,580,724	)		$	4,412,678			$	29,993,402			$	(25,580,724	)		$	4,412,678

Net unrealized gain (loss) on open forward currency contracts		$	5,908,603			$	(7,523,094	)		$	(1,614,491	)		$	5,908,603			$	(7,523,094	)		$	(1,614,491	)

Net unrealized gain (loss) on swap contract*		$	3,440,896			$	—			$	3,440,896			$	3,440,896			$	—			$	3,440,896

*At December 31, 2015, the sector exposure of the CTA indices underlying the swap was:

Agricultural commodities			6	%
Currencies			22	%
Energy			5	%
Equity indices			12	%
Interest rate instruments			47	%
Metals			8	%
Total			100	%

At December 31, 2015, there were 62,863 open futures contracts and 2,065 open forward currency contracts.

The Fund’s financial assets, derivative assets, and cash collateral held by counterparties at December 31, 2015 were:

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

Deutsche Bank AG $ 3,453,274 $ — $ — $ 3,453,274
Deutsche Bank Securities, Inc. (54,937 ) — — (54,937 )
JP Morgan Securities, LLC (1,431,600 ) — — (1,431,600 )
SG Americas Securities, LLC 5,899,215 — — 5,899,215
Société Générale Newedge UK Limited (1,576,239 ) — — (1,576,239 )
UBS AG (50,630 ) — — (50,630 )
Total $ 6,239,083 $ — $ — $ 6,239,083

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

Deutsche Bank AG		$	3,453,274			$	—			$	—			$	3,453,274
Deutsche Bank Securities, Inc.			(54,937	)			—				—				(54,937	)
JP Morgan Securities, LLC			(1,431,600	)			—				—				(1,431,600	)
SG Americas Securities, LLC			5,899,215				—				—				5,899,215
Société Générale Newedge UK Limited			(1,576,239	)			—				—				(1,576,239	)
UBS AG			(50,630	)			—				—				(50,630	)
Total		$	6,239,083			$	—			$	—			$	6,239,083

For the three and ~~six~~nine months ended ~~June~~September 30, 2015, the Fund’s derivative contracts had the following impact on the consolidated statements of operations:

		Three Months Ended June 30, 2015								Six Months Ended June 30, 2015								Three Months Ended September 30, 2015								Nine Months Ended September 30, 2015
Types of Exposure		Net realized gain (loss)				Net change in unrealized gain (loss)				Net realized gain (loss)				Net change in unrealized gain (loss)				Net realized gain (loss)				Net change in unrealized gain (loss)				Net realized gain (loss)				Net change in unrealized gain (loss)
Futures contracts
Agricultural commodities		$	(2,233,902	)		$	(5,826,320	)		$	(4,440,817	)		$	(3,882,276	)		$	(2,584,451	)		$	3,166,404			$	(7,025,268	)		$	(715,872	)
Currencies			(10,749,805	)			3,418				5,357,540				(3,894,078	)			(2,086,220	)			(416,538	)			3,271,320				(4,310,616	)
Energy			(12,596,660	)			(2,481,495	)			(2,940,199	)			(10,088,284	)			15,139,264				4,980,522				12,199,065				(5,107,762	)
Equity indices			(272,627	)			(7,139,340	)			24,755,912				(8,628,383	)			(23,657,564	)			4,432,483				1,098,348				(4,195,900	)
Interest rate instruments			(13,351,590	)			(12,003,708	)			16,805,171				(12,096,380	)			10,279,460				14,743,788				27,084,631				2,647,408
Metals			(5,012,695	)			2,508,333				(8,887,110	)			1,647,527				11,245,041				1,937,555				2,357,931				3,585,082
Single stock futures			(744,668	)			260,250				(770,914	)			(294,375	)			732,472				341,377				(38,442	)			47,002
Total futures contracts			(44,961,947	)			(24,678,862	)			29,879,583				(37,236,249	)			9,068,002				29,185,591				38,947,585				(8,050,658	)

Forward currency contracts			(6,278,438	)			(1,321,130	)			(4,847,408	)			(299,616	)			(2,958,835	)			(1,621,008	)			(7,806,243	)			(1,920,624	)

Swap contract			—				(6,031,161	)			—				(2,617,957	)			—				(1,683,585	)			—				(4,301,542	)

Total futures, forward currency and swap contracts		$	(51,240,385	)		$	(32,031,153	)		$	25,032,175			$	(40,153,822	)		$	6,109,167			$	25,880,998			$	31,141,342			$	(14,272,824	)

For the three months ended ~~June~~September 30, 2015, the number of futures contracts closed was ~~544,009~~466,460 and the number of forward currency contracts closed was ~~45,348.~~43,040. For the ~~six~~nine months ended ~~June~~September 30, 2015, the number of futures contracts closed was ~~1,001,392~~1,467,852 and the number of forward currency contracts closed was ~~72,818.~~115,858.

4.

General Partner

At ~~June~~September 30, 2016 and December 31, 2015, and for the periods then ended, the General Partner did not maintain a capital balance in the Fund; however, the beneficiary of the majority shareholder of the General Partner had the following investment in Class I Units:

		June 30, 2016				December 31, 2015				September 30, 2016				December 31, 2015
Units Owned			254.4114				254.4114				254.4114				254.4114
Value of Units		$	268,707			$	250,383			$	260,312			$	250,383

The General Partner earns the following compensation:

§▪

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

§▪

General Partner Performance Fee – the Fund incurs a monthly fee on Class I Units equal to 7.5% of new profits of the Class I Units calculated monthly. The general partner performance fee is payable quarterly in arrears.

§▪

Management fee – SMFF incurs a monthly fee equal to 1/12^th of 1.25% of the month-end net asset value of the trust, payable in arrears to the General Partner.

§▪

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

§▪

Selling Agent Fees – the Class A Units incur a monthly fee equal to 1/12^th of 2% of the month-end net asset value of the Class A Units. Selling agent fees amounted to ~~$2,026,871~~$2,019,793 and ~~$2,289,727~~$2,218,694 for the three months ended ~~June~~September 30, 2016 and 2015, respectively. Selling agent fees amounted to ~~$4,222,372~~$6,242,165 and ~~$4,748,701~~$6,967,395 for the ~~six~~nine months ended ~~June~~September 30, 2016 and 2015, respectively. Such amounts are included in selling agent and broker dealer servicing fees – General Partner in the consolidated statements of operations. The General Partner, in turn, pays the selling agent fees to the respective selling agents. If there is no designated selling agent or the General Partner was the selling agent, such portions of the selling agent fees are retained by the General Partner.

§▪

Broker Dealer Servicing Fees – the Class B Units incur a monthly fee equal to 1/12^th of 0.2% of the month-end net asset value of the Class B Units. Broker dealer servicing fees amounted to ~~$102,512~~$101,863 and ~~$123,904~~$110,845 for the three months ended ~~June~~September 30, 2016 and 2015, respectively. Broker dealer servicing fees amounted to ~~$211,870~~$313,733 and ~~$261,257~~$372,102 for the ~~six~~nine months ended ~~June~~September 30, 2016 and 2015, respectively. Such amounts are included in selling agent and broker dealer servicing fees – General Partner in the consolidated statements of operations. The General Partner, in turn, pays the fees to the respective selling agents. If there is no designated selling agent or the General Partner was the selling agent, such portions of the broker dealer servicing fees are retained by the General Partner.

§▪

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

§▪

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

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

5.

Trading Advisors and Cash Managers

The Fund has advisory agreements with various commodity trading advisors, pursuant to which the Fund incurs a monthly advisor management fee that ranges from 0% to 1.5% per annum of allocated net assets (as defined in each respective advisory agreement), paid monthly or quarterly in arrears. Additionally, the Fund incurs advisor incentive fees, payable quarterly in arrears, ranging from 0% to 30% of net new trading profits (as defined in each respective advisory agreement).

J.P. Morgan Investment Management, Inc. and Principal Global Investors, LLC (collectively, the “Cash Managers”) provide cash management services to the Fund. The Fund incurs monthly fees, payable in arrears to the Cash Managers, equal to approximately 1/12^th of 0.10% of the investments in securities and certificates of deposit.

30

6.

Deposits with Brokers

To meet margin requirements, the Fund deposits funds with brokers, subject to CFTC regulations and various exchange and broker requirements. The Fund earns interest income on its assets deposited with brokers. At ~~June~~September 30, 2016 and December 31, 2015, the Fund had margin deposit requirements of ~~$78,927,934~~$117,700,810 and $98,809,677, respectively.

7.

Subscriptions, Distributions and Redemptions

Investments in the Fund are made by subscription agreement and must be received within five business days of the end of the month, subject to acceptance by the General Partner. The minimum investment is $10,000 for Class A and B units and $2,000,000 for Class I units. Units are sold at the respective net asset value per unit for Class A, B or I interests as of the close of business on the last day of the month in which the subscription is accepted. Investors whose subscriptions are accepted are admitted as limited partners as of the beginning of the month following the month in which their subscriptions were accepted. At ~~June~~September 30, 2016 and December 31, 2015, the Fund received advance subscriptions of ~~$1,657,373~~$1,729,565 and $1,086,965, respectively, which were recognized as subscriptions to the Fund or returned, if applicable, subsequent to period-end.

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

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

8.

Trading Activities and Related Risks

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

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

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

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

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

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

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

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

Through its investments in debt securities and certificates of deposit, the Fund has exposure to U.S. and foreign enterprises. The following table presents the exposure at ~~June~~September 30, 2016.


Country or Region		U.S. Treasury Securities				Commercial Paper				Corporate Notes				Asset Backed Securities				Certificates of Deposit				Total				% of Partners’ Capital (Net Asset Value)				U.S. Treasury Securities				Commercial Paper				Corporate Notes				Asset Backed Securities				Certificates of Deposit				Total				%of Partners’ Capital (Net Asset Value)
United States		$	73,613,766			$	49,020,291			$	217,361,819			$	52,380,686			$	27,699,253			$	420,075,815				65.11	%		$	90,994,957			$	58,311,105			$	204,144,831			$	43,099,574			$	44,086,881			$	440,637,348				71.57	%
Australia			—				698,468				11,015,740				—				—				11,714,208				1.82	%			—				1,599,624				9,516,302				—				—				11,115,926				1.81	%
Netherlands			—				—				8,104,238				—				—				8,104,238				1.26	%			—				—				9,157,399				—				—				9,157,399				1.49	%
Luxumbourg																															—				—				6,878,855				—				—				6,878,855				1.12	%
Canada			—				2,898,613				4,501,730				—				591,409				7,991,752				1.24	%			—				499,689				4,505,931				—				591,668				5,597,288				0.91	%
Luxembourg			—				—				6,829,436				—				—				6,829,436				1.06	%
France																															—				4,993,258				—				—				—				4,993,258				0.81	%
Great Britain			—				4,336,675				1,619,204				—				—				5,955,879				0.92	%			—				4,861,201				—				—				—				4,861,201				0.79	%
France			—				4,983,465				—				—				—				4,983,465				0.77	%
Sweden			—				499,534				2,731,360				—				705,969				3,936,863				0.61	%			—				499,792				2,730,183				—				—				3,229,975				0.52	%
Japan			—				—				2,378,968				—				—				2,378,968				0.37	%
Bermuda			—				2,198,731				—				—				—				2,198,731				0.34	%
Singapore			—				1,699,805				—				—				—				1,699,805				0.26	%			—				1,999,003				—				—				—				1,999,003				0.32	%
Germany			—				1,493,141				—				—				—				1,493,141				0.23	%			—				1,896,699				—				—				—				1,896,699				0.31	%
Mexico			—				—				1,300,237				—				—				1,300,237				0.20	%
Norway			—				499,653				—								—				499,653				0.08	%
Cayman Islands			—				—				228,401				—				—				228,401				0.04	%			—				—				225,071				—				—				225,071				0.04	%
Total		$	73,613,766			$	68,328,376			$	256,071,133			$	52,380,686			$	28,996,631			$	479,390,592				74.31	%		$	90,994,957			$	74,660,371			$	237,158,572			$	43,099,574			$	44,678,549			$	490,592,023				79.69	%

The following table presents the exposure at December 31, 2015.


Country or Region		U.S. Treasury Securities				Commercial Paper				Corporate Notes				Asset Backed Securities				Certificates of Deposit				Total				%of Partners’ Capital (Net Asset Value)
United States		$	76,996,959			$	35,057,379			$	196,888,445			$	52,248,612			$	14,993,807			$	376,185,202				58.41	%
Australia			—				3,094,764				10,524,403				—				—				13,619,167				2.12	%
Switzerland			—				—				9,753,172				—				—				9,753,172				1.52	%
Netherlands			—				—				12,340,048				—				—				12,340,048				1.92	%
Great Britain			—				2,698,571				7,189,651				—				—				9,888,222				1.54	%
Japan			—				5,797,609				3,585,734				—				—				9,383,343				1.46	%
Canada			—				899,078				4,466,438				—				4,001,034				9,366,550				1.46	%
Luxumbourg			—				—				6,870,944				—				—				6,870,944				1.07	%
Sweden			—				449,810				3,798,693				—				1,705,349				5,953,852				0.93	%
British Virgin Islands			—				—				4,798,968				—				—				4,798,968				0.75	%
France			—				4,067,748				—				—				—				4,067,748				0.63	%
Norway			—				2,998,889				—				—				—				2,998,889				0.47	%
Germany			—				—				767,886				—				2,010,319				2,778,205				0.43	%
Hong Kong			—				1,394,628				—				—				—				1,394,628				0.22	%
Mexico			—				—				1,300,842				—				—				1,300,842				0.20	%
Spain			—				—				1,017,721				—				—				1,017,721				0.16	%
Ireland			—				—				1,012,921				—				—				1,012,921				0.16	%
Singapore			—				799,736				—				—				—				799,736				0.12	%
Cayman Islands			—				—				229,384				—				—				229,384				0.04	%
Total		$	76,996,959			$	57,258,212			$	264,545,250			$	52,248,612			$	22,710,509			$	473,759,542				73.61	%

Country or Region U.S. Treasury Securities Commercial Paper Corporate Notes Asset Backed Securities Certificates of Deposit Total % of Partners’ Capital (Net Asset Value)
United States $ 76,996,959 $ 35,057,379 $ 196,888,445 $ 52,248,612 $ 14,993,807 $ 376,185,202 58.41 %
Australia — 3,094,764 10,524,403 — — 13,619,167 2.12 %
Switzerland — — 9,753,172 — — 9,753,172 1.52 %
Netherlands — — 12,340,048 — — 12,340,048 1.92 %
Great Britain — 2,698,571 7,189,651 — — 9,888,222 1.54 %
Japan — 5,797,609 3,585,734 — — 9,383,343 1.46 %
Canada — 899,078 4,466,438 — 4,001,034 9,366,550 1.46 %
Luxumbourg — — 6,870,944 — — 6,870,944 1.07 %
Sweden — 449,810 3,798,693 — 1,705,349 5,953,852 0.93 %
British Virgin Islands — — 4,798,968 — — 4,798,968 0.75 %
France — 4,067,748 — — — 4,067,748 0.63 %
Norway — 2,998,889 — — — 2,998,889 0.47 %
Germany — — 767,886 — 2,010,319 2,778,205 0.43 %
Hong Kong — 1,394,628 — — — 1,394,628 0.22 %
Mexico — — 1,300,842 — — 1,300,842 0.20 %
Spain — — 1,017,721 — — 1,017,721 0.16 %
Ireland — — 1,012,921 — — 1,012,921 0.16 %
Singapore — 799,736 — — — 799,736 0.12 %
Cayman Islands — — 229,384 — — 229,384 0.04 %
Total $ 76,996,959 $ 57,258,212 $ 264,545,250 $ 52,248,612 $ 22,710,509 $ 473,759,542 73.61 %

9.

Indemnifications

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

10.

Interim Financial Statements

The consolidated statements of financial condition, including the consolidated condensed schedule of investments, at ~~June~~September 30, 2016, the consolidated statements of operations for the three and ~~six~~nine months ended ~~June~~September 30, 2016 and 2015, the consolidated statements of cash flows and consolidated statement of changes in partners’ capital (net asset value) for the ~~six~~nine months ended ~~June~~September 30, 2016 and 2015, and the accompanying notes to the consolidated financial statements are unaudited. Certain information and footnote disclosures normally included in consolidated financial statements prepared in accordance with GAAP may be omitted pursuant to such rules and regulations. In the opinion of management, such consolidated financial statements and accompanying disclosures reflect all adjustments, which were of a normal and recurring nature, necessary to present fairly the financial position at ~~June~~September 30, 2016, results of operations, cash flows and changes in partners’ capital (net asset value) for the three months ended ~~June~~September 30, 2016 and 2015. The results of operations for the three and ~~six~~nine months ended ~~June~~September 30, 2016 and 2015 are not necessarily indicative of the results to be expected for the full year or any other period. These consolidated financial statements should be read in conjunction with the audited financial statements and the notes thereto included in the Fund’s Form 10-K as filed with the SEC.

11.

Financial Highlights

The following information presents per unit operating performance data and other ratios for the three and ~~six~~nine months ended ~~June~~September 30, 2016 and 2015, assuming the unit was outstanding throughout the entire period:

Three Months Ended June 30,
2016 2015
Class A Class B Class I Class A Class B Class I
Per Unit Operating Performance

Net asset value per unit, beginning of period $ 4,494.66 $ 6,583.48 $ 1,056.56 $ 4,693.39 $ 6,753.46 $ 1,073.92

Net realized and change in unrealized gain (loss) on investments ⁽¹⁾ 28.03 42.29 6.78 (512.66 ) (738.50 ) (117.72 )
Net investment income (loss) ⁽¹⁾ (60.66 ) (60.84 ) (7.15 ) (48.92 ) (42.99 ) (4.20 )
Total income (loss) from operations (32.63 ) (18.55 ) (0.37 ) (561.58 ) (781.49 ) (121.92 )

Net asset value per unit, end of period $ 4,462.03 $ 6,564.93 $ 1,056.19 $ 4,131.81 $ 5,971.97 $ 952.00

Total return⁽⁴⁾ (0.73 )% (0.28 )% (0.03 )% (11.97 )% (11.57 )% (11.35 )%

Other Financial Ratios
Ratios to average net asset value
Expenses prior to General Partner 1% allocation ^{(2) (3)} 6.42 % 4.64 % 3.60 % 5.37 % 3.63 % 2.57 %
General Partner 1% allocation⁽⁴⁾ (0.01 )% 0.00 % 0.00 % (0.13 )% (0.12 )% (0.12 )%
Net total expenses 6.41 % 4.64 % 3.60 % 5.24 % 3.51 % 2.45 %

Net investment income (loss) ^{(2) (3) (5)} (5.59 )% (3.81 )% (2.78 )% (4.92 )% (3.18 )% (2.13 )%

33

		Three Months Ended September 30,
		2016												2015
		Class A				Class B				Class I				Class A				Class B				Class I
Per Unit Operating Performance

Net asset value per unit, beginning of period		$	4,462.03			$	6,564.93			$	1,056.19			$	4,131.81			$	5,971.97			$	952.00

Net realized and change in unrealized gain (loss) on investments⁽¹⁾			(111.25	)			(164.59	)			(26.64	)			193.53				279.98				44.50
Net investment income (loss)⁽¹⁾			(58.05	)			(56.25	)			(6.36	)			(55.09	)			(52.79	)			(5.69	)
Total income (loss) from operations			(169.30	)			(220.84	)			(33.00	)			138.44				227.19				38.81

Net asset value per unit, end of period		$	4,292.73			$	6,344.09			$	1,023.19			$	4,270.25			$	6,199.16			$	990.81

Total return⁽⁴⁾			(3.79	)%			(3.36	)%			(3.12	)%			3.35	%			3.80	%			4.08	%

Other Financial Ratios
Ratios to average net asset value
Expenses prior to General Partner 1% allocation^{(2) (3)}			6.26	%			4.44	%			3.40	%			5.61	%			3.78	%			2.71	%
General Partner 1% allocation⁽⁴⁾			(0.04	)%			(0.03	)%			(0.03	)%			0.03	%			0.04	%			0.04	%
Net total expenses			6.22	%			4.41	%			3.37	%			5.64	%			3.82	%			2.75	%

Net investment income (loss)^{(2) (3) (5)}			(5.40	)%			(3.58	)%			(2.55	)%			(5.09	)%			(3.30	)%			(2.17	)%

		Six Months Ended June 30,																								Nine Months Ended September 30,
		2016												2015												2016												2015
			Class A				Class B				Class I				Class A				Class B				Class I			Class A				Class B				Class I				Class A				Class B				Class I
Per Unit Operating Performance

Net asset value per unit, beginning of period		$	4,212.26			$	6,142.34			$	984.17			$	4,414.30			$	6,323.56			$	1,004.98			$	4,212.26			$	6,142.34			$	984.17			$	4,414.30			$	6,323.56			$	1,004.98

Net realized and change in unrealized gain (loss) on investments ⁽¹⁾			380.01				554.80				88.79				(115.61	)			(166.37	)			(27.63	)			268.86				390.49				62.15				78.35				116.51				16.70
Net investment income (loss) ⁽¹⁾			(130.24	)			(132.21	)			(16.77	)			(166.88	)			(185.22	)			(25.35	)			(188.39	)			(188.74	)			(23.13	)			(222.40	)			(240.91	)			(30.87	)
Total income (loss) from operations			249.77				422.59				72.02				(282.49	)			(351.59	)			(52.98	)			80.47				201.75				39.02				(144.05	)			(124.40	)			(14.17	)

Net asset value per unit, end of period		$	4,462.03			$	6,564.93			$	1,056.19			$	4,131.81			$	5,971.97			$	952.00			$	4,292.73			$	6,344.09			$	1,023.19			$	4,270.25			$	6,199.16			$	990.81

Total return⁽⁴⁾			5.93	%			6.88	%			7.32	%			(6.40	)%			(5.56	)%			(5.27	)%			1.91	%			3.28	%			3.97	%			(3.26	)%			(1.97	)%			(1.41	)%

Other Financial Ratios
Ratios to average net asset value
Expenses prior to General Partner 1% allocation ^{(2) (3)}			6.58	%			4.74	%			3.87	%			8.00	%			6.27	%			5.49	%			6.48	%			4.65	%			3.72	%			7.22	%			5.51	%			4.55	%
General Partner 1% allocation⁽⁴⁾			0.06	%			0.07	%			0.07	%			(0.06	)%			(0.05	)%			(0.06	)%			0.02	%			0.04	%			0.04	%			(0.03	)%			(0.02	)%			(0.02	)%
Net total expenses			6.64	%			4.81	%			3.94	%			7.94	%			6.22	%			5.43	%			6.50	%			4.69	%			3.76	%			7.19	%			5.49	%			4.53	%

Net investment income (loss) ^{(2) (3) (5)}			(5.81	)%			(3.97	)%			(3.10	)%			(7.57	)%			(5.84	)%			(5.06	)%			(5.68	)%			(3.85	)%			(2.92	)%			(6.76	)%			(5.06	)%			(4.09	)%

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

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

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

⁽³⁾Ratios have been annualized.

⁽⁴⁾ Ratios have not been annualized.

⁽⁵⁾ Ratio excludes General Partner 1% allocation.

12.	Subsequent Events

Subsequent to quarter end, there were $5,408,000 of contributions and $8,186,405 of redemptions from the Fund, and the Fund redeemed $2,000,000 of its investment in SMFF.

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

Current Positioning

Sector risk allocations and net positioning as of ~~June~~September 30, 2016 and ~~second~~third quarter 2016 gross performance contribution by sector was as follows:

Risk Allocation
Net
Position
Sector Gross
Performance
Contribution
10% Short Agriculture 0.38%
5% Short Energy products (1.43)%
8% Long Metals (0.20)%
26% Long non-USD Currencies 0.53%
21% Long Equity indices (2.67)%
30% Long Interest rates 3.47%

Risk Allocation			Net Position		Sector			Gross Performance Contribution
8	%		Short		Agriculture			(0.14	)%
4	%		Short		Energy products			(1.84	)%
5	%		Long		Metals			(0.45	)%
33	%		Long non-USD		Currencies			(0.48	)%
25	%		Long		Equity indices			1.79	%
25	%		Long		Interest rates			(1.50	)%

~~The~~As of September 30, 2016, the Fund’s largest risk exposures are typically aligned with dominant market trends. At the end of the quarter, interest rates were the largest exposure and the Fund held long positions globally. The second biggest risk exposurecontribution came from currencies, ~~where~~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 ~~long the Australian dollar, Japanese yen and emerging market currencies, while being~~ short ~~the Euro. Other risk exposures were more modest including~~in agricultural grains markets, long ~~positions~~ in precious metals and very modestly long in ~~U.S. equities.~~

~~There~~energy, mainly in natural gas, with neutral oil exposure. Note that these were ~~no changes~~tactical positions generated by systematic managed futures programs in reaction to the manager lineup in the second quarter. However, on July 1, the Fund added a new diversified long term trend following program, the Crabel Advanced Trend program, which we expect to help broaden the Fund’s time horizon diversification. perceived market trends and opportunities. Positions will generally adapt as market conditions change.

Results of Operations

The returns for each class of Units for the ~~six~~nine months ended ~~June~~September 30, 2016 and 2015 were:

Class of Units		2016				2015				2016				2015
Class A			5.93	%			(6.40	)%			1.91	%			(3.26	)%
Class B			6.88	%			(5.56	)%			3.28	%			(1.97	)%
Class I			7.32	%			(5.27	)%			3.97	%			(1.41	)%

Further analysis of the trading gains and losses is provided below.

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.

~~2015~~The Fund experienced small gains in agricultural commodities and equity indices, which were offset by losses in oil and interest rate contracts. Fixed income markets sold off due to several comments from Federal Reserve officials suggesting that interest rate hikes were a possibility for later this year. In the energy sector, the Fund’s short oil positions lost money as prices rallied sharply. Overall, the Fund finished the month with a loss of 3.80%, 3.66% and 3.58% for Class A, B and I Units, respectively.

September

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

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

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 net 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 net 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.

Liquidity

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

Capital Resources

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

Off-Balance Sheet Risk

The term “off-balance sheet risk” refers to an unrecorded potential liability that, even though it does not appear on the balance sheet, may result in future obligation or loss. The Fund trades in futures and forward currency contracts, and is therefore a party to financial instruments with elements of off-balance sheet market and credit risk. In entering into these contracts there exists a risk to the Fund that such contracts may be significantly influenced by market conditions, such as interest rate volatility, resulting in such contracts being less valuable. If the markets should move against all of the futures interests positions of the Fund at the same time, and if the commodity trading advisors were unable to offset futures interest positions of the Fund, the Fund could lose all of its assets and the limited partners would realize a 100% loss. The General Partner minimizes market risk through diversification of the portfolio allocations to multiple trading advisors, and maintenance of a margin-to-equity ratio that rarely exceeds 30%.

In addition to subjecting the Fund to market risk, upon entering into futures, swaps, 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 uses only those counterparties that it believes to be creditworthy for the Fund. All positions of the Fund are valued each day on a mark-to-market basis. There can be no assurance, however, that any clearing member, clearinghouse or other counterparty will be able to meet its obligations to the Fund.

The Fund invests in U.S. Treasury securities, U.S. and foreign government sponsored enterprise notes, certificates of deposit, commercial paper, asset backed securities and corporate notes. Should an issuing entity default on its obligation to the Fund, the Fund bears the risk of loss of the amount expected to be received. The Fund minimizes this risk by only investing in securities and certificates of deposit of firms with high quality debt ratings.

Significant Accounting Estimates

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

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

Item 3. Quantitative and Qualitative Disclosures about Market Risk

Introduction

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

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

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

Standard of Materiality

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

Quantifying the Fund’s Trading Value at Risk

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

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

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

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

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

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

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

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

The following table indicates the trading Value at Risk associated with the Fund’s open positions by market sector at ~~June~~September 30, 2016 and December 31, 2015. All open position trading risk exposures of the Fund have been included in calculating the figures set forth below.

		June 30, 2016								December 31, 2015								September 30, 2016								December 31, 2015
Market Sector		Value at Risk				% of Total Capitalization				Value at Risk				% of Total Capitalization				Value at Risk				% of Total Capitalization				Value at Risk				% of Total Capitalization

Agricultural commodities		$	5,553,182				0.86	%		$	10,544,852				1.64	%		$	6,494,431				1.05	%		$	10,544,852				1.64	%
Currencies			19,192,749				2.97				22,945,769				3.57				32,198,064				5.23				22,945,769				3.57
Energy			4,126,329				0.64				14,721,478				2.29				4,795,686				0.78				14,721,478				2.29
Equity indices			24,163,189				3.74				25,559,869				3.97				43,826,573				7.12				25,559,869				3.97
Interest rate instruments			13,974,251				2.17				16,494,300				2.56				17,545,246				2.85				16,494,300				2.56
Metals			5,874,570				0.91				9,735,517				1.51				6,246,163				1.01				9,735,517				1.51
Single stock futures			6,227,213				0.97				5,787,197				0.90				5,872,587				0.95				5,787,197				0.90
Total		$	79,111,483				12.26	%		$	105,788,982				16.44	%		$	116,978,750				18.99	%		$	105,788,982				16.44	%

41

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

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

Non-Trading Risk

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

Qualitative Disclosures Regarding Primary Trading Risk Exposures.

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

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

The following were the primary trading risk exposures of the Fund as of ~~June~~September 30, 2016, by market sector.

Agricultural Commodities

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

Currencies

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

Energy

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

Equity Indices

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

Interest Rate Instruments

The Fund’s primary interest rate exposure is to interest rate fluctuations in the U.S., Japan, Great Britain, the European Economic Union, Sweden, Canada, Australia and New Zealand. Interest rate movements directly affect the price of the sovereign bond futures positions held by the Fund and indirectly the value of its stock index and currency positions. Interest rate movements in one country as well as relative interest rate movements between countries could materially impact the Fund’s profitability.

Metals

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

Single Stock Futures

The Fund has a very small exposure to single stock futures. The Fund’s single stock futures exposure is primarily due to adverse price movements in the underlying stock.

Qualitative Disclosures Regarding Non-Trading Risk Exposure

The following were the only material non-trading risk exposures of the Fund as of ~~June~~September 30, 2016.

Foreign Currency Balances

The Fund’s primary foreign currency balances are in euros, Japanese yen, British pounds, Australian dollars, Hong Kong dollars and Canadian dollars. The Fund controls the non-trading risk of these balances by regularly converting these balances back into dollars.

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

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

Qualitative Disclosures Regarding Means of Managing Risk Exposure

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

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

Item 4. Controls and Procedures

The General Partner, with the participation of the Chief Executive Officer and Chief Financial Officer, evaluated the effectiveness of the design and operation of the Fund’s disclosure controls and procedures at ~~June~~September 30, 2016 (the “Evaluation Date”). Based on their evaluation, the Chief Executive Officer and Chief Financial Officer of the General Partner concluded that, as of the Evaluation Date, the Fund’s disclosure controls and procedures were effective.

There has been no change in internal control over financial reporting that occurred during the period ended ~~June~~September 30, 2016 that has materially affected, or is reasonably likely to materially affect, the Fund’s internal control over financial reporting.

PART II: OTHER INFORMATION

Item 1. Legal Proceedings.

None.

Item 1A. Risk Factors.

There have been no material changes from risk factors disclosed in the Fund’s Form 10-K for year ended December 31, 2015.

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

There were no sales of unregistered securities of the Fund during the three months ended ~~June~~September 30, 2016. Under the Fund’s Partnership Agreement, limited partners may redeem their Units at the end of each calendar month at the then current month-end net asset value per Unit. Redemptions of Units during the three months ended ~~June~~September 30, 2016 were as follows:

		April				May				June				Total				July				August				September				Total
A Units
Units redeemed			1,226.9931				854.2511				984.5096				3,065.7539				1,061.1493				1,355.1485				1,085.3723				3,501.6701
Average net asset value per unit		$	4,322.00			$	4,199.66			$	4,462.03			$	4,332.88			$	4,559.71			$	4,386.46			$	4,292.73			$	4,409.91

B Units
Units redeemed			619.9553				239.6737				780.9388				1,640.5678				523.3211				291.9039				421.2723				1,236.4973
Average net asset value per unit		$	6,340.00			$	6,169.71			$	6,564.93			$	6,422.19			$	6,718.63			$	6,472.96			$	6,344.09			$	6,533.03

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

Item 3. Defaults Upon Senior Securities

Not applicable.

Item 4. Mine Safety Disclosures

Not applicable.

Item 5. Other Information

None.

Item 6. Exhibits

The following exhibits are filed herewith of incorporated by reference.

Exhibit No.	Description of Exhibit

1.1^(a)	Form of Selling Agreement

3.1^(a)	Maryland Certificate of Limited Partnership.

4.1^(a)	Limited Partnership Agreement.

10.1^(a)	Form of Subscription Agreement

16.1^(a)	Letter regarding change in certifying accountant.

31.01	Certification of Chief Executive Officer of the General Partner in accordance with Section 302 of the Sarbanes-Oxley Act of 2002

31.02	Certification of Chief Financial Officer of the General Partner in accordance with Section 302 of the Sarbanes-Oxley Act of 2002

32.01	Certification of Chief Executive Officer of the General Partner in accordance with Section 906 of the Sarbanes-Oxley Act of 2002

32.02	Certification of Chief Financial Officer of the General Partner in accordance with Section 906 of the Sarbanes-Oxley Act of 2002

101.INS	XBRL Instance Document

101.SCH	XBRL Taxonomy Extension Schema Document

101.CAL	XBRL Taxonomy Extension Calculation Linkbase Document

101.DEF	XBRL Taxonomy Extension Definition Linkbase Document

101.LAB	XBRL Taxonomy Extension Label Linkbase Document

101.PRE	XBRL Taxonomy Extension Presentation Linkbase Document

(a)

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

SIGNATURES

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


Dated: ~~August 15,~~November 14, 2016	Futures Portfolio Fund, Limited Partnership

	By:	Steben & Company, Inc.
		General Partner

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

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