UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM 10-Q
QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE
SECURITIES EXCHANGE ACT OF 1934
For the quarterly period ended September 30, 2022March 31, 2023
Commission file number: 000-50728
FUTURES PORTFOLIO FUND, LIMITED PARTNERSHIP
Organized in Maryland IRS Employer Identification No.: 52-1627106
Organized in Maryland | IRS Employer Identification No.: 52-1627106 |
Address:c/o Steben & Company, LLC
, 687 Excelsior Boulevard
, Excelsior, MN 55331
Telephone: (952) 767-6900
Securities registered pursuant to Section 12(b) of the Act: N/A
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 every Interactive Data File required to be submitted pursuant to Rule 405 of Regulation S-T (§232.405 of this chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit such files). Yes ☒ No ☐
Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a non-accelerated filer, a smaller reporting company, or an emerging growth company. See definition of “large accelerated filer”, “accelerated filer”, “smaller reporting company” and “emerging growth company” in Rule 12b-2 of the Exchange Act.
Large accelerated filer | ☐ | Accelerated filer | ☐ | |
Non-accelerated filer | ☒ | Smaller reporting company | ☐ | |
Emerging growth company | ☐ |
If an emerging growth company, indicate by check mark if the registrant has elected not to use the extended transition period for complying with any new or revised financial accounting standards provided pursuant to Section 13(a) of the Exchange Act. ☐
Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Exchange Act).
Yes ☐ No ☒
Securities registered pursuant to Section 12(b) of the Act: N/A
PART I: FINANCIAL INFORMATION
Item 1. Financial Statements
Futures Portfolio Fund, Limited Partnership
Statement of Financial Condition
September 30, 2022 (unaudited) and December 31, 2021
September 30, | ||||||||
2022 | December 31, | |||||||
(Unaudited) | 2021 | |||||||
Assets | ||||||||
Equity in broker trading accounts | ||||||||
Cash | $ | 52,208,097 | $ | 44,372,309 | ||||
Net unrealized gain (loss) on open futures contracts | 3,828,955 | (723,716 | ) | |||||
Net unrealized gain (loss) on open forward currency contracts | 3,752,804 | 328,039 | ||||||
Net unrealized gain (loss) on swap contracts | (5,908 | ) | 270,782 | |||||
Total equity in broker trading accounts | 59,783,948 | 44,247,414 | ||||||
Cash and cash equivalents | 17,186,498 | 5,647,881 | ||||||
Investment in private investment company, at fair value (cost $847,800 and $782,292) | 3,221,054 | 3,200,634 | ||||||
Investment in securities, at fair value (cost $95,883,341 and $102,304,347) | 93,149,331 | 101,773,959 | ||||||
Exchange membership, at fair value (cost $189,000 and $189,000) | 165,000 | 112,000 | ||||||
Dividend and interest receivable | 27,815 | 901 | ||||||
Total assets | $ | 173,533,646 | $ | 154,982,789 | ||||
Liabilities and Partners’ Capital (Net Asset Value) | ||||||||
Liabilities | ||||||||
Trading Advisor management fees payable | $ | 216,418 | $ | 225,938 | ||||
Trading Advisor incentive fees payable | 1,405,319 | 721,914 | ||||||
Commissions and other trading fees payable on open contracts | 22,770 | 22,309 | ||||||
Cash Managers fees payable | 28,038 | 30,354 | ||||||
General Partner management and performance fees payable | 214,272 | 192,096 | ||||||
General Partner 1% allocation payable | 300,426 | 107,771 | ||||||
Selling Agent payable - General Partner | 194,706 | 176,331 | ||||||
Broker dealer servicing fees payable - General Partner | 7,585 | 6,718 | ||||||
Administrative fee payable - General Partner | 64,253 | 57,037 | ||||||
Dividend and interest payable | — | 3,384 | ||||||
Redemption payable | 1,369,339 | 1,285,931 | ||||||
Total liabilities | 3,823,126 | 2,829,783 | ||||||
Partners’ Capital (Net Asset Value) | ||||||||
Class A Interests – and units outstanding at September 30, 2022 and December 31, 2021, respectively | 115,267,200 | 104,241,918 | ||||||
Class A2 Interests – and units outstanding at September 30, 2022 and December 31, 2021, respectively | 379,420 | 366,207 | ||||||
Class A3 Interests – and units outstanding at September 30, 2022 and December 31, 2021, respectively | — | 39,588 | ||||||
Class B Interests – and units outstanding at September 30, 2022 and December 31, 2021, respectively | 45,084,938 | 40,086,210 | ||||||
Class I Interests – and units outstanding at September 30, 2022 and December 31, 2021, respectively | 348,767 | 285,819 | ||||||
Class R Interests – and units outstanding at September 30, 2022 and December 31, 2021, respectively | 8,630,195 | 7,133,264 | ||||||
Total partners’ capital (net asset value) | 169,710,520 | 152,153,006 | ||||||
Total liabilities and partners’ capital (net asset value) | $ | 173,533,646 | $ | 154,982,789 |
The accompanying notes are an integral part of these financial statements.
1
Futures Portfolio Fund, Limited PartnershipCondensed ScheduleStatements of InvestmentsFinancial ConditionSeptember 30,March 31, 2023 (unaudited) and December 31, 2022 (Unaudited)
Description | Fair Value | % of Partners’ Capital (Net Asset Value) | ||||||||||||||||||||
INVESTMENTS IN SECURITIES | ||||||||||||||||||||||
U.S. Treasury Securities | ||||||||||||||||||||||
Face Value | Maturity Date | Name | Yield1 | |||||||||||||||||||
2,500,000 | 2/15/23 | U.S. Treasury | 2.00 | % | $ | 2,489,980 | 1.46 | % | ||||||||||||||
3,000,000 | 5/31/23 | U.S. Treasury | 2.75 | % | 3,001,475 | 1.77 | % | |||||||||||||||
7,000,000 | 8/15/23 | U.S. Treasury | 2.50 | % | 6,916,257 | 4.08 | % | |||||||||||||||
Total U.S. Treasury securities (cost: $12,546,428) | 12,407,712 | 7.31 | % | |||||||||||||||||||
U.S. Commercial Paper | ||||||||||||||||||||||
Face Value | Maturity Date | Name | Yield1 | |||||||||||||||||||
Automotive | ||||||||||||||||||||||
$ | 1,200,000 | 10/28/22 | ING (U.S.) Funding LLC | 2.96 | % | $ | 1,197,237 | 0.71 | % | |||||||||||||
Commercial Services | ||||||||||||||||||||||
1,200,000 | 10/24/22 | MUFG Bank Ltd. (New York Branch) | 2.72 | % | 1,197,823 | 0.71 | % | |||||||||||||||
Diversified financial services | ||||||||||||||||||||||
1,200,000 | 10/6/22 | Sheffield Receivables Company LLC | 2.21 | % | 1,199,558 | 0.71 | % | |||||||||||||||
1,200,000 | 10/7/22 | Caterpillar Financial Services Corporation | 2.31 | % | 1,199,460 | 0.71 | % | |||||||||||||||
1,200,000 | 10/11/22 | Longship Funding Designated Activity Company | 2.73 | % | 1,199,000 | 0.70 | % | |||||||||||||||
1,200,000 | 11/3/22 | Citigroup Global Markets Inc. | 3.01 | % | 1,196,590 | 0.70 | % | |||||||||||||||
Machinery | ||||||||||||||||||||||
1,200,000 | 10/5/22 | American Water Capital Corp. | 2.00 | % | 1,199,666 | 0.70 | % | |||||||||||||||
Water | ||||||||||||||||||||||
1,200,000 | 10/12/22 | Brown-Forman Corporation | 2.80 | % | 1,198,882 | 0.71 | % | |||||||||||||||
Total U.S. commercial paper (cost: $9,575,035) | 9,588,216 | 5.65 | % |
March 31, 2023 (Unaudited) | December 31, 2022 | |||||||
Assets | ||||||||
Equity in broker trading accounts | ||||||||
Cash | $ | 43,829,353 | $ | 41,012,793 | ||||
Net unrealized gain (loss) on open futures contracts | 846,133 | 2,399,627 | ||||||
Net unrealized gain (loss) on open forward currency contracts | (348,010 | ) | 29,573 | |||||
Net unrealized gain (loss) on swap contracts | 134 | 1,039 | ||||||
Total equity in broker trading accounts | 44,327,610 | 43,443,032 | ||||||
Cash and cash equivalents | 4,621,072 | 10,838,660 | ||||||
Investment in private investment company, at fair value (cost $1,657,000 and $1,140,000) | 3,421,361 | 3,296,431 | ||||||
Investment in securities, at fair value (cost $91,536,044 and $98,382,987) | 89,856,517 | 96,080,516 | ||||||
General Partner 1% allocation receivable | 83,161 | — | ||||||
Exchange membership, at fair value (cost $189,000 and $189,000) | 136,250 | 187,000 | ||||||
Dividend receivable | 6,655 | 21,237 | ||||||
Total assets | $ | 142,452,626 | $ | 153,866,876 | ||||
Liabilities and Partners’ Capital (Net Asset Value) | ||||||||
Liabilities | ||||||||
Trading Advisor management fees payable | $ | 171,824 | $ | 186,021 | ||||
Trading Advisor incentive fees payable | 2,642 | 354,828 | ||||||
Commissions and other trading fees payable on open contracts | 19,825 | 20,941 | ||||||
Cash Managers fees payable | 28,741 | 30,471 | ||||||
General Partner management and performance fees payable | 176,881 | 190,906 | ||||||
General Partner 1% allocation payable | — | 138,536 | ||||||
Selling Agent payable - General Partner | 159,345 | 172,558 | ||||||
Broker dealer servicing fees payable - General Partner | 6,378 | 6,831 | ||||||
Administrative fee payable - General Partner | 52,008 | 56,160 | ||||||
Interest payable | 4,836 | 21,369 | ||||||
Redemption payable | 1,594,807 | 701,837 | ||||||
Subscriptions received in advance | 422,000 | 162,000 | ||||||
Total liabilities | 2,639,287 | 2,042,458 | ||||||
Partners’ Capital (Net Asset Value) | ||||||||
Class A Interests – | and units outstanding at March 31, 2023 and December 31, 2022, respectively93,828,135 | 102,688,170 | ||||||
Class A2 Interests – | and units outstanding at March 31, 2023 and December 31, 2022, respectively325,818 | 344,113 | ||||||
Class B Interests – | and units outstanding at March 31, 2023 and December 31, 2022, respectively38,121,634 | 40,710,762 | ||||||
Class I Interests – | and units outstanding at March 31, 2023 and December 31, 2022, respectively290,560 | 317,372 | ||||||
Class R Interests – | and units outstanding at March 31, 2023 and December 31, 2022, respectively7,247,192 | 7,764,001 | ||||||
Total partners’ capital (net asset value) | 139,813,339 | 151,824,418 | ||||||
Total liabilities and partners’ capital (net asset value) | $ | 142,452,626 | $ | 153,866,876 |
The accompanying notes are an integral part of these financial statements.
2
Futures Portfolio Fund, Limited Partnership
Condensed Schedule of Investments (continued)September 30, 2022 (Unaudited)March 31, 2023 (unaudited)
Description | Fair Value | % of Partners’ Capital (Net Asset Value) | ||||||||||||||||||||
Foreign Commercial Paper | ||||||||||||||||||||||
Face Value | Maturity Date | Name | Yield1 | |||||||||||||||||||
Banks | ||||||||||||||||||||||
1,200,000 | 10/4/22 | John Deere Capital Corporation | 1.91 | % | 1,199,746 | 0.71 | % | |||||||||||||||
1,200,000 | 10/18/22 | Coöperatieve Rabobank U.A., New York Branch | 2.87 | % | 1,198,277 | 0.70 | % | |||||||||||||||
Commercial Services | ||||||||||||||||||||||
1,200,000 | 10/7/22 | Thunder Bay Funding, LLC | 2.31 | % | 1,199,460 | 0.71 | % | |||||||||||||||
1,200,000 | 10/11/22 | National Rural Utilities Cooperative Finance Corporation | 2.92 | % | 1,198,930 | 0.71 | % | |||||||||||||||
Diversified financial services | ||||||||||||||||||||||
1,200,000 | 10/3/22 | Nationwide Building Society | 1.70 | % | 1,199,830 | 0.70 | % | |||||||||||||||
Energy | ||||||||||||||||||||||
1,200,000 | 10/14/22 | United States Department of The Treasury | 2.88 | % | 1,198,657 | 0.71 | % | |||||||||||||||
Manufacturing | ||||||||||||||||||||||
1,100,000 | 10/24/22 | DCAT, LLC | 2.64 | % | 1,098,067 | 0.65 | % | |||||||||||||||
Telecommunications | ||||||||||||||||||||||
1,200,000 | 11/8/22 | DNB Bank ASA | 3.22 | % | 1,195,820 | 0.70 | % | |||||||||||||||
Total foreign commercial paper (cost: $9,471,547) | 9,488,787 | 5.59 | % | |||||||||||||||||||
Total commercial paper (cost: $19,046,582) | 19,077,003 | 11.24 | % | |||||||||||||||||||
U.S. Corporate Notes | ||||||||||||||||||||||
Face Value | Maturity Date | Name | Yield1 | |||||||||||||||||||
Aerospace | ||||||||||||||||||||||
$ | 1,600,000 | 8/16/23 | Truist Bank | 3.65 | % | 1,598,966 | 0.94 | % | ||||||||||||||
3,000,000 | 5/1/25 | Santander Consumer Auto Receivables Trust 2020-B_2 | 4.88 | % | 2,989,223 | 1.76 | % | |||||||||||||||
Automotive | ||||||||||||||||||||||
4,000,000 | 6/14/24 | World Omni Auto Receivables Trust 2020-C | 0.58 | % | 3,741,163 | 2.20 | % | |||||||||||||||
Banks | ||||||||||||||||||||||
4,000,000 | 5/5/23 | Apple Inc. | 1.00 | % | 3,927,522 | 2.31 | % | |||||||||||||||
4,250,000 | 1/24/24 | AT&T Inc. | 3.75 | % | 4,218,763 | 2.49 | % | |||||||||||||||
2,000,000 | 7/23/24 | Athene Global Funding | 3.86 | % | 1,984,593 | 1.17 | % | |||||||||||||||
4,000,000 | 12/5/24 | Verizon Communications Inc. | 4.02 | % | 3,992,336 | 2.35 | % | |||||||||||||||
2,000,000 | 12/6/24 | Brookfield Finance LLC | 2.15 | % | 1,897,468 | 1.12 | % | |||||||||||||||
Diversified financial services | ||||||||||||||||||||||
600,000 | 12/7/23 | GreatAmerica Leasing Receivables Funding, LLC | 0.35 | % | 571,253 | 0.33 | % | |||||||||||||||
4,000,000 | 1/8/24 | Dell Equipment Finance Trust 2020-1 | 0.95 | % | 3,794,081 | 2.24 | % | |||||||||||||||
4,600,000 | 3/8/24 | Zoetis Inc. | 0.67 | % | 4,496,730 | 2.65 | % | |||||||||||||||
2,700,000 | 4/1/24 | Credit Suisse AG, New York Branch | 4.00 | % | 2,713,397 | 1.60 | % | |||||||||||||||
Machinery | ||||||||||||||||||||||
2,000,000 | 1/10/25 | NVIDIA Corporation | 1.25 | % | 1,859,375 | 1.10 | % | |||||||||||||||
Media | ||||||||||||||||||||||
3,000,000 | 3/15/24 | Verizon Owner Trust 2018-A | 3.43 | % | 2,902,607 | 1.71 | % | |||||||||||||||
Pharmaceuticals | ||||||||||||||||||||||
3,500,000 | 2/1/23 | Mizuho Bank Ltd., New York Branch | 3.25 | % | 3,499,467 | 2.06 | % | |||||||||||||||
Telecommunications | ||||||||||||||||||||||
3,000,000 | 3/22/24 | JPMorgan Chase & Co._1 | 0.75 | % | 2,831,090 | 1.67 | % | |||||||||||||||
Total U.S. corporate notes (cost: $49,289,980) | 47,018,034 | 27.70 | % |
Description | Fair Value | % of Partners’ Capital (Net Asset Value) | ||||||||||||||||
INVESTMENTS IN SECURITIES | ||||||||||||||||||
U.S. Treasury Securities | ||||||||||||||||||
Face Value | Maturity Date | Name | Yield1 | |||||||||||||||
$ | 1,000,000 | 5/31/23 | U.S. Treasury | 2.75 | % | $ | 1,005,780 | 0.72 | % | |||||||||
7,000,000 | 8/15/23 | U.S. Treasury | 2.50 | % | 6,960,504 | 4.98 | % | |||||||||||
2,500,000 | 12/28/23 | U.S. Treasury | 4.46 | % | 2,418,926 | 1.73 | % | |||||||||||
5,000,000 | 4/15/24 | U.S. Treasury | 0.38 | % | 4,793,029 | 3.43 | % | |||||||||||
2,500,000 | 11/15/25 | U.S. Treasury | 4.50 | % | 2,579,295 | 1.84 | % | |||||||||||
Total U.S. Treasury securities (cost: $17,683,639) | 17,757,534 | 12.70 | % |
U.S. Commercial Paper
Face Value | Maturity Date | Name | Yield1 | |||||||||||||||
Agriculture | ||||||||||||||||||
$ | 1,200,000 | 4/17/23 | Philip Morris International Inc. | 4.51 | % | $ | 1,197,445 | 0.86 | % | |||||||||
Beverages | ||||||||||||||||||
1,200,000 | 4/3/23 | Brown-Forman Corporation | 3.17 | % | 1,199,683 | 0.86 | % | |||||||||||
Diversified financial services | ||||||||||||||||||
1,200,000 | 4/27/23 | DCAT, LLC | 5.02 | % | 1,195,710 | 0.85 | % | |||||||||||
1,200,000 | 5/9/23 | Gotham Funding Corporation | 4.87 | % | 1,193,667 | 0.84 | % | |||||||||||
1,200,000 | 5/10/23 | Liberty Street Funding LLC | 4.63 | % | 1,193,825 | 0.85 | % | |||||||||||
1,200,000 | 4/6/23 | National Rural Utilities Cooperative Finance Corporation | 5.17 | % | 1,199,150 | 0.86 | % | |||||||||||
1,200,000 | 4/4/23 | Sheffield Receivables Company LLC | 3.49 | % | 1,199,535 | 0.86 | % | |||||||||||
Energy | ||||||||||||||||||
1,200,000 | 4/12/23 | Berkshire Hathaway Energy Company | 5.58 | % | 1,197,983 | 0.86 | % | |||||||||||
Healthcare | ||||||||||||||||||
1,200,000 | 4/25/23 | UnitedHealth Group Incorporated | 5.28 | % | 1,195,840 | 0.86 | % | |||||||||||
Manufacturing | ||||||||||||||||||
1,200,000 | 4/4/23 | Koch Industries, Inc. | 3.54 | % | 1,199,528 | 0.86 | % | |||||||||||
Total U.S. commercial paper (cost: $11,936,435) | 11,972,366 | 8.56 | % |
The accompanying notes are an integral part of these financial statements.
3
Futures Portfolio Fund, Limited Partnership
Condensed Schedule of Investments (continued)September 30, 2022 (Unaudited)March 31, 2023 (unaudited)
Description | Fair Value | % of Partners’ Capital (Net Asset Value) | ||||||||||||||||||||
Foreign Corporate Notes | ||||||||||||||||||||||
Face Value | Maturity Date | Name | Yield1 | |||||||||||||||||||
Banks | ||||||||||||||||||||||
$ | 3,000,000 | 6/9/23 | Boeing Company | 1.00 | % | $ | 2,949,123 | 1.74 | % | |||||||||||||
Diversified financial services | ||||||||||||||||||||||
$ | 4,000,000 | 1/13/25 | World Omni Select Auto Trust 2020-A | 1.38 | % | $ | 3,694,029 | 2.18 | % | |||||||||||||
Total foreign corporate notes (cost: $6,932,129) | 6,643,152 | 3.92 | % | |||||||||||||||||||
Total corporate notes (cost: $56,222,109) | 53,661,186 | 31.62 | % | |||||||||||||||||||
U.S. Asset Backed Securities | ||||||||||||||||||||||
Face Value | Maturity Date | Name | Yield1 | |||||||||||||||||||
Automotive | ||||||||||||||||||||||
$ | 607,758 | 10/15/26 | Carvana Auto Receivables Trust 2021-P3 | 1.98 | % | $ | 606,464 | 0.37 | % | |||||||||||||
118,387 | 6/9/25 | Carvana Auto Receivables Trust, Series 2020-P1 | 0.44 | % | 116,907 | 0.07 | % | |||||||||||||||
295,000 | 4/15/25 | Dell Equipment Finance Trust 2019-2 | 0.54 | % | 292,179 | 0.17 | % | |||||||||||||||
282,905 | 1/10/25 | Ford Credit Auto Lease Trust 2021-B | 0.38 | % | 280,378 | 0.17 | % | |||||||||||||||
950,000 | 8/15/24 | Goldman Sachs Group, Inc. | 2.97 | % | 951,429 | 0.56 | % | |||||||||||||||
475,000 | 1/15/30 | HPEFS Equipment Trust 2020-2 | 3.47 | % | 471,552 | 0.28 | % | |||||||||||||||
166,092 | 4/15/33 | HPEFS Equipment Trust 2021-1_1 | 0.47 | % | 160,435 | 0.10 | % | |||||||||||||||
350,000 | 12/16/24 | MMAF Equipment Finance LLC Series 2021-A | 2.77 | % | 347,530 | 0.20 | % | |||||||||||||||
285,557 | 4/15/24 | Raytheon Technologies Corporation | 0.24 | % | 283,632 | 0.17 | % | |||||||||||||||
497,193 | 3/17/25 | Santander Consumer Auto Receivables Trust 2020-B_1 | 2.76 | % | 495,390 | 0.29 | % | |||||||||||||||
265,000 | 12/20/24 | Santander Drive Auto Receivables Trust 2021-2 | 0.65 | % | 253,968 | 0.16 | % | |||||||||||||||
360,427 | 6/18/25 | SLM Student Loan Trust 2011-2 | 0.53 | % | 355,664 | 0.21 | % | |||||||||||||||
306,128 | 3/20/25 | Synchrony Card Issuance Trust, Series 2018-1 | 0.36 | % | 302,849 | 0.18 | % | |||||||||||||||
400,000 | 4/22/24 | The Bank of New York Mellon Corporation | 0.57 | % | 391,791 | 0.23 | % | |||||||||||||||
21,847 | 8/15/24 | Wells Fargo & Company | 0.46 | % | 21,837 | 0.01 | % | |||||||||||||||
Equipment | ||||||||||||||||||||||
451,640 | 3/20/24 | Micron Technology, Inc. | 0.60 | % | 445,408 | 0.26 | % | |||||||||||||||
259,234 | 4/15/24 | Nordea Bank Abp | 0.30 | % | 258,227 | 0.15 | % | |||||||||||||||
42,134 | 7/22/24 | Drive Auto Receivables Trust 2021-1 | 1.85 | % | 41,947 | 0.02 | % | |||||||||||||||
575,000 | 1/21/25 | Verizon Owner Trust 2020-A | 3.40 | % | 563,290 | 0.33 | % | |||||||||||||||
610,000 | 4/21/25 | TESLA 2021-A A2 | 0.41 | % | 598,393 | 0.35 | % | |||||||||||||||
348,000 | 5/22/26 | Ford Credit Auto Owner Trust 2017-Rev1 | 0.43 | % | 338,703 | 0.19 | % | |||||||||||||||
129,950 | 3/20/31 | HPEFS Equipment Trust 2021-1_2 | 0.27 | % | 129,681 | 0.08 | % | |||||||||||||||
300,000 | 3/20/31 | HPEFS Equipment Trust 2021-1_1 | 0.32 | % | 295,776 | 0.17 | % | |||||||||||||||
Total U.S. asset backed securities (cost: $8,068,222) | 8,003,430 | 4.72 | % | |||||||||||||||||||
Total investments in securities (cost: $95,883,341) | $ | 93,149,331 | 54.89 | % |
Description | Fair Value | % of Partners’ Capital (Net Asset Value) | ||||||||||||||
Foreign Commercial Paper | ||||||||||||||||
Face Value | Maturity Date | Name | Yield1 | |||||||||||||
Commercial Services | ||||||||||||||||
1,200,000 | 4/14/23 | Experian Finance PLC | 4.61 | % | 1,197,846 | 0.85 | % | |||||||||
Manufacturing | ||||||||||||||||
1,200,000 | 4/19/23 | Glencove Funding DAC | 4.49 | % | 1,197,156 | 0.86 | % | |||||||||
Total foreign commercial paper (cost: $2,389,276) | 2,395,002 | 1.71 | % | |||||||||||||
Total commercial paper (cost: $14,325,711) | 14,367,368 | 10.27 | % |
U.S. Corporate Notes
Face Value | Maturity Date | Name | Yield1 | |||||||||||||||
Aerospace | ||||||||||||||||||
$ | 3,000,000 | 5/1/25 | Boeing Company | 4.88 | % | 3,047,114 | 2.18 | % | ||||||||||
1,600,000 | 8/16/23 | Raytheon Technologies Corporation | 3.65 | % | 1,597,849 | 1.14 | % | |||||||||||
Banks | ||||||||||||||||||
2,000,000 | 7/23/24 | Bank of America Corporation | 3.86 | % | 2,003,579 | 1.43 | % | |||||||||||
4,000,000 | 5/5/23 | Credit Suisse AG, New York Branch | 1.00 | % | 3,976,221 | 2.85 | % | |||||||||||
4,000,000 | 12/5/24 | JPMorgan Chase & Co. | 0.00 | % | 4,012,728 | 2.87 | % | |||||||||||
3,500,000 | 1/26/26 | Keybank National Association | 4.70 | % | 3,388,973 | 2.42 | % | |||||||||||
2,000,000 | 12/6/24 | Truist Bank | 0.00 | % | 1,898,548 | 1.36 | % | |||||||||||
4,250,000 | 1/24/24 | Wells Fargo & Company | 3.75 | % | 4,221,500 | 3.02 | % | |||||||||||
Diversified financial services | ||||||||||||||||||
4,000,000 | 1/8/24 | Athene Global Funding | 0.95 | % | 3,841,597 | 2.75 | % | |||||||||||
2,700,000 | 4/1/24 | Brookfield Finance LLC | 4.00 | % | 2,717,461 | 1.94 | % | |||||||||||
600,000 | 12/7/23 | The Bank of New York Mellon Corporation | 0.35 | % | 581,103 | 0.42 | % | |||||||||||
Equipment | ||||||||||||||||||
4,000,000 | 6/14/24 | NVIDIA Corporation | 0.58 | % | 3,822,091 | 2.73 | % | |||||||||||
Machinery | ||||||||||||||||||
2,000,000 | 1/10/25 | John Deere Capital Corp Fxd | 1.25 | % | 1,896,769 | 1.36 | % | |||||||||||
Media | ||||||||||||||||||
3,000,000 | 3/15/24 | Warner Media Holdings, Inc. | 3.43 | % | 2,922,935 | 2.09 | % | |||||||||||
Telecommunications | ||||||||||||||||||
3,000,000 | 3/22/24 | Verizon Communications Inc. | 0.75 | % | 2,875,619 | 2.06 | % | |||||||||||
Total U.S. corporate notes (cost: $44,405,469) | 42,804,087 | 30.62 | % |
The accompanying notes are an integral part of these financial statements.
4
Futures Portfolio Fund, Limited Partnership
Condensed Schedule of Investments (continued)September 30, 2022 (Unaudited)March 31, 2023 (unaudited)
Description | Fair Value | % of Partners’ Capital (Net Asset Value) | ||||||||||||||||||||
OPEN FUTURES CONTRACTS | ||||||||||||||||||||||
Long U.S. Futures Contracts | ||||||||||||||||||||||
Agricultural commodities | $ | (1,006,158 | ) | (0.59 | )% | |||||||||||||||||
Currencies | (113,765 | ) | (0.07 | )% | ||||||||||||||||||
Energy | (653,957 | ) | (0.39 | )% | ||||||||||||||||||
Equity indices | (184,379 | ) | (0.11 | )% | ||||||||||||||||||
Interest rate instruments | (512,063 | ) | (0.30 | )% | ||||||||||||||||||
Metals2 | (1,590,115 | ) | (0.93 | )% | ||||||||||||||||||
Net unrealized gain (loss) on open long U.S. futures contracts | (4,060,437 | ) | (2.39 | )% | ||||||||||||||||||
Short U.S. Futures Contracts | ||||||||||||||||||||||
Agricultural commodities | 34,481 | 0.02 | % | |||||||||||||||||||
Currencies | 613,473 | 0.36 | % | |||||||||||||||||||
Energy | 151,399 | 0.09 | % | |||||||||||||||||||
Equity indices | 733,112 | 0.43 | % | |||||||||||||||||||
Interest rate instruments | 2,852,631 | 1.68 | % | |||||||||||||||||||
Metals2 | 1,870,261 | 1.10 | % | |||||||||||||||||||
Net unrealized gain (loss) on open short U.S. futures contracts | 6,255,357 | 3.68 | % | |||||||||||||||||||
Total U.S. Futures Contracts - net unrealized gain (loss) on open U.S. futures contracts | 2,194,920 | 1.29 | % | |||||||||||||||||||
Long Foreign Futures Contracts | ||||||||||||||||||||||
Agricultural commodities | 135,252 | 0.08 | % | |||||||||||||||||||
Currencies | 99,704 | 0.06 | % | |||||||||||||||||||
Energy | (40,831 | ) | (0.02 | )% | ||||||||||||||||||
Equity indices | (1,413,132 | ) | (0.83 | )% | ||||||||||||||||||
Interest rate instruments | (381,086 | ) | (0.23 | )% | ||||||||||||||||||
Metals | (17,929 | ) | (0.01 | )% | ||||||||||||||||||
Net unrealized gain (loss) on open long foreign futures contracts | (1,618,022 | ) | (0.95 | )% |
Description | Fair Value | % of Partners’ Capital (Net Asset Value) | ||||||||||||||||
Foreign Corporate Notes | ||||||||||||||||||
Face Value | Maturity Date | Name | Yield1 | |||||||||||||||
Banks | ||||||||||||||||||
$ | 3,000,000 | 6/9/23 | Nordea Bank | 1.00 | % | $ | 2,983,230 | 2.13 | % | |||||||||
Diversified financial services | ||||||||||||||||||
4,000,000 | 1/13/25 | UBS AG | 1.38 | % | 3,738,725 | 2.67 | % | |||||||||||
Total foreign corporate notes (cost: $6,928,310) | 6,721,955 | 4.80 | % | |||||||||||||||
Total corporate notes (cost: $51,333,779) | 49,526,042 | 35.42 | % |
U.S. Asset Backed Securities
Face Value | Maturity Date | Name | Yield1 | |||||||||||||||
Automotive | ||||||||||||||||||
$ | 152,513 | 6/18/25 | Americredit Automobile Receivables Trust 2020-3 | 0.53 | % | 151,036 | 0.11 | % | ||||||||||
582,557 | 12/26/24 | Bmw Vehicle Lease Trust 2021-2 | 0.33 | % | 571,280 | 0.41 | % | |||||||||||
400,000 | 9/15/26 | Capital One Prime Auto Receivables Trust 2021-1 | 0.77 | % | 379,568 | 0.27 | % | |||||||||||
198,302 | 12/16/24 | CarMax Auto Owner Trust 2019-2 | 2.77 | % | 198,104 | 0.14 | % | |||||||||||
72,891 | 2/17/26 | Carmax Auto Owner Trust 2021-2 | 0.52 | % | 70,386 | 0.04 | % | |||||||||||
878,556 | 6/15/26 | CarMax Auto Owner Trust 2021-3 | 0.55 | % | 841,872 | 0.60 | % | |||||||||||
78,014 | 1/10/25 | Carvana Auto Receivables Trust 2021-P3 | 0.38 | % | 77,729 | 0.06 | % | |||||||||||
53,164 | 6/9/25 | Carvana Auto Receivables Trust, Series 2020-P1 | 0.44 | % | 52,604 | 0.04 | % | |||||||||||
136,876 | 4/15/33 | Chesapeake Funding II LLC - 2018 - 2 | 0.47 | % | 132,962 | 0.10 | % | |||||||||||
475,000 | 1/15/30 | Ford Credit Auto Owner Trust 2018-Rev2 | 3.47 | % | 473,236 | 0.34 | % | |||||||||||
720,186 | 8/15/24 | Nissan Auto Lease Trust 2022-A | 5.24 | % | 721,965 | 0.52 | % | |||||||||||
72,452 | 4/15/25 | Santander Consumer Auto Receivables Trust 2020-B | 0.54 | % | 72,245 | 0.05 | % | |||||||||||
198,000 | 6/15/26 | Santander Consumer Auto Receivables Trust 2021-A | 0.48 | % | 187,645 | 0.13 | % | |||||||||||
2,452 | 10/15/26 | Santander Drive Auto Receivables Trust 2022-2 | 0.00 | % | 2,450 | 0.00 | % | |||||||||||
98,164 | 3/17/25 | Santander Drive Auto Receivables Trust 2022-3 | 0.00 | % | 98,050 | 0.07 | % | |||||||||||
298,000 | 1/15/26 | Santander Drive Auto Receivables Trust 2022-7 | 5.81 | % | 299,368 | 0.21 | % | |||||||||||
240,512 | 4/22/24 | Santander Retail Auto Lease Trust 2020-B_1 | 0.57 | % | 237,960 | 0.17 | % | |||||||||||
265,000 | 12/20/24 | Santander Retail Auto Lease Trust 2020-B_2 | 0.65 | % | 259,050 | 0.19 | % | |||||||||||
40,518 | 3/20/25 | TESLA 2021-A A2 | 0.36 | % | 40,395 | 0.03 | % | |||||||||||
100,000 | 11/25/31 | Toyota Auto Loan Extended Note Trust 2019-1 | 2.56 | % | 97,253 | 0.07 | % | |||||||||||
118,000 | 10/15/25 | Toyota Auto Receivables 2020-C Owner Trust | 0.57 | % | 113,134 | 0.08 | % | |||||||||||
Credit cards | ||||||||||||||||||
281,000 | 12/15/23 | BA Credit Card Trust | 0.34 | % | 271,458 | 0.19 | % | |||||||||||
Equipment | ||||||||||||||||||
783,889 | 3/14/29 | CCG Receivables Trust 2021-2 | 0.54 | % | 751,372 | 0.54 | % | |||||||||||
219,797 | 5/22/26 | Dell Equipment Finance Trust 2021-1 | 0.43 | % | 216,920 | 0.16 | % | |||||||||||
133,963 | 3/20/24 | Dllmt 2021-1 LLC | 0.60 | % | 133,170 | 0.10 | % | |||||||||||
575,000 | 1/21/25 | Dllst 2022-1 LLC | 3.40 | % | 564,245 | 0.40 | % | |||||||||||
94,451 | 3/20/31 | HPEFS Equipment Trust 2021-1 | 0.32 | % | 94,105 | 0.07 | % | |||||||||||
860,925 | 6/13/28 | Mmaf Equipment Finance LLC 2021-A | 0.56 | % | 809,913 | 0.58 | % | |||||||||||
3,744 | 7/22/24 | Verizon Owner Trust 2020-A | 1.85 | % | 3,737 | 0.00 | % | |||||||||||
286,245 | 4/21/25 | Verizon Owner Trust 2020-C | 0.41 | % | 282,361 | 0.20 | % | |||||||||||
Total U.S. asset backed securities (cost: $8,192,915) | 8,205,573 | 5.87 | % | |||||||||||||||
Total investments in securities (cost: $91,536,044) | $ | 89,856,517 | 64.26 | % |
The accompanying notes are an integral part of these financial statements.
5
Futures Portfolio Fund, Limited Partnership
Condensed Schedule of Investments (continued)
March 31, 2023 (unaudited)
September 30, 2022 (Unaudited)
Description | Fair Value | % of Partners’ Capital (Net Asset Value) | ||||||||||||||||||||
Short Foreign Futures Contracts | ||||||||||||||||||||||
Agricultural commodities | 24,509 | 0.01 | % | |||||||||||||||||||
Currencies | (74,721 | ) | (0.04 | )% | ||||||||||||||||||
Energy | 22,652 | 0.01 | % | |||||||||||||||||||
Equity indices | 608,555 | 0.37 | % | |||||||||||||||||||
Interest rate instruments | 2,671,062 | 1.57 | % | |||||||||||||||||||
Net unrealized gain (loss) on open short foreign futures contracts | 3,252,057 | 1.92 | % | |||||||||||||||||||
Total foreign futures contracts - net unrealized gain (loss) on open foreign futures contracts | 1,634,035 | 0.97 | % | |||||||||||||||||||
Net unrealized gain (loss) on open futures contracts | $ | 3,828,955 | 2.26 | % | ||||||||||||||||||
OPEN FORWARD CURRENCY CONTRACTS | ||||||||||||||||||||||
U.S. Forward Currency Contracts | ||||||||||||||||||||||
Long2 | $ | (1,861,161 | ) | (1.10 | )% | |||||||||||||||||
Short2 | 5,535,348 | 3.26 | % | |||||||||||||||||||
Net unrealized gain (loss) on open U.S. forward currency contracts | 3,674,187 | 2.16 | % | |||||||||||||||||||
Foreign Forward Currency Contracts | ||||||||||||||||||||||
Long | 596,696 | 0.35 | % | |||||||||||||||||||
Short | (518,079 | ) | (0.30 | )% | ||||||||||||||||||
Net unrealized gain (loss) on open foreign forward currency contracts | 78,617 | 0.05 | % | |||||||||||||||||||
Net unrealized gain (loss) on open forward currency contracts | $ | 3,752,804 | 2.21 | % | ||||||||||||||||||
TOTAL RETURN SWAP CONTRACTS | ||||||||||||||||||||||
Long | $ | 3,184 | 0.00 | % | ||||||||||||||||||
Short | (9,092 | ) | (0.01 | )% | ||||||||||||||||||
$ | (5,908 | ) | (0.01 | )% | ||||||||||||||||||
INVESTMENT IN PRIVATE INVESTMENT COMPANY3 | ||||||||||||||||||||||
Galaxy East Alpha (cost: $847,800) | $ | 3,221,054 | 1.90 | % |
Description | Fair Value | % of Partners’ Capital (Net Asset Value) | ||||||||||
OPEN FUTURES CONTRACTS2 | ||||||||||||
Long U.S. Futures Contracts | ||||||||||||
Agricultural commodities | $ | 413,492 | 0.30 | % | ||||||||
Currencies | 171,052 | 0.12 | % | |||||||||
Energy | 237,205 | 0.17 | % | |||||||||
Equity indices | 511,962 | 0.37 | % | |||||||||
Interest rate instruments | 74,324 | 0.05 | % | |||||||||
Metals | (1,188,218 | ) | (0.85 | )% | ||||||||
Net unrealized gain (loss) on open long U.S. futures contracts | 219,817 | 0.16 | % | |||||||||
Short U.S. Futures Contracts | ||||||||||||
Agricultural commodities | 177,430 | 0.13 | % | |||||||||
Currencies | (267,546 | ) | (0.19 | )% | ||||||||
Energy | (218,277 | ) | (0.16 | )% | ||||||||
Equity indices | (342,717 | ) | (0.25 | )% | ||||||||
Interest rate instruments | (1,085,801 | ) | (0.77 | )% | ||||||||
Metals | 1,287,533 | 0.92 | % | |||||||||
Net unrealized gain (loss) on open short U.S. futures contracts | (449,378 | ) | (0.32 | )% | ||||||||
Total U.S. Futures Contracts - net unrealized gain (loss) on open U.S. futures contracts | (229,561 | ) | (0.16 | )% | ||||||||
Long Foreign Futures Contracts | ||||||||||||
Agricultural commodities | 139,018 | 0.10 | % | |||||||||
Currencies | 81,195 | 0.06 | % | |||||||||
Energy | (140 | ) | 0.00 | % | ||||||||
Equity indices | 930,900 | 0.66 | % | |||||||||
Interest rate instruments | 289,718 | 0.21 | % | |||||||||
Metals | 66,953 | 0.05 | % | |||||||||
Net unrealized gain (loss) on open long foreign futures contracts | 1,507,644 | 1.08 | % | |||||||||
Short Foreign Futures Contracts | ||||||||||||
Agricultural commodities | 141,308 | 0.10 | % | |||||||||
Currencies | 134,498 | 0.10 | % | |||||||||
Energy | (38,580 | ) | (0.03 | )% | ||||||||
Equity indices | (58,959 | ) | (0.04 | )% | ||||||||
Interest rate instruments | (610,217 | ) | (0.44 | )% | ||||||||
Net unrealized gain (loss) on open short foreign futures contracts | (431,950 | ) | (0.31 | )% | ||||||||
Total foreign futures contracts - net unrealized gain (loss) on open foreign futures contracts | 1,075,694 | 0.77 | % | |||||||||
Net unrealized gain (loss) on open futures contracts | $ | 846,133 | 0.61 | % |
The accompanying notes are an integral part of these financial statements.
Futures Portfolio Fund, Limited Partnership
Condensed Schedule of Investments
March 31, 2023 (unaudited)
Description | Fair Value | % of Partners’ Capital (Net Asset Value) | ||||||||||
OPEN FORWARD CURRENCY CONTRACTS2 | ||||||||||||
U.S. Forward Currency Contracts | ||||||||||||
Long | $ | 751,495 | 0.54 | % | ||||||||
Short | (1,190,982 | ) | (0.85 | )% | ||||||||
Net unrealized gain (loss) on open U.S. forward currency contracts | (439,487 | ) | (0.31 | )% | ||||||||
Foreign Forward Currency Contracts | ||||||||||||
Long | (47,954 | ) | (0.03 | )% | ||||||||
Short | 139,431 | 0.10 | % | |||||||||
Net unrealized gain (loss) on open foreign forward currency contracts | 91,477 | 0.07 | % | |||||||||
Net unrealized gain (loss) on open forward currency contracts | $ | (348,010 | ) | (0.24 | )% | |||||||
TOTAL RETURN SWAP CONTRACTS | ||||||||||||
Long | $ | 134 | 0.00 | % | ||||||||
INVESTMENT IN PRIVATE INVESTMENT COMPANY3 | ||||||||||||
Investment in private investment company (cost: $1,657,000) | $ | 3,421,361 | 2.45 | % |
1 | Represents the annualized yield at date of purchase for discount securities or the stated coupon rate for coupon-bearing securities. |
2 | No individual futures or forward currency contract position constituted one percent or greater of partners’ capital (net asset value). Accordingly, the number of contracts and expiration dates are not presented. |
3 | Private investment company is a separate series that is part of the Galaxy Plus Managed Account Platform (Platform), which is sponsored by New Hyde Park Alternative Funds, LLC (Sponsor). Each series on the Platform invests in Master Fund that allocates assets to a Commodity Trading Advisor (“CTA”). The CTA of our master fund investment trades global commodities markets primarily through futures contracts. The CTA is paid a management fee of up to |
The accompanying notes are an integral part of these financial statements.
Futures Portfolio Fund, Limited Partnership
Condensed Schedule of Investments
December 31, 2022
Description | Fair Value | % of Partners’ Capital (Net Asset Value) | ||||||||||||||||
INVESTMENTS IN SECURITIES | ||||||||||||||||||
U.S. Treasury Securities | ||||||||||||||||||
Face Value | Maturity Date | Name | Yield1 | |||||||||||||||
$ | 2,500,000 | 2/15/23 | U.S. Treasury | 2.00 | % | $ | 2,511,464 | 1.65 | % | |||||||||
3,000,000 | 5/31/23 | U.S. Treasury | 2.75 | % | 2,984,284 | 1.97 | % | |||||||||||
7,000,000 | 8/15/23 | U.S. Treasury | 2.50 | % | 6,967,663 | 4.59 | % | |||||||||||
2,500,000 | 12/28/23 | U.S. Treasury | 4.68 | % | 2,387,563 | 1.57 | % | |||||||||||
Total U.S. Treasury securities (cost: $14,934,334) | 14,850,974 | 9.78 | % |
U.S. Commercial Paper | ||||||||||||||||||
Face Value | Maturity Date | Name | Yield1 | |||||||||||||||
Agriculture | ||||||||||||||||||
$ | 1,200,000 | 2/2/23 | Philip Morris International Inc. | 4.27 | % | $ | 1,195,307 | 0.79 | % | |||||||||
Automotive | ||||||||||||||||||
1,200,000 | 1/12/23 | PACCAR Financial Corp. | 3.88 | % | 1,198,460 | 0.79 | % | |||||||||||
Beverages | ||||||||||||||||||
1,200,000 | 2/6/23 | Brown-Forman Corporation | 4.48 | % | 1,194,480 | 0.78 | % | |||||||||||
Diversified financial services | ||||||||||||||||||
1,200,000 | 1/6/23 | DCAT, LLC | 3.63 | % | 1,199,295 | 0.79 | % | |||||||||||
1,200,000 | 1/18/23 | Fairway Finance Corp. | 3.98 | % | 1,197,620 | 0.79 | % | |||||||||||
1,200,000 | 1/17/23 | National Rural Utilities Cooperative Finance Corporation | 4.34 | % | 1,197,547 | 0.79 | % | |||||||||||
Machinery | ||||||||||||||||||
1,200,000 | 1/24/23 | Caterpillar Financial Services Corporation | 4.13 | % | 1,196,703 | 0.79 | % | |||||||||||
Manufacturing | ||||||||||||||||||
1,200,000 | 1/3/23 | Koch Industries, Inc. | 3.04 | % | 1,199,729 | 0.79 | % | |||||||||||
Pharmaceuticals | ||||||||||||||||||
1,200,000 | 1/26/23 | Roche Holdings, Inc. | 4.09 | % | 1,196,458 | 0.79 | % | |||||||||||
1,200,000 | 1/30/23 | Novartis Finance Corporation | 4.16 | % | 1,195,843 | 0.79 | % | |||||||||||
Water | ||||||||||||||||||
1,200,000 | 1/9/23 | American Water Capital Corp. | 3.83 | % | 1,198,867 | 0.79 | % | |||||||||||
Total U.S. commercial paper (cost: $13,143,256) | 13,170,309 | 8.68 | % |
The accompanying notes are an integral part of these financial statements.
7
Futures Portfolio Fund, Limited Partnership
Condensed Schedule of Investments (continued)
December 31, 2022
Description | Fair Value | % of Partners’ Capital (Net Asset Value) | ||||||||||||||||
Foreign Commercial Paper | ||||||||||||||||||
Diversified financial services | ||||||||||||||||||
1,200,000 | 1/11/23 | Anglesea Funding Plc | 3.99 | % | 1,198,550 | 0.79 | % | |||||||||||
1,200,000 | 1/12/23 | Experian Finance plc | 4.17 | % | 1,198,343 | 0.79 | % | |||||||||||
1,200,000 | 1/20/23 | Longship Funding Designated Activity Company | 4.04 | % | 1,197,315 | 0.79 | % | |||||||||||
Manufacturing | ||||||||||||||||||
1,200,000 | 3/1/23 | Glencove Funding DAC | 4.54 | % | 1,190,914 | 0.78 | % | |||||||||||
Telecommunications | ||||||||||||||||||
1,200,000 | 1/4/23 | Telstra Group Limited | 3.60 | % | 1,199,550 | 0.79 | % | |||||||||||
Total foreign commercial paper (cost: $5,969,247) | 5,984,672 | 3.94 | % | |||||||||||||||
Total commercial paper (cost: $19,112,503) | 19,154,981 | 12.62 | % | |||||||||||||||
U.S. Corporate Notes | ||||||||||||||||||
Face Value | Maturity Date | Name | Yield1 | |||||||||||||||
Aerospace | ||||||||||||||||||
$ | 3,000,000 | 5/1/25 | Boeing Company | 4.88 | % | 3,006,405 | 1.98 | % | ||||||||||
1,600,000 | 8/16/23 | Raytheon Technologies Corporation | 3.65 | % | 1,608,614 | 1.06 | % | |||||||||||
Automotive | ||||||||||||||||||
4,000,000 | 6/14/24 | NVIDIA Corporation | 0.58 | % | 3,775,815 | 2.49 | % | |||||||||||
Banks | ||||||||||||||||||
2,000,000 | 7/23/24 | Bank of America Corporation | 3.86 | % | 2,012,167 | 1.33 | % | |||||||||||
4,000,000 | 5/5/23 | Credit Suisse AG, New York Branch | 1.00 | % | 3,924,762 | 2.59 | % | |||||||||||
4,000,000 | 12/5/24 | JPMorgan Chase & Co. | 4.02 | % | 3,954,678 | 2.59 | % | |||||||||||
2,000,000 | 12/6/24 | Truist Bank | 2.15 | % | 1,908,014 | 1.26 | % | |||||||||||
4,250,000 | 1/24/24 | Wells Fargo & Company | 3.75 | % | 4,270,464 | 2.81 | % | |||||||||||
Diversified financial services | ||||||||||||||||||
4,000,000 | 1/8/24 | Athene Global Funding | 0.95 | % | 3,818,549 | 2.52 | % | |||||||||||
2,700,000 | 4/1/24 | Brookfield Finance LLC | 4.00 | % | 2,683,163 | 1.76 | % | |||||||||||
4,600,000 | 3/8/24 | Goldman Sachs Group, Inc. | 0.67 | % | 4,556,776 | 3.00 | % | |||||||||||
600,000 | 12/7/23 | The Bank of New York Mellon Corporation | 0.35 | % | 575,549 | 0.38 | % | |||||||||||
Machinery | ||||||||||||||||||
2,000,000 | 1/10/25 | John Deere Capital Corp FXD | 1.25 | % | 1,881,615 | 1.24 | % | |||||||||||
Media | ||||||||||||||||||
3,000,000 | 3/15/24 | Warner Media Holdings, Inc. | 3.43 | % | 2,940,371 | 1.94 | % | |||||||||||
Pharmaceuticals | ||||||||||||||||||
3,500,000 | 2/1/23 | Zoetis Inc. | 3.25 | % | 3,541,428 | 2.33 | % | |||||||||||
Telecommunications | ||||||||||||||||||
3,000,000 | 3/22/24 | Verizon Communications Inc. | 0.75 | % | 2,840,387 | 1.87 | % | |||||||||||
Total U.S. corporate notes (cost: $49,289,980) | 47,298,757 | 31.15 | % |
The accompanying notes are an integral part of these financial statements.
6
Futures Portfolio Fund, Limited Partnership
Condensed Schedule of Investments
December 31, 2021
Description | Fair Value | % of Partners’ Capital (Net Asset Value) | ||||||||||||||||
INVESTMENTS IN SECURITIES | ||||||||||||||||||
U.S. Treasury Securities | ||||||||||||||||||
Face Value | Maturity Date | Name | Yield1 | |||||||||||||||
4,500,000 | 9/15/23 | U.S. Treasury | 0.13 | % | $ | 4,460,194 | 2.93 | % | ||||||||||
6,000,000 | 10/31/23 | U.S. Treasury | 0.38 | % | 5,970,104 | 3.92 | % | |||||||||||
Total U.S. Treasury securities (cost: $10,451,673) | 10,430,298 | 6.85 | % | |||||||||||||||
U.S. Commercial Paper | ||||||||||||||||||
Face Value | Maturity Date | Name | Yield1 | |||||||||||||||
Banks | ||||||||||||||||||
1,200,000 | 1/26/22 | Mitsubishi UFJ Trust and Banking Corporation (USA) | 0.20 | % | 1,199,825 | 0.79 | % | |||||||||||
Diversified financial services | ||||||||||||||||||
1,200,000 | 1/6/22 | Citigroup Global Markets Inc. | 0.11 | % | 1,199,979 | 0.79 | % | |||||||||||
1,200,000 | 1/20/22 | DCAT, LLC | 0.12 | % | 1,199,918 | 0.79 | % | |||||||||||
1,200,000 | 1/5/22 | Gotham Funding Corporation | 0.09 | % | 1,199,985 | 0.79 | % | |||||||||||
1,100,000 | 2/18/22 | ING (U.S.) Funding LLC | 0.16 | % | 1,099,765 | 0.72 | % | |||||||||||
1,200,000 | 1/10/22 | J.P. Morgan Securities LLC | 0.11 | % | 1,199,964 | 0.79 | % | |||||||||||
1,200,000 | 4/1/22 | Liberty Street Funding LLC | 0.23 | % | 1,199,310 | 0.79 | % | |||||||||||
1,200,000 | 1/11/22 | Manhattan Asset Funding Company LLC | 0.11 | % | 1,199,960 | 0.79 | % | |||||||||||
1,200,000 | 1/11/22 | National Rural Utilities Cooperative Finance Corporation | 0.17 | % | 1,199,937 | 0.79 | % | |||||||||||
Food | ||||||||||||||||||
1,200,000 | 1/12/22 | Archer-Daniels-Midland Company | 0.05 | % | 1,199,978 | 0.79 | % | |||||||||||
Water | ||||||||||||||||||
1,200,000 | 1/4/22 | American Water Capital Corp. | 0.10 | % | 1,199,987 | 0.79 | % | |||||||||||
Total U.S. commercial paper (cost: $13,097,222) | 13,098,608 | 8.62 | % |
The accompanying notes are an integral part of these financial statements.
7
Futures Portfolio Fund, Limited Partnership
Condensed Schedule of Investments (continued)
December 31, 20212022
Description | Fair Value | % of Partners’ Capital (Net Asset Value) | ||||||||||||||||
Foreign Commercial Paper | ||||||||||||||||||
Face Value | Maturity Date | Name | Yield1 | |||||||||||||||
Automotive | ||||||||||||||||||
$ | 1,200,000 | 1/12/22 | Nationwide Building Society | 0.12 | % | $ | 1,199,952 | 0.79 | % | |||||||||
Banks | ||||||||||||||||||
1,200,000 | 2/7/22 | DBS Bank Ltd. | 0.15 | % | 1,199,815 | 0.79 | % | |||||||||||
1,200,000 | 1/14/22 | DNB Bank ASA | 0.11 | % | 1,199,948 | 0.79 | % | |||||||||||
1,200,000 | 2/15/22 | KfW | 0.12 | % | 1,199,820 | 0.79 | % | |||||||||||
Diversified financial services | ||||||||||||||||||
1,200,000 | 1/20/22 | Experian Finance plc | 0.25 | % | 1,199,835 | 0.79 | % | |||||||||||
1,200,000 | 3/8/22 | Glencove Funding DAC | 0.24 | % | 1,199,472 | 0.79 | % | |||||||||||
Total foreign commercial paper (cost: $7,197,809) | 7,198,842 | 4.74 | % | |||||||||||||||
Total commercial paper (cost: $20,295,031) | 20,297,450 | 13.36 | % | |||||||||||||||
U.S. Corporate Notes | ||||||||||||||||||
Face Value | Maturity Date | Name | Yield1 | |||||||||||||||
Aerospace | ||||||||||||||||||
$ | 4,000,000 | 5/1/22 | Boeing Company | 2.70 | % | 4,042,997 | 2.66 | % | ||||||||||
1,600,000 | 8/16/23 | Raytheon Technologies Corporation | 3.65 | % | 1,684,350 | 1.11 | % | |||||||||||
Automotive | ||||||||||||||||||
4,000,000 | 6/14/24 | NVIDIA Corporation | 0.58 | % | 3,964,887 | 2.61 | % | |||||||||||
Banks | ||||||||||||||||||
2,000,000 | 7/23/24 | Bank of America Corporation | 3.86 | % | 2,118,449 | 1.39 | % | |||||||||||
4,000,000 | 5/5/23 | Credit Suisse AG, New York Branch | 1.00 | % | 4,013,970 | 2.64 | % | |||||||||||
5,000,000 | 4/25/23 | JPMorgan Chase & Co. | 2.78 | % | 5,056,552 | 3.32 | % | |||||||||||
4,000,000 | 5/17/22 | Truist Bank | 2.80 | % | 4,043,637 | 2.66 | % | |||||||||||
4,250,000 | 1/24/24 | Wells Fargo & Company | 3.75 | % | 4,531,975 | 2.98 | % | |||||||||||
Diversified financial services | ||||||||||||||||||
4,000,000 | 1/8/24 | Athene Global Funding | 0.95 | % | 3,991,593 | 2.62 | % | |||||||||||
2,700,000 | 4/1/24 | Brookfield Finance LLC | 4.00 | % | 2,872,854 | 1.89 | % | |||||||||||
4,600,000 | 3/8/24 | Goldman Sachs Group, Inc. | 0.67 | % | 4,592,049 | 3.02 | % | |||||||||||
600,000 | 12/7/23 | The Bank of New York Mellon Corporation | 0.35 | % | 594,886 | 0.39 | % | |||||||||||
Pharmaceuticals | ||||||||||||||||||
4,000,000 | 5/16/22 | Bristol-Myers Squibb Company | 2.60 | % | 4,047,412 | 2.66 | % | |||||||||||
3,500,000 | 2/1/23 | Zoetis Inc. | 3.25 | % | 3,612,107 | 2.37 | % | |||||||||||
Telecommunications | ||||||||||||||||||
4,000,000 | 2/9/22 | Apple Inc. | 2.50 | % | 4,040,632 | 2.66 | % | |||||||||||
3,500,000 | 6/30/22 | AT&T Inc. | 3.00 | % | 3,527,728 | 2.32 | % | |||||||||||
3,000,000 | 3/22/24 | Verizon Communications Inc. | 0.75 | % | 2,987,465 | 1.96 | % | |||||||||||
Total U.S. corporate notes (cost: $60,212,369) | 59,723,543 | 39.26 | % |
The accompanying notes are an integral part of these financial statements.
Description | Fair Value | % of Partners’ Capital (Net Asset Value) | ||||||||||||||||
Foreign Corporate Notes | ||||||||||||||||||
Face Value | Maturity Date | Name | Yield1 | |||||||||||||||
Banks | ||||||||||||||||||
$ | 3,000,000 | 6/9/23 | Nordea Bank | 1.00 | % | $ | 2,950,092 | 1.94 | % | |||||||||
Diversified financial services | ||||||||||||||||||
4,000,000 | 1/13/25 | UBS AG | 1.38 | % | 3,745,827 | 2.47 | % | |||||||||||
Total foreign corporate notes (cost: $6,932,130) | 6,695,919 | 4.41 | % | |||||||||||||||
Total corporate notes (cost: $56,222,110) | 53,994,676 | 35.56 | % | |||||||||||||||
U.S. Asset Backed Securities | ||||||||||||||||||
Face Value | Maturity Date | Name | Yield1 | |||||||||||||||
Automotive | ||||||||||||||||||
246,857 | 6/18/25 | Americredit Automobile Receivables Trust 2020-3 | 0.53 | % | 244,152 | 0.16 | % | |||||||||||
794,312 | 12/26/24 | Bmw Vehicle Lease Trust 2021-2 | 0.33 | % | 776,706 | 0.51 | % | |||||||||||
400,000 | 9/15/26 | Capital One Prime Auto Receivables Trust 2021-1 | 0.77 | % | 376,421 | 0.25 | % | |||||||||||
323,939 | 12/16/24 | CarMax Auto Owner Trust 2019-2 | 2.77 | % | 322,420 | 0.21 | % | |||||||||||
86,691 | 2/17/26 | Carmax Auto Owner Trust 2021-2 | 0.52 | % | 83,462 | 0.05 | % | |||||||||||
174,329 | 1/10/25 | Carvana Auto Receivables Trust 2021-P3 | 0.38 | % | 172,812 | 0.11 | % | |||||||||||
83,817 | 6/9/25 | Carvana Auto Receivables Trust, Series 2020-P1 | 0.44 | % | 82,401 | 0.05 | % | |||||||||||
150,413 | 4/15/33 | Chesapeake Funding II LLC - 2018 - 2 | 0.47 | % | 145,510 | 0.10 | % | |||||||||||
124,563 | 4/15/24 | Ford Credit Auto Lease Trust 2021-B | 0.24 | % | 124,283 | 0.08 | % | |||||||||||
475,000 | 1/15/30 | Ford Credit Auto Owner Trust 2018-Rev2 | 3.47 | % | 469,456 | 0.31 | % | |||||||||||
896,704 | 8/15/24 | Nissan Auto Lease Trust 2022-A | 4.49 | % | 897,953 | 0.60 | % | |||||||||||
191,046 | 4/15/25 | Santander Consumer Auto Receivables Trust 2020-B | 0.54 | % | 189,805 | 0.13 | % | |||||||||||
198,000 | 6/15/26 | Santander Consumer Auto Receivables Trust 2021-A | 0.48 | % | 185,002 | 0.12 | % | |||||||||||
241,520 | 10/15/26 | Santander Drive Auto Receivables Trust 2022-2 | 1.98 | % | 241,022 | 0.16 | % | |||||||||||
279,144 | 3/17/25 | Santander Drive Auto Receivables Trust 2022-3 | 2.76 | % | 278,344 | 0.18 | % | |||||||||||
298,000 | 1/15/26 | Santander Drive Auto Receivables Trust 2022-7 | 5.81 | % | 298,599 | 0.20 | % | |||||||||||
331,403 | 4/22/24 | Santander Retail Auto Lease Trust 2020-B | 0.57 | % | 325,429 | 0.21 | % | |||||||||||
265,000 | 12/20/24 | Santander Retail Auto Lease Trust 2020-B | 0.00 | % | 255,642 | 0.17 | % | |||||||||||
181,367 | 3/20/25 | TESLA 2021-A A2 | 0.36 | % | 179,909 | 0.12 | % | |||||||||||
100,000 | 11/25/31 | Toyota Auto Loan Extended Note Trust 2019-1 | 2.56 | % | 96,494 | 0.06 | % | |||||||||||
118,000 | 10/15/25 | Toyota Auto Receivables 2020-C Owner Trust | 0.57 | % | 111,807 | 0.07 | % | |||||||||||
Credit cards | ||||||||||||||||||
281,000 | 12/15/23 | BA Credit Card Trust | 0.34 | % | 269,125 | 0.18 | % | |||||||||||
Equipment | ||||||||||||||||||
348,000 | 5/22/26 | Dell Equipment Finance Trust 2021-1 | 0.43 | % | 341,506 | 0.22 | % | |||||||||||
281,204 | 3/20/24 | Dllmt 2021-1 LLC | 0.60 | % | 278,181 | 0.18 | % | |||||||||||
575,000 | 1/21/25 | Dllst 2022-1 LLC | 3.40 | % | 561,485 | 0.38 | % | |||||||||||
239,148 | 3/20/31 | HPEFS Equipment Trust 2021-1 | 0.32 | % | 236,672 | 0.16 | % | |||||||||||
67,918 | 4/15/24 | MMAF Equipment Finance LLC 2021-A | 0.30 | % | 67,553 | 0.04 | % | |||||||||||
19,683 | 7/22/24 | Verizon Owner Trust 2020-A | 1.85 | % | 19,602 | 0.01 | % | |||||||||||
455,631 | 4/21/25 | Verizon Owner Trust 2020-C | 0.41 | % | 448,132 | 0.30 | % | |||||||||||
Total U.S. asset backed securities (cost: $8,114,040) | 8,079,885 | 5.32 | % | |||||||||||||||
Total investments in securities (cost: $98,382,987) | $ | 96,080,516 | 63.28 | % |
8
Futures Portfolio Fund, Limited Partnership
Condensed Schedule of Investments (continued)
December 31, 2021
Description | Fair Value | % of Partners’ Capital (Net Asset Value) | ||||||||||||||||
Foreign Corporate Notes | ||||||||||||||||||
Face Value | Maturity Date | Name | Yield1 | |||||||||||||||
Banks | ||||||||||||||||||
$ | 3,000,000 | 6/9/23 | Nordea Bank Abp | 1.00 | % | $ | 3,008,775 | 1.98 | % | |||||||||
Total foreign corporate notes (cost: $2,996,910) | 3,008,775 | 1.98 | % | |||||||||||||||
Total corporate notes (cost: $63,209,279) | 62,732,318 | 41.24 | % | |||||||||||||||
U.S. Asset Backed Securities | ||||||||||||||||||
Face Value | Maturity Date | Name | Yield1 | |||||||||||||||
Automotive | ||||||||||||||||||
$ | 590,000 | 6/18/25 | Americredit Automobile Receivables Trust 2020-3 | 0.53 | % | 588,969 | 0.39 | % | ||||||||||
350,000 | 12/16/24 | Carmax Auto Owner Trust 2019-2 | 2.77 | % | 358,066 | 0.24 | % | |||||||||||
625,000 | 1/10/25 | Carvana Auto Receivables Trust 2021-P3 | 0.38 | % | 624,086 | 0.41 | % | |||||||||||
210,000 | 6/9/25 | Carvana Auto Receivables Trust, Series 2020-P1 | 0.44 | % | 209,473 | 0.14 | % | |||||||||||
45,202 | 12/15/23 | Drive Auto Receivables Trust 2021-1 | 0.36 | % | 45,208 | 0.03 | % | |||||||||||
625,000 | 4/15/24 | Ford Credit Auto Lease Trust 2021-B | 0.24 | % | 623,654 | 0.41 | % | |||||||||||
371,000 | 8/15/28 | Ford Credit Auto Owner Trust 2017-Rev1 | 2.62 | % | 372,354 | 0.24 | % | |||||||||||
410,834 | 8/15/24 | Santander Consumer Auto Receivables Trust 2020-B | 0.46 | % | 410,767 | 0.27 | % | |||||||||||
295,000 | 4/15/25 | Santander Consumer Auto Receivables Trust 2020-B | 0.54 | % | 294,814 | 0.19 | % | |||||||||||
183,585 | 4/15/24 | Santander Drive Auto Receivables Trust 2021-2 | 0.28 | % | 183,574 | 0.12 | % | |||||||||||
593,233 | 3/20/25 | TESLA 2021-A A2 | 0.36 | % | 292,005 | 0.39 | % | |||||||||||
126,149 | 12/15/23 | World Omni Auto Receivables Trust 2020-C | 0.35 | % | 126,170 | 0.08 | % | |||||||||||
94,072 | 6/17/24 | World Omni Select Auto Trust 2020-A | 0.47 | % | 94,096 | 0.06 | % | |||||||||||
Equipment | ||||||||||||||||||
340,908 | 10/22/24 | Dell Equipment Finance Trust 2019-2 | 1.91 | % | 342,291 | 0.22 | % | |||||||||||
130,397 | 6/22/22 | Dell Equipment Finance Trust 2020-1 | 2.26 | % | 130,602 | 0.09 | % | |||||||||||
625,000 | 10/20/23 | Dllmt 2021-1 Llc. | 0.60 | % | 623,777 | 0.41 | % | |||||||||||
775,000 | 7/22/30 | HPEFS Equipment Trust 2020-2 | 0.69 | % | 775,720 | 0.51 | % | |||||||||||
1,115,262 | 3/20/31 | HPEFS Equipment Trust 2021-1_2 | 0.59 | % | 1,113,334 | 0.73 | % | |||||||||||
425,000 | 4/15/24 | MMAF Equipment Finance LLC Series 2021-A | 0.30 | % | 424,579 | 0.28 | % | |||||||||||
2,555 | 4/20/23 | Verizon Owner Trust 2018-A | 3.23 | % | 2,563 | 0.00 | % | |||||||||||
375,000 | 7/22/24 | Verizon Owner Trust 2020-A | 1.85 | % | 377,791 | 0.25 | % | |||||||||||
Total U.S. asset backed securities (cost: $8,348,364) | 8,313,893 | 5.46 | % | |||||||||||||||
Total investments in securities (cost: $102,304,347) | $ | 101,773,959 | 66.91 | % |
The accompanying notes are an integral part of these financial statements.
9
Futures Portfolio Fund, Limited Partnership
Condensed Schedule of Investments (continued)
December 31, 2021
Description | Fair Value | % of Partners’ Capital (Net Asset Value) | ||||||||
OPEN FUTURES CONTRACTS | ||||||||||
Long U.S. Futures Contracts | ||||||||||
Agricultural commodities | $ | 317,360 | 0.21 | % | ||||||
Currencies | 68,491 | 0.05 | % | |||||||
Energy | 655,067 | 0.43 | % | |||||||
Equity indices | 341,791 | 0.22 | % | |||||||
Interest rate instruments | (224,600 | ) | (0.15 | )% | ||||||
Metals | 3,611,395 | 2.37 | % | |||||||
Net unrealized gain (loss) on open long U.S. futures contracts | 4,769,504 | 3.13 | % | |||||||
Short U.S. Futures Contracts | ||||||||||
Agricultural commodities | (86,996 | ) | (0.06 | )% | ||||||
Currencies | (269,064 | ) | (0.18 | )% | ||||||
Energy | 15,999 | 0.01 | % | |||||||
Equity indices | 13,694 | 0.01 | % | |||||||
Interest rate instruments | 181,212 | 0.12 | % | |||||||
Metals | (3,648,365 | ) | (2.40 | )% | ||||||
Net unrealized gain (loss) on open short U.S. futures contracts | (3,793,520 | ) | (2.50 | )% | ||||||
Total U.S. Futures Contracts - net unrealized gain (loss) on open U.S. futures contracts | 975,984 | 0.63 | % | |||||||
Long Foreign Futures Contracts | ||||||||||
Agricultural commodities | 116,102 | 0.08 | % | |||||||
Currencies | 14,171 | 0.01 | % | |||||||
Energy | (415,359 | ) | (0.27 | )% | ||||||
Equity indices | 536,230 | 0.35 | % | |||||||
Interest rate instruments | (1,682,102 | ) | (1.11 | )% | ||||||
Metals | 12,709 | 0.01 | % | |||||||
Net unrealized gain (loss) on open long foreign futures contracts | (1,418,249 | ) | (0.93 | )% |
The accompanying notes are an integral part of these financial statements.
109
Futures Portfolio Fund, Limited Partnership
Condensed Schedule of Investments (continued)
December 31, 20212022
Description | Fair Value | % of Partners’ Capital (Net Asset Value) | ||||||||||||||||
OPEN FUTURES CONTRACTS | ||||||||||||||||||
Long U.S. Futures Contracts | ||||||||||||||||||
Agricultural commodities | $ | 676,373 | 0.45 | % | ||||||||||||||
Currencies | 157,123 | 0.10 | % | |||||||||||||||
Energy | 873,475 | 0.58 | % | |||||||||||||||
Equity indices | (35,890 | ) | (0.02 | )% | ||||||||||||||
Interest rate instruments | (399,535 | ) | (0.27 | )% | ||||||||||||||
Metals | 3,082,088 | 2.03 | % | |||||||||||||||
Net unrealized gain (loss) on open long U.S. futures contracts | 4,353,634 | 2.87 | % | |||||||||||||||
Short U.S. Futures Contracts | ||||||||||||||||||
Agricultural commodities | (95,781 | ) | (0.06 | )% | ||||||||||||||
Currencies | (57,598 | ) | (0.04 | )% | ||||||||||||||
Energy | 259,179 | 0.17 | % | |||||||||||||||
Equity indices | 90,775 | 0.06 | % | |||||||||||||||
Interest rate instruments | 434,383 | 0.29 | % | |||||||||||||||
Metals | (3,180,289 | ) | (2.10 | )% | ||||||||||||||
Net unrealized gain (loss) on open short U.S. futures contracts | (2,549,331 | ) | (1.68 | )% | ||||||||||||||
Total U.S. Futures Contracts - net unrealized gain (loss) on open U.S. futures contracts | 1,804,303 | 1.19 | % | |||||||||||||||
Long Foreign Futures Contracts | ||||||||||||||||||
Agricultural commodities | 156,831 | 0.10 | % | |||||||||||||||
Currencies | 18,701 | 0.01 | % | |||||||||||||||
Energy | (46,067 | ) | (0.03 | )% | ||||||||||||||
Equity indices | (1,489,856 | ) | (0.98 | )% | ||||||||||||||
Interest rate instruments | (1,199,190 | ) | (0.79 | )% | ||||||||||||||
Metals | (15,685 | ) | (0.01 | )% | ||||||||||||||
Net unrealized gain (loss) on open long foreign futures contracts | (2,575,266 | ) | (1.70 | )% |
The accompanying notes are an integral part of these financial statements.
10
Futures Portfolio Fund, Limited Partnership
Description | Fair Value | % of Partners’ Capital (Net Asset Value) | ||||||||
OPEN FUTURES CONTRACTS (continued) | ||||||||||
Short Foreign Futures Contracts | ||||||||||
Agricultural commodities | $ | (17,012 | ) | (0.01 | )% | |||||
Currencies | 56,878 | 0.04 | % | |||||||
Equity indices | (498,200 | ) | (0.33 | )% | ||||||
Interest rate instruments | 179,585 | 0.12 | % | |||||||
Metals | (2,702 | ) | 0.00 | % | ||||||
Net unrealized gain (loss) on open short foreign futures contracts | (281,451 | ) | (0.18 | )% | ||||||
Total foreign futures contracts - net unrealized gain (loss) on open foreign futures contracts | (1,699,700 | ) | (1.11 | )% | ||||||
Net unrealized gain (loss) on open futures contracts | $ | (723,716 | ) | (0.48 | )% | |||||
OPEN FORWARD CURRENCY CONTRACTS | ||||||||||
U.S. Forward Currency Contracts | ||||||||||
Long | $ | 627,816 | 0.41 | % | ||||||
Short | (654,005 | ) | (0.43 | )% | ||||||
Net unrealized gain (loss) on open U.S. forward currency contracts | (26,189 | ) | (0.02 | )% | ||||||
Foreign Forward Currency Contracts | ||||||||||
Long | 249,949 | 0.16 | % | |||||||
Short | 104,279 | 0.07 | % | |||||||
Net unrealized gain (loss) on open foreign forward currency contracts | 354,228 | 0.23 | % | |||||||
Net unrealized gain (loss) on open forward currency contracts | $ | 328,039 | 0.21 | % | ||||||
TOTAL RETURN SWAP CONTRACTS | ||||||||||
Long | 195,517 | 0.13 | % | |||||||
Short | 75,265 | 0.05 | % | |||||||
270,782 | 0.18 | % | ||||||||
INVESTMENT IN PRIVATE INVESTMENT COMPANY3 | ||||||||||
Galaxy East Alpha (cost: $782,292) | $ | 3,200,634 | 2.10 | % |
Condensed Schedule of Investments (continued)
December 31, 2022
Description | Fair Value | % of Partners’ Capital (Net Asset Value) | ||||||||||||||||
OPEN FUTURES CONTRACTS (continued) | ||||||||||||||||||
Short Foreign Futures Contracts | ||||||||||||||||||
Agricultural commodities | $ | (36,442 | ) | (0.02 | )% | |||||||||||||
Currencies | 259,386 | 0.17 | % | |||||||||||||||
Energy | 68,120 | 0.04 | % | |||||||||||||||
Equity indices | 111,152 | 0.07 | % | |||||||||||||||
Interest rate instruments | 2,768,374 | 1.83 | % | |||||||||||||||
Net unrealized gain (loss) on open short foreign futures contracts | 3,170,590 | 2.09 | % | |||||||||||||||
Total foreign futures contracts - net unrealized gain (loss) on open foreign futures contracts | 595,324 | 0.39 | % | |||||||||||||||
Net unrealized gain (loss) on open futures contracts | $ | 2,399,627 | 1.58 | % | ||||||||||||||
OPEN FORWARD CURRENCY CONTRACTS | ||||||||||||||||||
U.S. Forward Currency Contracts | ||||||||||||||||||
Long | $ | 742,534 | 0.49 | % | ||||||||||||||
Short | (442,599 | ) | (0.29 | )% | ||||||||||||||
Net unrealized gain (loss) on open U.S. forward currency contracts | 299,935 | 0.20 | % | |||||||||||||||
Foreign Forward Currency Contracts | ||||||||||||||||||
Long | (151,160 | ) | (0.10 | )% | ||||||||||||||
Short | (119,202 | ) | (0.08 | )% | ||||||||||||||
Net unrealized gain (loss) on open foreign forward currency contracts | (270,362 | ) | (0.18 | )% | ||||||||||||||
Net unrealized gain (loss) on open forward currency contracts | $ | 29,573 | 0.02 | % | ||||||||||||||
TOTAL RETURN SWAP CONTRACTS | ||||||||||||||||||
Long | 1,072 | 0.00 | % | |||||||||||||||
Short | (33 | ) | 0.00 | % | ||||||||||||||
1,039 | 0.00 | % | ||||||||||||||||
INVESTMENT IN PRIVATE INVESTMENT COMPANY3 | ||||||||||||||||||
Galaxy East Alpha (cost: $1,140,000) | $ | 3,296,431 | 2.17 | % |
1 | Represents the annualized yield at date of purchase for discount securities or the stated coupon rate for coupon-bearing |
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. |
3 | Private investment company is a separate series that is part of the Galaxy Plus Managed Account Platform (Platform), which is sponsored by New Hyde Park Alternative Funds, LLC (Sponsor). Each series on the Platform invests in Master Fund that allocates assets to a Commodity Trading Advisor (“CTA”). The CTA of our master fund investment trades global commodities markets primarily through futures contracts. The CTA is paid a management fee of up to |
The accompanying notes are an integral part of these financial statements.
11
Futures Portfolio Fund, Limited Partnership |
Statements of Operations |
For the Three |
(Unaudited) |
Three Months Ended March 31, | ||||||||
2023 | 2022 | |||||||
Realized and Change in Unrealized Gain (Loss) on Investments | ||||||||
Net realized gain (loss) on: | ||||||||
Futures, forward and swap contracts | $ | (5,343,436 | ) | $ | 14,736,032 | |||
Investment in private investment company | — | 1,480,463 | ||||||
Investments in securities | (90,453 | ) | (2,049 | ) | ||||
Net change in unrealized gain (loss) on: | ||||||||
Futures, swaps and forward contracts | (1,931,982 | ) | 6,237,093 | |||||
Investment in private investment company | (392,070 | ) | 139,370 | |||||
Investments in securities and certificates of deposit | 502,337 | (1,287,548 | ) | |||||
Exchange membership | (50,750 | ) | 27,000 | |||||
Brokerage commissions and trading expenses | (282,132 | ) | (288,210 | ) | ||||
Net realized and change in unrealized gain (loss) on investments | (7,588,486 | ) | 21,042,151 | |||||
Net Investment Income (Loss) | ||||||||
Income | ||||||||
Dividends and interest income | 1,079,950 | 178,738 | ||||||
Expenses | ||||||||
Trading Advisor management fees | 525,479 | 604,303 | ||||||
Trading Advisor incentive fees | 2,642 | 2,468,352 | ||||||
Cash Managers fees | 32,948 | 33,063 | ||||||
General Partner management and performance fees | 556,996 | 591,798 | ||||||
Selling agent fees - General Partner | 502,135 | 542,355 | ||||||
Broker dealer servicing fees - General Partner | 20,043 | 20,720 | ||||||
General Partner 1% allocation | (83,161 | ) | 167,825 | |||||
Administrative fee - General Partner | 167,338 | 177,774 | ||||||
Total expenses | 1,724,420 | 4,606,190 | ||||||
Net investment income (loss) | (644,470 | ) | (4,427,452 | ) | ||||
Net Income (Loss) | $ | (8,232,956 | ) | $ | 16,614,699 |
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
2022 | 2021 | 2022 | 2021 | |||||||||||||
Realized and Change in Unrealized Gain (Loss) on Investments | ||||||||||||||||
Net realized gain (loss) on: | ||||||||||||||||
Futures, futures options, swaps and forward contracts | $ | 129,824 | $ | (3,125,251 | ) | $ | 33,120,355 | $ | 18,519,421 | |||||||
Investment in private investment company | 722,045 | 1,952,646 | 2,202,508 | 1,952,646 | ||||||||||||
Investments in securities | 70,964 | 174,076 | (315,126 | ) | 414,947 | |||||||||||
Net change in unrealized gain (loss) on: | ||||||||||||||||
Futures, futures options, swaps and forward contracts | 8,554,092 | (334,396 | ) | 7,700,746 | (7,417,666 | ) | ||||||||||
Investment in private investment company | (151,374 | ) | 1,008,508 | (45,087 | ) | 4,010,239 | ||||||||||
Investments in securities | (658,883 | ) | (298,371 | ) | (2,084,964 | ) | (952,880 | ) | ||||||||
Exchange membership | 6,750 | 4,750 | 53,000 | 14,750 | ||||||||||||
Brokerage commissions and trading expenses | (237,167 | ) | (281,412 | ) | (778,159 | ) | (833,626 | ) | ||||||||
Net realized and change in unrealized gain (loss) on investments | 8,436,251 | (899,450 | ) | 39,853,273 | 15,707,831 | |||||||||||
Net Investment Income (Loss) | ||||||||||||||||
Income | ||||||||||||||||
Interest income | 699,406 | 193,609 | 1,218,824 | 754,281 | ||||||||||||
Expenses | ||||||||||||||||
Trading Advisor management fees | 603,533 | 595,425 | 1,861,961 | 1,832,673 | ||||||||||||
Trading Advisor incentive fees | 512,371 | 405,193 | 4,892,688 | 1,205,864 | ||||||||||||
Cash Managers fees | 33,621 | 36,825 | 99,479 | 112,720 | ||||||||||||
General Partner management and performance fees | 619,244 | 605,298 | 1,858,078 | 1,873,853 | ||||||||||||
Selling agent fees - General Partner | 562,097 | 551,915 | 1,693,449 | 1,713,453 | ||||||||||||
Broker dealer servicing fees - General Partner | 22,010 | 21,644 | 65,680 | 66,469 | ||||||||||||
General Partner 1% allocation | 65,968 | (31,040 | ) | 300,426 | 90,942 | |||||||||||
Administrative fee - General Partner | 186,031 | 181,818 | 558,178 | 562,835 | ||||||||||||
Total expenses | 2,604,875 | 2,367,078 | 11,329,939 | 7,458,809 | ||||||||||||
Net investment income (loss) | (1,905,469 | ) | (2,173,469 | ) | (10,111,115 | ) | (6,704,528 | ) | ||||||||
Net Income (Loss) | $ | 6,530,782 | $ | (3,072,919 | ) | $ | 29,742,158 | $ | 9,003,303 |
The accompanying notes are an integral part of these financial statements.
The accompanying notes are an integral part of these financial statements.
12
12
Futures Portfolio Fund, Limited Partnership |
Statements of Operations (continued) |
For the Three |
Three Months Ended March 31, 2023 | ||||||||||||||||||||||||
Class A | Class A2 | Class A3 | Class B | Class I | Class R | |||||||||||||||||||
Increase (decrease) in net asset value per unit | $ | (246.79 | ) | $ | (62.61 | ) | $ | — | $ | (377.30 | ) | $ | (61.86 | ) | $ | (62.55 | ) | |||||||
Net income (loss) per unit† | $ | (246.63 | ) | $ | (62.61 | ) | $ | — | $ | (374.55 | ) | $ | (62.43 | ) | $ | (61.73 | ) | |||||||
Weighted average number of units outstanding | 23,135.4628 | 292.2057 | — | 5,605.0671 | 254.1488 | 6,373.9927 |
Three Months Ended March 31, 2022 | ||||||||||||||||||||||||
Class A | Class A2 | Class A3 | Class B | Class I | Class R | |||||||||||||||||||
Increase (decrease) in net asset value per unit | $ | 439.83 | $ | 120.98 | $ | 116.84 | $ | 746.51 | $ | 129.59 | $ | 125.24 | ||||||||||||
Net income (loss) per unit† | $ | 440.50 | $ | 120.98 | $ | 116.84 | $ | 743.62 | $ | 129.59 | $ | 125.24 | ||||||||||||
Weighted average number of units outstanding | 25,524.3889 | 340.7057 | 38.0000 | 6,021.2043 | 256.4767 | 6,505.3146 |
Three Months Ended September 30, 2022 | ||||||||||||||||||||||||
Class A | Class A2 | Class A3 | Class B | Class I | Class R | |||||||||||||||||||
Increase (decrease) in net asset value per unit | $ | 180.08 | $ | 52.68 | $ | — | $ | 330.39 | $ | 59.52 | $ | 55.87 | ||||||||||||
Net income (loss) per unit† | $ | 178.08 | $ | 43.41 | $ | — | $ | 325.76 | $ | 59.52 | $ | 55.87 | ||||||||||||
Weighted average number of units outstanding | 24,010.6107 | 292.2057 | — | 5,724.2673 | 256.4767 | 6,486.0210 |
† | based on weighted average of number of unit outstanding during the period |
Three Months Ended September 30, 2021 | ||||||||||||||||||||||||
Class A | Class A2 | Class A3 | Class B | Class I | Class R | |||||||||||||||||||
Increase (decrease) in net asset value per unit | $ | (83.80 | ) | $ | (18.43 | ) | $ | (18.26 | ) | $ | (105.93 | ) | $ | (15.32 | ) | $ | (17.13 | ) | ||||||
Net income (loss) per unit† | $ | (83.16 | ) | $ | (18.43 | ) | $ | (18.26 | ) | $ | (104.96 | ) | $ | (15.31 | ) | $ | (17.03 | ) | ||||||
Weighted average number of units outstanding | 27,110.9034 | 340.7057 | 38.0000 | 6,607.0765 | 256.4767 | 6,695.0700 |
Nine Months Ended September 30, 2022 | ||||||||||||||||||||||||
Class A | Class A2 | Class A3 | Class B | Class I | Class R | |||||||||||||||||||
Increase (decrease) in net asset value per unit | $ | 791.14 | $ | 223.62 | $ | (1,041.81 | ) | $ | 1,390.04 | $ | 245.43 | $ | 234.05 | |||||||||||
Net income (loss) per unit† | $ | 799.96 | $ | 217.47 | $ | 175.50 | $ | 1,394.81 | $ | 245.43 | $ | 234.37 | ||||||||||||
Weighted average number of units outstanding | 24,817.6496 | 326.1557 | 38.0000 | 5,897.9202 | 256.4767 | 6,493.7384 |
Nine Months Ended September 30, 2021 | ||||||||||||||||||||||||
Class A | Class A2 | Class A3 | Class B | Class I | Class R | |||||||||||||||||||
Increase (decrease) in net asset value per unit | $ | 192.05 | $ | 61.32 | $ | 58.37 | $ | 392.45 | $ | 73.68 | $ | 67.00 | ||||||||||||
Net income (loss) per unit† | $ | 195.48 | $ | 55.60 | $ | 51.62 | $ | 399.94 | $ | 73.69 | $ | 68.67 | ||||||||||||
Weighted average number of units outstanding | 28,981.9716 | 413.9924 | 52.4182 | 7,005.1154 | 256.4767 | 7,158.0000 |
The accompanying notes are an integral part of these financial statements.
13
The accompanying notes are an integral part of these financial statements.
13
Futures Portfolio Fund, Limited Partnership
Nine Months Ended September 30, | ||||||||
2022 | 2021 | |||||||
Cash flows from operating activities | ||||||||
Net income (loss) | $ | 29,742,158 | $ | 9,003,303 | ||||
Adjustments to reconcile net income (loss) to net cash provided by operating activities: | ||||||||
Net change in unrealized (gain) loss from futures, futures options, forward contracts and swap contracts | (7,700,746 | ) | 7,358,760 | |||||
Net realized and change in unrealized (gain) loss on SMFSF, private investment company, securities and certificates of deposit | 242,669 | (5,424,952 | ) | |||||
Purchases of securities and private investment company | (272,549,722 | ) | (281,462,505 | ) | ||||
Proceeds from disposition of securities and private investment company | 280,911,261 | 295,793,782 | ||||||
Exchange Membership | (53,000 | ) | (14,750 | ) | ||||
Changes in | ||||||||
Dividend and interest receivable | (26,914 | ) | — | |||||
Trading Advisor management fee payable | (9,520 | ) | (61,619 | ) | ||||
Trading Advisor incentive fee payable | 683,405 | 864,756 | ||||||
Commissions and other trading fees payable on open contracts | 461 | (8,854 | ) | |||||
Cash Manager fees Payable | (2,316 | ) | (5,474 | ) | ||||
General Partner management and performance fees payable | 22,176 | (26,087 | ) | |||||
General Partner 1% allocation receivable / payable | 192,655 | 210,815 | ||||||
Selling Agent fees payable - General Partner | 18,375 | (26,302 | ) | |||||
Broker dealer servicing fees payable - General Partner | 867 | (700 | ) | |||||
Administrative fee payable – General Partner | 7,216 | (7,738 | ) | |||||
Dividend and interest payable | (3,384 | ) | 2,007 | |||||
Net cash provided by operating activities | 31,475,641 | 26,194,442 | ||||||
Cash flows from financing activities | ||||||||
Subscriptions | 185,000 | 653,492 | ||||||
Subscriptions received in advance | — | 750,000 | ||||||
Redemptions | (12,286,236 | ) | (30,399,388 | ) | ||||
Net cash used in financing activities | (12,101,236 | ) | (28,995,896 | ) | ||||
Net increase (decrease) in cash and cash equivalents | 19,374,405 | (2,801,454 | ) | |||||
Cash and cash equivalents, beginning of period | 50,020,190 | 50,569,879 | ||||||
Cash and cash equivalents, end of period | $ | 69,394,595 | $ | 47,768,425 | ||||
End of period cash and cash equivalents consists of | ||||||||
Cash in broker trading accounts | $ | 52,208,097 | $ | 40,817,333 | ||||
Cash and cash equivalents | 17,186,498 | 6,951,092 | ||||||
Total end of period cash and cash equivalents | $ | 69,394,595 | $ | 47,768,425 | ||||
Supplemental disclosure of cash flow information | ||||||||
Prior period redemptions paid | $ | 1,285,931 | $ | 5,585,666 | ||||
Prior period subscriptions received in advance | $ | — | $ | 33,000 | ||||
Supplemental schedule of non-cash financing activities | ||||||||
Redemptions payable | $ | 1,369,339 | $ | 1,206,869 |
Three Months Ended March 31, | ||||||||
2023 | 2022 | |||||||
Cash flows from operating activities | ||||||||
Net income (loss) | $ | (8,232,956 | ) | $ | 16,614,699 | |||
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: | ||||||||
Net change in unrealized (gain) loss from futures, forward contracts and swaps trading | 1,931,980 | (6,237,093 | ) | |||||
Net realized and change in unrealized (gain) loss on private investment company and securities | (19,814 | ) | (330,236 | ) | ||||
Purchases of securities and private investment company | (109,568,802 | ) | (74,514,658 | ) | ||||
Proceeds from disposition of private investment company and securities | 115,687,685 | 79,174,785 | ||||||
Changes in | ||||||||
Exchange Membership | 50,750 | (27,000 | ) | |||||
Dividend receivable | 14,582 | (3,893 | ) | |||||
Trading Advisor management fee payable | (14,197 | ) | 88,624 | |||||
Trading Advisor incentive fee payable | (352,186 | ) | 1,746,438 | |||||
Commissions and other trading fees payable on open contracts | (1,116 | ) | (3,047 | ) | ||||
Cash Manager fees Payable | (1,730 | ) | (3,159 | ) | ||||
General Partner management and performance fees payable | (14,025 | ) | 17,433 | |||||
General Partner 1% allocation receivable / payable | (221,697 | ) | 60,054 | |||||
Selling Agent fees payable - General Partner | (13,211 | ) | 15,693 | |||||
Broker dealer servicing fees payable - General Partner | (453 | ) | 611 | |||||
Administrative fee payable – General Partner | (4,152 | ) | 5,301 | |||||
Dividend and interest payable | (16,533 | ) | (3,384 | ) | ||||
Net cash provided by (used in) operating activities | (775,875 | ) | 16,601,168 | |||||
Cash flows from financing activities | ||||||||
Subscriptions | 115,000 | 35,000 | ||||||
Subscriptions received in advance | 422,000 | 150,000 | ||||||
Redemptions | (3,162,153 | ) | (2,891,925 | ) | ||||
Net cash used in financing activities | (2,625,153 | ) | (2,706,925 | ) | ||||
Net increase (decrease) in cash and cash equivalents | (3,401,028 | ) | 13,894,243 | |||||
Cash and cash equivalents, beginning of period | 51,851,453 | 50,020,190 | ||||||
Cash and cash equivalents, end of period | $ | 48,450,425 | $ | 63,914,433 | ||||
End of period cash and cash equivalents consists of | ||||||||
Cash in broker trading accounts | $ | 43,829,353 | $ | 46,541,007 | ||||
Cash and cash equivalents | 4,621,072 | 17,373,426 | ||||||
Total end of period cash and cash equivalents | $ | 48,450,425 | $ | 63,914,433 | ||||
Supplemental disclosure of cash flow information | ||||||||
Prior period redemptions paid | $ | 701,837 | $ | 1,285,931 | ||||
Prior period subscriptions received in advance | $ | 162,000 | $ | — | ||||
Supplemental schedule of non-cash financing activities | ||||||||
Redemptions payable | $ | 1,594,807 | $ | 1,985,499 |
The accompanying notes are an integral part of these financial statements.
The accompanying notes are an integral part of these financial statements.
14
14
Futures Portfolio Fund, Limited Partnership |
Statements of Changes in Partners’ Capital (Net Asset Value) |
For the |
(Unaudited)
Class A | Class A2 | Class A3 | Class B | Class I | Class R | Total | ||||||||||||||||||||||
Three Months Ended March 31, 2023 | ||||||||||||||||||||||||||||
Balance at December 31, 2022 | $ | 102,688,170 | $ | 344,113 | $ | — | $ | 40,710,762 | $ | 317,372 | $ | 7,764,001 | $ | 151,824,418 | ||||||||||||||
Net income (loss) | (5,705,973 | ) | (18,295 | ) | — | (2,099,372 | ) | (15,865 | ) | (393,451 | ) | (8,232,956 | ) | |||||||||||||||
Subscriptions | 202,000 | — | — | 75,000 | — | — | 277,000 | |||||||||||||||||||||
Redemptions | (3,234,863 | ) | — | — | (685,955 | ) | (10,947 | ) | (123,358 | ) | (4,055,123 | ) | ||||||||||||||||
Transfers | (121,199 | ) | — | — | 121,199 | — | — | — | ||||||||||||||||||||
Balance at March 31, 2023 | $ | 93,828,135 | $ | 325,818 | $ | — | $ | 38,121,634 | $ | 290,560 | $ | 7,247,192 | $ | 139,813,339 | ||||||||||||||
Three Months Ended March 31, 2022 | ||||||||||||||||||||||||||||
Balance at December 31, 2021 | $ | 104,241,918 | $ | 366,207 | $ | 39,588 | $ | 40,086,210 | $ | 285,819 | $ | 7,133,264 | $ | 152,153,006 | ||||||||||||||
Net income (loss) | 11,243,570 | 41,220 | 4,440 | 4,477,497 | 33,238 | 814,734 | 16,614,699 | |||||||||||||||||||||
Subscriptions | 35,000 | — | — | — | — | — | 35,000 | |||||||||||||||||||||
Redemptions | (2,690,977 | ) | — | — | (900,516 | ) | — | — | (3,591,493 | ) | ||||||||||||||||||
Transfers | (32,191 | ) | — | — | 32,191 | — | — | — | ||||||||||||||||||||
Balance at March 31, 2022 | $ | 112,797,320 | $ | 407,427 | $ | 44,028 | $ | 43,695,382 | $ | 319,057 | $ | 7,947,998 | $ | 165,211,212 |
Units | ||||||||||||||||||||||||
Class A | Class A2 | Class A3 | Class B | Class I | Class R | |||||||||||||||||||
Three Months Ended March 31, 2023 | ||||||||||||||||||||||||
Balance at December 31, 2022 | 23,487.0847 | 292.2072 | — | 5,635.1789 | 256.4767 | 6,424.1565 | ||||||||||||||||||
Subscriptions | 46.0755 | — | — | 10.4628 | — | — | ||||||||||||||||||
Redemptions | (760.7261 | ) | — | — | (94.9885 | ) | (9.3117 | ) | (100.3275 | ) | ||||||||||||||
Transfers | (27.9798 | ) | — | — | 16.9078 | — | — | |||||||||||||||||
Balance at March 31, 2023 | 22,744.4543 | 292.2072 | 0.0000 | 5,567.5610 | 247.1650 | 6,323.8290 | ||||||||||||||||||
Three Months Ended March 31, 2022 | ||||||||||||||||||||||||
Balance at December 31, 2021 | 25,762.1732 | 340.7072 | 38.0000 | 6,103.5404 | 256.4767 | 6,505.3148 | ||||||||||||||||||
Subscriptions | 8.5136 | — | — | — | — | — | ||||||||||||||||||
Redemptions | (619.2722 | ) | — | — | (134.4111 | ) | — | (0.0001 | ) | |||||||||||||||
Transfers | (7.9845 | ) | — | — | 4.9119 | — | — | |||||||||||||||||
Balance at March 31, 2022 | 25,143.4301 | 340.7072 | 38.0000 | 5,974.0412 | 256.4767 | 6,505.3147 |
Net Asset Value per Unit | ||||||||||||||||||||||||
Class A | Class A2 | Class A3 | Class B | Class I | Class R | |||||||||||||||||||
March 31, 2023 | $ | 4,125.32 | $ | 1,115.03 | $ | — | $ | 6,847.10 | $ | 1,175.57 | $ | 1,146.01 | ||||||||||||
December 31, 2022 | 4,372.11 | 1,177.64 | — | 7,224.40 | 1,237.43 | 1,208.56 | ||||||||||||||||||
March 31, 2022 | 4,486.15 | 1,195.83 | 1158.65 | 7,314.21 | 1,244.00 | 1,221.77 | ||||||||||||||||||
December 31, 2021 | 4,046.32 | 1,074.85 | 1041.81 | 6,567.70 | 1,114.41 | 1,096.53 |
The accompanying notes are an integral part of these financial statements.
Futures Portfolio Fund, Limited Partnership
Notes to Financial Statements
Class A | Class A2 | Class A3 | Class B | Class I | Class R | Total | ||||||||||||||||||||||
Nine Months Ended September 30, 2022 | ||||||||||||||||||||||||||||
Balance at December 31, 2021 | $ | 104,241,918 | $ | 366,207 | $ | 39,588 | $ | 40,086,210 | $ | 285,819 | $ | 7,133,264 | $ | 152,153,006 | ||||||||||||||
Net income (loss) | 11,243,570 | 41,220 | 4,440 | 4,477,497 | 33,238 | 814,734 | 16,614,699 | |||||||||||||||||||||
Subscriptions | 35,000 | — | — | — | — | — | 35,000 | |||||||||||||||||||||
Redemptions | (2,690,977 | ) | — | — | (900,516 | ) | — | — | (3,591,493 | ) | ||||||||||||||||||
Transfers | (32,191 | ) | — | — | 32,191 | — | — | — | ||||||||||||||||||||
Balance at March 31, 2022 | 112,797,320 | 407,427 | 44,028 | 43,695,382 | 319,057 | 7,947,998 | 165,211,212 | |||||||||||||||||||||
Net income (loss) | 4,333,931 | 17,022 | 2,230 | 1,884,258 | 14,444 | 344,792 | 6,596,677 | |||||||||||||||||||||
Subscriptions | — | — | — | 150,000 | — | — | 150,000 | |||||||||||||||||||||
Redemptions | (3,507,541 | ) | — | (46,258 | ) | (1,219,839 | ) | — | (25,000 | ) | (4,798,638 | ) | ||||||||||||||||
Transfers | (58,487 | ) | — | — | 58,487 | — | — | — | ||||||||||||||||||||
Balance at June 30, 2022 | 113,565,223 | 424,449 | — | 44,568,288 | 333,501 | 8,267,790 | 167,159,251 | |||||||||||||||||||||
Net income (loss) | 4,275,697 | 12,686 | — | 1,864,728 | 15,266 | 362,405 | 6,530,782 | |||||||||||||||||||||
Subscriptions | — | — | — | — | — | — | — | |||||||||||||||||||||
Redemptions | (2,409,592 | ) | (57,715 | ) | — | (1,512,206 | ) | — | — | (3,979,513 | ) | |||||||||||||||||
Transfers | (164,128 | ) | — | — | 164,128 | — | — | — | ||||||||||||||||||||
Balance at September 30, 2022 | $ | 115,267,200 | $ | 379,420 | $ | — | $ | 45,084,938 | $ | 348,767 | $ | 8,630,195 | $ | 169,710,520 | ||||||||||||||
Nine Months Ended September 30, 2021 | ||||||||||||||||||||||||||||
Balance at December 31, 2020 | $ | 118,745,248 | $ | 523,333 | 83,577 | $ | 45,043,756 | $ | 262,500 | $ | 7,779,218 | $ | 172,437,632 | |||||||||||||||
Net income (loss) | 1,006,946 | 6,418 | 939 | 593,906 | 4,196 | 108,243 | 1,720,648 | |||||||||||||||||||||
Subscriptions | 136,000 | — | — | 33,000 | — | — | 169,000 | |||||||||||||||||||||
Redemptions | (8,297,140 | ) | (184,599.00 | ) | (47,162 | ) | (2,362,895 | ) | — | (545,734 | ) | (11,437,530 | ) | |||||||||||||||
Transfers | (125,790 | ) | — | — | 125,790 | — | — | — | ||||||||||||||||||||
Balance at March 31, 2021 | 111,465,264 | 345,152 | 37,354 | 43,433,557 | 266,696 | 7,341,727 | 162,889,750 | |||||||||||||||||||||
Net income (loss) | 6,912,990 | 22,877 | 2,461 | 2,901,251 | 18,630 | 497,365 | 10,355,574 | |||||||||||||||||||||
Subscriptions | 72,492 | — | — | 300,000 | — | — | 372,492 | |||||||||||||||||||||
Redemptions | (5,789,986 | ) | — | — | (2,683,935 | ) | — | (405,815 | ) | (8,879,736 | ) | |||||||||||||||||
Transfers | (93,729 | ) | — | — | 93,729 | — | — | — | ||||||||||||||||||||
Balance at June 30, 2021 | 112,567,031 | 368,029 | 39,815 | 44,044,602 | 285,326 | 7,433,277 | 164,738,080 | |||||||||||||||||||||
Net income (loss) | (2,254,471 | ) | (6,278 | ) | (694 | ) | (693,507 | ) | (3,927 | ) | (114,042 | ) | (3,072,919 | ) | ||||||||||||||
Subscriptions | 75,000 | — | — | 70,000 | — | — | 145,000 | |||||||||||||||||||||
Redemptions | (4,190,773 | ) | — | — | (1,282,322 | ) | — | (230,230 | ) | (5,703,325 | ) | |||||||||||||||||
Transfers | (60,539 | ) | — | — | 60,539 | — | — | — | ||||||||||||||||||||
Balance at September 30, 2021 | $ | 106,136,248 | $ | 361,751 | $ | 39,121 | $ | 42,199,312 | $ | 281,399 | $ | 7,089,005 | $ | 156,106,836 |
Organization and Summary of
|
Description of Changes in Partners’ Capital (Net Asset Value)
For the Nine Months Ended September 30, 2022 and 2021
Units | |||||||||||||||||||||||||
Class A | Class A2 | Class A3 | Class B | Class I | Class R | ||||||||||||||||||||
Nine Months Ended September 30, 2022 | |||||||||||||||||||||||||
Balance at December 31, 2021 | 25,762.1732 | 340.7072 | 38.0000 | 6,103.5404 | 256.4767 | 6,505.3148 | |||||||||||||||||||
Subscriptions | 8.5136 | — | — | — | — | — | |||||||||||||||||||
Redemptions | (619.2722 | ) | — | — | (134.4111 | ) | — | (0.0001 | ) | ||||||||||||||||
Transfers | (7.9845 | ) | — | — | 4.9119 | — | — | ||||||||||||||||||
Balance at March 31, 2022 | 25,143.4301 | 340.7072 | 38.0000 | 5,974.0412 | 256.4767 | 6,505.3147 | |||||||||||||||||||
Subscriptions | — | — | — | 20.5080 | — | — | |||||||||||||||||||
Redemptions | (747.0429 | ) | — | (38.00 | ) | (158.9329 | ) | — | (19.2938 | ) | |||||||||||||||
Transfers | (12.4347 | ) | — | — | 7.6041 | — | — | ||||||||||||||||||
Balance at June 30, 2022 | 24,383.9525 | 340.7072 | — | 5,843.2204 | 256.4767 | 6,486.0209 | |||||||||||||||||||
Subscriptions | — | — | — | — | — | — | |||||||||||||||||||
Redemptions | (520.2728 | ) | (48.50 | ) | — | (199.3821 | ) | — | — | ||||||||||||||||
Transfers | (35.6593 | ) | — | — | 21.7094 | — | — | ||||||||||||||||||
Balance at September 30, 2022 | 23,828.0204 | 292.2072 | 0.0000 | 5,665.5477 | 256.4767 | 6,486.0209 | |||||||||||||||||||
Nine Months Ended September 30, 2021 | |||||||||||||||||||||||||
Balance at December 31, 2020 | 31,093.6903 | 523.0963 | 86.0607 | 7,397.6586 | 256.4767 | 7,667.4336 | |||||||||||||||||||
Subscriptions | 36.3455 | — | — | 5.4197 | — | — | |||||||||||||||||||
Redemptions | (2,171.6400 | ) | (182.3906 | ) | (48.0607 | ) | (386.6001 | ) | — | (531.8037 | ) | ||||||||||||||
Transfers | (33.6170 | ) | — | — | 21.0531 | — | — | ||||||||||||||||||
Balance at March 31, 2021 | 28,924.7788 | 340.7057 | 38.0000 | 7,037.5313 | 256.4767 | 7,135.6299 | |||||||||||||||||||
Subscriptions | 18.0915 | — | — | 48.6089 | — | — | |||||||||||||||||||
Redemptions | (1,429.2377 | ) | — | — | (414.4382 | ) | — | (370.1843 | ) | ||||||||||||||||
Transfers | (23.3916 | ) | — | — | 14.5840 | — | — | ||||||||||||||||||
Balance at June 30, 2021 | 27,490.2410 | 340.7057 | 38.0000 | 6,686.2860 | 256.4767 | 6,765.4456 | |||||||||||||||||||
Subscriptions | 18.5156 | — | — | 10.6510 | — | — | |||||||||||||||||||
Redemptions | (1,032.5974 | ) | — | — | (195.2806 | ) | — | (211.1318 | ) | ||||||||||||||||
Transfers | (14.8520 | ) | — | — | 9.2108 | — | — | ||||||||||||||||||
Balance at September 30, 2021 | 26,461.3072 | 340.7057 | 38.0000 | 6,510.8672 | 256.4767 | 6,554.3138 |
Net Asset Value per Unit | |||||||||||||||||||||||||
Class A | Class A2 | Class A3 | Class B | Class I | Class R | ||||||||||||||||||||
September 30, 2022 | $ | 4,837.46 | $ | 1,298.47 | $ | — | $ | 7,957.74 | $ | 1,359.84 | $ | 1,330.58 | |||||||||||||
December 31, 2021 | 4,046.32 | 1,074.85 | 1041.81 | 6,567.70 | 1,114.41 | 1,096.53 | |||||||||||||||||||
September 30, 2021 | 4,011.00 | 1,061.77 | 1029.52 | 6,481.37 | 1,097.17 | 1,081.58 | |||||||||||||||||||
December 31, 2020 | 3,818.95 | 1,000.45 | 971.15 | 6,088.92 | 1,023.49 | 1,014.58 |
The accompanying notes are an integral part of these financial statements.
16
Futures Portfolio Fund Limited Partnership
Notes to Financial Statements
Futures Portfolio Fund, Limited Partnership (“Fund”) is a Maryland limited partnership, which operates as a commodity investment pool that commenced trading operations on January 2, 1990. The Fund issues units of limited partner interests (“Units”) in five classes, Class A, A2, B, I and R, which represent units of fractional undivided beneficial interest in and ownership of the Fund. The Fund no longer offers Class A3 units and there have been no outstanding Class A3 units since June 30, 2022. 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, LLC (“General Partner”), is the general partner of the Fund and a Maryland limited liability company registered with the CFTC as a commodity pool operator and is also registered with the SEC as a registered investment advisor. The General Partner is a member of the NFA. The General Partner manages all aspects of the Fund’s business and serves as one of the Fund’s selling agents. The five classes of Units in the Fund differ only in the fees applicable to each class. Class A Units are subject to a 2% per annum selling agent fee. Class A2 Units may pay an up-front sales commission of up to 3% of the offering price and a 0.6% per annum selling agent fee. Class B Units are subject to a 0.2% per annum broker dealer servicing fee. Class I Units are subject to higher minimum investments requirements and lower General Partner management fees (0.75% per annum instead of 1.50% per annum) as well as a General Partner performance fee (7.5% of new profits, described more fully in Footnote 4). Class R Units do not pay selling compensation or servicing fees to selling agents and are generally intended for clients of registered investment advisors.
|
Description of the Fund
Accounting Principles
The Fund’s financial statements are prepared in conformity with U.S. generally accepted accounting principles (“GAAP”). Under GAAP, the Fund is an investment company and follows accounting and reporting guidance under the Financial Accounting Standards Board (FASB) Accounting Standard Codification (ASC) Topic 946, Financial Services – Investment Companies.
Use of Estimates
Preparing financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the amounts reported in the financial statements and accompanying notes. Actual results could differ from those estimates.
Revenue Recognition
Futures, forward currency contracts, investments in securities, certificates of deposit, and the exchange membership are recorded on a trade date basis, and gains or losses are realized when contracts/positions are liquidated. Realized gains and losses on investments in securities and certificates of deposit are determined on a specific identification basis and are included in net realized gain (loss) in the statements of operations. Unrealized gains and losses on open contracts (the difference between contract trade price and fair value) are reported in the statements of financial condition as net unrealized gain or loss, as there exists a right of offset of any unrealized gains or losses. The difference between cost and the fair value of open investments in securities and certificates of deposit is reflected as unrealized gain or loss on investments in securities and certificates of deposit. Any change in net unrealized gain or loss from the preceding period is reported in the statements of operations. Interest income earned on investments in securities, certificates of deposit and other cash and cash equivalent balances is recorded on an accrual basis. Market discounts and premiums on fixed-income securities are amortized daily over the expected life of the security using the effective yield method.
Fair Value of Financial Instruments
Financial instruments are recorded at fair value, the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants. Assets and liabilities recorded at fair value are classified within a fair value hierarchy based upon the level of judgment associated with the inputs used to measure their value. This fair value hierarchy gives the highest priority to quoted prices in active markets for identical assets or liabilities (Level 1) and the lowest priority to unobservable inputs (Level 3). The three levels of the fair value hierarchy are described below:
Level 1 – Fair value is based on unadjusted quoted prices for identical instruments in active markets. Financial instruments utilizing Level 1 inputs include futures contracts, U.S. Treasury securities and mutual funds.
Level 2 – Fair value is based on quoted prices for similar instruments in active markets and inputs other than quoted prices that are observable for the financial instrument, such as interest rates and yield curves that are observable at commonly quoted intervals using a market approach. Financial instruments utilizing Level 2 inputs include forward currency contracts, swaps, commercial paper, corporate notes, certificates of deposit, asset backed securities and the exchange membership.
Level 3 – Fair value is based on valuation techniques in which one or more significant inputs are unobservable. The Fund has no financial instruments utilizing Level 3 inputs.
In certain cases, the inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, an instrument’s level within the fair value hierarchy is based on the lowest level of input that is significant to the fair value measurement. The Fund’s assessment of the significance of a particular input to the fair value measurement in its entirety requires judgment and considers factors specific to the investment.
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 March 31, 2023 and year ended December 31, 2022, there were no such transfers between levels.
A description of the valuation techniques applied to the Fund’s major categories of assets and liabilities measured at fair value on a recurring basis follows.
U.S. Treasury securities are recorded at fair value based on bid and ask quotes for identical instruments. Commercial paper, certificates of deposit, corporate notes, asset backed securities and the exchange membership are recorded at fair value based on bid and ask quotes for similar, but not identical, instruments. Accordingly, U.S. Treasury securities are classified within Level 1, and commercial paper, certificates of deposit, corporate notes, asset backed securities, swaps and exchange memberships are classified within Level 2.
The investment in a money market fund and futures contracts are valued using quoted market prices for identical assets in active markets and are classified within Level 1. The money market fund is included in cash and cash equivalents in the statements of financial condition. The fair values of forward currency contracts are based upon third-party quoted dealer values on the interbank market and are classified within Level 2. The Fund’s valuation policy for swaps is that fair value is based on the terms of the contracts (such as the notional amount and the contract maturity) and current market data and counterparty credit risk. Swaps are generally categorized as level 2 in the fair value hierarchy. The Fund’s investment in a private investment company is valued at net asset value as provided by the private fund’s administrator. This use of net asset value as the practical expedient to approximate fair value under ASC 820 is advisable due to the investment not having a readily determinable fair value. Investments measured at fair value using the new asset value practical expedient are not categorized in the fair value hierarchy.
17
Cash and Cash Equivalents
Cash and cash equivalents may include cash, funds held in money market accounts and short-term investments with maturities of three months or less at the date of acquisition and that are not held for sale in the normal course of business. The Fund maintains deposits with financial institutions in amounts that are in excess of federally insured limits; however, the Fund does not believe it is exposed to any significant credit risk.
Exchange Membership
The Fund incurs reduced fees for transactions on the Chicago Mercantile Exchange (CME) due to a membership interest in the CME. The membership is accounted at its fair value and changes in fair value are reported in net change in unrealized gain (loss) in exchange membership on the statement of operations.
Brokerage Commissions and Trading Expenses
Brokerage commissions and trading expenses include brokerage and other trading fees, and are charged to expense when contracts are opened and closed.
Redemptions Payable
Redemptions payable represent redemptions that meet the requirements of the Fund and have been approved by the General Partner prior to period-end. These redemptions have been recorded using the period-end net asset value per Unit.
Income Taxes
The Fund prepares calendar year U.S. and applicable state and local tax returns. The Fund is not subject to federal income taxes as each partner is individually liable for his or her allocable share of the Fund’s income, expenses and trading gains or losses. The Fund evaluates the tax positions taken or expected to be taken in the course of preparing the Fund’s tax returns to determine whether the tax positions are more-likely-than-not to be sustained when examined by the applicable tax authority. Tax positions not deemed to meet the more-likely-than-not threshold would be recorded as a tax benefit or expense and asset or liability in the current year. Management has determined there are no material uncertain income tax positions through March 31, 2023. With few exceptions, the Fund is no longer subject to U.S. federal, or state and local income tax examinations by tax authorities for the current and prior three years.
Foreign Currency Transactions
The Fund has certain investments denominated in foreign currencies. The purchase and sale of investments, and income and expenses are translated at the rates of exchange prevailing on the respective dates of such transactions. The Fund does not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from the fluctuations arising from changes in market prices of investments held. Such fluctuations are included with the net realized and change in unrealized gain or loss on such investments in the statements of operations.
Reclassification
Certain amounts reported in the 2022 financial statements may have been reclassified to conform to the 2023 presentation without affecting previously reported partners’ capital (net asset value) or net income (loss).
New Accounting Pronouncements
There are no relevant new accounting pronouncements to note for this period.
Futures Portfolio Fund, Limited Partnership (“Fund”) is a Maryland limited partnership, which operates as a commodity investment pool that commenced trading operations on January 2, 1990. The Fund issues units of limited partner interests (“Units”) in six classes, Class A, A2, A3, B, I and R, which represent units of fractional undivided beneficial interest in and ownership of the Fund. As of September 30, 2022, there are no outstanding Class A3 units.
The Fund uses commodity trading advisors to engage in the speculative trading of futures contracts, forward currency contracts and other financial instruments traded in the United States (“U.S.”) and internationally.
The Fund is a registrant with the U.S. Securities and Exchange Commission (“SEC”) pursuant to the U.S. Securities Exchange Act of 1934, as amended (“1934 Act”). As a registrant, the Fund is subject to the regulations of the SEC and the disclosure requirements of the 1934 Act. As a commodity pool, the Fund is subject to the regulations of the U.S. Commodity Futures Trading Commission (“CFTC”), an agency of the U.S. Government, which regulates most aspects of the commodity futures industry; rules of the National Futures Association (“NFA”), an industry self-regulatory organization; rules of Financial Industry Regulatory Authority (“FINRA”), an industry self-regulatory organization; and the requirements of commodity exchanges where the Fund executes transactions. Additionally, the Fund is subject to the requirements of the futures brokers and interbank market makers through which the Fund trades.
Steben & Company, LLC (“General Partner”), is the general partner of the Fund and a Maryland limited liability company registered with the CFTC as a commodity pool operator and a commodities introducing broker, and is also registered with the SEC as a registered investment advisor and a broker dealer. The General Partner is a member of the NFA. The General Partner manages all aspects of the Fund’s business and serves as one of the Fund’s selling agents.
The six classes of Units in the Fund differ only in the fees applicable to each class, as described below:
Significant Accounting Policies
Accounting Principles
The Fund’s financial statements are prepared in conformity with U.S. generally accepted accounting principles (“GAAP”). Under GAAP, the Fund is an investment company and follows accounting and reporting guidance under the Financial Accounting Standards Board (FASB) Accounting Standard Codification (ASC) Topic 946, Financial Services – Investment Companies.
Use of Estimates
Preparing financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the amounts reported in the financial statements and accompanying notes. Actual results could differ from those estimates.
17
Revenue Recognition
Futures, forward currency contracts, investments in securities, certificates of deposit, and the exchange membership are recorded on a trade date basis, and gains or losses are realized when contracts/positions are liquidated. Realized gains and losses on investments in securities and certificates of deposit are determined on a specific identification basis and are included in net realized gain (loss) in the statements of operations. Unrealized gains and losses on open contracts (the difference between contract trade price and fair value) are reported in the statements of financial condition as net unrealized gain or loss, as there exists a right of offset of any unrealized gains or losses. The difference between cost and the fair value of open investments in securities and certificates of deposit is reflected as unrealized gain or loss on investments in securities and certificates of deposit. Any change in net unrealized gain or loss from the preceding period is reported in the statements of operations. Interest income earned on investments in securities, certificates of deposit and other cash and cash equivalent balances is recorded on an accrual basis. Market discounts and premiums on fixed-income securities are amortized daily over the expected life of the security using the effective yield method.
Fair Value of Financial Instruments
Financial instruments are recorded at fair value, the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants. Assets and liabilities recorded at fair value are classified within a fair value hierarchy based upon the level of judgment associated with the inputs used to measure their value. This fair value hierarchy gives the highest priority to quoted prices in active markets for identical assets or liabilities (Level 1) and the lowest priority to unobservable inputs (Level 3). The three levels of the fair value hierarchy are described below:
Level 1 – Fair value is based on unadjusted quoted prices for identical instruments in active markets. Financial instruments utilizing Level 1 inputs include futures contracts, U.S. Treasury securities and mutual funds.
Level 2 – Fair value is based on quoted prices for similar instruments in active markets and inputs other than quoted prices that are observable for the financial instrument, such as interest rates and yield curves that are observable at commonly quoted intervals using a market approach. Financial instruments utilizing Level 2 inputs include forward currency contracts, swaps, certificates of deposit, commercial paper, corporate notes, asset backed securities and the exchange membership.
Level 3 – Fair value is based on valuation techniques in which one or more significant inputs are unobservable. The Fund has no financial instruments utilizing Level 3 inputs.
In certain cases, the inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, an instrument’s level within the fair value hierarchy is based on the lowest level of input that is significant to the fair value measurement. The Fund’s assessment of the significance of a particular input to the fair value measurement in its entirety requires judgment and considers factors specific to the investment.
The Fund assesses the classification of the instruments at each measurement date, and any transfers between levels are recognized on the actual date of the event or change in circumstances that caused the transfer in accordance with the Fund’s accounting policy regarding the recognition of transfers between levels of the fair value hierarchy. For the period ended September 30, 2022 and year ended December 31, 2021, there were no such transfers between levels.
A description of the valuation techniques applied to the Fund’s major categories of assets and liabilities measured at fair value on a recurring basis follows.
U.S. Treasury securities are recorded at fair value based on bid and ask quotes for identical instruments. Commercial paper, certificates of deposit, corporate notes, asset backed securities and the exchange membership are recorded at fair value based on bid and ask quotes for similar, but not identical, instruments. Accordingly, U.S. Treasury securities are classified within Level 1, and commercial paper, certificates of deposit, corporate notes, asset backed securities and exchange memberships are classified within Level 2.
The investment in a money market fund and futures contracts are valued using quoted market prices for identical assets in active markets and are classified within Level 1. The money market fund is included in cash and cash equivalents in the statements of financial condition. The fair values of forward currency contracts are based upon third-party quoted dealer values on the interbank market and are classified within Level 2. The Fund’s valuation policy for swaps is that fair value is based on the terms of the contracts (such as the notional amount and the contract maturity) and current market data and counterparty credit risk. Swaps are generally categorized as level 2 in the fair value hierarchy. The Fund’s investment in a private investment company is valued at net asset value as provided by the private fund’s administrator. This use of net asset value as the practical expedient to approximate fair value under ASC 820 is advisable due to the investment not having a readily determinable fair value. Investments measured at fair value using the new asset value practical expedient are not categorized in the fair value hierarchy.
18
Cash and Cash Equivalents
Cash and cash equivalents may include cash, funds held in money market accounts and short-term investments with maturities of three months or less at the date of acquisition and that are not held for sale in the normal course of business. The Fund maintains deposits with financial institutions in amounts that are in excess of federally insured limits; however, the Fund does not believe it is exposed to any significant credit risk.
Exchange Membership
The Fund incurs reduced fees for transactions on the Chicago Mercantile Exchange (CME) due to a membership interest in the CME. The membership is accounted at its fair value and changes in fair value are reported in net change in unrealized gain (loss) in exchange membership on the statement of operations.
Brokerage Commissions and Trading Expenses
Brokerage commissions and trading expenses include brokerage and other trading fees and are charged to expense when contracts are opened and closed.
Redemptions Payable
Redemptions payable represent redemptions that meet the requirements of the Fund and have been approved by the General Partner prior to period-end. These redemptions have been recorded using the period-end net asset value per Unit.
Income Taxes
The Fund prepares calendar year U.S. and applicable state and local tax returns. The Fund is not subject to federal income taxes as each partner is individually liable for his or her allocable share of the Fund’s income, expenses and trading gains or losses. The Fund evaluates the tax positions taken or expected to be taken in the course of preparing the Fund’s tax returns to determine whether the tax positions are more-likely-than-not to be sustained when examined by the applicable tax authority. Tax positions not deemed to meet the more-likely-than-not threshold would be recorded as a tax benefit or expense and asset or liability in the current year. Management has determined there are no material uncertain income tax positions through September 30, 2022. With few exceptions, the Fund is no longer subject to U.S. federal, or state and local income tax examinations by tax authorities for the current and prior three years..
Foreign Currency Transactions
The Fund has certain investments denominated in foreign currencies. The purchase and sale of investments, and income and expenses are translated at the rates of exchange prevailing on the respective dates of such transactions. The Fund does not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from the fluctuations arising from changes in market prices of investments held. Such fluctuations are included with the net realized and change in unrealized gain or loss on such investments in the statements of operations.
Reclassification
Certain amounts reported in the 2021 financial statements may have been reclassified to conform to the 2022 presentation without affecting previously reported partners’ capital (net asset value) or net income (loss).
New Accounting Pronouncements
None at this time.
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 March 31, 2023 | ||||||||||||||||
Level 1 | Level 2 | Valued at NAV | Total | |||||||||||||
Equity in broker trading accounts: | ||||||||||||||||
Net unrealized gain (loss) on open futures contracts* | $ | 846,133 | $ | — | $ | — | $ | 846,133 | ||||||||
Net unrealized gain (loss) on open forward currency contracts* | — | (348,010 | ) | — | (348,010 | ) | ||||||||||
Net unrealized gain (loss) on swap contracts | — | 134 | — | 134 | ||||||||||||
Cash and cash equivalents: | ||||||||||||||||
Money market funds | 1,096,343 | — | — | 1,096,343 | ||||||||||||
Investment in private investment company | 3,421,361 | 3,421,361 | ||||||||||||||
Investment in securities: | ||||||||||||||||
U.S. Treasury securities* | 17,757,534 | — | — | 17,757,534 | ||||||||||||
Asset backed securities* | — | 8,205,573 | — | 8,205,573 | ||||||||||||
Commercial paper* | — | 14,367,368 | — | 14,367,368 | ||||||||||||
Corporate notes* | — | 49,526,042 | — | 49,526,042 | ||||||||||||
Exchange membership | — | 136,250 | — | 136,250 | ||||||||||||
Total | $ | 19,700,010 | $ | 71,887,357 | $ | 3,421,361 | $ | 95,008,728 |
* | See the condensed schedule of investments for further description. |
18
At December 31, 2022 | ||||||||||||||||
Level 1 | Level 2 | Valued at NAV | Total | |||||||||||||
Equity in broker trading accounts: | ||||||||||||||||
Net unrealized gain (loss) on open futures contracts* | $ | 2,399,627 | $ | — | $ | — | $ | 2,399,627 | ||||||||
Net unrealized gain (loss) on open forward currency contracts* | — | 29,573 | — | 29,573 | ||||||||||||
Net unrealized gain (loss) on swap contracts* | — | 1,039 | — | 1,039 | ||||||||||||
Cash and cash equivalents: | — | |||||||||||||||
Money market funds | 4,180,245 | — | — | 4,180,245 | ||||||||||||
Investment in private investment company | — | — | 3,296,431 | 3,296,431 | ||||||||||||
Investment in securities: | ||||||||||||||||
U.S. Treasury securities* | 14,850,974 | — | — | 14,850,974 | ||||||||||||
Asset backed securities* | — | 8,079,885 | — | 8,079,885 | ||||||||||||
Commercial paper* | — | 19,154,981 | — | 19,154,981 | ||||||||||||
Corporate notes* | — | 53,994,676 | — | 53,994,676 | ||||||||||||
Exchange membership | — | 187,000 | — | 187,000 | ||||||||||||
Total | $ | 21,430,846 | $ | 81,447,154 | $ | 3,296,431 | $ | 106,174,431 |
* | See the condensed schedule of investments for further description. |
There were no Level 3 holdings at March 31, 2023 and December 31, 2022, 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.
19
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 March 31, 2023, the Fund’s derivative contracts had the following impact on the statement of financial condition:
March 31, 2023 | ||||||||||||
Derivative Assets and Liabilities, at fair value | ||||||||||||
Statements of Financial Condition Location | Gross Amounts of Recognized Assets | Gross Amounts Offset in the Statement of Financial Condition | Net Amount of Assets Presented in the Statement of Financial Condition | |||||||||
Equity in broker trading accounts: | ||||||||||||
Net unrealized gain (loss) on open futures contracts | ||||||||||||
Agricultural commodities | $ | 1,599,652 | $ | (728,404 | ) | $ | 871,248 | |||||
Currencies | 541,009 | (421,810 | ) | 119,199 | ||||||||
Energy | 462,981 | (482,773 | ) | (19,792 | ) | |||||||
Equity indices | 1,618,723 | (577,537 | ) | 1,041,186 | ||||||||
Interest rate instruments | 819,065 | (2,151,041 | ) | (1,331,976 | ) | |||||||
Metals | 2,856,565 | (2,690,297 | ) | 166,268 | ||||||||
Net unrealized gain (loss) on open futures contracts | $ | 7,897,995 | $ | (7,051,862 | ) | $ | 846,133 | |||||
Net unrealized gain (loss) on open forward currency contracts | $ | 1,811,538 | $ | (2,159,548 | ) | $ | (348,010 | ) | ||||
Net unrealized gain (loss) on swap contract | $ | 134 | $ | — | $ | 134 |
At March 31, 2023, there were 9,771 open futures contracts, 3,159 open forward currency contracts and 197 open swap contracts.
The Fund’s financial assets, derivative assets, and cash collateral held by counterparties at March 31, 2023 were:
Gross Amounts Not Offset in the Statements of Financial Condition | ||||||||||||||||
Counterparty | Net Amount of Financial Condition | Financial Instruments | Cash Collateral Received | Net Amount | ||||||||||||
Deutsche Bank, AG | $ | (23,436 | ) | $ | — | $ | — | $ | (23,436 | ) | ||||||
Deutsche Bank Securities, Inc | 935,262 | — | — | 935,262 | ||||||||||||
Goldman Sachs & Co. LLC | (47,282 | ) | — | — | (47,282 | ) | ||||||||||
SG Americas Securities, LLC | (366,287 | ) | — | — | (366,287 | ) | ||||||||||
Total | $ | 498,257 | $ | — | $ | — | $ | 498,257 |
For the three months ended March 31, 2023, the Fund’s derivative contracts had the following impact on the statements of operations:
Three Months Ended March 31, 2023 | ||||||||
Types of Exposure | Net realized gain (loss) | Net change in unrealized gain (loss) | ||||||
Futures contracts | ||||||||
Agricultural commodities | $ | 296,701 | $ | 170,268 | ||||
Currencies | 397,629 | (258,412 | ) | |||||
Energy | (921,175 | ) | (1,174,500 | ) | ||||
Equity indices | (942,698 | ) | 2,365,005 | |||||
Interest rate instruments | (1,574,788 | ) | (2,936,009 | ) | ||||
Metals | (1,406,118 | ) | 280,154 | |||||
Total futures contracts | (4,150,449 | ) | (1,553,494 | ) | ||||
Forward currency contracts | (64,810 | ) | (377,583 | ) | ||||
Swap contracts | (1,121,390 | ) | (905 | ) | ||||
Total futures and forward currency | $ | (5,336,649 | ) | $ | (1,931,982 | ) |
For the three months ended March 31, 2023, the number of futures contracts closed was 126,918, the number of forward currency contracts closed was 65,590 and the number of swap contracts closed was 4,485.
At December 31, 2022, the Fund’s derivative contracts had the following impact on the statements of financial condition:
December 31, 2022 | ||||||||||||
Derivative Assets and Liabilities, at fair value | ||||||||||||
Statements of Financial Condition Location | Gross Amounts of Recognized Assets | Gross Amounts Offset in the Statement of Financial Condition | Net Amount of Assets Presented in the Statement of Financial Condition | |||||||||
Equity in broker trading accounts | ||||||||||||
Net unrealized gain (loss) on open futures contracts | ||||||||||||
Agricultural commodities | $ | 1,179,782 | $ | (478,801 | ) | $ | 700,981 | |||||
Currencies | 751,210 | (373,598 | ) | 377,612 | ||||||||
Energy | 1,331,889 | (177,182 | ) | 1,154,707 | ||||||||
Equity indices | 334,088 | (1,657,907 | ) | (1,323,819 | ) | |||||||
Interest rate instruments | 3,320,907 | (1,716,875 | ) | 1,604,032 | ||||||||
Metals | 3,703,358 | (3,817,244 | ) | (113,886 | ) | |||||||
Net unrealized gain (loss) on open futures contracts | $ | 10,621,234 | $ | (8,221,607 | ) | $ | 2,399,627 | |||||
Net unrealized gain (loss) on open forward currency contracts | $ | 2,172,854 | $ | (2,143,281 | ) | $ | 29,573 | |||||
Net unrealized gain (loss) on swap contracts | $ | 1,072 | $ | (33 | ) | $ | 1,039 |
At December 31, 2022, there were 10,015 open futures contracts, 2,961 open forward currency contracts and 215 open swap contracts.
21
The Fund’s financial assets, derivative assets, and cash collateral held by counterparties at December 31, 2022 were:
Gross Amounts Not Offset in the Statements of Financial Condition | ||||||||||||||||
Counterparty | Net Amount of Financial Condition | Financial Instruments | Cash Collateral Received | Net Amount | ||||||||||||
Deutsche Bank, AG | $ | (197,217 | ) | $ | — | $ | — | $ | (197,217 | ) | ||||||
Deutsche Bank Securities, Inc | 1,649,230 | — | — | 1,649,230 | ||||||||||||
SG Americas Securities, LLC | 429,851 | — | — | 429,851 | ||||||||||||
Goldman Sachs & Co. LLC | 548,375 | — | — | 548,375 | ||||||||||||
Total | $ | 2,430,239 | $ | — | $ | — | $ | 2,430,239 |
For the three months ended March 31, 2022, the Fund’s derivative contracts had the following impact on the statements of operations:
Three Months Ended March 31, 2022 | ||||||||
Types of Exposure | Net realized gain (loss) | Net change in unrealized gain (loss) | ||||||
Futures contracts | ||||||||
Agricultural commodities | $ | 2,697,973 | $ | 414,075 | ||||
Currencies | (601,153 | ) | 266,950 | |||||
Energy | 15,393,888 | (116,436 | ) | |||||
Equity indices | (4,424,279 | ) | 322,591 | |||||
Interest rate instruments | (523,134 | ) | 3,756,681 | |||||
Metals | 125,383 | 1,317,996 | ||||||
Total futures contracts | 12,668,678 | 5,961,857 | ||||||
Forward currency contracts | 2,352,445 | 546,016 | ||||||
Net open futures options contracts | (508,190 | ) | — | |||||
Swap contracts | 167,931 | (270,780 | ) | |||||
Total futures and forward currency | $ | 14,680,864 | $ | 6,237,093 |
For the three months ended March 31, 2022, the number of futures contracts closed was 137,711, the number of futures options contract closed was 730, the number of forward currency contracts closed was 71,354 and the number of swap contracts closed was 242.
19
Footnote 2: Fair Value Disclosure September 31, 2022 and December 31, 2021 | General Partner |
The General Partner does not maintain a capital balance in the Fund. Pursuant to the terms of the Partnership Agreement, each year the General Partner receives from the Fund 1% of any net income earned by the Fund. Conversely, the General Partner pays to the Fund 1% of any net loss incurred by the Fund. Such amounts are reflected as General Partner 1% allocation receivable or payable in the statements of financial condition and as General Partner 1% allocation in the statements of operations. The majority shareholder of the General Partner did not have an investment in the Fund at March 31, 2023.
The following fees are paid to the General Partner:
■
|
22
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 3% per annum of allocated net assets (as defined in each respective advisory agreement as the amount of Fund assets deposited in the account maintained with the broker plus any notional funds which may be allocated to the Trading Advisor, which, in aggregate, is typically greater than the Fund’s net assets), paid monthly or quarterly in arrears. Additionally, the Fund incurs advisor incentive fees, payable quarterly in arrears, ranging from 0% to 30% of net new trading profits (as defined in each respective advisory agreement).
Principal Global Investors, LLC serves as the cash manager for the Fund. The Fund incurs monthly fees, payable in arrears to the Cash Manager, equal to approximately 1/12th of 0.14% and 0.13% of the investments in securities and certificates of deposit as of the period ended March 31, 2023 and To meet margin requirements, the Fund maintains assets, including cash, equity in futures and forward currency contracts, and investments in securities, with brokers, subject to CFTC regulations and various exchange and broker requirements. At March 31, 2023 and December 31, 2022, the Fund had assets totaling $44,327,610 and $43,443,032, respectively, with brokers and margin deposit requirements of $22,547,091 and $23,742,431, respectively. Investments in the Fund are made by subscription agreement and must be received within five business days of the end of the month, subject to acceptance by the General Partner. The minimum investment is $10,000 for Class A, A2, The Fund is not required to make distributions but may do so at the sole discretion of the General Partner. A limited partner may request and receive redemption of Class A, A2, B, I or R Units owned at the end of any month, subject to five business days’ prior written notice to the General Partner, and in certain circumstances, restrictions in the Partnership Agreement. The General Partner may require a limited partner to redeem from the Fund if the General Partner deems the redemption (a) necessary to prevent or correct the occurrence of a non-exempt prohibited transaction under the Employee Retirement Income Security Act of 1974, as amended, or the Internal Revenue Code of 1986, as amended, (b) beneficial to the Fund, or (c) necessary to comply with applicable government or other self-regulatory organization regulations. 23 The Fund engages in the speculative trading of futures, options and over-the-counter contracts, including forward currency contracts traded in the U.S. and internationally. Trading in derivatives exposes the Fund to both market risk, the risk arising from a change in the fair value of a contract, and credit risk, the risk of failure by another party to perform according to the terms of a contract. The Portfolios are subject to investment and operational risks associated with financial, economic and other global market developments and disruptions, including those arising from war, terrorism, market manipulation, government interventions, defaults and shutdowns, political changes or diplomatic developments, public health emergencies (such as the spread of infectious diseases, pandemics and epidemics) and natural/environmental disasters, which can all negatively impact the securities markets and cause a Portfolio to lose value. These events can also impair the technology and other operational systems upon which the Portfolios’ service providers rely and could otherwise disrupt the ability of the Portfolios’ service providers to perform essential tasks. The recent spread of an infectious respiratory illness caused by a novel strain of coronavirus (known as COVID-19) has caused volatility, severe market dislocations and liquidity constraints in many markets, including markets for the securities the Portfolios hold, and may adversely affect the Portfolios’ investments and operations. The transmission of COVID-19 and efforts to contain its spread have resulted in, among other things: quarantines and travel restrictions, including border closings, strained healthcare systems, event cancellations, disruptions to business operations and supply chains, and a reduction in consumer and business spending, as well as general concern and uncertainty that has negatively affected the economy. These disruptions have led to instability in the marketplace, including equity and debt market losses and overall volatility, and the jobs market. The impact of COVID-19, and other infectious illness outbreaks, epidemics or pandemics that may arise in the future, could adversely affect the economies of many nations or the entire global economy, the financial well-being and performance of individual issuers, borrowers and sectors and the health of the markets generally in potentially significant and unforeseen ways. In addition, the impact of infectious illnesses, such as COVID-19, in emerging market countries may be greater due to generally less established healthcare systems. This crisis or other public health crises may exacerbate other pre-existing political, social and economic risks in certain countries or globally. The foregoing could lead to a significant economic downturn or recession, increased market volatility, a greater number of market closures, higher default rates and adverse effects on the values and liquidity of securities or other assets. Such impacts, which may vary across asset classes, may adversely affect the performance of the Portfolios. In certain cases, an exchange or market may close or issue trading halts on specific securities or even the entire market, which may result in the Portfolios being, among other things, unable to buy or sell certain securities or financial instruments or to accurately price their investments. Purchase and sale of futures contracts requires margin deposits with the futures brokers. Additional deposits may be necessary for any loss of contract value. The Commodity Exchange Act (“CEAct”) requires a broker to segregate all customer transactions and assets from such broker’s proprietary activities. A customer’s cash and other property (for example, U.S. Treasury securities) deposited with a broker are considered commingled with all other customer funds subject to the broker’s segregation requirements. In the event of a broker’s insolvency, recovery may be limited to a pro rata share of segregated funds available. It is possible that the recovered amount could be less than (or none of) the total cash and other property deposited. The Fund uses SG Americas Securities, LLC and Deutsche Bank Securities, Inc. as its futures brokers. The Fund uses Goldman Sachs & Company, LLC 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. 24 In the case of forward currency contracts, which are traded on the interbank or other institutional market rather than on exchanges, the counterparty is generally a single bank or other financial institution, rather than a clearinghouse backed by a group of financial institutions; thus, there likely will be greater counterparty credit risk. While the Fund trades only with those counterparties that it believes to be creditworthy, there can be no assurance that any clearing member, clearinghouse or other counterparty will be able to meet its obligations to the Fund. The Fund trades forward currency contracts in unregulated markets between principals and assumes the risk of loss from counterparty non-performance. Accordingly, the risks associated with forward currency contracts are generally greater than those associated with exchange-traded contracts because of the greater risk of counterparty default. Additionally, the trading of forward currency contracts typically involves delayed cash settlement. The Fund has a portion of its assets on deposit with interbank market makers and other financial institutions in connection with its trading of forward currency contracts and its cash management activities. In the event of an interbank market maker’s or financial institution’s insolvency, recovery of Fund assets on deposit may be limited to account insurance or other protection afforded such deposits. Entering into swap agreements involves, to varying degrees, credit, market, and counterparty risk in excess of the amounts recognized on the statement of financial condition. The Cash Managers manage the Fund’s cash and excess margin through investments in fixed income instruments, pursuant to investment parameters established by the General Partner. Fluctuations in prevailing interest rates could cause mark-to-market losses on the Fund’s fixed income instruments. Through its investments in debt securities and certificates of deposit, the Fund has exposure to U.S. and foreign enterprises. The following table presents the exposure at March 31, 2023, U.S. Treasury Securities Commercial Paper Corporate Notes Asset Backed Securities % of Partners’ Capital (Net Asset Value) The following table presents the exposure at December 31, 2022, U.S. Treasury Securities Commercial Paper Corporate Notes Asset Backed Securities % of Partners’ Capital (Net Asset Value) 25 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 financial statements for such indemnifications. The statements of financial condition, including the condensed schedule of investments, at March 31, 2023, the statements of operations, the statements of cash flows, and statement of changes in partners’ capital (net asset value) for the three months ended March 31, 2023 and 2022, and the accompanying notes to the financial statements are unaudited. Certain information and footnote disclosures normally included in financial statements prepared in accordance with GAAP may be omitted pursuant to such rules and regulations. In the opinion of management, such financial statements and accompanying disclosures reflect all adjustments, which were of a normal and recurring nature, necessary to present fairly the financial position at March 31, 2023, results of operations, cash flows and changes in partners’ capital (net asset value) for the three months ended March 31, 2023 and 2022. The results of operations for the three months ended March 31, 2023 and 2022 are not necessarily indicative of the results to be expected for the full year or any other period. These 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. The following information presents per unit operating performance data and other ratios for the three months ended March 31, 2023 and 2022, assuming the unit was outstanding throughout the entire period: Total returns are calculated based on the change in value of a Class A, Class A2, Class A3, Class B, Class I or Class R 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. The |
The following information presents per unit operating performance data and other ratios for the three and nine months ended September 30, 2022 and 2021, assuming the unit was outstanding throughout the entire period:
Three Months Ended September 30, 2022 | ||||||||||||||||||||||||
Class A | Class A2 | Class A3 | Class B | Class I | Class R | |||||||||||||||||||
Per Unit Operating Performance | ||||||||||||||||||||||||
Net asset value per unit, beginning of period | $ | 4,657.38 | $ | 1,245.79 | $ | — | $ | 7,627.35 | $ | 1,300.32 | $ | 1,274.71 | ||||||||||||
Net realized and change in unrealized gain (loss) on investments (1) | 240.82 | 64.52 | — | 395.85 | 67.63 | 66.17 | ||||||||||||||||||
Net investment income (loss) (1) | (60.74 | ) | (11.84 | ) | — | (65.46 | ) | (8.11 | ) | (10.30 | ) | |||||||||||||
Total income (loss) from operations | 180.08 | 52.68 | — | 330.39 | 59.52 | 55.87 | ||||||||||||||||||
Net asset value per unit, end of period | $ | 4,837.46 | $ | 1,298.47 | $ | — | $ | 7,957.74 | $ | 1,359.84 | $ | 1,330.58 | ||||||||||||
Total return (4) | 3.87 | % | 4.23 | % | — | 4.33 | % | 4.58 | % | 4.38 | % | |||||||||||||
Other Financial Ratios | ||||||||||||||||||||||||
Ratios to average net asset value | ||||||||||||||||||||||||
Expenses prior to General Partner 1% allocation (2) (3) | 6.81 | % | 5.45 | % | — | 4.98 | % | 4.01 | % | 4.76 | % | |||||||||||||
General Partner 1% allocation | 0.04 | % | 0.04 | % | — | 0.04 | % | 0.05 | % | 0.04 | % | |||||||||||||
Net total expenses | 6.85 | % | 5.49 | % | — | 5.02 | % | 4.06 | % | 4.80 | % | |||||||||||||
Net investment income (loss) (2) (3) (5) | (5.10 | )% | (3.68 | )% | — | (3.27 | )% | (2.31 | )% | (3.06 | )% |
28
Three Months Ended September 30, 2021 | ||||||||||||||||||||||||
Class A | Class A2 | Class A3 | Class B | Class I | Class R | |||||||||||||||||||
Per Unit Operating Performance | ||||||||||||||||||||||||
Net asset value per unit, beginning of period | $ | 4,094.80 | $ | 1,080.20 | $ | 1,047.78 | $ | 6,587.30 | $ | 1,112.49 | $ | 1,098.71 | ||||||||||||
Net realized and change in unrealized gain (loss) on investments (1) | (23.22 | ) | (6.20 | ) | (6.01 | ) | (37.61 | ) | (6.42 | ) | (6.27 | ) | ||||||||||||
Net investment income (loss) (1) | (60.58 | ) | (12.23 | ) | (12.25 | ) | (68.32 | ) | (8.90 | ) | (10.86 | ) | ||||||||||||
Total income (loss) from operations | (83.80 | ) | (18.43 | ) | (18.26 | ) | (105.93 | ) | (15.32 | ) | (17.13 | ) | ||||||||||||
Net asset value per unit, end of period | $ | 4,011.00 | $ | 1,061.77 | $ | 1,029.52 | $ | 6,481.37 | $ | 1,097.17 | $ | 1,081.58 | ||||||||||||
Total return (4) | (2.05 | )% | (1.71 | )% | (1.74 | )% | (1.61 | )% | (1.38 | )% | (1.56 | )% | ||||||||||||
Other Financial Ratios | ||||||||||||||||||||||||
Ratios to average net asset value | ||||||||||||||||||||||||
Expenses prior to General Partner 1% allocation (2) (3) | 6.62 | % | 5.11 | % | 5.26 | % | 4.77 | % | 3.75 | % | 4.57 | % | ||||||||||||
General Partner 1% allocation | (0.02 | )% | (0.02 | )% | (0.02 | )% | (0.02 | )% | (0.01 | )% | (0.02 | )% | ||||||||||||
Net total expenses | 6.60 | % | 5.09 | % | 5.24 | % | 4.75 | % | 3.74 | % | 4.55 | % | ||||||||||||
Net investment income (loss) (2) (3) (5) | (6.14 | )% | (4.63 | )% | (4.78 | )% | (4.28 | )% | (3.27 | )% | (4.09 | )% |
Nine Months Ended September 30, 2022 | ||||||||||||||||||||||||
Class A | Class A2 | Class A3 | Class B | Class I | Class R | |||||||||||||||||||
Per Unit Operating Performance | ||||||||||||||||||||||||
Net asset value per unit, beginning of period | $ | 4,046.32 | $ | 1,074.85 | $ | 1,041.81 | $ | 6,567.70 | $ | 1,114.41 | $ | 1,096.53 | ||||||||||||
Net realized and change in unrealized gain (loss) on investments (1) | 1,089.09 | 290.83 | 221.97 | 1,775.84 | 301.59 | 296.14 | ||||||||||||||||||
Net investment income (loss) (1) | (297.95 | ) | (67.21 | ) | (46.47 | ) | (385.80 | ) | (56.16 | ) | (62.09 | ) | ||||||||||||
Total income (loss) from operations | 791.14 | 223.62 | 175.50 | 1,390.04 | 245.43 | 234.05 | ||||||||||||||||||
Redemption value per share | — | — | (1,217.31 | ) | — | — | — | |||||||||||||||||
Net asset value per unit, end of period | $ | 4,837.46 | $ | 1,298.47 | $ | — | $ | 7,957.74 | $ | 1,359.84 | $ | 1,330.58 | ||||||||||||
Total return (4) | 19.55 | % | 20.80 | % | 16.85 | % | 21.16 | % | 22.02 | % | 21.34 | % | ||||||||||||
Other Financial Ratios | ||||||||||||||||||||||||
Ratios to average net asset value | ||||||||||||||||||||||||
Expenses prior to General Partner 1% allocation (2) (3) | 9.66 | % | 8.27 | % | 5.70 | % | 7.80 | % | 6.77 | % | 7.54 | % | ||||||||||||
General Partner 1% allocation | 0.18 | % | 0.18 | % | 0.16 | % | 0.19 | % | 0.20 | % | 0.19 | % | ||||||||||||
Net total expenses | 9.84 | % | 8.45 | % | 5.86 | % | 7.99 | % | 6.97 | % | 7.73 | % | ||||||||||||
Net investment income (loss) (2) (3) (5) | (8.66 | )% | (7.28 | )% | (5.39 | )% | (6.80 | )% | (5.76 | )% | (6.53 | )% |
29
Nine Months Ended September 30, 2021 | ||||||||||||||||||||||||
Class A | Class A2 | Class A3 | Class B | Class I | Class R | |||||||||||||||||||
Per Unit Operating Performance | ||||||||||||||||||||||||
Net asset value per unit, beginning of period | $ | 3,818.95 | $ | 1,000.45 | $ | 971.15 | $ | 6,088.92 | $ | 1,023.49 | $ | 1,014.58 | ||||||||||||
Net realized and change in unrealized gain (loss) on investments (1) | 367.24 | 94.53 | 90.33 | 589.52 | 99.73 | 98.38 | ||||||||||||||||||
Net investment income (loss) (1) | (175.19 | ) | (33.21 | ) | (31.96 | ) | (197.07 | ) | (26.05 | ) | (31.38 | ) | ||||||||||||
Total income (loss) from operations | 192.05 | 61.32 | 58.37 | 392.45 | 73.68 | 67.00 | ||||||||||||||||||
Net asset value per unit, end of period | $ | 4,011.00 | $ | 1,061.77 | $ | 1,029.52 | $ | 6,481.37 | $ | 1,097.17 | $ | 1,081.58 | ||||||||||||
Total return (4) | 5.03 | % | 6.13 | % | 6.01 | % | 6.45 | % | 7.20 | % | 6.60 | % | ||||||||||||
Other Financial Ratios | ||||||||||||||||||||||||
Ratios to average net asset value | ||||||||||||||||||||||||
Expenses prior to General Partner 1% allocation (2) (3) | 6.57 | % | 5.13 | % | 5.26 | % | 4.73 | % | 3.74 | % | 4.54 | % | ||||||||||||
General Partner 1% allocation | 0.05 | % | 0.06 | % | 0.06 | % | 0.06 | % | 0.07 | % | 0.07 | % | ||||||||||||
Net total expenses | 6.62 | % | 5.19 | % | 5.32 | % | 4.79 | % | 3.81 | % | 4.61 | % | ||||||||||||
Net investment income (loss) (2) (3) (5) | (5.96 | )% | (4.50 | )% | (4.60 | )% | (4.12 | )% | (3.14 | )% | (3.93 | )% |
Total returns are calculated based on the change in value of a Class A, A2, A3, B, I or R 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.
(3) | Ratios have been annualized. |
Ratios have not been annualized. | ||
(5) | Ratio excludes General Partner 1% allocation. |
27
12. | Subsequent Events |
Subsequent to quarter end, there were $821,000 of contributions and $3,533,903 |
Subsequent to September 30, 2022, there were $50,000 of contributions and an estimated $662,189 of redemptions from the Fund.
30
Item 2. | Management’s Discussion and Analysis of Financial Condition and Results of Operations |
Current Positioning
Sector risk allocations and net positioning as of September 30, 2022 wereMarch 31, 2023 and first quarter 2023 gross performance contribution by sector was as follows:
| ||||||
Risk Allocation | Net Position | Sector | Gross Performance Contribution | |||||
14 | % | Long | Agriculture | 0.24 | % | |||
12 | % | Long | Energy | (1.68 | )% | |||
6 | % | Short | Metals | (0.75 | )% | |||
30 | % | Long USD | Currencies | (0.23 | )% | |||
19 | % | Short | Equity indices | 0.91 | % | |||
19 | % | Short | Interest rates | (2.95 | )% |
Through the first week in March, the Fund’s trading advisers capitalized on the strong downward trend in global fixed income prices/rising yields; entering March with sizable gains from short positioning in this sector. These gains quickly evaporated, however, as bond yields collapsed. Though exposure shifted in response, given the magnitude and suddenness of the March reversal (the ~100 basis point decline over three days in the U.S. 2-Year Treasury yield was the largest drop since 1987), the Fund experienced losses. By the end of March, what had been the largest contributing asset class to the Fund’s performance through the end of February, had become the largest detractor for the quarter as a whole. The dominant strategy employedlargest losses in March when the reversal took place were from short positions in the 2- and 5-year U.S. Treasuries along with the 3-Month SOFR (Secured Overnight Financing Rate).
Trading in commodities was the second largest detractor to Fund performance as losses in energy and, to a lesser extent, metals, more than offset modest gains in agricultural markets. In energy trading, losses in brent and West Texas Intermediate crude overshadowed gains made from bearish positioning in natural gas where prices continued to crater. In metals, trading in gold and silver drove the losses despite some recovery in March from bullish positioning. In agricultural markets, long sugar and short wheat positions were notable contributors.
Currency trading was a modest detractor to Fund performance as losses in March overwhelmed what had been a small year-to-date gain heading into the final month of the quarter. The Fund was primarily long USD during the quarter and was hurt by its relative weakness versus other currencies. The largest winner was trading in the Mexican Peso as strong appreciation versus the USD benefited the Fund’s bullish posture. Notable detractors included trading in the Euro along with the Australian and Canadian dollars.
Trading in equity indices was profitable during the quarter, though some gains were given up in March. Overall, long positioning in Europe drove the gains while trading in the U.S. proved more challenging. Higher equity prices in Europe benefitted bullish positions, particularly in the EURO STOXX 50, the German DAX, and the French CAC 40. In the U.S., exposure was more mixed and the Fund was hurt early in the quarter by a short position in the NASDAQ.
Positioning in commodity markets ended the quarter mixed with long metals exposure, agricultural markets largely flat, and energy exposure slightly short. Currencies finished the period mixed with long positions in Europe and Emerging Markets while Asia Pacific was short versus the USD. After being significantly short for much of the quarter, fixed income exposure was slashed during the banking meltdown and finished near flat (slightly short) at the end of March. Equity positioning ended the quarter long.
The portfolio’s positions tend to evolve dynamically based on tactical opportunities perceived by the Fund’s systematic trading advisors is trend-following. As such,programs. Should macroeconomic trends change course, we would expect the largest positions tendportfolio’s exposures to reflect the strongest current market trends. At the end of September 30, 2022, the Fund had was positioned long bonds, long stocks, and long the US Dollar, particularly against the Euro. In commodity markets, positions were modestly sized. The Fund was short in agricultural futures, short in energy, short in base metals and long in precious metals. These positions can and do evolve over time depending on prevailing market trends and managers’ trading signals.adapt accordingly.
28
Results of Operations
The returns for each Class of Units for the ninethree months ended September 30,March 31, 2023 and 2022 and 2021 were:
Class of Units | 2022 | 2021 | ||||||
Class A | 19.55 | % | 5.03 | % | ||||
Class A2 | 20.80 | % | 6.13 | % | ||||
Class A3 | N/A | * | 6.01 | % | ||||
Class B | 21.16 | % | 6.45 | % | ||||
Class I | 22.02 | % | 7.20 | % | ||||
Class R | 21.34 | % | 6.60 | % |
* Class A3 shares were fully redeemed on July 1, 2022.
Class of Units | 2023 | 2022 | ||||
Class A | (5.64 | )% | 10.87 | % | ||
Class A2 | (5.32 | )% | 11.26 | % | ||
Class A3 | 0.00 | % | 11.22 | % | ||
Class B | (5.22 | )% | 11.37 | % | ||
Class I | (5.00 | )% | 11.63 | % | ||
Class R | (5.18 | )% | 11.42 | % |
Results from past periods are not necessarily indicative of results that may be expected for any future period. Monthly analysis of the trading gains and losses is provided below.
20222023
January
Risk markets rebounded to start the new year, with the S&P 500 Index rising +6.28%. Investor confidence was sparked by hopes of a slowdown in the Federal Reserve’s interest rate hike campaign and optimism that a “hard landing” can be avoided. Bonds also rallied during the period, moving in tandem with equities, up +3.08%, after capping off the Bloomberg U.S. Aggregate Bond Index’s worst year since its inception in 1980. The U.S. Dollar, which had seen gains for much of 2022, continued its slide from its fourth quarter weakness, down over -1.3% in January.
Futures Portfolio Fund (the “Fund”) fell modestly in January as low volatility provided limited trading opportunities for the Fund’s managers. While a majority of the Fund’s sectors detracted from performance, the Fund was profitable in equity index and energy trading. Despite the negative performance, this month highlighted the Fund’s ability to be sizably invested in different themes, which has helped provide a positive return versus the losses sustained by major bond and equity indices in 2022. The Fund finished with a net loss of (0.93)%, (0.81)%, (0.78)%, (0.70)% and (0.76)% for Class A, A2, B, I, and R Units, respectively.
February
After a brief recovery in January, the S&P 500 Index resumed its downward trend in February, losing -2.44% and dropping its year-to-date return to +3.69%. At the same time, bonds again failed to protect investor capital, selling off -2.59% and leaving the Bloomberg U.S. Aggregate Bond Index up just +0.41% YTD. Negatively impacting equity and fixed income markets was a concern that elevated inflation would last longer than expected and therefore prevent the Federal Reserve from cutting interest rates. The U.S. Dollar, which slid in the fourth quarter of 2022, rebounded in February, up +2.72%. The strength in the Dollar, however, proved to be a headwind for commodities, as the Bloomberg Commodity TR USD Index fell -4.70% during the period.
Futures Portfolio Fund’s (the “Fund”) positive return in February was overwhelmingly driven by short bond positioning and, to a lesser extent, long U.S. Dollar positioning. While energy, metals, and equity trading were modest detractors, the strong month highlighted the Fund’s ability to be sizably invested in different themes, helping to provide positive returns against the losses suffered by major bond and equity indices. The Fund finished with a net gain of 2.35%, 2.47%, 2.50%, 2.58% and 2.52% for Class A, A2, B, I, and R Units, respectively.
March
Amid heightened volatility related to stress in the banking sector, stocks and bonds both recovered some of February’s losses in the month of March, with the S&P 500 Index up +7.50% YTD and the Bloomberg U.S. Aggregate Bond Index up +2.96%. Positively impacting both equity and fixed income markets was optimism surrounding a possible pause in rate hikes by the Federal Reserve. As a result, the short end of the U.S. Treasury yield curve (2-year Treasury) experienced its largest move since 1987.
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Futures Portfolio Fund (the “Fund”) fell in March, as the short fixed income trend, which had heavily contributed year-to-date and in 2022, sharply reversed course. While a majority of other sectors detracted, the Fund’s managers were able to adjust for heightened market volatility and adjust position sizing accordingly. March performance was overwhelmingly driven by the aforementioned short bond positioning. This nimble approach, inherent in managing risk, allowed the Fund to mitigate losses. The Fund finished with a net loss of (6.95)%, (6.84)%, (6.81)%, (6.74)% and (6.79)% for Class A, A2, A3, B, I, and R Units, respectively.
2022
January
As the new COVID-19 variant’s control and impact on financial markets lessened, fears of an aggressive Federal Reserve and inflation took hold. These events drove the S&P 500 Index down by about -9.7% in the opening weeks of 2022. The January Federal Reserve meeting saw a continuation of the hawkish stance set forth by the central bank, indicating the need to begin raising interest rates and winding down its $9 billion balance sheet. This drove yields higher as investors rotated out of fixed income securities. The U.S. 10-Year Treasury rose 0.27% in January, to close the month at 1.78%. Much to the surprise of economists, the U.S. added half a million new jobs in the month, showing the resilience of the labor market through the Omicron variant wave. Against the backdrop of geopolitical tensions with Russia and Ukraine, along with rising global demand, oil prices continued their upward trend as West Texas Intermediate surged over +17% to start the year.
Futures Portfolio Fund’s modest negative returns in January were driven by interest rates and equity indices, while energy and agricultural commodities contributed positively to performance. Despite the overall negative return for the month, the Fund’s ability to go both long and short helped mitigate losses relative to major bond and equity indices. In fixed income, mixed bond positioning detracted as yields finished the month significantly higher. Also detracting was long equity positioning, as volatility in the U.S. and abroad proved difficult for the Fund’s managers. In energy trading, consistent long oil and oil product positioning contributed the most, as prices rose sharply due to the aforementioned reasons. The Fund finished with a net loss of (0.36)%, (0.25)%, (0.26)%, (0.21)%, (0.14)% and (0.20)% for Class A, A2, A3, B, I, and R Units, respectively.
31
February
COVID-19 related market shocks continue to fall by the wayside as rising interest rates and geopolitical tensions dominated the headlines in February. The combination of these events drove the S&P 500 Index down -2.99% in February, bringing year-to-date 2022 performance down to -8.01%. The continued hawkish stance by the Federal Reserve, coupled with persistent high inflation metrics drove bond yields higher for much of the month. This upward trend in bonds quickly shifted on reports of the invasion of Ukraine by Russia. The U.S. 10-Year Treasury fell from highs around 2% as investors quickly shifted to risk-off assets. This level of rates marks a new high since late 2019. Against the backdrop of geopolitical tensions with Russia and Ukraine, oil prices continued their blistering upward trend as West Texas Intermediate surged over +9% in February, bringing the year-to-date increase up over +28%.
Futures Portfolio Fund’s positive returns in February were driven by energy, agricultural commodities, and interest rates, while currencies and stock indices modestly detracted from performance. The strong month highlighted the Fund’s ability to be sizably invested in different themes, which has helped mitigate losses relative to major bond and equity indices. In energy, consistent long oil and oil product positioning contributed positively as supply fears stemmed from aforementioned reasons. Also contributing were long agricultural positioning which benefited from supply constraints. Detracting from performance was short dollar and long equity positioning, as volatility in those markets proved difficult for the Fund’s managers. The Fund finished with a net gain of 1.97%, 2.09%, 2.07%, 2.12%, 2.20% and 2.14% for Class A, A2, A3, B, I, and R Units, respectively.
March
Rising interest rates and the war in Ukraine dominated news headlines in March. While the S&P 500 Index finished the month up +3.71%, these events contributed to a significant amount of volatility, bringing year-to-date performance for the equity index down -4.60%. Renewed hawkish comments by the Federal Reserve, coupled with relentless higher inflation metrics drove bond yields up during the month. Most notably, on the last day of March, the U.S. 2-year Treasury yield briefly rose above the U.S. 10-year yield, also known as an “inversion”, which was last seen in 2019. Investors view this market phenomenon as a potential warning signal of a looming recession. Against the backdrop of Russia’s attack on Ukraine, oil prices continued their blistering upward trend as West Texas Intermediate surged over +7% in March, bringing the year-to-date increase up over +38%, reaching its highest level since 2008.
30
Futures Portfolio Fund’s strong return in March (+9.37%) received positive contributions from all sectors with energy, currencies, and interest rates leading the way. The strong month highlighted the Fund’s ability to be sizably invested in different themes, which has helped mitigate losses relative to major bond and equity indices in 2022. In energy, deceasing long positioning contributed positively as supply fears stemmed from the aforementioned reasons. Also contributing was long dollar/short foreign currency positioning, which benefited from a flight-to-quality early in the month. Consistent short bond positioning also contributed as yields rose across the globe on the back of rising inflation. While metals, agricultural commodities, and stock indices lagged the other sectors, we are still pleased with their contribution to overall portfolio performance and diversification. The Fund finished with a net gain of 9.12%, 9.25%, 9.24%, 9.29%, 9.37% and 9.30% for Class A, A2, A3, B, I, and R Units, respectively.
April
As Russia’s invasion of Ukraine entered its 3rd month, investors continued to size up daily news flow out of the region along with the increasing pressures of inflation. The S&P 500 Index added to its negative 2022 performance as April proved to be the worst month for the index since March of 2020, bringing the YTD return to down -12.92%. Continued hawkish comments by the Federal Reserve, coupled with relentless higher inflation metrics drove bond yields higher during the month. Most notably, the U.S. 10-year yield encroached on a critical 3% level, a point not seen since late 2018. Against the backdrop of Russia’s attack on Ukraine and the uncertainty of supply, oil prices continued their upward trend as West Texas Intermediate surged over +3% in April, bringing the year-to-date increase up over +43%.
Futures Portfolio Fund added to its strong start in 2022 with contributions from currencies, interest rates, energy products, and agricultural commodities, while equities modestly detracted. The strong month highlighted the Fund’s ability to be sizably invested in different themes, which has helped provide positive performance against the losses by major bond and equity indices in 2022. In currency trading, long U.S. dollar positioning throughout the month contributed positively as real yields moved into positive territory along with a boost from the flight to safety. Also contributing was consistent short bond positioning as yields rose across the globe on the back of rising inflation. Choppy equity markets (as opposed to more sustained trends) provided a difficult environment for the Fund’s managers to take advantage of. As we enter the second quarter of 2022, we are pleased with the portfolio performance and diversification it is providing investors. The Fund finished with a net gain of 5.88%, 6.00%, 5.99%, 6.04%, 6.12% and 6.06% for Class A, A2, A3, B, I, and R Units, respectively.
May
Rising inflation and concerns surrounding China’s zero COVID policy drove financial markets in May as investors assessed their subsequent impact on global economic growth. The S&P 500 Index posted modestly positive performance in May, bringing year-to-date performance to down -12.76%. The Index’s slight gain did not come without its fair share of volatility as numerous companies issued cautious outlooks, raising questions about economic growth and health of the consumer. Additionally, U.S. 10-year yields encroached on a critical 3% level, a point not seen since late 2018. Against the backdrop of Russia’s attack on Ukraine and the uncertainty of supply, oil prices continued their upward trend as West Texas Intermediate surged over +11% in May, bringing the year-to-date increase up over +60%.
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Futures Portfolio Fund (“the Fund”) had a small net loss in May, as currencies, interest rates, and agricultural commodities gave back some of their sizable gains from earlier in the year. In currency trading, long U.S. dollar positioning throughout the month detracted as the extended rally stalled on the back of slowing U.S. yield increases. Also detracting from performance was fixed income as range-bound markets provided a difficult trading environment for the Fund’s managers. Energy trading was a positive contributor during the month, however, as consistent long exposure was able to capture the general upward trend due to aforementioned reasons. The Fund finished with a net loss of (0.98)%, (0.86)%, (0.88)%, (0.83)%, (0.75)%, and (0.81)% for Class A, A2, A3, B, I, and R Units, respectively.
June
While the macro drivers from earlier in the year continued into June, market participants’ focus shifted to the Federal Reserve’s response to these events. The S&P 500 Index added to its negative year-to-date return as June, down -8.25%, proved to be the second worst month this year. This brought the 2022 return to down -19.96% for the Index. Continued hawkish comments by the Federal Reserve, coupled with relentless higher inflation metrics drove bond yields higher during the month. Most notably, the U.S. 10-year treasury yield rose to 3.49%, before retreating and closing the month below 3%.
Futures Portfolio Fund (“the Fund”) had a small net loss in June, as agricultural commodities and energy products gave back some of their sizable gains from earlier in the year. Gains in interest rates and currency trading were not enough to offset the aforementioned losses. Agricultural commodities, specifically grains markets, detracted most from performance as persistently long positions were hurt by better-than-expected news regarding weather, crop conditions, and exports from Ukraine. Contributing the most to performance was short fixed income positioning as volatile markets provided ample trading opportunities to the Fund’s trading advisors. The Fund finished with a net loss of (0.98)%, (0.87)%, (0.83)%, (0.76)%, and (0.82)% for Class A, A2, B, I, and R Units, respectively.
July
Both stocks and bonds rebounded in July. While employment metrics remain robust, falling energy prices and slowing economic growth boosted hopes that inflation is potentially peaking. Accordingly, market participants became more optimistic that the Fed’s interest rate hiking cycle may end sooner than previously thought which contributed to the rally in equities and fixed income. The S&P 500 Index posted its best month since 2020, up +9.22%, bringing year-to-date performance to down -12.58%. Bond yields fell steadily, with the U.S. 10-year treasury yield finishing July at 2.64%, down from a high of 3.5%, earlier in the year.
While Futures Portfolio Fund (“the Fund”) has been able to capitalize on most of the dominant trends in the markets this year, the Fund had a negative return in July, with all major sectors experiencing losses. As persistent trends reversed, the largest losses were realized in interest rates, where long duration fixed income, specifically in Europe, detracted most from performance. Additionally, within the equity sector, short European positioning turned unprofitable as quickly reversing and volatile markets created a difficult environment for the Fund’s trading advisors. The Fund finished with a net loss of (4.59)%, (4.48)%, (4.45)%, (4.37)% and (4.43)% for Class A, A2, B, I, and R Units, respectively.
August
Both stocks and bonds resumed their year-to-date downward trend in August. While employment metrics remained historically robust, a hawkish Federal Reserve, to combat inflation, signaled to markets the aggressive interest rate hikes were not over. The S&P 500 Index was down -4.08% for the month, bringing year-to-date performance to down -16.14%. August signaled the seventh month, out of eight so far in 2022, in which broad-based stock and bond indices moved in the same direction. The Bloomberg U.S. Aggregate Bond Index was down -2.83% as bond yields rose quickly. The U.S. 10-year Treasury yield finished August at 3.15%, down from a high of 3.5%, earlier in the year.
Futures Portfolio Fund added to its strong performance in 2022 with contributions from currencies and interest rates, while equities and agricultural commodities modestly detracted. The strong month highlighted the Fund’s ability to be sizably invested in different themes, which has helped provide a positive return against the losses sustained by major bond and equity indices. In currency trading, long U.S. dollar positioning throughout the month contributed positively as relatively high interest rates in the U.S. attracted foreign investment along with a boost from flight to safety. Also contributing was short bond positioning as yields rose across the globe on the back of rising inflation. Choppy equity markets, however, provided a difficult environment for the Fund’s managers. As we enter the latter part of 2022, we are pleased with the portfolio’s performance and diversification it is providing investors. The Fund finished with a net gain of 3.58%, 3.70%, 3.73%, 3.81% and 3.75% for Class A, A2, B, I, and R Units, respectively.
33
September
Both stocks and bonds continued their downward trend in September. The Federal Reserve maintained its hawkish stance amid elevated inflation reports, signaling to markets the aggressive rate hikes were far from over. The S&P 500 Index was down -9.21% in September, its worst month since March of 2020, bringing the year-to-date return to negative -23.87%. The Bloomberg U.S. Aggregate Bond Index was also down, -4.32%, its worst month since February 1980. This marked the eighth month out of nine in 2022 in which broad-based stock and bond indices moved in the same direction. Oil markets fell as recessionary fears, sparked by a Federal Reserve misstep, overwhelmed supply concerns relating to geopolitical tensions.
Futures Portfolio Fund added to its solid performance in 2022 with contributions from currencies and interest rates, while energies and agricultural commodities modestly detracted. The strong month again highlighted the Fund’s ability to be sizably invested in different themes, which has helped provide a positive return versus the losses sustained by major bond and equity indices. In currency trading, long U.S. dollar positioning contributed positively as relatively high interest rates in the U.S. attracted foreign investment along with a boost from flight to safety. Also contributing was short bond positioning as yields rose across the globe on the back of rising inflation. Volatile energy prices, however, provided a difficult environment for the Fund’s managers, resulting in small losses. As we enter the latter part of 2022, we are pleased with the portfolio’s performance and the diversification it is providing investors. The Fund finished with a net gain of 5.10%, 5.22%, 5.26%, 5.34% and 5.27% for Class A, A2, B, I, and R Units, respectively.
2021
January
Much of January was marked by increasing confidence in a post-pandemic global recovery along with ongoing accommodative monetary policy which helped lift equities for the greater part of the month. Ultimately global stocks finished down in January, however, as COVID variants and unusual retail activity in several highly shorted stocks rattled investor confidence late in the month. Global bond yields rose (prices fell) with the 10-year U.S. Treasury yield surging above 1%, buoyed by expectations for additional stimulus. Commodity prices also moved higher led by gains in energy and agricultural markets. In oil markets, Saudi Arabia unexpectedly cut production helping to boost prices. Finally, the U.S. Dollar strengthened on higher Treasury yields and expectations for fiscal stimulus.
The Fund was profitable for most of January, continuing to build on bullish trends in agricultural products and equities. However, the volatility of the markets in the last few days of the month (the VIX spiked 62% on Jan. 27th) worked to offset those gains, resulting in a loss for the Fund that could not recovered before month-end. Overall, during the month unprofitable trading in currency and fixed income markets more than offset positive contributions from positions in agricultural commodities and, to a lesser extent, equities. Long foreign currency positions including the Euro and Yen were hurt by the rallying dollar, which clawed back some of its losses from last year. In fixed income trading, long exposure in the U.S. and Europe were hurt by rising rates. Long positions in agricultural commodities provided a lift, particularly in corn and soybean. The Fund finished with a net loss of (2.02)%, (1.90)%, (1.92)%, (1.87)%, (1.80)% and (1.86)% for Class A, A2, A3, B, I, and R Units, respectively.
February
In February, the reflation trade remained the dominant theme for investors as encouraging economic data along with surging vaccination rates and declining COVID cases/hospitalization helped spur optimism. Against this backdrop, global equities moved higher with the rotation towards “re-opening stocks” continuing. Commodities prices soared as oil surged nearly 20% on the improving economic outlook along with constrained production. Copper moved above $4 per pound, its highest level since 2011. The bond market, as measured by the Bloomberg Barclay’s U.S. Aggregate Bond Index, was also impacted by the reflation trade and is now down -2.15% in 2021. These concerns led to a jump of approximately 50 basis-point in the 10-year U.S. Treasury yield, to 1.4%.
The Fund had a positive return for February, bringing its YTD return back into the black. Profitable trading in equity and commodity markets were the largest contributors as long positions benefitted from the upward push in risk assets. Within commodities, the largest gains stemmed from long exposure in energy, notably oil, while trading in metals and agricultural markets was also profitable. Fixed income produced losses, as rates seemed to have found a bottom, and the uptick hurt the Fund’s long positions. Trading models responded accordingly, and as a result, long exposure fell sharply with long- and medium-term instruments shifting short by the end of the month. The Fund finished with a net gain of 2.91%, 3.03%, 3.02%, 3.07%, 3.15% and 3.08% for Class A, A2, A3, B, I, and R Units, respectively.
34
March
In March, the Fed communicated its intention to maintain easy monetary policy until the economy is further along in its recovery. Market participants, however, were increasingly concerned about building inflationary pressure in the U.S. from improving economic growth, the rapid acceleration in vaccinations, and implications of the massive proposed $2 trillion infrastructure package and the recently passed $1.9 trillion American Rescue Plan Act of 2021. Accordingly, the 10-Year U.S. Treasury yield climbed to 1.75% intramonth as investors fear the Fed may need to act sooner than it is currently communicating. Yields in Europe were little changed, however, as the increasing number of COVID cases and potential for further lockdowns weighed on economic growth expectations. Global equities moved higher as the rotation toward cyclical “recovery” stocks continued. Commodity prices retreated with oil correcting on demand worries from European lockdowns/vaccine rollout along with the stronger dollar.
The Fund had a positive return in March. Profitable trading in equity and foreign currency positions were the largest contributors. Long positions in equities were buoyed by the continued strength in stocks, led by gains in European markets and, to a lesser extent, in the United States. Rising yields in the U.S. contributed to USD strength, which benefitted long dollar/short foreign currency positions, particularly in the Yen. The largest losses during the month were from commodities, particularly long silver positions as precious metals were pressured by rising yields and the strengthening dollar. The Fund finished with a net gain of 0.07%, 0.19%, 0.17%, 0.22%, 0.30% and 0.24% for Class A, A2, A3, B, I, and R Units, respectively.
April
Investor apprehension toward building inflationary pressure seemed to relax in April as the Federal Reserve maintained its easy monetary policy and Chairman Powell indicated it was too early to taper. This helped foster a positive environment for risk assets as market participants instead focused on the continued improvement in global economic activity. Concurrently, the worsening COVID-19 situation in India coupled with Europe’s slow progress in their vaccine rollout tempered growth expectations and contributed to the view that growth/inflation would not spiral out-of-control to the upside. Against this backdrop, global stock prices continued to climb. U.S. Treasury yields and dollar declined in April after moving higher in the first quarter. Eurozone bond yields, however, climbed during the month. The improving economic growth outlook and the weak dollar helped fuel the continued rally in commodities which saw prices for many markets set new multi-year highs.
The Fund had a positive return in April, benefitting from the reflationary trade driving risk assets higher, especially in the commodity and equity markets. In commodities, long exposure benefitted from higher prices in agricultural, energy, and base metal markets with notable contributors including corn, brent crude, and copper. The Fund’s long equity positions were also profitable, particularly in the U.S. while in fixed income, long European exposure accounted for the bulk of the losses as rates pushed higher. Unprofitable trading in currency markets was led by short positions in the Euro and Yen which reversed course by moving higher versus the U.S. dollar in April. The Fund finished with a net gain of 3.98%, 4.10%, 4.09%, 4.13%, 4.22% and 4.15% for Class A, A2, A3, B, I, and R Units, respectively.
May
Strengthening economic conditions helped push global stock prices modestly higher in May as the ongoing vaccine roll-out and supportive fiscal/monetary policy fueled the recovery. Evidence of the improving economic environment included the strong April 60.7 U.S. Manufacturing Purchasing Manager’s Index reading. In Europe, the Eurozone Manufacturing PMI was 62.9, also indicative of an expanding economy. While the global growth outlook strengthened, inflationary pressure continued to build with the CPI rising a larger than expected +4.2% in April, its fastest pace since 2008 and raising concerns of Fed tapering. These fears were alleviated in part by the disappointing non-farm payroll numbers which fell well short of expectations and helped soften concerns that the economy may overheat. Against this backdrop, commodity prices were generally mixed, though oil (West Texas Intermediate crude) prices moved to their highest level since 2018. Global bond yields were little changed while the U.S. dollar weakened.
The Fund’s positive return in May was driven by long positions in commodity markets. The largest gains in the sector were from long energy exposure, including oil and oil products along with power markets. Long exposure in metals was also profitable while long positions in agricultural commodities had losses, particularly grains where prices retreated from multi-year highs. Foreign currency trading was profitable, led by long positions in emerging market currencies which benefitted from rising commodity prices. The Fund also had gains from long positions in equities, particularly in the U.S. and Europe. Trading in fixed income produced small losses. The Fund finished with a gain loss of 2.05%, 2.17%, 2.15%, 2.20%, 2.28%, and 2.22%% for Class A, A2, A3, B, I, and R Units, respectively.
35
June
Economic conditions in the U.S. remain robust as recent data suggests the recovery continues to strengthen. The U.S. added a better-than-expected 850,000 jobs in June while wages were up +3.6% year-over-year. Consumer prices (CPI) jumped +5% in May, its fastest pace since August 2008 and higher-than-expected. The economic recovery outside the U.S. generally remains at a slower pace, with rising concerns regarding the spread of the delta variant, particularly in regions with lower vaccination rates. At the June meeting, the Fed’s stance shifted more hawkish as it projected two rate hikes in 2023. This contributed to the yield curve flattening as yields at the front end of the curve moved higher while longer duration yields moved lower as the Fed’s more hawkish comments tampered long-term inflation and growth expectations. Against this backdrop the U.S. dollar moved higher against other major currencies. Stocks and commodities also moved higher, with oil prices breaking out to the upside.
Futures Portfolio Fund returns were slightly positive in June, capping off a strong first half of the year. The Fund capitalized on rising oil prices as long exposure in oil and oil products boosted returns, led by gains from WTI positions. Trading elsewhere in commodities was slightly unprofitable with small losses in agricultural and metal markets. The largest losses were from currency trading as long foreign currency positions were hurt by the strengthening U.S. dollar. Trading in Fixed Income produced small losses as gains from long exposure in long-term instruments, where rates generally fell in June, were more than offset by losses from long positions in short-term fixed income where rates rose. Long equity exposure produced modest gains. The Fund finished with a net gain of 0.14%, 0.26%, 0.24%, 0.29%, 0.37% and 0.31% for Class A, A2, A3, B, I, and R Units, respectively.
July
Markets provided conflicting signals in July as the S&P 500 reached a new all-time high while global bond yields moved lower and, in the U.S., the yield curve flattened. The rapid spread of the Delta variant along with the more hawkish rhetoric from the Federal Reserve has shifted the economic outlook narrative. While fiscal and monetary policy remain supportive, market participants perhaps increasingly anticipate that future economic growth will not spiral out of control. This view was reinforced by the +6.5% rise in the second quarter U.S. GDP growth, well below the +8.5% consensus expectation. Commodity markets were mixed during the month as energy and industrial metals prices generally rose while agricultural commodity prices declined. The U.S. dollar declined slightly versus other major currencies.
Futures Portfolio Fund returns were slightly positive in July as positive contributions from fixed income trading more than offset losses by currency markets. In fixed income, long exposure in the U.S. and Europe benefitted from the downward move in global bond yields with the strongest contributions from the U.S. Treasury Bond, Australian 10-year, and the Euro Bund. Trading in foreign currency markets versus the U.S. dollar was unprofitable with the largest losses from short Euro and Yen positions. Commodity markets had small gains led by profitable long energy exposure, partially offset by small losses in agricultural and metal markets. Equity trading was slightly unprofitable led by losses from long positions in Asian markets, notably the Nikkei and Hang Seng. The Fund finished with a net gain of 0.18%, 0.30%, 0.28%, 0.33%, 0.41% and 0.35% for Class A, A2, A3, B, I, and R Units, respectively.
August
Global equity prices advanced during the month, supported by strong second quarter earnings and dovish comments from Fed Chair Jerome Powell. The Fed Chair reiterated his view that recent high inflation is likely transitory and that the Fed needs to be mindful of risks of tapering too aggressively while reassuring investors that rate hikes are not expected for some time. Meanwhile, economic growth showed signs of stalling, culminating in the jobs report that showed August nonfarm payroll growth of only 235,000 versus expectations for 720,000. Consumer confidence also slumped to its lowest level since February of this year. Global bond yields moved higher in August, both in the U.S. and international markets, while the U.S. Dollar slipped from a nine-month high on the dovish Fed comments. Commodity prices were down slightly in August, as oil prices declined sharply on concerns that the spike in COVID-19 cases globally would threaten the recovery in demand.
Futures Portfolio Fund’s returns were negative in August as the positive contributions from equity trading were offset by losses in fixed income and, to a lesser extent, commodities, and currency markets. In equities, persistent long U.S. exposure during the month produced the largest gains. Fixed income losses were primarily attributable to trading in European markets, particularly long positions in the Euro Bund and Buxl. Foreign currency trading was mixed, but overall had a small loss with a long Canadian Dollar position the most notable detractor. In commodities, gains from trading softs, natural gas, power, and precious metals were more than offset by losses in oil & oil products, grains, and base metal markets. The Fund finished with a net loss of (1.26)%, (1.14)%, (1.16)%, (1.11)%, (1.03)% and (1.09)% for Class A, A2, A3, B, I, and R Units, respectively.
36
September
Many global markets reversed course in September, leaving investors unsure about future Central Bank policy, world-wide economic growth, and the pandemic’s lasting impact. The S&P 500 Index was down -4.65% during the month of September. This pullback was concentrated in large cap technology names as represented by the NASDAQ which was down -5.31% during September. This sell off was heavily influenced by upward moving yields due to widespread inflation fears. Yields on the U.S. 10-year Treasury note finished the month at 1.53%, up from 1.30% at the end of August, a level not seen since June of this year. Initial unemployment claims ticked upward to 362,000 during the last week of September, up from 310,000 claims at the start of the month, a record low since the start of the pandemic. The U.S. Dollar continued its upward trend versus most major currencies against the backdrop of hawkish comments by the Federal Reserve. Oil prices remained at elevated levels as global travel continues to slowly return, closing the month at $75.03 a barrel, up over +50% this year.
Futures Portfolio Fund returns were slightly negative in September as positive contributions from Energy trading were offset by losses in fixed income and, to a lesser extent, equities. In energy, persistent long European natural gas and power markets contributed the most as gas supply concerns drove prices higher. Fixed income losses were primarily attributable to trading in U.S. and European markets, particularly long positions on the mid to long end of the U.S. Treasury yield curve. In foreign currency trading, relatively small gains came from long U.S. Dollar positioning, particularly against the Euro and Yen. The Fund finished with a net loss of (0.98)%, (0.86)%, (0.88)%, (0.83)%, (0.75)% and (0.81)% for Class A, A2, A3, B, I, and R Units, respectively.
Liquidity
There are no known material trends, demands, commitments, events, or uncertainties at the present time that are reasonably likely to result in the Fund’s liquidity increasing or decreasing in any material way.
Capital Resources
The Fund intends to raise additional capital through the continued sale of Units and does not intend to raise capital through borrowing. Due to the nature of the Fund’s business, the Fund does not contemplate making capital expenditures. The Fund does not have, nor does it expect to have, any capital assets. Redemptions, exchanges and sales of Units in the future will affect the amount of funds available for investment in futures contracts, etc. in subsequent periods. It is not possible to estimate the amount, and therefore the impact, of future inflows and outflows funds related to the sale and redemption of Units. There are no known material trends, favorable or unfavorable, that would affect, nor any expected material changes to, the Fund’s capital resource arrangements at the present time.
Contractual Obligations
The Fund does not have any contractual obligations of the type contemplated by Item 303(a)(5) of Regulation S-K. The Fund’s sole business is trading futures and forward currency contracts, both long (contracts to buy) and short (contracts to sell).
Off-Balance Sheet Risk
The term “off-balance sheet risk” refers to an unrecorded potential liability that, even though it does not appear on the balance sheet, may result in future obligation or loss. The Fund trades in futures and forward currency contracts and is therefore a party to financial instruments with elements of off-balance sheet market and credit risk. In entering into these contracts there exists a risk to the Fund that such contracts may be significantly influenced by market conditions, such as interest rate volatility, resulting in such contracts being less valuable. If the markets should move against all of the futures interests positions of the Fund at the same time, and if the trading advisors were unable to offset futures interest positions of the Fund, the Fund could lose all of its assets and the limited partners would realize a 100% loss. The General Partner minimizes market risk through diversification of the portfolio allocations to multiple trading advisors, and maintenance of a margin-to-equity ratio that rarely exceeds 35%.
In addition to subjecting the Fund to market risk, upon entering into futures and forward currency contracts there is a risk that the counterparty will not be able to meet its obligations to the Fund. The counterparty for futures contracts traded in the U.S. and on most foreign exchanges is the clearinghouse associated with such exchange. In general, clearinghouses are backed by the corporate members of the clearinghouse who are required to share any financial burden resulting from the non-performance by one of their members and, as such, should significantly reduce this risk. In cases where the clearinghouse is not backed by the clearing members, as is the case with some foreign exchanges, it is normally backed by a consortium of banks or other financial institutions.
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In the case of forward currency contracts, which are traded on the interbank market rather than on exchanges, the counterparty is generally a single bank or other financial institution, rather than a group of financial institutions, thus there may be a greater counterparty risk. The General Partner utilized only those counterparties that it believes to be creditworthy for the Fund. All positions of the Fund are valued each day on a mark-to-market basis. There can be no assurance, however, that any clearing member, clearinghouse or other counterparty will be able to meet its obligations to the Fund.
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The Fund may invest in U.S. Treasury securities, U.S. and foreign government sponsored enterprise notes, certificates of deposit, commercial paper, asset backed securities and corporate notes. Should an issuing entity default on its obligation to the Fund and such entity is not backed by the full faith and credit of the U.S. government, the Fund bears the risk of loss of the amount expected to be received. The Fund minimizes this risk by only investing in securities and certificates of deposit of firms with high quality debt ratings.
Significant Accounting Policies
A summary of the Fund’s significant accounting policies areis included in Note 1 to the 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, fixed income instruments and investments in private investment companies. The Fund’s futures contracts are exchange-traded, with the fair value of these contracts based on exchange settlement prices. The fair values of non-exchange-traded contracts, such as forward currency contracts, are based on third-party quoted dealer values on the interbank market. The fair value of money market funds is based on quoted market prices for identical shares. U.S. Treasury securities are stated at fair value based on quoted market prices for identical assets in an active market. Notes of U.S. and foreign government sponsored enterprises, as well as certificates of deposit, commercial paper, asset backed securities and corporate notes, are stated at fair value based on quoted market prices for similar assets in an active market. Given the valuation sources, there is little judgment or uncertainty involved in the valuation of these assets, and it is unlikely that materially different amounts would be reported under different valuation methodologies or assumptions. The Fund’s investment in a private investment company is valued at net asset value as provided by the private fund’s administrator. This use of net asset value as the practical expedient to approximate fair value under ASC 820 is advisable due to the investment not having a readily determinable fair value.
Item 3. Quantitative and Qualitative Disclosures about Market Risk
Introduction
The Fund is a speculative commodity pool. The market-sensitive instruments held by the Fund are acquired for speculative trading purposes, and all or substantially all of the Fund’s assets are subject to the risk of trading loss. Unlike an operating company, the risk of market sensitive instruments is integral, not incidental, to the Fund’s main line of business.
Market movements result in frequent changes in the fair market value of the Fund’s open positions and, consequently, in its earnings and cash flow. The Fund’s market risk is influenced by a wide variety of factors, including the level and volatility of exchange rates, interest rates, equity price levels, the market value of financial instruments and contracts, the diversification effects among the Fund’s open positions and the liquidity of the markets in which it trades.
The Fund rapidly acquires and liquidates both long and short positions in a wide range of different markets. Consequently, it is not possible to predict how a particular future market scenario will affect performance, and the Fund’s past performance cannot be relied on as indicative of its future results.
Standard of Materiality
Materiality as used in this section, Quantitative and Qualitative Disclosures about Market Risk, is based on an assessment of reasonably possible market movements and the potential losses caused by such movements, taking into account the leverage, and multiplier features of the Fund’s market sensitive instruments.
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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.
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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.others
The Fund’s Trading Value at Risk in Different Market Sectors
The following table indicates the trading Value at Risk associated with the Fund’s open positions by market sector at September 30, 2022March 31, 2023 and December 31, 2021.2022. All open position trading risk exposures of the Fund have been included in calculating the figures set forth below.
September 30, 2022 | December 31, 2021 | March 31, 2023 | December 31, 2022 | |||||||||||||||||||||||||||||
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 | $ | 1,062,770 | 0.62 | % | $ | 800,469 | 0.52 | % | $ | 1,102,241 | 0.78 | % | $ | 1,247,500 | 0.82 | % | ||||||||||||||||
Currencies | 3,135,112 | 1.83 | 1,745,329 | 1.14 | 2,313,127 | 1.64 | % | 2,025,743 | 1.33 | % | ||||||||||||||||||||||
Energy | 923,043 | 0.54 | 1,903,360 | 1.24 | 934,886 | 0.66 | % | 1,309,753 | 0.86 | % | ||||||||||||||||||||||
Equity indices | 1,125,017 | 0.66 | 1,519,488 | 0.99 | 1,418,106 | 1.00 | % | 1,223,518 | 0.80 | % | ||||||||||||||||||||||
Interest rate instruments | 2,296,956 | 1.34 | 1,111,430 | 0.72 | 1,407,716 | 1.00 | % | 1,892,102 | 1.24 | % | ||||||||||||||||||||||
Metals | 804,841 | 0.47 | 558,355 | 0.36 | 418,300 | 0.30 | % | 600,326 | 0.39 | % | ||||||||||||||||||||||
Single stock futures | — | — | 0 | 0.00 | ||||||||||||||||||||||||||||
Total | $ | 9,347,739 | 5.47 | % | $ | 7,638,431 | 4.97 | % | $ | 7,594,376 | 5.38 | % | $ | 8,298,942 | 5.44 | % |
Material Limitations on Value at Risk as an Assessment of Market RiskRisk.
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.”
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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.
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Qualitative Disclosures Regarding Primary Trading Risk ExposuresExposures.
The following qualitative disclosures regarding the Fund’s market risk exposures - except for those disclosures that are statements of historical fact and the descriptions of how the Fund manages its primary market risk exposures - constitute forward-looking statements within the meaning of Section 27A of the Securities Act of 1933, (“1933 Act”) and Section 21E of the Securities Exchange Act of 1934, (“1934 Act”). The Fund’s primary market risk exposures as well as the strategies used and to be used by the Fund’s Trading Advisors for managing such exposures are subject to numerous uncertainties, contingencies and risks, any one of which could cause the actual results of the Fund’s risk controls to differ materially from the objectives of such strategies. Government interventions, defaults and expropriations, illiquid markets, the emergence of dominant fundamental factors, political upheavals, changes in historical price relationships, an influx of new market participants, increased regulation and many other factors could result in material losses as well as in material changes to the risk exposures and the risk management strategies of the Fund. There can be no assurance that the Fund’s current market exposure and/or risk management strategies will not change materially or that any such strategies will be effective in either the short- or long-term. Investors must be prepared to lose all or substantially all of their investment in the Fund.
The following were the primary trading risk exposures of the Fund as of September 30, 2022,March 31, 2023, by market sector.
Agricultural Commodities
The Fund takes positions in a broad range of agricultural futures, including soybeans, wheat, corn, sugar, and cotton among others. Prices in these markets can be affected by changes in demand, as well changes in supply factors such as weather and inventory levels.
Currencies
The Fund trades in foreign exchange markets by taking positions in currency futures and forward contracts for a large number of developed and emerging market currencies. Exposures may take the form of direct exchange rates against the U.S. dollar, or cross-rates between two foreign currencies. Exchange rates can be impacted by economic differences between regions (such as interest rate differentials or economic growth differentials), political events, as well as investor risk sentiment.
Energy
The Fund gains trading exposure in energy markets through oil and gas futures, which include WTI crude oil, Brent crude oil, distillates such as heating oil, and natural gas. Prices have historically been highly volatile, driven by demand side factors such as global economic growth and weather conditions, as well as supply side factors such as Middle East conflicts, OPEC production agreements, and shale production.
Equity Indices
The Fund has exposure to major stock market indices around the world through equity index futures. Primary exposures are in developed markets such as the U.S., the UK, Germany, Japan, Hong Kong and Australia, but there can also be exposure to smaller developing market stock indices. Equity index price movements can be affected by microeconomic factors such as corporate earnings, by macroeconomic factors such as government fiscal and monetary policy, as well as by investor sentiment.
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Interest Rate Instruments
The Fund has exposure to global fixed income markets through bond futures and interest rate futures in countries such as the U.S., the UK, Germany, Japan and Australia. The Fund has exposure across the yield curve with positions in the futures for both short term and long-term instruments. The yield curve (and futures prices) can be affected by economic growth, inflation expectations, monetary policy and investor risk aversion.
Metals
The Fund has exposure to metals futures, including both precious metals such as gold, silver and platinum, as well as industrial metals such as copper, aluminum and zinc. Metals prices can be volatile. Precious metals prices are often driven by inflation expectations, risk aversion, and mining output. Industrial metals prices tend to be impacted by industrial demand relative to production.
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Single Stock Futures
The Fund has a small exposure to single stock futures, with positions primarily in companies that trade on U.S. exchanges. The price drivers here tend to be more microeconomic with corporate earnings and industry trends being important. However, macroeconomic and market-wide factors can also affect single stock futures prices.
Qualitative Disclosures Regarding Non-Trading Risk Exposure
The following representwere the only non-trading risk exposures of the Fund as of September 30, 2022.March 31, 2023.
Foreign Currency Balances
The Fund’s primary foreign currency balances are in euros, Japanese yen, British pounds, Australian dollars, Hong Kong dollars and Canadian dollars. The Fund controls the non-trading risk of these balances by regularly converting these balances back into dollars (no less frequently than once a week).
U.S. Treasury Securities, U.S. and Foreign Government Sponsored Enterprise Notes, Commercial Paper, Corporate Notes, Asset Backed Securities and Certificates of Deposit
Monies in excess of margin requirements are invested in fixed income instruments, including U.S. Treasury securities, U.S. and foreign government sponsored enterprise notes, commercial paper, corporate notes, asset backed securities and certificates of deposit. Fluctuations in prevailing interest rates could cause mark-to-market gains or losses on the Fund’s investments; although substantially all of these investments are held to maturity.
Qualitative Disclosures Regarding Means of Managing Risk Exposure
The means by which the Fund and the Fund’s trading advisors, severally, attempt to manage the risk of the Fund’s open positions is essentially the same in all market sectors traded. The Fund’s trading advisors apply risk management policies to their respective trading which generally limit the total exposure that may be taken. In addition, the trading advisors generally follow proprietary diversification guidelines (often formulated in terms of the balanced volatility between markets and correlated groups).
The Fund is unaware of any (i) anticipated known demands, commitments or capital expenditures; (ii) material trends, favorable or unfavorable, in its capital resources; or (iii) trends or uncertainties that will have a material effect on operations. From time to time, certain regulatory agencies have proposed increased margin requirements on futures contracts. Because the Fund generally will use a small percentage of assets as margin, the Fund does not believe that any increase in margin requirements, as proposed, will have a material effect on the Fund’s operations.
Item 4. Controls and Procedures
The General Partner, with the participation of the Chief Executive Officer and Chief Financial Officer, evaluated the effectiveness of the design and operation of the Fund’s disclosure controls and procedures at September 30,March 31, 2022 (the “Evaluation Date”). Based on their evaluation, the Chief Executive Officer and Chief Financial Officer of the General Partner concluded that, as of the Evaluation Date, the Fund’s disclosure controls and procedures were effective.
Any control system, no matter how well designed and operated, can provide only reasonable (not absolute) assurance that its objectives will be met. Furthermore, no evaluation of controls can provide absolute assurance that all control issues and instances of fraud, if any, have been detected.
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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, 2021.2022.
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Item 2. Unregistered Sales of Equity Securities and Use of Proceeds
There were no sales of unregistered securities of the Fund during the three months ended September 30, 2022.March 31, 2023. Under the Fund’s Partnership Agreement, limited partners may redeem their Units at the end of each calendar month at the then current month-end net asset value per Unit. Redemptions of Units during the three months ended September 30, 2022March 31, 2023 were as follows:
July | August | September | Total | January | February | March | Total | |||||||||||||||||||||||||
A Units | ||||||||||||||||||||||||||||||||
Units redeemed | (222.4965 | ) | (83.4399 | ) | (214.3357 | ) | (520.2721 | ) | (276.9116 | ) | (128.1804 | ) | (355.6341 | ) | (760.7261 | ) | ||||||||||||||||
Average net asset value per unit | $ | 4,443.66 | $ | 4,602.73 | $ | 4,837.46 | $ | 4,631.41 | $ | 4,331.67 | $ | 4,433.36 | $ | 4,125.32 | $ | 4,252.34 | ||||||||||||||||
A2 Units | ||||||||||||||||||||||||||||||||
Units redeemed | (48.5000 | ) | — | — | (48.5000 | ) | — | — | — | — | ||||||||||||||||||||||
Average net asset value per unit | $ | 1,190.00 | — | — | $ | 1,190.00 | $ | — | $ | — | $ | — | $ | — | ||||||||||||||||||
A3 Units | ||||||||||||||||||||||||||||||||
Units redeemed | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||
Average net asset value per unit | — | — | — | — | $ | — | $ | — | $ | — | $ | — | ||||||||||||||||||||
B Units | ||||||||||||||||||||||||||||||||
Units redeemed | (43.2975 | ) | (114.3022 | ) | (41.7830 | ) | (199.3827 | ) | (19.1714 | ) | (58.7653 | ) | (17.0519 | ) | (94.9886 | ) | ||||||||||||||||
Average net asset value per unit | $ | 7,288.18 | $ | 7,560.21 | $ | 7,957.74 | $ | 7,584.44 | $ | 7,168.23 | $ | 7,347.43 | $ | 6,847.10 | $ | 7,221.45 | ||||||||||||||||
I Units | ||||||||||||||||||||||||||||||||
Units redeemed | — | — | — | — | — | — | (9.3117 | ) | (9.3117 | ) | ||||||||||||||||||||||
Average net asset value per unit | — | — | — | — | $ | — | $ | — | $ | 1,175.57 | $ | 1,175.57 | ||||||||||||||||||||
R Units | ||||||||||||||||||||||||||||||||
Units redeemed | — | — | — | — | — | (100.3276 | ) | — | (100.3276 | ) | ||||||||||||||||||||||
Average net asset value per unit | — | — | — | — | $ | — | $ | 1,229.55 | $ | — | $ | 1,229.55 |
Item 3. Defaults Upon Senior Securities
Not applicable.
Item 4. Mine Safety Disclosures
Not applicable.
Item 5. Other Information
None.
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Item 6. ExhibitsExhibit
The following exhibits are filed herewith of incorporated by reference.
(a) | Incorporated by reference to the corresponding exhibit to the Registrant’s registration statement (File |
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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: | Futures Portfolio Fund, Limited Partnership | ||
By: | Steben & Company, LLC | ||
General Partner | |||
By: | /s/ Kevin | ||
Name: | Kevin M. Kinzie | ||
Title: | President, Chief Executive Officer and Director of the General Partner | ||
(Principal Executive Officer) | |||
By: | /s/ Jon | ||
Name: | Jon C. Essen | ||
Title: | Chief Financial Officer | ||
(Principal Financial and Accounting Officer) |
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