Futures Portfolio Fund 10-K 2008 FY Annual report

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM 10-K

þ ANNUAL REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934

For the Fiscal Year Ended December 31, 2008

OR

¨ TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934

For the transition period from ________ to _______

Commission file number:  000-50728

FUTURES PORTFOLIO FUND, LIMITED PARTNERSHIP

(Exact name of registrant as specified in its charter)

Maryland	52-1627106
(State of Incorporation)	( IRS Employer Identification No.)

c/o Steben & Company, Inc.

2099 Gaither Road, Suite 200

Rockville, Maryland20850

(Address of Principal Executive Office)(zip code)

(240) 631-9808

Registrant’s telephone number, including area code:

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.  x Yes   o No

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

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

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

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

Large accelerated filer o Accelerated filer o Non-accelerated filer x

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

Aggregate market value of the voting and non-voting common equity held by non-affiliates: the registrant is a limited partnership; as of December 31, 2008, 108,989.0639 Class A units and 44,268.0740 Class B units with an aggregate value of $547,011,351 and $285,973,913 respectively, were outstanding.

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

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

Documents Incorporated by Reference

Registrant's Financial Statements for the year ended December 31, 2008 with Report of Independent Registered Public Accounting Firm and the annual report to security holders for the fiscal year ended December 31, 2008, is incorporated by reference into Part II Item 8 and Part IV hereof and filed as an exhibit herewith.

Table of Contents

Part I
Item 1: Business	3
Item 1A: Risk Factors	8
Item 1B: Unresolved Staff Comments	11
Item 2: Properties	11
Item 3: Legal Proceedings	11
Item 4: Submission of Matters to a Vote of Security Holders	11
Part II
Item 5: Markets for Registrant's Common Equity, Related Stockholder Matters and Issuer Purchases of Equity Securities	12
Item 6: Selected Financial Data	14
Item 7: Management's Discussion and Analysis of Financial Condition and Results of Operations	19
Item 7A: Quantitative and Qualitative Disclosures About Market Risk	32
Item 8: Financial Statements and Supplementary Data	37
Item 9: Changes in and Disagreements with Accountants on Accounting and Financial Disclosure..	37
Item 9A: Controls and Procedures	37
Item 9B: Other Information	38
Part III
Item 10: Directors, Executive Officers, and Corporate Governance	39
Item 11: Executive Compensation	41
Item 12: Security Ownership of Certain Beneficial Owners and Management	42
Item 13: Certain Relationships and Related Transactions	42
Item 14: Principal Accounting Fees and Services	43
Part IV
Item 15: Exhibits, Financial Statement Schedules	44
Signatures	45

PART I

ITEM 1:  Business

(a)  General development of business.

Futures Portfolio Fund, Limited Partnership (“the Fund”) is a Maryland limited partnership, formed on May 11, 1989, that utilizes professional trading advisors to engage in the trading of commodity futures contracts, other commodity interests, options, securities and forward contracts.  The Fund began trading on January 2, 1990.  The Fund is an actively managed account with speculative trading profits as its objective.

Under its Limited Partnership Agreement (“Partnership Agreement”), the Fund has delegated the exclusive management of all aspects of the business and administration of the Fund to the Fund’s general partner, Steben & Company, Inc. (“Steben & Company”, or the “General Partner”), a Maryland corporation organized in February 1989.  Steben & Company is registered with the Commodity Futures Trading Commission (“CFTC”) as a Commodity Pool Operator (“CPO”) and an Introducing Broker and is a member of the National Futures Association (“NFA”) in such capacities.  Steben & Company is registered with the Securities and Exchange Commission (“SEC”) as a broker dealer and is a member of FINRA in such capacity.  Steben & Company is registered with the Securities & Exchange Commission as a registered investment advisor.  The Fund is not a registered investment company.

The Fund will automatically terminate on December 31, 2025, unless terminated earlier as provided in the Partnership Agreement.  The General Partner has no present intention of withdrawing and intends to continue the Fund’s business as long as it believes that it is in the best interest of the Partners to do so.  In addition, certain events may occur which could result in early termination.

The Fund’s assets are allocated among accounts managed by professional commodity trading advisors (the “Trading Advisors” or “Traders”).  While it is not currently the case, portions of the Fund’s assets may be allocated to other investment funds or pools at the discretion of the General Partner in order to access the services of particular Trading Advisors.  The General Partner is responsible for selecting and monitoring the Trading Advisors, and it may add new Trading Advisors in the future, terminate the current Trading Advisors, and will, in general, allocate and reallocate the Fund’s assets among the Trading Advisors as it deems is in the best interests of the Fund.

As of December 31, 2008, the aggregate capitalization of the Fund was $832,985,264.  The net asset value per limited partnership interest (“Unit”) of the Class A Units was $5,018.96, and the net asset value of the Class B Units was $6,460.05.

(b)  Financial information about segments.

The Fund’s business constitutes only one segment for financial reporting purposes, i.e., a speculative “commodity pool.”  The Fund does not engage in sales of goods or services.

(c)  Narrative description of business.

General

The purpose of the Fund is to engage in the speculative trading, buying, selling, or otherwise acquiring, holding or disposing of commodities, including futures contracts, option contracts, forward contracts, swaps and any other rights pertaining thereto for such other purposes as may be incidental or related thereto.

3

The Fund trades speculatively in a fully diversified portfolio of U.S. and international futures markets, including energy products, agricultural products,  precious and base metals, stock market indices, interest rates (short-term and long-term) and foreign currencies (majors, minors and cross rates).  The Fund also trades currency forwards, as well as options, swaps, and may trade forwards on markets other than currencies in the future.

The Fund trades on a variety of United States and foreign futures exchanges.  Approximately 70-75% of the Fund’s trading is currently in the form of exchange traded futures, and the balance is in off exchange currency forwards.  100% of the Fund’s off-exchange trading takes place in the highly liquid, institutionally-based currency forward markets, although other types of forward contracts may be traded in the future.

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

General Partner

The General Partner manages all aspects of the Fund’s business, including selecting the Fund’s Trading Advisors; allocating the Fund’s assets among them; possibly investing a portion of the Fund’s assets in other investment pools; selecting the Fund’s Futures Broker(s), account­ants and attorneys; computing the Fund’s Net Assets; reporting to Limited Partners; directing the invest­ment of Fund excess margin monies in interest-bearing instruments and/or cash; and handling Partners’ redemptions of their Units. The Gen­eral Partner will maintain office facil­i­ties for and furnish administrative and clerical ser­vices to the Fund.  The General Partner will be reimbursed for certain out of pocket expenses for the Fund, including clerical, accounting, legal, postage and shipping, offering costs, printing and other expenses of the Fund.  There have been no material administrative, civil or criminal actions within the past five years against the general partner or its principals and no such actions currently are pending.

Trading Advisors and Allocations of the Fund

As of December 31, 2008 the Trading Advisors of the Fund and the allocation of the Fund’s assets are reflected as follows:

	As a % of Total Allocations	As a % of Total Fund Equity
Altis Partners (Jersey), Ltd	13%	14%
Aspect Capital, Ltd	15%	17%
BlueCrest Capital Management LLP	15%	17%
Quantitative Investment Management, LLC	16%	18%
Sunrise Capital Partners, LLC	12%	13%
Transtrend BV	10%	11%
Winton Capital Management, Ltd.	19%	22%

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

While past performance is not indicative of future results, the General Partner believes it is in the interests of the Fund to select those Trading Advisors who have demonstrated ability during their trading history.  Consideration is given to the consistency of past returns.  Also considered are each Trading Advisor’s reputation, personnel, integrity and trading psychology, as well as its overall trading skill, money management, administrative support and the total amount of funds under management.  Finally, the General Partner uses its discretion and judgment in applying each of the above factors in making a final determination to include a particular Trading Advisor in the Fund.

4

Charges

Each A Unit is subject to the same ongoing charges as all other A Units.  Each B Unit is subject to the same ongoing charges as all other B Units. 

Total expenses, other than the Trader’s performance incentive fees, as a percentage of the Fund's average month-end net assets for the years ended December 31, 2008, 2007 and 2006 were 6.08%, 6.06%, and 6.37%, respectively.

Recipient	Nature of Payment	Amount of Payment
Steben & Company, Inc.	Management Fee (asset-based)	A monthly management fee of 0.1625% per month (1.95% annually) for Class A units & 0.1625% (1.95% annually) for Class B units of Fund Net Assets at the end of each month.  Steben & Company may pay a portion of its monthly management fee on an ongoing basis to selected agents who have sold the Units, in return for their provision of ongoing services to the Limited Partners. The General Partner will receive an allocation pro rata from the other Partners of 1% of any increase (or decrease) in the Fund’s Net Assets, without regard to additions and withdrawals.
Trading Advisors	Management Fees (asset-based)	The Trading Advisors will receive monthly management fees based upon the assets under their management as follows: ·  Altis Partners (Jersey), Ltd: 0.083%  monthly (1% per year) ·  Aspect Capital, Ltd: 0.167%  monthly (2% per year) ·  BlueCrest Capital Management, LLP: 0.167% monthly (2% per year) ·  Quantitative Investment Management, LLC: 0%  monthly (0% per year) ·  Sunrise Capital Partners, LLC: 0.083% monthly (1% per year) ·  Transtrend BV: 0.083% monthly (1% per year) ·  Winton Capital Management, Ltd:  0.167% monthly (2% per year)

5

Recipient	Nature of Payment	Amount of Payment
Trading Advisors	Incentive Fees	The Trading Advisors receive incentive fees for any “Net New Trading Profits” generated on the portion of the Fund the respective Trading Advisor manages as follows:
		·  Altis Partners (Jersey), Ltd	25%
		·  Aspect Capital, Ltd:	20%
		·  BlueCrest Capital Management, LLP:	20%
		·  Quantitative Investment Management, LLC:	30%
		·  Sunrise Capital Partners, LLC:	25%
		·  Transtrend BV:	25%
		·  Winton Capital Management Ltd.:	20%
Commodity brokerage commissions and related fees	Clearing Brokers	Effective January 1, 2008, the Fund paid brokerage commissions on U.S. futures exchanges at the rate of $1.00 to $10.32 per “round-turn” futures transaction which includes NFA, execution, clearing and exchange fees.  Brokerage commissions will be higher for trades executed on some foreign exchanges.  Effective December 1, 2008, the Fund pays commissions at the rate of $1.02 to $10.80 per “round-turn” transaction.
Newedge USA, LLC	Forward Counterparty Execution	A portion of the forward counterparty’s execution costs are included in the price of each forward contract purchased or sold, and, accordingly, such costs cannot be determined but are charged. Prime brokerage fees, combined with the futures broker’s charges, usually equal approximately 1% of the Fund’s net assets.  Newedge USA, LLC, the Fund’s primary forward counterparty charges a $20 per million per round turn service charge.
Selling Agents	Selling Agent Fees	A monthly fee of 0.1667% (2% per year) of the net asset value for A units and 0.0167% (0.2% per year) of the net asset value for B units will be charged to the Fund and paid to the Selling Agents.  To the extent the General Partner is responsible for the sale of Units, or in cases where the Selling Agent does not receive this fee, the General Partner will retain these monthly fees.
Steben & Company	Professional Fees	The Fund paid its accounting, audit, legal, administrative and offering expenses estimated at approximately 0.65% of the average month-end net asset value during 2008. However, if and to the extent these expenses (other than extraordinary costs, none of which are anticipated) exceed 1.00% of the Fund’s average month-end net assets per calendar year, the General Partner will reimburse the Fund for such excess after the close of the applicable year.  These expenses during the years ended 2008, 2007 and 2006 were 0.65%, 0.67%, and 0.75% of the Fund’s average net asset value, respectively. There may be extraordinary expenses (including any extraordinary legal and accounting fees) the Fund may have, although none are anticipated.

6

Regulation

Under the Commodity Exchange Act, commodity exchanges and commodity futures trading are subject to regulation by the CFTC. The NFA, a registered futures association under the Commodity Exchange Act, is the only non-exchange self-regulatory organization for commodity industry professionals. The CFTC has delegated to the NFA responsibility for the registration of “commodity trading advisors,” “commodity pool operators,” “futures commission merchants,” “introducing brokers” and their respective “associated persons” and “floor brokers.” The Commodity Exchange Act requires “commodity pool operators,” and “commodity trading advisors” and “futures brokers” or “futures commission merchants” such as the Fund’s futures broker to be registered and to comply with various reporting and recordkeeping requirements. Steben & Company and the Fund’s futures broker are members of the NFA. The CFTC may suspend a commodity pool operator’s or trading advisor’s registration if it finds that its trading practices tend to disrupt orderly market conditions, or as the result of violations of the Commodity Exchange Act or rules and regulations promulgated there under. In the event the General Partner’s registration as a commodity pool operator were terminated or suspended, the General Partner would be unable to continue to manage the business of the Fund.  Should the General Partner’s registration be suspended, termination of the Fund might result.

In addition to such registration requirements, the CFTC and certain commodity exchanges have established limits on the maximum net long and net short positions which any person, including the Fund, may hold or control in particular commodities. Most exchanges also limit the maximum changes in futures contract prices that may occur during a single trading day. The Fund also trades in dealer markets for forward contracts, which are not regulated by the CFTC. Federal and state banking authorities also do not regulate forward trading or forward dealers. In addition, the Fund trades on foreign commodity exchanges, which are not subject to regulation by any U.S. government enterprise.

(i) through (xii) – not applicable.

(xiii)  The Fund has no employees.

(d)  Financial Information about Geographic Areas

The Fund does not engage in material operations in foreign countries (although it does trade from the United States in foreign currency forward contracts and on foreign futures exchanges), nor is a material portion of its revenues derived from foreign customers.

(e)  Available Information

The Fund files 10Q, 10K, 8K, Form 3, and Form 4, as required, with the SEC. The public may read and copy any materials filed with the SEC at the SEC’s Public Reference Room at 450 Fifth Street, N.W., Washington, D.C. 20549.  Additional information about the Reference Room may be obtained by calling the SEC at (800) SEC-0330. Additional reports, proxy and information statements, and other reports filed electronically with the SEC may be found at http://www.sec.gov.

(f)  Reports to Security Holders

None.

(g)  Enforceability of Civil Liabilities Against Foreign Persons

None.

 

7

 

ITEM 1A: Risk Factors

No Limitations on Trading Policies.  The Fund’s partnership agreement places no limitation on the trading policies the General Partner may pursue for the Fund.

Potential Increase in Leverage.  The General Partner may increase the leverage utilized with a particular Trader by the use of notional funds (notional funds are utilized when a Trader is instructed to trade an account according to its trading system under the assumption that the account is larger than the actual cash or securities on hand).  This additional leverage, while creating additional profit potential which the General Partner feels may be appropriate with certain Traders in light of the Fund’s multi-trader diversification, also increases the risk of loss to the Fund.

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

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

Complex Fee Structure.  Allocation to more than one Trader makes the Fund’s fee structure more complex which in turn could diminish the pool’s profit potential.

Fund Expenses Will Be Substantial.  The Fund will be obli­gated to pay brokerage commis­sions, the management fees to the Traders and other operating expenses regardless of whether it realizes profits.  The Fund will need to make substan­tial trading profits to avoid depletion of its assets from these expenses.

Reliance on General Partner.  The Fund’s success will depend significantly on the General Partner’s ability to select successful Traders.

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

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

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

8

Use of Money Market Instruments. Prior to the issuance of Units at monthly closings, an investor’s subscription proceeds are maintained in an escrow account at Bank of America, which earns interest that will accrue to the benefit of the investor.  The Fund also maintains an operating account at Bank of America which earns interest that will accrue to the benefit of the Fund.  In addition, a percentage of the Fund’s assets may be maintained in a money market account with UBS Financial Services, Inc. which earns interest that will accrue for the benefit of the Fund. These money market accounts invest primarily in high quality short term money market instruments.  Although these investments are considered to be high quality, some of the securities utilized by the money market funds are neither guaranteed by the U.S. Government nor supported by the full faith and credit of the U.S. Government.  There is some default risk that an issuer of the short term money market instruments utilized in the money market accounts may fail to pay the interest and principal in a timely manner, or that negative perceptions about the issuer’s ability to make such payments will cause the price of these instruments to decline in value.

Investment in Other Investment Pools.  The Fund may invest in other pools.  The Fund expects to be liable to those pools (e.g., limited partnerships) only for the amount of its investment plus any undistributed profits.  However, there can be no assurance in this regard, and the Fund might invest as a general partner if the situation warranted, and thus be liable for additional amounts.

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

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

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

9

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

Disadvantages of Periodic Incentive Fees.  Because the Traders’ in­cen­tive fees will be paid on a quarterly or monthly basis, they could receive incentive fees for a period even though their trading for the year was unprofitable.  Once an incen­tive fee is paid, they retain the fee regardless of its subsequent performance, but no new incentive fees will be paid until after any previous losses have been recovered.

Disadvantages of Multi-Trader Structure.  The Fund’s use of multiple Traders to conduct its trading has several potential disadvantages.

Each Trader will be paid incentive fees solely on the basis of its trading for the Fund.  The Fund therefore could have periods in which it pays fees to one or more Traders even though the Fund as a whole has a loss for the period (because the losses incurred by the Fund from unprofitable Traders exceed the profits earned by the Fund from profitable Traders).

Because the Traders trade independently of each other, they may establish offsetting positions for the Fund.  For example, one Trader may sell 10 March wheat contracts at the same time another Trader buys 10 March wheat contracts.  The net effect for the Fund will be the incurring of two brokerage commissions without the potential for earning a profit (or incurring a loss).

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

Replacement of Traders.  The General Partner has the authority to reallocate the Fund’s assets among the Traders, terminate Traders and allocate assets to a new Trader or Traders or invest the Fund’s assets in other investment funds or commodity pools.

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

Limited Partners Do Not Participate in Management.  Limited Partners are not entitled to partici­pate in the management of the Fund or the conduct of its business.

Non-Transferability of Units.  Investors may acquire Units only for investment and not for resale, and the Units are transferable only with the Gen­eral Partner’s discretionary con­sent, provided that the economic benefits of ownership of a Limited Partner may be transferred or assigned without the consent of the General Partner.  There will be no resale market for the Units.  However, a Partner may redeem all or (subject to certain limitations) any portion of their Units at the end of any month, on 15 days written notice to the General Partner.

10

Possible Adverse Effect of Large Redemptions.  The Traders’ trading strategies could be disrupted by large redemptions by Limited Part­ners.  For example, such redemptions could require the Traders to prematurely li­quidate fu­tures positions they had established for the Fund.

Mandatory Redemptions.  The General Partner may require a Limited Partner to withdraw from the Fund if the General Partner deems the withdrawal (a) necessary to prevent or correct the occurrence of a nonexempt prohibited transaction under the Employee Retirement Income Security Act of 1974, as amended, or the Internal Revenue Code of 1986, as amended, or (b) beneficial to the Fund or (c) necessary to comply with the Investment Company Act of 1940, (e.g., in the event of the death of a limited partner).

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

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

Lack of Regulation.  The Fund is not an Investment Company under the federal securities laws.  Thus, Limited Partners will not have the benefits of federal regulation of Invest­ment Companies.  In addi­tion, this offering is not regis­tered with the Securities and Exchange Commission or any state.

Conflicts of Interest.  The Fund is subject to certain con­flicts of interest.

ITEM 1B: Unresolved Staff Comments

Not Applicable.

ITEM 2: Properties

The Fund does not use any physical properties in the conduct of its business. Its assets currently consist of futures and other contracts, cash and high grade short-term fixed income securities (one year or under).

ITEM 3: Legal Proceedings

None.

ITEM 4: Submission of Matters to a Vote of Security Holders

None.

11

PART II

ITEM 5: Markets for Registrant’s Common Equity, Related Stockholder Matters and Issuer Purchases of Equity Securities.

(a) Market information

Neither A Units nor B Units of the Fund are publicly traded.  Both A Units and B Units may be transferred or redeemed subject to the conditions imposed by the Partnership Agreement.

(b) Holders

As of February 28, 2009, there were 6,753 and 3,172 holders of A Units and B Units, respectively.

(c) Dividends

The General Partner has sole discretion in determining what distributions, if any, the Fund will make to its limited partners.  The General Partner has not made any distributions as of the date hereof.

(d) Securities Authorized for Issuance under Equity Compensation Plans

None

(e) Recent Sales of Unregistered Securities, Use of Proceeds from Registered Securities

A and B units are being offered on a continuous basis at subsequent closing dates at a price equal to the net asset value per unit as of the close of business on each applicable closing date, which is the first business day of each month. Sales of the A Units and B Units during the fourth quarter 2008 were as follows:

	OCTOBER		NOVEMBER		DECEMBER
A UNITS
Units sold		1,435.0862		1,987.7719		1,901.9820
Net Asset Value / Unit	$	4,275.0183	$	4,710.0300	$	4,894.0753
B UNITS
Units sold		260.8615		853.0418		1,113.0313
Net Asset Value / Unit	$	5,477.6551	$	6,044.0501	$	6,289.7415

 

12

 

The proceeds of the offering are deposited in the Fund’s bank and brokerage accounts for the purpose of engaging in trading activities in accordance with the Fund’s trading policies and its trading advisors' respective trading strategies.

A and B units are being repurchased on a continuous basis at subsequent closing dates at a price equal to the net asset value per unit as of the close of business on each applicable closing date, which is the last business day of each month. Repurchases of the A Units and B Units during the fourth quarter 2008 were as follows:

	OCTOBER		NOVEMBER		DECEMBER
A UNITS
Units repurchased		978.5450		700.0224		846.3466
Net Asset Value / Unit	$	4,710.0300	$	4,894.0753	$	5,018.9563
B UNITS
Units repurchased		383.2233		939.7914		959.8433
Net Asset Value / Unit	$	6,044.0501	$	6,289.7415	$	6,460.0487

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ITEM 6: Selected Financial Data.

	For the Year Ended December 31, 2008			For the Year Ended December 31, 2007			For the Year Ended December 31, 2006			For the Year Ended December 31, 2005			For the Year Ended December 31, 2004
Income Statement Items:
Gain(loss) from Trading – Realized and unrealized	$	263,420,593		$	48,018,852		$	46,500,317		$	29,400,404		$	16,756,129
Brokerage commissions		(1,866,008	)		(2,283,456	)		(1,715,388	)		(1,551,942	)		(1,346,001	)
Gain from trading		261,554,585			45,735,396			44,784,929			27,848,462			15,410,128
Interest income		19,068,236			26,770,478			22,657,865			10,397,655			1,863,091
Expenses:
General Partner management fee	$	13,379,664		$	10,186,030		$	8,822,422		$	6,106,364		$	3,397,591
General Partner 1 percent allocation		1,879,337			250,318			347,793			127,493		$	21,822
Trading Advisor management fees		11,318,439			9,712,368			8,858,211			5,730,444			2,517,558
Advisor incentive fee		53,999,585			16,604,111			4,989,571			6,384,615			4,956,093
Selling agents’ fee		9,479,794			7,375,387			6,385,159			4,727,082			2,733,183
Net operating expenses		4,511,608			3,596,134			3,608,118			2,548,276			1,486,548
Net income	$	186,054,394		$	24,781,526		$	34,431,520		$	12,621,843		$	2,160,424
Balance Sheet Items:
Total assets	$	899,233,549		$	562,253,689		$	525,148,484		$	400,445,406		$	263,976,749
Total Partners’ capital	$	832,985,264		$	545,106,985		$	504,060,093		$	376,392,113		$	254,801,257
Class A Units:
Net asset value per Unit	$	5,018.96		$	3,867.65		$	3,725.59		$	3,489.13		$	3,429.59
Increase in net asset value per Unit	$	1,151.31		$	142.06		$	236.46		$	59.54		$	10.64
Class B Units:
Net asset value per Unit	$	6,460.05		$	4,891.11		$	4,627.81		$	4,257.03		$	4,110.43
Increase in net asset value per Unit	$	1,568.94		$	263.30		$	370.78		$	146.60		$	87.76

14

FUTURES PORTFOLIO FUND, LIMITED PARTNERSHIP

Supplementary Summarized Quarterly Data

For the First and Second Quarters for 2008 and 2007

	March 31, 2008				June 30, 2008
	Class A Interests		Class B Interests		Class A Interests		Class B Interests
Net Income	$	41,459,968	$	21,717,270	$	36,570,794	$	20,340,366
Increase in Net Asset Value Per Unit	$	436.97	$	576.74	$	365.06	$	488.78
Net Asset Value Per Unit	$	4,304.62	$	5,467.85	$	4,669.68	$	5,956.63
Ending Net Asset Value	$	403,378,844	$	204,458,548	$	448,482,374	$	246,401,160

	March 31, 2007						June 30, 2007
	Class A Interests			Class B Interests			Class A Interests		Class B Interests
Net Income (Loss)	$	(26,781,365	)	$	(12,250,407	)	$	52,861,529	$	26,208,096
Increase (Decrease) in Net Asset Value Per Unit	$	(286.85	)	$	(337.44	)	$	558.70	$	719.84
Net Asset Value Per Unit	$	3,438.74		$	4,290.37		$	3,997.44	$	5,010.21
Ending Net Asset Value	$	321,774,891		$	154,267,270		$	373,991,499	$	180,083,561

15

FUTURES PORTFOLIO FUND, LIMITED PARTNERSHIP

Supplementary Summarized Quarterly Data

For the Third and Fourth Quarters for 2008 and 2007

	September, 2008						December, 2008
	Class A Interests			Class B Interests			Class A Interests		Class B Interests
Net Income (Loss)	$	(38,453,391	)	$	(20,132,125	)	$	80,571,632	$	43,979,880
Increase (Decrease) in Net Asset Value Per Unit	$	(394.66	)	$	(478.97	)	$	743.94	$	982.39
Net Asset Value Per Unit	$	4,275.02		$	5,477.66		$	5,018.96	$	6,460.05
Ending Net Asset Value	$	454,282,796		$	242,470,228		$	547,011,351	$	285,973,913

	September, 2007						December, 2007
	Class A Interests			Class B Interests			Class A Interests		Class B Interests
Net Income (Loss)	$	(41,814,715	)	$	(19,437,527	)	$	30,216,360	$	15,779,555
Increase (Decrease) in Net Asset Value Per Unit	$	(444.27	)	$	(536.89	)	$	314.48	$	417.79
Net Asset Value Per Unit	$	3,553.17		$	4,473.32		$	3,867.65	$	4,891.11
Ending Net Asset Value	$	339,417,709		$	167,999,274		$	364,289,314	$	180,817,671

16

Supplementary Financial Information

Futures Portfolio Fund, Limited Partnership (Class A Units)
NAV per Unit	2008		2007		2006		2005		2004
January	$	3,921.97	$	3,827.77	$	3,530.23	$	3,202.63	$	3,486.39
February	$	4,375.39	$	3,594.35	$	3,467.04	$	3,215.17	$	3,801.30
March	$	4,304.62	$	3,438.74	$	3,600.18	$	3,256.96	$	3,800.61
April	$	4,173.52	$	3,625.90	$	3,659.24	$	3,164.24	$	3,477.92
May	$	4,388.14	$	3,838.15	$	3,567.64	$	3,256.47	$	3,442.62
June	$	4,669.68	$	3,997.44	$	3,516.64	$	3,359.43	$	3,255.89
July	$	4,237.20	$	3,651.43	$	3,398.67	$	3,319.98	$	3,206.99
August	$	4,101.05	$	3,322.12	$	3,400.31	$	3,270.90	$	3,129.38
September	$	4,275.02	$	3,553.17	$	3,360.44	$	3,353.14	$	3,131.05
October	$	4,710.03	$	3,851.68	$	3,474.10	$	3,393.57	$	3,299.78
November	$	4,894.08	$	3,776.43	$	3,498.74	$	3,543.88	$	3,449.68
December	$	5,018.96	$	3,867.65	$	3,725.59	$	3,489.13	$	3,429.59

Futures Portfolio Fund, Limited Partnership (Class B Units)
NAV per Unit	2008		2007		2006		2005		2004
January	$	4,967.20	$	4,761.78	$	4,313.61	$	3,845.00	$	4,108.34
February	$	5,550.35	$	4,477.84	$	4,242.72	$	3,864.82	$	4,486.70
March	$	5,467.85	$	4,290.37	$	4,412.22	$	3,920.90	$	4,492.74
April	$	5,309.22	$	4,530.63	$	4,491.29	$	3,814.89	$	4,117.57
May	$	5,591.51	$	4,803.19	$	4,385.40	$	3,931.95	$	4,081.99
June	$	5,956.63	$	5,010.21	$	4,329.23	$	4,062.34	$	3,866.47
July	$	5,413.02	$	4,583.36	$	4,190.24	$	4,020.63	$	3,814.21
August	$	5,246.89	$	4,176.22	$	4,198.52	$	3,967.04	$	3,727.61
September	$	5,477.66	$	4,473.32	$	4,155.47	$	4,072.85	$	3,735.31
October	$	6,044.05	$	4,856.38	$	4,302.46	$	4,128.12	$	3,942.68
November	$	6,289.74	$	4,768.60	$	4,339.43	$	4,317.40	$	4,128.13
December	$	6,460.05	$	4,891.11	$	4,627.81	$	4,257.03	$	4,110.43

17

FUTURES PORTFOLIO FUND, LIMITED PARTNERSHIP (CLASS A UNITS)

Rate of Return	2008			2007			2006			2005			2004
January		1.40			2.74			1.18			(6.62	)		1.97
February		11.56			(6.10	)		(1.79	)		0.39			9.03
March		(1.62	)		(4.33	)		3.84			1.30			(0.02	)
April		(3.05	)		5.44			1.64			(2.85	)		(8.49	)
May		5.14			5.85			(2.50	)		2.91			(1.01	)
June		6.42			4.15			(1.43	)		3.16			(5.42	)
July		(9.26	)		(8.66	)		(3.35	)		(1.17	)		(1.50	)
August		(3.21	)		(9.02	)		0.05			(1.48	)		(2.42	)
September		4.24			6.95			(1.17	)		2.51			0.05
October		10.18			8.40			3.38			1.21			5.39
November		3.91			(1.95	)		0.71			4.43			4.54
December		2.55			2.42			6.48			(1.55	)		(0.58	)
Year		29.77			3.81			6.78			1.74			0.31

FUTURES PORTFOLIO FUND, LIMITED PARTNERSHIP (CLASS B UNITS)

Rate of Return	2008			2007			2006			2005			2004
January		1.56			2.89			1.33			(6.48	)		2.13
February		11.74			(5.96	)		(1.64	)		0.54			9.21
March		(1.49	)		(4.19	)		4.00			1.45			0.13
April		(2.90	)		5.60			1.79			(2.70	)		(8.35	)
May		5.32			6.02			(2.36	)		3.07			(0.86	)
June		6.53			4.31			(1.28	)		3.32			(5.28	)
July		(9.13	)		(8.52	)		(3.21	)		(1.03	)		(1.35	)
August		(3.07	)		(8.88	)		0.20			(1.33	)		(2.27	)
September		4.40			7.11			(1.03	)		2.67			0.21
October		10.34			8.56			3.54			1.36			5.55
November		4.07			(1.81	)		0.86			4.59			4.70
December		2.71			2.57			6.65			(1.40	)		(0.43	)
Year		32.08			5.69			8.71			3.57			2.18

18

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

Introduction

Futures Portfolio Fund, Limited Partnership (“the Fund”) is a Maryland limited partnership, formed on May 11, 1989 and began trading on January 2, 1990.  Utilizing professional trading advisors, the Fund invests the proceeds from its offering of units in the speculative trading of futures, swaps, options and over-the-counter contracts, including currency forwards traded in the United States and internationally.  The Fund is an actively managed account with speculative trading profits as its objective. The Fund issues two different types of units; Class A units and Class B units which represent units of fractional undivided beneficial interest in and ownership of the Fund.

Recent Global Financial Crisis

There were several events that led to significant volatility in global capital markets during 2008 and continuing in 2009.  Following a series of global announcements regarding failures in financial institutions including the government take-over of Fannie Mae and Freddie Mac, equity markets fell and credit markets experienced a sharp drop in liquidity.  On October 3, 2008, President Bush signed into law the Emergency Economic Stabilization Act of 2008. The Act gave the U.S. Treasury certain powers to assist troubled financial institutions, especially those with assets that may have been affected by sub-prime mortgage exposure or credit default insurance exposure.

Despite the increased volatility in the capital markets, the Fund was not adversely impacted by these developments. In fact, as a result of the declining global markets, the Fund’s short positions in equity indices were highly profitable. Additionally, the Fund’s short positions in physical commodities and long positions in interest rate instruments were also profitable as commodity prices decreased and bond prices increased.

Critical Accounting Policies

The preparation of the Fund’s financial statements in conformity with generally accepted accounting principles requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenue and expenses during the reporting period. Actual results could differ from those estimates.

In September 2006, the FASB issued Statement of Financial Accounting Standard No. 157, Fair Value Measurement (“SFAS No. 157”). SFAS No. 157 defines fair value, establishes a framework for measuring fair value and expands disclosures about fair value measurement and also emphasizes that fair value is a market-based measurement, not an entity-specific measurement. SFAS No. 157 is effective for fiscal years beginning after November 15, 2007, except for nonfinancial assets and nonfinancial liabilities that are recognized or disclosed at fair value in the financial statements on a nonrecurring basis for which delayed application is permitted until fiscal years beginning after November 15, 2008. The adoption of SFAS No. 157 was effective for the Fund on January 1, 2008, and did not impact our financial position, results of operations or cash flows.

19

SFAS No. 157 defines fair value as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date and sets out a fair value hierarchy. The 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). Inputs are broadly defined under SFAS 157 as assumptions market participants would use in pricing an asset or liability. The three levels of the fair value hierarchy under SFAS 157 are described below:

Level 1: Unadjusted quoted prices in active markets for identical assets or liabilities that the reporting entity has the ability to access at the measurement date.

Level 2: Inputs others than quoted prices within Level 1 that are observable for the asset or liability, either directly or indirectly. A significant adjustment to a Level 2 input could result in the Level 2 measurement becoming a Level 3 measurement.

Level 3: Inputs are unobservable for the asset or liability.

The following table presents the Fund’s fair value hierarchy for those assets and liabilities measured at fair value on a recurring basis as of December 31, 2008:

	Level 1		Level 2			Total
Equity in broker trading accounts
Futures contracts	$	34,492,682	$	-		$	34,492,682
Forward currency contracts		-		(1,202,959	)		(1,202,959	)
U.S. Government securities		66,972,902		-			66,972,902
Commercial paper		-		140,590,377			140,590,377
Government-sponsored enterprises		-		75,198,945			75,198,945
Corporate notes		-		78,147,406			78,147,406
Cash and cash equivalents
Money market funds		256,592,512		-			256,592,512

There were no Level 3 holdings as of December 31, 2008.

Fair value of exchange traded contracts is based upon exchange settlement prices. Fair value of non-exchange traded contracts is based on third party quoted dealer values of the Interbank market. The investments in money market funds and futures contracts are valued using quoted market prices and are classified within Level 1. The fair values of forward currency contracts are based upon an underlying asset, index, or reference rate or a combination of these factors and are classified within Level 2.  The Fund uses some, and when applicable, all of these financial instruments as part of its trading activities.  The recorded values of commercial paper, Government-sponsored enterprises, U.S. Government Securities and corporate notes are based on amortized cost carrying amounts due to the short-term maturity of the instruments and are classified within Level 1 or 2. Therefore, their carrying amounts approximate their fair values.

Futures, options on futures, forward currency, and swap contracts are recorded on a trade date basis, and gains or losses are realized when contracts are liquidated. 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 a net gain or loss, as there exists a right of offset of unrealized gains or losses in accordance with Financial Accounting Standards Board Interpretation (“FASB”) No. 39 – Offsetting of Amounts Related to Certain Contracts, as amended by FASB No. 39-1 – Amendment of FASB Interpretation No. 39 (“FIN 39-1”). Any change in net unrealized gain or loss from the preceding period is reported in the statements of operations. Commercial paper, corporate notes, U.S. Government securities and Government-sponsored enterprises are recorded at amortized cost and interest is accrued and recorded through maturity, which approximates fair value.  Fair value of exchange-traded contracts is based upon settlement prices. Fair value of non-exchange traded contracts is based upon third-party quoted dealer values on the Interbank market.

20

For purposes of both financial reporting and calculation of redemption value, net asset value per Class A or Class B unit is calculated by dividing the net asset value of Class A or Class B by the number or outstanding units of Class A or Class B. All items of income or loss, except for the selling agents’ fees, are allocated pro rata between Class A and Class B Interests. The selling agents’ fees applicable to each class of Interest are then charged to each class. All items of income or loss allocated to each class of Interest are then allocated pro rata to each Limited Partner within each class.

As of December 31, 2008, the aggregate capitalization of the Fund was $832,985,264, consisting of Class A units of $547,011,351 and Class B units of $285,973,913.  The net asset value per unit of the Class A units was $5,018.96 and the net asset value of the Class B units was $6,460.05 as of December 31, 2008.

Liquidity

Most United States commodity exchanges limit fluctuations in futures contracts prices during a single day by regulations referred to as “daily price fluctuation limits” or “daily limits.” During a single trading day, no trades may be executed at prices beyond the daily limit. Once the price of a futures contract has reached the daily limit for that day, positions in that contract can neither be taken nor liquidated. Futures prices have occasionally moved the daily limit for several consecutive days with little or no trading. Similar occurrences could prevent the Fund from promptly liquidating unfavorable positions and subject the Fund to substantial losses which could exceed the margin initially committed to such trades. In addition, even if futures prices have not moved the daily limit, the Fund may not be able to execute futures trades at favorable prices if little trading in such contracts is taking place. Other than these limitations on liquidity, which are inherent in the Fund’s futures trading operations, the Fund’s assets are expected to be highly liquid. Redemptions may be made by a Limited Partner as of the last business day of any month at the Net Asset Value on such redemption date of the redeemed units (or portion thereof) on that date, on 5 days’ prior written notice to the General Partner. Partial redemptions must be for at least $1,000, unless such requirement is waived by the General Partner. In addition, the Limited Partner, if making a partial redemption, must maintain at least $10,000 or his original investment amount, whichever is less, in the Fund unless such requirement is waived by the General Partner.

Capital Resources

The Fund intends to raise additional capital only through the sale of Units offered pursuant to the continuing offering, and does not intend to raise any capital through borrowing. Due to the nature of the Fund’s business, the Fund does not contemplate making capital expenditures.

Contractual Obligations

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

21

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 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, market risk, that such contracts may be significantly influenced by market conditions, such as interest rate volatility, resulting in such contracts being less valuable.  If the markets should move against all of the futures interests positions of the Fund at the same time, and if the commodity trading advisors were unable to offset futures interest positions of the Fund, the Fund could lose all of its assets and the Limited Partners would realize a 100% loss.  Steben & Company, the General Partner, minimizes market risk through diversification of the portfolio allocations to multiple trading advisors, and maintenance of a margin-to-equity ratio that rarely exceeds 30%.

In addition to market risk, in entering into futures and forward 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 United States 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, like some foreign exchanges, it is normally backed by a consortium of banks or other financial institutions.

In the case of forward contracts, which are traded on the inter-bank 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. Steben & Company utilizes 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 that any clearing member, clearinghouse or other counterparty will be able to meet its obligations to the Fund.

The Fund will utilize high grade short-term commercial paper, which is an unsecured, short-term debt instrument issued by a corporation with maturities rarely longer than 270 days.  Commercial paper is not usually backed by any form of collateral, so only firms with high-quality debt rating will be used.  As commercial paper is not backed by the full faith and credit of the U.S. Government, if the issuing corporation defaults on their obligations to the Fund, the Fund bears the risk of loss of the amount expected to be received.

Results of Operations

The returns for A units for the years ended December 31, 2008, 2007 and 2006 were 29.77%, 3.81%, and 6.78%, respectively. The returns for B units for the years ended December 31, 2008, 2007 and 2006 were 32.08%, 5.69%, and 8.71%, respectively. Further analysis of the trading gains and losses is provided below.

Past Results Are Not Indicative of Future Performance

22

2008

A Units of the Fund were up 1.40% for the month of January 2008 and B Units were up 1.56%.  The Fund ended with a net gain in January as profits from interest rate instruments, agricultural commodities and metals offset losses from energy, equity indices and foreign currencies. Global interest rate instruments were the most profitable sector for the Fund as rates trended lower on growing concerns of a possible U.S. recession. Later in the month, the Federal Reserve responded to a sharp sell off in global equity prices with a total 1.25% rate cut that pushed short term rates even lower, benefiting the Fund’s long positions in that sector. Long positions in agricultural commodities were profitable as grain and soybean prices continued an upward trend on strong global demand and declining inventory levels. The largest losses for the month came from the energy sector, where crude oil prices declined after hitting an all time nominal high at the beginning of the month. The fall in oil prices went against the Fund’s long positions.

A Units of the Fund were up 11.56% for the month of February 2008 and B Units were up 11.74%.  The Fund finished the month with net profits in all six major market sectors. Physical commodities generated the largest profits as strong demand and tight supplies in a number of commodities drove contract prices to record highs. In the agricultural commodities sector, the Fund’s long positions in soybeans, wheat, coffee, corn and sugar were among the most profitable. Since the start of the year, wheat prices have climbed 21%, while soybeans and coffee were up 27% and 35% respectively. In the energy sector, light crude oil futures hit a new nominal high of $103.05 dollars per barrel. The Fund gained from its long positions in energy, especially crude oil, heating oil, gasoline and kerosene. In the metals sector, the Fund profited from its long positions in both precious and industrial metals including gold, silver, aluminum, platinum and copper. Short positions in equity indices profited as global indices weakened on fears of inflation and a weaker U.S. dollar. Bond prices were mostly unchanged until the final days of the month, when prices jumped in reaction to Fed news about further rate cuts. The net increase in bond prices benefited the Fund’s long bond positions.

A Units of the Fund were down 1.62% for the month of March 2008 and B Units were down 1.49%.  The Fund finished lower in March as losses from agricultural products and metals offset profits from equity indices, foreign currencies, energy and interest rate instruments. Financial markets reacted to two announcements by the Federal Reserve that ultimately impacted several market sectors. The Fed cut the federal funds target interest rate by .75% and it also announced it would provide guarantees to JP Morgan Chase for the acquisition of Bear Stearns. Following the announcements, the U.S. dollar which had been trending lower over the past several months, suddenly strengthened. The stronger dollar triggered a rapid sell-off in physical commodities including agricultural, metals and energy, with agricultural commodities generating the largest losses. Overall the Fund ended the first quarter up 11.28% and up 25.15% for the last 12 months.

A Units of the Fund were down 3.05% for the month of April 2008 and B Units were down 2.90%.  The Fund finished lower this month as profits from energy were offset by losses from the other five major market sectors. Japanese government bonds fell on reports that inflation in Japan had reached its highest level in a decade. By the end of the month, most domestic and international interest rates had edged higher even after the FOMC announced a .25% rate cut. Overall, the decline in bond prices went against the Fund’s long positions. Agricultural commodity prices continued to decline resulting in losses for the Fund's long positions in that sector. Wheat prices fell more than 6%, reaching five-month lows on news that the government of Ukraine had eased export restrictions. Corn and soybean prices also moved lower. Long positions in the energy sector posted gains as crude oil prices approached $120 per barrel. Concerns over Saudi supplies, Nigerian production disruptions and further evidence of continuing Chinese demand fueled the rise in oil prices.

23

A Units of the Fund were up 5.14% for the month of May 2008 and B Units were up 5.32%.  The Fund finished higher this month with gains in most of the major market sectors. The energy sector generated significant profits as the Fund’s long positions benefited from sustained upward trends in crude oil, gasoline, heating oil and natural gas. Analysts’ explanations for the rise in prices were mixed, but steady demand, supply disruptions and a weak U.S. dollar continued to be the most commonly stated factors. While prices for several energy contracts reached all time highs, other market sectors were relatively quiet this month. Foreign currencies, metals and stock indices all finished with modest profits for the month, with each sector experiencing a mix of offsetting returns. Short-term interest rate instruments were profitable as the Fund’s short positions benefited from a rise in short term international interest rates.

A Units of the Fund were up 6.42% for the month of June 2008 and B Units were up 6.53%.  The Fund’s systematic trading strategies generated profits from trends in all of the major market sectors in June. Crude oil, heating oil, gasoline and natural gas soared to new highs, producing significant profits from the Fund’s long energy sector positions. Higher energy prices, weakness in the U.S. dollar and concerns over inflation drove stock markets into bear market territory. The falling equity prices produced profits from the Fund’s short equity index positions. Agricultural prices rose this month as severe flooding in the U.S. threatened summer crop supplies. The rising prices benefited the Fund’s long positions in soybeans, corn and wheat. The Fund also profited from long positions in metals including copper, gold and zinc.

A Units of the Fund were down 9.26% for the month of July 2008 and B Units were down 9.13%.  The Fund finished lower in July as several key markets experienced sharp reversals that moved against previously established long term market trends. The most significant price reversals were experienced in the energy and agricultural commodity sectors. After reaching multi-month highs in June, prices in crude oil, heating oil, gasoline and natural gas fell sharply in July on signs of weaker demand and a rising U.S. dollar. Natural gas, which reached a 30-month high at the end of June, fell more than 32% during July, creating losses for the Fund’s long positions.  The stronger dollar also caused agricultural commodities to reverse from strong upward trends. Corn and soybeans fell more than 15% during the month creating losses for the Fund’s long systematic positions. Interest rate instruments have been directionless over the last several weeks. The Fund’s positions in that sector experienced losses due to a lack of trends resulting in “whipsawing” of the Fund’s positions. The Fund’s traders reduced their risk in each of the affected sectors by either reducing or getting out of positions.

A Units of the Fund were down 3.21% for the month of August 2008 and B Units were down 3.07%.  The Fund finished lower in August as profits from interest rate instruments were not enough to offset losses in foreign currencies, agricultural commodities, energies and metals. The U.S. dollar continued to strengthen against any foreign currencies including the euro which fell sharply to its lowest level against the U.S. dollar in the last six months.  Falling foreign currency prices went against the Fund’s long positions.  Agricultural commodities, energies and precious metals experienced multiple price changes during the month causing losing trades for the Fund.  The Fund’s long positions in interest rate instruments profited as long term interest rates declined.

A Units of the Fund were up 4.24% for the month of September 2008 and B Units were up 4.40%.  The Fund was profitable in September as gains from our positions in stock indices, metals, agricultural commodities and interest rate instruments offset losses incurred in foreign currencies and energy.  Increasing uncertainty in the global financial markets created significant volatility in both the credit and equity markets.  Lehman Brothers Holdings, Inc. filed for bankruptcy protection, Merrill Lynch was acquired by Bank of America and Fannie Mae, Freddie Mac, and AIG required government support to remain viable. Later in the month, the Dow Industrials suffered its worst single day point drop ever, sparked by U.S lawmakers’ rejection of a proposed $700 billion market bailout.  Over the course of the month, global equity prices declined which benefited the Fund’s short equity indices positions.  Investors sought the relative safety of government backed interest rate instruments, causing prices to rise which generated profits for the Fund’s long positions in interest rate instruments. Agricultural commodity and metals prices fell, benefiting the Fund’s short positions.

24

A Units of the Fund were up 10.18% for the month of October 2008 and B Units were up 10.34%.  October was a very profitable month for the Fund with gains in all six major market sectors. As monetary authorities sought to restore liquidity in the domestic and international credit markets, the fear of prolonged economic weakness led to steep declines in global equity prices. The downward trend in global equity prices benefited the Fund’s short positions in equity indices. Demand for physical commodities declined as speculators grew increasingly concerned about a global recession. The fall in demand led to lower prices in metals, energy and agricultural commodities, all of which created profits for the Fund’s short positions in those respective sectors. Strong performance was also seen in interest rate instruments as major global central banks joined in a coordinated effort to cut interest rates in order to restore investor confidence. Rising interest rate instrument prices led to profits in the Fund’s long positions. In currencies, long positions in the U.S. dollar were mostly positive against other major foreign currencies.

A Units of the Fund were up 3.91% for the month of November 2008 and B Units were up 4.07%. November was a profitable month for the Fund with gains in five out of the six major market sectors traded. Interest rate instrument prices continued to trend higher as international bond prices rallied on fears of a prolonged global economic recession. In addition, investors shifted assets toward the relative safe haven of medium to long term government securities, while European and Asian central banks cut short term rates. The rising interest rate instrument prices generated profits for the Fund’s long positions in that sector. Short positions in stock indices were profitable as equity indices continued to decline during the month. Commodity prices, especially energy prices declined creating additional profits for the Fund’s short energy positions. In currencies, the U.S. dollar strengthened, particularly against the British pound and the Euro leading to profits in the Fund’s contracts.

A Units of the Fund were up 2.55% for the month of December 2008 and B Units were up 2.71%. December was a profitable month for the Fund as global trends continued, resulting in gains in five out of the six major market sectors. Interest rate instruments were the most profitable sector. The Fund’s long interest rate instrument positions benefited as weaker than expected employment data in the U.S. and further rate cuts by the U.S. Federal Reserve and other central banks around the world fueled a continuing decline in long and short term interest rates. In the energy sector, crude oil prices fell 18% in December and approximately 70% since mid July. Falling oil, gasoline and natural gas prices created profits for the Fund’s short positions. The Fund also profited from falling metals prices, especially aluminum, copper and silver. In foreign currencies, a stronger euro relative to the U.S. dollar and British pound also created profits for the Fund.

2007

A Units of the Fund were up 2.74% for the month of January 2007 and B Units were up 2.89%.  In January the Fund generated profits in four out of the six market sectors. The Fund’s strongest gains came from short positions in interest rate instruments. Domestic housing, manufacturing and employment data pointed to unexpected strength in the U.S. economy which dampened prospects for rate cuts and pushed bond prices lower. International bond prices also fell after the UK announced its surprise decision to raise its core interest rate. The Fund’s long positions in equity indices posted gains on upward trends in domestic and international stock indices. Short positions in crude oil and related energy contracts were profitable as unseasonably warm winter weather in the northern hemisphere continued to drive up oil inventories. The Bank of Japan’s decision to hold its core interest rates steady surprised currency markets, driving the yen lower against other foreign currencies including the euro, British pound and U.S. dollar. Metals registered a small loss in January with copper and zinc experiencing a fall in prices that moved against the Fund’s long positions.

25

A Units of the Fund were down 6.10% for the month of February 2007 and B Units were down 5.96%.  Sharp price reversals in equity indices, currencies and interest rate instruments in the last two days of the month changed the Fund’s picture from a profitable position to disappointing losses. On February 27th, shares in the Chinese stock market fell nearly 9%, which set off a wave of selling in international equity markets. The worldwide sell-off erased earlier gains from the Fund’s long positions in domestic and international equity indices. The Fund’s most significant losses for the month came from short positions in interest rate instruments. Earlier in the month, interest rates began to decline, moving against the Fund’s short positions. Late in the month, government bond prices accelerated higher as investors jumped from equities into the relative “safety” of government bonds. The Japanese yen, which had been declining, strengthened significantly against major currencies, including the U.S. dollar. A rally in energy prices also went against the Fund’s short positions. In the agricultural sector, long positions in the soy complex produced some profit.

A Units of the Fund were down 4.33% for the month of March 2007 and B Units were down 4.19%.  The reversals that began at the end of last month continued to affect the Fund’s performance in early March. The global sell-off in international stock markets that began in the final days of February stretched into the first three days of March, moving against the Fund’s long equity indices positions. Concerns of a slowing Chinese economy changed the demand outlook for physical commodities, including metals and certain agricultural commodities. While commodities had been in a long uptrend, the resulting shift in market sentiment caused prices of commodities to fall which moved against the Fund’s long positions. Short positions in the Japanese yen were particularly impacted as investors continued to buy Japanese yen and sell other foreign currencies. In response to the increased market volatility, the Fund’s trading programs systematically reduced contract positions in each market sector. Eventually the market turmoil subsided and the Fund began a slow recovery. The recovery was not sufficient to offset the earlier losses however, and the Fund ended the month in negative territory.

A Units of the Fund were up 5.44% for the month of April 2007 and B Units were up 5.60%.  Favorable trends in five out of the Fund’s six market sectors yielded profits for the Fund in April. The strongest profits came from foreign currencies, where the U.S. dollar weakened against most foreign currencies. Long positions in the euro, British pound, Australian dollar and New Zealand dollar profited as the U.S. dollar weakened. The fall in the U.S. dollar was fueled after release of the U.S. Federal Reserve Open Market Committee suggested that U.S. interest rates would probably remain steady or be cut later in the year. In equity indices, both domestic and international stock prices continued to rally, which benefited the Fund’s long positions in that sector. Prices for raw materials continued to trend higher, resulting in gains for the Fund's long positions in the base metals markets, including copper and nickel. Analysts renewed expectations of continued demand from China and worries about a lack of supply. Late in the month, prices in precious metals fell sharply, which offset some of the gains in the metals sector. In the Agricultural sector, a fall in cocoa and soybean prices moved against the Fund’s long positions which led to some losses in that sector.

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A Units of the Fund were up 5.85% for the month of May 2007 and B Units were up 6.02%.  The Fund profited in May as stock indices, interest rate instruments and foreign currencies offset losses from metals, agricultural commodities and energy. The strongest gains came from interest rate instruments as the Fund’s short positions benefited from a rise in global interest rates. U.S. and international bond prices fell on strong economic data along with continued inflationary concerns. The Fund’s long positions in stock indices benefited from upward trends in both U.S. and international stock indices. Many of the broad equity indices hit new highs, including the S&P 500 which hit its highest level since March 2000. The Fund’s long positions in metals lost ground this month as prices were generally down on concerns over the strength of future Chinese imports. In agricultural commodities, the Fund’s long positions in soybean and bean oil were the sector’s most profitable contracts, although these gains were offset by losses from short positions in coffee.

A Units of the Fund were up 4.15% for the month of June 2007 and B Units were up 4.31%.  The Fund was profitable in June with gains from five of the six major market sectors. Interest rate instruments and foreign currencies generated the Fund’s strongest profits. A downward price trend in interest rate instruments continued from prior months benefiting the Fund's short positions. Stronger than expected U.S. retail sales and hawkish comments from the U.S. Federal Reserve pushed U.S. interest rates higher. In Europe, news of short term rate increases by the European Central Bank pushed international bond prices to multi-year lows including the UK Gilt and the 10-Year German Bund. In related moves, investors generally bought currencies in countries with rising interest rates and sold currencies with lower yielding rates. As a result, the Fund’s long positions in the euro, British pound, Australian and New Zealand dollar profited along with its short positions in the Japanese yen.

A Units of the Fund were down 8.66% for the month of July 2007 and B Units were down 8.52%. The Fund finished down for the month as global equity markets and interest rates reversed from previous trends. In previous months, the Fund’s long positions in equity indices profited from record breaking upward trends in both domestic and international equity indices. In July, growing concerns surrounding the instability of the U.S. sub-prime mortgage market fueled reversals in equity markets that went against the Fund’s long positions. In the final week of the month equities sold off sharply, including the S&P 500, DAX, FTSE, CAC, Hang Seng and Nikkei indices. The increased volatility in the equity markets sparked a flight to safety in bonds that reversed previous downward trends in both domestic and international interest rate instruments. The sudden move in interest rates went against the Fund’s short positions creating losses for the Fund. In foreign currencies, the Japanese yen rose sharply as investors unwound their “carry” trades that also went against the Fund’s short yen positions. Energies and metals finished in positive territory offsetting some of the losses in the other sectors.

A Units of the Fund were down 9.02% for the month of August 2007 and B Units were down 8.88%. The Fund finished down in August as dramatic market reversals spilled over into additional market sectors. The sectors that began reversing in late July continued to move against their long term trends. Concerns about losses in the sub-prime mortgage markets and liquidity shortages triggered sharp reversals in energies, metals and foreign currencies. The global sell-off in equities that began in mid-July, continued into August. As equity prices fell and credit spreads widened, investors raised liquidity by selling long positions in other market sectors including metals and energies. Prices in crude oil, heating oil, copper and gold reversed from their previous trends, which went against the Fund’s long positions. Carry trades, where investors had borrowed certain foreign currencies at low interest rates and purchased higher yielding fixed income instruments in other currencies, were abruptly unwound. This unwinding of positions caused sharp devaluations of the Australian and New Zealand dollar and strong appreciation of the Japanese yen. Each of these currency re-valuations occurred simultaneously and went against the Fund’s positions. Although the results for the month were disappointing, the trading systems responded appropriately to the sudden market volatility. The systematic programs significantly reduced the Fund’s open positions in the effected market sectors and reduced risk.

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A Units of the Fund were up 6.95% for the month of September 2007 and B Units were up 7.11%. The Fund had a strong finish to September with significant profits in four out of the six market sectors. The Fund’s biggest profits came from long positions in foreign currencies. The U.S. dollar fell against most major foreign currencies following the Federal Reserve’s decision to cut interest rates by 50 basis points. The Euro, Australian dollar and Canadian dollar posted the largest gains against the dollar, which benefited the Fund's long foreign currency positions. The weaker dollar also pushed several dollar-denominated commodities to record highs. Wheat prices, which were already in an upward trend from rising demand and low inventory levels, hit a record high of $9.39 a bushel on the Chicago Board of Trade. Oil hit an all time high of $83.90 a barrel and gold climbed $742.80 an ounce. The Fund profited from long positions in each of these markets. World stock indices rallied on the Fed’s interest rate decision benefiting the Fund’s long positions, with the strongest profits coming from the Hang Seng stock index.

A Units of the Fund were up 8.40% for the month of October 2007 and B Units were up 8.56%. Significant profits in four out of six market sectors led to another strong month for the Fund. The biggest profits came from long positions in the energy and foreign currency sectors. Tensions in the Middle East and a falling U.S. dollar contributed to record price increases in the energy complex. By the end of the month crude oil closed at an all-time nominal high of $94.53 a barrel. Rising prices in energy benefited the Fund’s long crude oil and heating oil positions. Expectations that the Federal Reserve might lower short-term interest rates in the U.S. fueled selling pressure on the U.S. dollar that gave rise to profits from long positions in the Australian dollar, euro, Canadian dollar and British pound. World stock indices also continued to rise, benefiting the Fund’s long positions in equity indices. In metals, the lower dollar stimulated a rise in the price of precious metals. By the end of the month, gold hit $795 an ounce; its highest level since January 1980. The upward trends in precious metals created profits for the Fund’s long metals positions.

A Units of the Fund were down 1.95% for the month of November 2007 and B Units were down 1.81%. The Fund experienced a net loss in November as profits from interest rate instruments and agricultural commodity sectors were offset by losses in currencies, equity indices and metals. News surrounding sub-prime mortgage problems continued to affect most financial markets. Long positions in Eurodollars, international bonds and domestic bonds created the Fund’s largest profits. Concerns that the credit market problems might slow capital spending helped erode U.S. and international equity prices, which hurt the Fund’s net long positions in those markets. As U.S. interest rates fell, the value of the U.S. dollar declined against many foreign currencies, which led to losses in that sector by the end of the month. Base metal prices fell this month on fears of a slowing economy including copper which fell to its lowest level since March 2007. The fall in prices went against the long term upward trend in metals creating losses for the Fund’s long positions.

A Units of the Fund were up 2.42% for the month of December 2007 and B Units were up 2.57%. The Fund generated a profit in December and closed out the year with a positive return. Profits from agricultural commodities, energy and metals offset losses from interest rate instruments, equity indices and foreign currencies. Agricultural commodity prices continued to trend higher on growing global demand and supply constraints. The rise in agricultural prices benefited the Fund’s long commodity positions including soybeans, corn and wheat. Long energy positions profited from rising prices, including light crude oil which ended the year near $98 per barrel. Metals prices, including gold, zinc, copper and aluminum trended higher, benefiting the Fund’s long positions in those contracts. A sell-off in long term interest rate instruments this month went against the Fund’s long positions. The sharp fall in prices came after the Federal Reserve announced a smaller than anticipated interest rate cut.

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2006

A Units of the Fund were up 1.18% for the month of January 2006 and B Units were up 1.33%.  In January, profits from metals, equity indices, energy and agricultural commodities offset losses from interest rate instruments and foreign currencies.  The Fund’s long positions in zinc, aluminum and copper generated the strongest profits in the metals sector.  The strong upward trends in metals from 2005 continued into January as capacity constrained producers tried to keep pace with industrial growth.  Global stock prices also continued their upward trends into 2006 benefiting the Fund’s long positions in equity indices.  Long positions in the energy sector delivered good profits as the price for light crude approached $70 per barrel.  Interest rate instruments were the poorest performing sector this month.  Medium to long-term bond prices declined which went against the Fund’s long positions.

A Units of the Fund were down 1.79% for the month of February 2006 and B Units were down 1.64%.  Losses from energy, metals, foreign currencies and agricultural commodities offset profits from equity indices and interest rate instruments.  The Fund’s most significant losses came from long positions in crude oil after the price of crude dropped nearly $10 per barrel following stronger than expected inventory reports.  Prices rebounded somewhat later in the month after reports of violence in Nigeria and an attempted refinery bombing in Saudi Arabia.  Short positions in natural gas produced positive returns as the price continued its strong downward trend despite a short cold snap in North America.  Short positions in the Japanese yen lost ground against several foreign currencies including the U.S. dollar, euro, Swiss franc and British pound as the yen strengthened amid speculation that Japanese interest rates might be raised sooner than expected.  The best single market was in the interest rates sector, where short positions in the Eurodollar profited from market expectations of further U.S. interest rate hikes.

A Units of the Fund were up 3.84% for the month of March 2006 and B Units were up 4.00%.  Profits in March came from interest rate instruments, equity indices, metals and energy sectors.  The Fund’s most significant profits came from short positions in interest rate instruments.  Worldwide bond prices continued a downward trend that gained momentum following comments from U.S. Federal Reserve and European central bank officials that fueled expectations of further rate hikes.  The Bank of Japan’s decision to drop its policy of “quantitative easing” caused yields on the Japanese government bond to rise sharply, while the yield on the U.S. 10-year Treasury note rose to its highest level since the start of the rate-tightening cycle in June 2004.  Despite rising interest rates, long positions in equity indices in U.S., European and Asian markets benefited from upward trends in those markets.  Metals profits were from long positions in both base and precious metals including silver, which reached a 22 year high.

A Units of the Fund were up 1.64% for the month of April 2006 and B Units were up 1.79%.  The Fund’s most significant profits in April came from long positions in metals and short positions in interest rate instruments.  An upward trend in metals prices continued in April with aluminum, copper, gold and silver reaching record highs.  The rise in base metals prices were fueled by revised international growth forecasts such as China, which reported a surprising first quarter growth of over 10%.  Tensions over Iran’s nuclear pursuits and fears of a potential conflict between the U.S. and Iran helped push gold and silver prices higher.  Iran’s threat to withhold critical oil exports drove crude oil prices to record highs, benefiting the Fund’s long energy positions.  The Fund’s short positions in long term interest rate instruments profited after the release of key U.S. economic data sent bond prices lower.  Statements from the U.S. Federal Reserve suggesting it might be close to ending the rate tightening policy caused a sell-off in the U.S. dollar. The falling dollar hurt the Fund’s short foreign currency positions.

29

A Units of the Fund were down 2.50% for the month of May 2006 and B Units were down 2.36%.  Price reversals across multiple market segments resulted in a net loss for the Fund in May.  Equity market prices fell sharply on inflation concerns and speculation on whether the U.S. Federal Reserve would continue its rate tightening policy.  The trend reversals in domestic and international stock indices, including the Nikkei, FTSE, S&P and CAC, hurt the Fund’s long indices positions.  Prices in energy contracts including light crude and heating oil fell from previous month’s highs as China announced its intention to allow further appreciation in the value of the Yuan.  The higher priced currency would make Chinese exports more expensive and thus curb demand for raw materials.  Energy and other commodity prices tumbled on the news, hurting the Fund’s long energy and metals positions.  Despite a pull-back from record highs however, net profits from metals prices remained positive.

A Units of the Fund were down 1.43% for the month of June 2006 and B Units were down 1.28%.  Price reversals across several market sectors resulted in a net loss for the Fund in June. Economists speculated that price reversals in stock indices, metals and currencies were a consequence of short-term interest rate increases by the world’s central banks. The Fund's short positions in the U.S. dollar relative to some foreign currencies, including the British pound, Euro and Australian dollar were negatively impacted by a rise in the U.S. currency this month.  Base metal prices including copper, nickel, zinc and aluminum fell on expectations of slower economic growth, hurting the Fund’s long positions. International equity indices including the Nikkei 225, DAX, and S&P 500 also moved lower and against the Fund’s long positions in those contracts. Profits from short positions in interest rate instruments offset some of the losses from the other sectors, although bond prices experienced significant price volatility during the month. The energy sector held on to modest profits as crude oil prices fell from earlier highs following positive news in Iraq and some easing of political tensions over Iran’s nuclear program.

AUnits of the Fund were down 3.35% for the month of July 2006 and B Units were down 3.21%.  Sharp price fluctuations across several market sectors resulted in a net loss for the Fund in July. The most significant losses came from interest rate instruments. Domestic and international bond prices moved higher reversing from their downward trends. This moved against the Fund’s short bond positions. Weaker than expected U.S. employment and retail sales data fueled speculation that the U.S. Federal Reserve might finally curtail its rate tightening policy. By the end of the month, weak GDP growth figures gave additional weight to that sentiment, sending domestic bond prices even higher. Euro zone government bonds also reversed on weak regional economic data announcements. Agricultural commodities including coffee and cocoa saw sharp price declines that hurt the Fund’s long positions. Crude oil prices also had a volatile month. WTI (West Texas Intermediate) hit an all-time high of US$79.45 a barrel amid worries that the conflict between Israel and Lebanon could spread to oil producing nations in the Middle East. Later in the month oil prices reversed amid calmer sentiment, which hurt the Fund's long energy positions. Currencies and metals finished the month in positive territory.

A Units of the Fund were up 0.05% for the month of August 2006 and B Units were up 0.20%. The Fund finished positive in August after profits from foreign currencies, equity indices, agricultural products and metals edged out losses from energy and interest rate instruments. The Fund’s most significant profits came from short positions in the Japanese yen and long positions in the British Pound. The release of softer than expected inflation data from Japan sent the yen lower against most major foreign currencies. Equity prices trended higher across many international exchanges benefiting the Fund’s long positions in indices. In agricultural products, the Fund’s short positions in soybeans benefited from a downward price trend that began in July. Coffee prices rose sharply throughout August on supply concerns that benefited the Fund’s long positions. The Fund’s long energy positions lost ground this month as rising inventory levels and lower risk to oil supplies pushed crude oil prices lower. Unleaded gasoline prices also fell after reports of a milder than expected Atlantic hurricane season suggested there would be fewer seasonal supply disruptions. Bond prices continued to rally throughout August hurting the Fund’s short positions in interest rate instruments.  Overall the Fund was up an estimated 5.8% over the last 12 months.

30

A Units of the Fund were down 1.17% for the month of September 2006 and B Units were down 1.03%. The Fund finished lower in September after losses in energy, metals, agricultural products and interest rate instruments offset gains from equity indices. The Fund’s most significant losses came from long positions in crude oil, heating oil and unleaded gas. Crude oil experienced its steepest decline in more than a decade as high inventories, lower geopolitical tensions and a mild hurricane season eased supply concerns. Oil prices fell about 20 percent in the last two months which is the steepest decline since the Gulf War in 1991. Losses from long positions in the metals sector came primarily from zinc, gold and silver. Metal prices fell on general fears that a possible global economic slowdown might curtail demand. Stock indices continued to rally this month on positive economic data and indications of lower interest rates. The rising stock indices benefited the Fund’s long indices positions.

A Units of the Fund were up 3.38% for the month of October 2006 and B Units were up 3.54%.  The Fund's profits in October came from stock indices, currencies, metals and the energy sector.  Domestic and international stock indices continued to rally this month benefiting the Fund’s long positions.  U.S. stock indices posted a series of record highs including the Dow Jones Industrial Average which passed through the 12,000 mark for the first time.  The S&P 500 and NASDAQ indices continued their upward trend as did the DAX, Nikkei and FTSE.  Short U.S. dollar positions were also profitable for the Fund.  The dollar traded lower after the U.S. Federal Reserve Bank announced it would leave short-term interest rates at 5.25%.  The dollar fell to three-week lows against the yen and euro.  The Fund profited from rising base metal prices including lead, zinc, nickel and aluminum.  Gains in the energy sector came from the Fund’s short crude and heating oil positions.  A broad downtrend in energy prices persisted for much of the month amid market perceptions of ample oil supplies.

A Units of the Fund were up 0.71% for the month of November 2006 and B Units were up 0.86%.  Profits from currencies, stock indices, and agricultural commodities offset losses from energy, interest rate instruments and metals.  The dollar fell against most major foreign currencies on concerns of slowing growth in the U.S. economy.  The possibility of easier U.S. monetary policy and rising European interest rates pushed the dollar to nineteen-month lows against the euro and eighteen-month lows against the British pound.  The Fund’s long positions in both the euro and British pound profited.  Domestic and international stock indices continued to rise which benefited the Fund’s long positions.  U.S. stock indices posted a series of record highs including the Dow Jones Industrial Average which passed through the 12,000 mark.  The S&P 500 and NASDAQ indices also continued their upward trend along with the DAX, Nikkei and FTSE.  In agricultural commodities, corn prices reached ten year highs benefiting the Fund’s long corn positions.  The Fund’s short positions in the energy sector were hurt by a price rally in crude oil late in the month.  Cold weather in the western U.S. and news that Sudan and Angola might join OPEC, pushed prices up to a two month high.

A Units of the Fund were up 6.48% for the month of December 2006 and B Units were up 6.65%.  In December, profits from currencies, equity indices, energy and interest rate instruments offset small losses in metals and agricultural products.  The Fund’s strongest gains in the month came from short positions in the Japanese yen and Swiss franc as each currency fell relative to the U.S. dollar.  The yen hit an eight-week low against the U.S. dollar.  Long positions in international equity indices finished higher as global equity markets continued an upward trend. The Dow Jones Industrial Average hit a record close 22 times this year ending with its best year since 2003 after gaining 16%. The Fund’s short positions in natural gas contracts benefited from a sharp sell-off following a forecast released by the National Weather Service. The forecast predicted a continuation of above normal temperatures for most of the continental US, which put downward pressure on natural gas, crude and heating oil prices. Metals registered a small loss for December with long positions hurt by falling silver and copper prices.

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ITEM 7A: Quantitative and Qualitative Disclosures about Market Risk.

Introduction

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

Market movements result in frequent changes in the fair 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 is not indicative of its future results.

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 of 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.

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

Quantitative Forward-Looking Statements

The following quantitative disclosures regarding the Fund's market risk exposures contain "forward-looking statements" within the meaning of the safe harbor from civil liability provided for such statements by the Private Securities Litigation Reform Act of 1995 (set forth in Section 27A of the Securities Act of 1933 and Section 21E of the Securities Exchange Act of 1934). 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 (such as the dollar amount of maintenance margin required for market risk sensitive instruments held at the end of the reporting period).

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 (realized or unrealized).

Exchange maintenance margin requirements have been used by the Fund as the measure of its Value at Risk.  Maintenance 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 maintenance 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.  Maintenance margin has been used rather than initial margin, because initial margin includes a credit risk component which is not relevant to Value at Risk.

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

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

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

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

The following tables indicate the trading Value at Risk associated with the Fund's open positions by market category as of December 31, 2008 and December 31, 2007.  All open position trading risk exposures of the Fund have been included in calculating the figures set forth below. As of December 31, 2008 and 2007, the Fund's total capitalization was $832,985,264 and $545,106,985, respectively.

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FISCAL YEAR 2008

	December 31,
	2008		2008			2007		2007
Market Sector	Value at Risk		% of Total Capitalization			Value at Risk		% of Total Capitalization
Agricultural	$	6,846,953		0.82	%	$	9,269,647		1.70	%
Currencies	$	10,756,469		1.29	%	$	20,235,368		3.71	%
Energy	$	6,615,912		0.79	%	$	14,281,139		2.62	%
Interest Rates	$	25,543,322		3.07	%	$	16,934,317		3.11	%
Metals	$	5,366,203		0.64	%	$	10,337,905		1.90	%
Stock Indices	$	7,907,758		0.95	%	$	11,788,343		2.16	%
Total	$	63,036,617		7.57	%	$	82,846,719		15.20	%

Of the 29.77% return for the year ended December 31, 2008 for A Units, approximately 43.34% was due to trading gains (after commissions) and approximately 3.25% was due to interest income, offset by approximately 16.82% in performance fees, management fees, selling agent fees and operating costs borne by the Fund.  Of the 32.08% return for the year ended December 31, 2008 for B Units, approximately 43.70% was due to trading gains (after commissions) and approximately 3.28% was due to interest income, offset by approximately 14.90% in performance fees, management fees, selling agent fees and operating costs borne by the Fund.

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

The face value of the market sector instruments held by the Fund is typically many times the applicable maintenance margin requirement (maintenance margin requirements generally ranging between approximately 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 tables - as well as the past performance of the Fund - gives no indication of this "risk of ruin."

Non-Trading Risk

The Fund has non-trading market risk on its foreign cash balances not needed for margin.  However, these balances (as well as the market risk they represent) are immaterial.  The Fund also has non-trading market risk as a result of investing a substantial portion of its available assets in Government-sponsored enterprises and high grade commercial paper.  The market risk represented by these investments is immaterial.

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Qualitative Disclosures Regarding Primary Trading Risk Exposures.

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

The following were the primary trading risk exposures of the Fund as of December 31, 2008, by market sector.

Agricultural

The Fund's agricultural exposure is primarily to soybeans, wheat, corn, coffee and cotton.

Currencies

Exchange rate risk is the principal market exposure of the Fund.  The Fund's currency exposure is to exchange rate fluctuations, primarily fluctuations which disrupt the historical pricing relationships between different currencies and currency pairs.  These fluctuations are influenced by interest rate changes as well as political and general economic conditions.  The Fund trades various currencies, including cross-rates - i.e., positions between two currencies other than the U.S. Dollar.  The General Partner does not anticipate that the risk profile of the Fund's currency sector will change significantly in the future.

Energy

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

Interest Rates

Interest rate risk is a significant market exposure of the Fund.  Interest rate movements directly affect the price of the sovereign bond futures positions held by the Fund and indirectly the value of its stock index and currency positions.  Interest rate movements in one country as well as relative interest rate movements between countries materially impact the Fund's profitability.  The Fund's primary interest rate exposure is to interest rate fluctuations in the United States, Japan, Great Britain, the Economic Union, Sweden, Canada, Australia and New Zealand.  The General Partner anticipates that interest rates fluctuations will remain the primary market exposure of the Fund for the foreseeable future.

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Metals

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

Stock Indices

The Fund's primary equity exposure is to equity price risk in many countries other than the U.S.  The stock index futures traded by the Fund are limited to futures on broadly based indices.  The Fund is primarily exposed to the risk of adverse price trends or static markets in the major U.S., European and Japanese indices.  (Static markets would not cause major market changes but would make it difficult for the Fund to avoid being "whipsawed" into numerous small losses.)

Qualitative Disclosures Regarding Non-Trading Risk Exposure.

The following were the only non-trading risk exposures of the Fund as of December 31, 2008.

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. Government Securities, Government-Sponsored Enterprises, Commercial Paper Securities and Corporate Notes

The Fund utilizes UBS Financial Services, Inc. as its cash management securities brokers for the investment of some margin excess amounts into short-term fixed income instruments including high grade commercial paper (interest bearing with some credit risk), Government-sponsored enterprises (interest bearing and credit risk free) and corporate notes with durations no longer than one year. In addition, U.S. Government securities are held with Newedge USA, LLC. Violent fluctuations in prevailing interest rates could cause immaterial mark-to-market losses on the Fund's short term investments; although substantially all of these short term 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 categories traded.  The Fund’s Advisors apply risk management policies to their respective trading which generally limit the total exposure that may be taken.  In addition, the Trading Advisors generally follow proprietary diversification guidelines (often formulated in terms of the balanced volatility between markets and correlated groups).

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

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ITEM 8: Financial Statements and Supplementary Data.

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

The supplementary financial information (“information about oil and gas producing activities”) specified by Item 302 of Regulation S-K is not applicable.

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

The Board of Directors of Steben & Company, Inc., the General Partner for Futures Portfolio Fund, LP (“Fund”) has engaged McGladrey & Pullen, LLP as the independent registered public accounting firm for the fund for the years ended December 31, 2008, 2007 and 2006.  On January 17, 2007, the General Partner was notified that a majority of the partners of Altschuler, Melvoin and Glasser LLP (AM&G) had become partners of McGladrey & Pullen, LLP and, as a consequence, that AM&G had resigned and would no longer be the auditor for the Fund.  McGladrey & Pullen, LLP was appointed as the Fund’s new auditor.

ITEM 9A: Controls and Procedures

Evaluation of Disclosure Controls and Procedures

Under the supervision and with the participation of the management of the General Partner, including its Chief Executive Officer and Chief Financial Officer, the Fund evaluated the effectiveness of the design and operation of the Fund’s disclosure controls and procedures (as defined in Rule 13(a)-15(e) under the Securities Exchange Act of 1934, as amended) as of December 31, 2008 (the “Evaluation Date”). 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. Based upon our evaluation, the Chief Executive Officer and Chief Financial Officer of the General Partner concluded that, as of the Evaluation Date, our disclosure controls and procedures were effective to provide reasonable assurance that they are timely alerted to the material information relating to the Fund required to be included in the Fund’s periodic SEC filings.

Management’s Annual Report on Internal Control over Financial Reporting

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

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

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

Management assessed the effectiveness of the Fund’s internal control over financial reporting as of December 31, 2008, based on the framework set forth by the Committee of Sponsoring Organizations of the Treadway Commission (COSO) in Internal Control-Integrated Framework. Based on that assessment, management concluded that, as of December 31, 2008, the Fund’s internal control over financial reporting is effective based on the criteria established in Internal Control-Integrated Framework.

This annual report does not include an attestation report of the Fund’s registered public accounting firm regarding internal control over financial reporting. Management’s report was not subject to attestation by the Fund’s registered public accounting firm pursuant to temporary rules of the Securities and Exchange Commission that permit the Fund to provide only management’s report in this annual report.

Changes in Internal Control Over Financial Reporting

There were no significant changes made in our internal controls during the most recently completed fiscal quarter or, to our knowledge, in other factors that could significantly affect these controls subsequent to the date of their last evaluation.

ITEM 9B: Other Information

None

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PART III

ITEM 10: Directors, Executive Officers, and Corporate Governance

10(a) and 10(b) Identification of Directors and Executive Officers

The Fund itself has no directors or officers and has no employees.  It is managed by the General Partner in its capacity as General Partner.  The Kenneth E. Steben Revocable Trust dated January 29, 2008 (“Trust”) is the sole shareholder of the General Partner and Mr. Kenneth E. Steben is the sole trustee and beneficiary of the Trust.  The directors and executive officers of the General Partner are Kenneth E. Steben, Michael D. Bulley, Barry R. Gainsburg, Ahmed S. Hassanein, and Neil D. Menard.

Executive Officers

Kenneth E. Steben is the General Partner’s founder, President and Chief Executive Officer.  Mr. Steben, along with Michael D. Bulley are responsible for deciding on the Fund’s allocation to the Trading Advisor, or other trading advisors in the future should they deem it in the best interest of the Fund.  Mr. Steben is registered with the CFTC as an associated person and with FINRA as a general securities principal.  Mr. Steben, born in January 1955, received his Bachelors Degree in Interdisciplinary Studies, with a concentration in Accounting in 1979 from Maharishi University of Management.  Mr. Steben has been a licensed stockbroker since 1981 and a licensed commodities broker since 1983. Mr. Steben holds his Series 3, 5, 7, 24, 63 and 65 FINRA and NFA licenses.  Mr. Steben is a Member of the CPO/CTA Advisory Committee to the NFA.   Mr. Steben has been a CFTC listed Principal, and registered as an Associated Person since March 15, 1989 and is a General Securities Principal of Steben & Company, Inc.

Michael D. Bulley is Senior Vice President of Research and Risk Management, and a Director.  Mr. Bulley is a CAIASM designee and Member of the Chartered Alternative Investment Analyst Association®.  Mr. Bulley, along with Kenneth E. Steben are responsible for deciding on the Fund’s allocation to the Trading Advisor, or other trading advisors in the future should they deem it in the best interest of the Fund.  Mr. Bulley, born in October 1957, received his Bachelors Degree in Electrical Engineering from the University of Wisconsin – Madison in 1980 and his Masters in Business Administration with a concentration in Finance from Johns Hopkins University in 1998.  Mr. Bulley joined Steben & Company in November 2002, and holds Series 3, 7, 28 and 30 FINRA and NFA licenses.  Mr. Bulley has been a CFTC listed Principal and registered as an Associated Person of Steben & Company, Inc. since February 11, 2003 and December 23, 2002, respectively.

Barry R. Gainsburg is the General Partner’s General Counsel and Chief Compliance Officer.  Mr. Gainsburg, born in July 1968, received his Bachelor of Arts in Political Science from Johns Hopkins University in January 1990 and his Juris Doctorate from Hofstra Law School in May 1993. Mr. Gainsburg joined Steben & Company, Inc. in November 2007 and became listed with the CFTC as a Principal and registered as an Associated Person of Steben & Company, Inc. on December 4, 2007 and November 21, 2007, respectively.  Prior to joining Steben & Company, Inc., Mr. Gainsburg was Director of Compliance at John W. Henry & Company, Inc., a commodity trading advisor and commodity pool operator, from March 2001 to November 2007, as well as its affiliates Westport Capital Management Corporation, Global Capital Management Limited and JWH Securities, Inc.  Mr. Gainsburg is admitted to practice law in the states of New York and Florida. Mr. Gainsburg holds his Series 3, 7, 24 and 63 NFA and FINRA licenses.

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Ahmed S. Hassanein is Chief Operating Officer, Chief Financial Officer and a Director.  Mr. Hassanein, born in May 1972, received his Bachelor of Science in Accounting from the University of Maryland at College Park in 1994 and his Masters in Business Administration with a concentration in Finance from Marymount University in 2000.  Prior to joining Steben & Company in April 2007, Mr. Hassanein served in a number of key positions at Friedman, Billings, Ramsey Group, Inc., a financial services firm that provides investment banking, institutional brokerage and research, and asset management services in the United States and Europe, from March 1997 to March 2007. Most recently, Mr. Hassanein was Senior Vice President of the Asset Management Group where he was responsible for the oversight of all finance, accounting, operational and administration functions for the Alternative Asset, Mutual Fund and Private Wealth Groups which, on a combined basis, managed approximately $2.5 billion in assets. Prior to that, Mr. Hassanein was part of Friedman, Billings, Ramsey Group, Inc.’s Principal Investing Group where he was responsible for the administration, marketing and investor relations of two commercial paper conduits with a combined program size of $17 billion. Before joining the Principal Investing Group, Mr. Hassanein spent over six years in Friedman, Billings, Ramsey Group, Inc.’s Finance Group where he was an integral part of the firm’s Initial Public Offering in December 1997 and served in various capacities including Corporate Controller. Mr. Hassanein is a Certified Public Accountant, holds his Series 3, 7, 28 and 63 NFA and FINRA licenses and is a registered representative and the Financial Operations Principal of Steben & Company. Mr. Hassanein has been a CFTC listed Principal and registered as an Associated Person of Steben & Company since December 4, 2007 and July 31, 2008, respectively.

Neil D. Menard is Director of Sales and Marketing.  Mr. Menard, born in August 1967, graduated from Colby College in 1989 with a BA in political science.  Prior to joining Steben & Company in July of 2006, Mr. Menard was the Director of Sales for Engagement Systems, LLC, a strategic outsource solution for independent financial advisors from October 2004 to June of 2006.  From June 2003 to October 2004, Mr. Menard served as the Managing Director of New Business Development. Mr. Menard created sales and selection systems for the new business development team and utilized these processes to select independent investment advisors for SEI. Mr. Menard holds his Series 3, 7, 24 and 63 FINRA and NFA licenses and is a General Securities Principal.  Mr. Menard has been registered as an Associated Person and a CFTC listed Principal of Steben & Company, Inc. since August 7, 2006 and July 6, 2006, respectively.

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

Since February 29, 2004, Steben & Company acts as general partner to another Maryland limited partnership, Sage Fund, L.P., whose units of limited partnership interest are not registered with the SEC.  As of March 27, 2007, Steben & Company acts as the general partner of a Delaware limited partnership, Aspect Global Diversified Fund LP, whose units of limited partnership interest were registered with the SEC pursuant to a public offering that was effective August 12, 2008. Because Steben & Company serves as the sole general partner of both of these funds, the officers and directors of Steben & Company effectively manage them as officers and directors of the respective funds.

(c)  Identification of certain significant employees

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

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(d)  Family relationships

None.

(e)  Business experience

See Item 10 (a) and (b) above.

(f)  Involvement in certain legal proceedings

None.

(g)  Promoters and control persons

Not applicable.

Section 16 (A) Beneficial Ownership Reporting Compliance

Section 16 of the Securities Exchange Act of 1934, as amended, requires that reports of beneficial ownership of limited partnership units and changes in such ownership be filed with the Securities and Exchange Commission by Section 16 “reporting persons.”  The Fund is required to disclose in this Annual Report on Form 10K each reporting person whom it knows to have failed to file any required reports under Section 16 on a timely basis during the fiscal year ended December 31, 2008.  During the fiscal year ended December 31, 2008, all reporting persons complied with all Section 16(a) filing requirements applicable to them.

Code of Ethics

The General Partner on behalf of the Fund has adopted a code of ethics, as of the period covered by this report, which applies to the Fund’s principal executive officer and principal financial officer or persons performing similar functions.  A copy of the code of ethics is available without charge upon request by calling 240-631-9808.

ITEM 11: Executive Compensation

The Fund does not itself have any officers, directors or employees.  The Fund pays management fees and performance fees to the General Partner, Steben & Company.  The managing officers of Steben & Company are remunerated by Steben & Company in their respective positions.  As compensation for its services in managing the Fund, the General Partner will receive a monthly management fee of 0.1625% of the month-end Net Assets of the Fund (1.95% annually).  To the extent permitted by law, the General Partner may also participate in Selling Agent commissions.  The General Partner pays the selling agent’s fee to the respective selling agent.  If the selling agent’s fee is not paid to the selling agent, or the General Partner was the selling agent, such portion of the selling agents’ fee is retained by the General Partner.

In addition, the General Partner will receive an allocation pro rata from the other Partners of 1% of any increase (or decrease) in the Fund’s Net Assets, without regard to additions and withdrawals.  In cases where the Selling Agent does not receive the continuing Selling Agent compensation as described herein, this fee will be retained by the General Partner.

 

The directors and managing officers receive no “other compensation” from the Fund.  There are no compensation plans or arrangements relating to a change in control of either the Fund or Steben & Company.

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ITEM 12: Security Ownership of Certain Beneficial Owners and Management.

The Fund has no officers or directors.  Its affairs are managed by its General Partner, Steben & Company, Inc. Set forth in the table below is information regarding the beneficial ownership of the officers of the Fund’s General Partner as of February 28, 2009.  There are no securities authorized for issuance under an equity compensation plan.

(a)  Security ownership of certain beneficial owners.

As of February 28, 2009, no person or “group” is known to have been the beneficial owner of more than 5% of the Units.

All of the Fund’s general partner interest is held by the General Partner.

(b)  Security ownership of management

As of February 28, 2009, Steben & Company did not own any Units.  The principals of Steben & Company, owned a total of 35.5269 B Units, the value of which represents 0.0264% of the total value of the fund.

As of February 28, 2009, the directors, executive officers, and principals of the General Partner own beneficially Units as follows.

Name	Value of Units		Percentage of Limited Partnership
Kenneth E. Steben	$	201,420		0.0230	%
Michael D. Bulley		1,454		0.0002	%
Neil D. Menard		28,470		0.0032	%
Total directors and executive officers of the General Partner as a group	$	231,344		0.0264	%

(c)  Changes in Control.

None.

ITEM 13: Certain Relationships and Related Transactions, and Director Independence.

The Fund allocated to the General Partner $13,379,664, $10,186,030 and $8,822,422 in monthly management fees and $9,479,794, $7,375,387 and $6,385,159 in Selling Agent commissions for the years ended December 31, 2008, 2007 and 2006, respectively.  The General Partner in turn pays the Selling Agent commissions to the Selling Agents except for units for which it served as the Selling Agent or where there is currently no designated Selling Agent.  The General Partners 1 percent allocation of income amounted to $1,879,337, $250,318 and $347,793 for the years ended December 31, 2008, 2007 and 2006, respectively.

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The Fund will pay its accounting, audit, legal, administrative and offering expenses estimated at approximately 0.65% per year.  However, if and to the extent these expenses (other than extraordinary costs, none of which are anticipated) exceed 1.00% of the Fund’s assets per calendar year, the General Partner will reimburse the Fund for such excess after the close of the applicable year.  For the years ended December 31, 2008, 2007 and 2006, the Fund paid approximately $4,429,151, $3,420,036 and $3,030,593, respectively, to the General Partner for these expenses.

For the years ended December 31, 2008, 2007 and 2006, actual operating expenses exceeded (were below) 1.00% of average month-end net assets of the Fund by ($475,275), ($335,443) and $148,806, respectively. Additionally, for the years ended December 31, 2008, 2007 and 2006, the General Partner voluntarily paid $1,894,004, $1,383,324 and $1,112,845, respectively, of operating expenses of the Fund.

The Fund does not and will not make any loans to the General Partner, its affiliates, or their respective officers, directors or employees.

ITEM 14. PRINCIPAL ACCOUNTING FEES AND SERVICES

The following table sets forth the fees billed to the Fund for professional audit services provided by McGladrey & Pullen, LLP, the Fund’s independent registered public accountant, for the audit of the Fund’s annual financial statements for the years ended December 31, 2008 and 2007, and fees billed for other professional services rendered by McGladrey & Pullen, LLP and RSM McGladrey, Inc. (an associated entity of McGladrey & Pullen, LLP) during those years.

FEE CATEGORY	2008		2007
Audit Fees(1)	$	160,000	$	180,350
Audit-Related Fees		-		-
Tax Fees(2)		25,000		41,500
All Other Fees		-		-
TOTAL FEES	$	185,000	$	221,850

________

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

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

The Audit Committee of the Fund’s General Partner, Steben & Company, pre-approves all audit and permitted non-audit services of the Fund’s independent accountants, including all engagement fees and terms. The Audit Committee of Steben & Company approved all the services provided by McGladrey & Pullen, LLP and RSM McGladrey, Inc. (collectively “McGladrey”) during 2008 and 2007 to the Fund described above. The Audit Committee has determined that the payments made to McGladrey for these services during 2008 and 2007 are compatible with maintaining that firm’s independence.

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PART IV

ITEM 15: Exhibits, Financial Statement Schedules.

(a)(1)                 Financial Statements

Futures Portfolio Fund, Limited Partnership

Report of Independent Registered Public Accounting Firm

Statements of Financial Condition as of December 31, 2008 and 2007

Condensed Schedules of Investments as of December 31, 2008 and 2007

Statements of Operations for the Years Ended December 31, 2008, 2007, and 2006

Statements of Cash Flows for the Years Ended December 31, 2008, 2007, and 2006

Statements of Changes in Partners’ Capital (Net Asset Value) for the Years Ended December 31, 2008, 2007, and 2006

Notes to Financial Statements

Also included herewith:

(a)(2)                 Financial statement schedules not included in this Form 10-K have been omitted for the reason that they are not required or are not applicable or that equivalent information has been included in the financial notes or statements thereto.

(b)  Exhibits.

The following exhibits are filed herewith.

Exhibit Number	Description of Document
1.1	Form of Selling Agreement.*
3.1	Maryland Certificate of Limited Partnership.*
4.1	Limited Partnership Agreement.*
10.1	Form of Subscription Agreement. *
16.1	Letter regarding change in certifying accountant.*
31.01	Rule 13a-14(a)/15d-14(a) Certification of Principal Executive Officer
31.02	Rule 13a-14(a)/15d-14(a) Certification of Principal Financial Officer
32.01	Section 1350 Certification of Principal Executive Officer
32.02	Section 1350 Certification of Principal Financial Officer

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

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SIGNATURES

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

Name	Title	Date
/s/ Kenneth E. Steben Kenneth E. Steben	President, Chief Executive Officer and Director	March 31, 2009
/s/ Ahmed S. Hassanein Ahmed S. Hassanein	Chief Operating Officer, Chief Financial Officer and Director	March 31, 2009
/s/ Michael Bulley Michael D. Bulley	Senior Vice President, Research & Risk Management and Director	March 31, 2009

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

Dated March 31, 2009	FUTURES PORTFOLIO FUND, LIMITED PARTNERSHIP
	By:	Steben & Company, Inc.
		General Partner
	By:	/s/ Kenneth E. Steben
	Name:	Kenneth E. Steben
	Title:	President, Chief Executive Officer and Director of the General Partner

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REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

To the Partners of

Futures Portfolio Fund, Limited Partnership

We have audited the accompanying statements of financial condition, including the condensed schedules of investments, of Futures Portfolio Fund, Limited Partnership (the “Fund”), as of December 31, 2008 and 2007, and the related statements of operations, cash flows, and changes in partners’ capital (net asset value) for each of the three years in the period ended December 31, 2008. These financial statements are the responsibility of the Fund's management. Our responsibility is to express an opinion on these financial statements based on our audits.

We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States).  Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements. An audit also includes assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion.

In our opinion, the financial statements referred to above present fairly, in all material respects, the financial position of Futures Portfolio Fund, Limited Partnership as of December 31, 2008 and 2007, and the results of its operations and its cash flows for each of the three years in the period ended December 31, 2008, in conformity with U.S. generally accepted accounting principles.

We were not engaged to examine management’s assessment of the effectiveness of Futures Portfolio Fund, Limited Partnership’s internal control over financial reporting as of December 31, 2008 included in the accompanying Management’s Annual Report on Internal Control over Financial Reporting and, accordingly, we do not express an opinion thereon.

/s/ McGladrey & Pullen, LLP

Chicago, Illinois

March 30, 2009

F-1

Futures Portfolio Fund, Limited Partnership

Statements of Financial Condition

December 31, 2008 and 2007

	2008			2007
Assets
Equity in broker trading accounts
Cash	$	218,445,964		$	80,795,179
U.S. Government securities, at fair value (cost - $66,403,849 and $48,771,500)		66,972,902			49,838,000
Interest receivable		28,073			239,155
Net unrealized gain on open futures contracts		34,492,682			31,261,259
Net unrealized loss on open forward currency contracts		(1,202,959	)		(973,940	)
Deposits with brokers		318,736,662			161,159,653
Cash and cash equivalents		286,560,159			4,742,633
Commercial paper, at fair value (cost - $139,797,933 and $392,780,866)		140,590,377			396,351,403
Government-sponsored enterprises, at fair value (cost - $74,304,142 and $0)		75,198,945			-
Corporate notes, at fair value (cost - $77,628,692 and $0)		78,147,406			-
Total assets	$	899,233,549		$	562,253,689
Liabilities
Accounts payable — General Partner	$	1,313,479		$	888,469
Commissions and other trading fees on open contracts		60,314			99,972
General Partner management fee		1,374,743			896,247
General Partner 1 percent allocation		1,879,337			250,318
Advisor management fees		1,492,038			1,353,970
Advisor incentive fees		18,771,604			4,301,628
Selling agents’ fee		971,084			646,034
Redemptions payable		10,448,411			4,753,938
Subscriptions received in advance		29,937,275			3,956,128
Total liabilities		66,248,285			17,146,704
Partners' Capital (Net Asset Value)
Class A Interests - 108,989.0639 units and 94,188.7078 units outstanding at December 31, 2008 and 2007, respectively	$	547,011,351		$	364,289,314
Class B Interests -  44,268.0740 units and 36,968.6171 units outstanding at December 31, 2008 and 2007, respectively		285,973,913			180,817,671
Total partners' capital (net asset value)		832,985,264			545,106,985
Total liabilities and partners' capital (net asset value)	$	899,233,549		$	562,253,689

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

F-2

Futures Portfolio Fund, Limited Partnership

Condensed Schedule of Investments

December 31, 2008

U.S. Government Securities

Face Value		Maturity Date	Description	Fair Value		% of Net  Asset Value
$	67,000,000	01/08/09	U.S. Treasury Bill, 1.820% *	$	66,972,902		8.04	%
			Total U.S. Government  securities * (cost - $66,403,849)	$	66,972,902		8.04	%

Government-Sponsored Enterprises

Face Value		Maturity Date	Description	Fair Value		% of Net  Asset Value
$	75,204,000	01/02/09	Fed Home Ln Discount Nt, 2.42%		75,198,945		9.03	%
			Total Government-sponsored enterprises (cost - $74,304,142)	$	75,198,945		9.03	%

Commercial Paper

Face Value		Maturity Date	Description	Fair Value		% of Net Asset Value
$	47,000,000	03/06/09	Royal Bk Of Scotland Grp, 2.65%	$	46,778,578		5.62	%
	41,670,000	03/10/09	Citigroup Funding Inc, 3.05%		41,429,934		4.97	%
	5,000,000	03/10/09	Citigroup Funding Inc, 2.43%		4,977,050		0.60	%
	19,800,000	05/04/09	Shell Intl Finance Bv, 2.08%		19,659,288		2.36	%
	28,000,000	05/04/09	Societe Generale N Amer, 2.66%		27,745,527		3.33	%
			Total commercial paper securities (cost - $139,797,933)	$	140,590,377		16.88	%

Corporate Notes

Face Value		Maturity Date	Description	Fair Value		% of Net  Asset Value
$	50,461,000	03/25/09	Bear Stearns Co. (JP Morgan Chase & Co.), 3.25%	$	50,631,503		6.08	%
	27,500,000	08/19/09	Proc & Gamb Intl F, 2.49%		27,515,903		3.30	%
			Total corporate notes (cost - $77,628,692)	$	78,147,406		9.38	%

* Pledged as collateral for the trading of futures contracts.

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

F-3

Futures Portfolio Fund, Limited Partnership

Condensed Schedule of Investments (continued)

December 31, 2008

Long U.S. Futures Contracts**

Description	Net unrealized gain (loss) on open long contracts			% of Net Asset Value
Agricultural	$	209,623			0.03	%
Currency		583,235			0.07	%
Energy		36,851			0.00	%
Interest rate		7,568,968			0.91	%
Metal		(5,458,382	)		(0.66	%)
Stock index		283,733			0.03	%
Total long U.S. futures contracts	$	3,224,028			0.38	%

Short U.S. Futures Contracts**

Description	Net unrealized gain (loss) on open short contracts			% of Net Asset Value
Agricultural	$	203,129			0.02	%
Currency		(536,035	)		(0.06	%)
Energy		1,136,871			0.14	%
Interest rate		(34,304	)		0.00	%
Metal		12,050,348			1.45	%
Stock index		(100,242	)		(0.01	%)
Total short U.S. futures contracts	$	12,719,767			1.54	%
Total U.S. futures contracts	$	15,943,795			1.92	%

Long Foreign Futures Contracts**

Description	Net unrealized gain on open long contracts		% of Net Asset Value
Agricultural	$	526,077		0.06	%
Currency		386,518		0.05	%
Interest rate		13,673,497		1.64	%
Metal		132		0.00	%
Stock index		353,887		0.04	%
Total long foreign futures contracts	$	14,940,111		1.79	%

** No individual futures or forward currency contract position constituted greater than 1 percent of net asset value. Accordingly, the number of contracts and expiration dates are not presented.

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

F-4

Futures Portfolio Fund, Limited Partnership

Condensed Schedule of Investments (continued)

December 31, 2008

Short Foreign Futures Contracts**

Description	Net unrealized gain (loss) on open short contracts			% of Net Asset Value
Agricultural	$	1,586,457			0.19	%
Currency		768,035			0.09	%
Energy		761,334			0.09	%
Interest rate		(443,162	)		(0.05	%)
Metal		1,194,857			0.14	%
Stock index		(258,745	)		(0.03	%)
Total short foreign futures contracts	$	3,608,776			0.43	%
Total foreign futures contracts	$	18,548,887			2.22	%
Net unrealized gain on open futures contracts	$	34,492,682			4.14	%

U.S. Forward Currency Contracts**

Description	Net unrealized gain (loss) on open long/short contracts			% of Net Asset Value
Long forward currency contracts	$	495,615			0.06	%
Short forward currency contracts		(1,697,447	)		(0.20	%)
Total U.S. forward currency contracts	$	(1,201,832	)		(0.14	%)

Foreign Forward Currency Contracts**

Description	Net unrealized gain (loss) on open long/short contracts			% of Net Asset Value
Long forward currency contracts	$	217,280			0.03	%
Short forward currency contracts		(218,407	)		(0.03	%)
Total foreign forward currency contracts	$	(1,127	)		0.00	%
Net unrealized loss on open forward currency contracts	$	(1,202,959	)		(0.14	%)

** No individual futures or forward currency contract position constituted greater than 1 percent of net asset value. Accordingly, the number of contracts and expiration dates are not presented.

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

F-5

Futures Portfolio Fund, Limited Partnership

Condensed Schedule of Investments

December 31, 2007

U.S. Government Securities

Face Value		Maturity Date	Description	Fair Value		% of Net  Asset Value
$	10,000,000	01/24/08	U.S. Treasury Bill, 4.860%	$	9,967,600		1.83	%
	8,000,000	01/24/08	U.S. Treasury Bill, 4.860%		7,974,080		1.46	%
	32,000,000	01/24/08	U.S. Treasury Bill, 4.860%		31,896,320		5.85	%
			Total U.S. Government securities * (cost - $48,771,500)	$	49,838,000		9.14	%

Commercial Paper

Face Value		Maturity Date	Description	Fair Value		% of Net Asset Value
$	35,180,000	01/10/08	UBS Finance Delaware LLC, 5.19%	$	35,134,354		6.45	%
	26,083,000	01/14/08	Societe Generale N Amer, 5.175%		26,034,257		4.78	%
	26,714,000	03/13/08	HSBC Finance Corp, 4.91%		26,451,669		4.85	%
	22,533,000	04/17/08	Calyon North America Inc, 4.705%		22,217,892		4.08	%
	45,000,000	04/24/08	Bank Of America Corp, 4.65%		44,337,375		8.13	%
	45,195,000	04/28/08	Morgan Stanley, 4.91%		44,467,637		8.16	%
	20,456,000	05/01/08	Citigroup Funding Inc, 4.58%		20,141,103		3.69	%
	30,655,000	05/01/08	General Elec Cap Corp, 4.47%		30,194,434		5.54	%
	11,000,000	05/01/08	UBS Finance Delaware LLC, 4.54%		10,832,146		1.99	%
	17,990,000	05/07/08	HSBC Finance Corp, 4.43%		17,708,851		3.25	%
	15,264,000	05/07/08	Societe Generale N Amer, 4.54%		15,019,530		2.76	%
	43,035,000	06/05/08	Merrill Lynch & Co, 4.89%		42,123,088		7.73	%
	15,000,000	06/09/08	General Elec Cap Corp, 4.53%		14,698,000		2.70	%
	23,000,000	06/10/08	Calyon North America Inc, 4.7%		22,516,553		4.13	%
	25,000,000	06/10/08	Credit Suisse New York, 4.7%		24,474,514		4.49	%
			Total commercial paper securities (cost - $392,780,866)	$	396,351,403		72.73	%

Long U.S. Futures Contracts**

Description	Net unrealized gain (loss) on open long contracts			% of Net Asset Value
Agricultural	$	9,905,656			1.82	%
Currency		(781,790	)		(0.14	%)
Energy		8,299,334			1.52	%
Interest rate		3,876,269			0.71	%
Metal		(73,393	)		(0.01	%)
Stock index		(467,033	)		(0.09	%)
Total long U.S. futures contracts	$	20,759,043			3.81	%

* Pledged as collateral for the trading of futures contracts.

** No individual futures or forward currency contract position constituted greater than 1 percent of net asset value. Accordingly, the number of contracts and expiration dates are not presented.

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

F-6

Futures Portfolio Fund, Limited Partnership

Condensed Schedule of Investments (continued)

December 31, 2007

Short U.S. Futures Contracts**

Description	Net unrealized gain (loss) on open short contracts			% of Net Asset Value
Agricultural	$	203,954			0.04	%
Currency		(774,127	)		(0.14	%)
Energy		(1,828,920	)		(0.34	%)
Interest rate		(16,125	)		0.00	%
Metal		4,049,987			0.74	%
Stock index		(119,263	)		(0.02	%)
Total short U.S. futures contracts	$	1,515,506			0.28	%
Total U.S. futures contracts	$	22,274,549			4.09	%

Long Foreign Futures Contracts**

Description	Net unrealized gain (loss) on open long contracts		% of Net Asset Value
Agricultural	$	2,479,202		0.45	%
Currency		272,276		0.05	%
Energy		1,009,197		0.19	%
Interest rate		2,076,143		0.38	%
Metal		1,230,189		0.23	%
Stock index		651,010		0.12	%
Total long foreign futures contracts	$	7,718,017		1.42	%

Short Foreign Futures Contracts**

Description	Net unrealized gain (loss) on open short contracts			% of Net Asset Value
Agricultural	$	(296,089	)		(0.05	%)
Currency		(113,994	)		(0.02	%)
Energy		(70,818	)		(0.01	%)
Interest rate		715,526			0.13	%
Metal		9,768			0.00	%
Stock index		1,024,300			0.19	%
Total short foreign futures contracts	$	1,268,693			0.24	%
Total foreign futures contracts	$	8,986,710			1.66	%
Net unrealized gain on open futures contracts	$	31,261,259			5.75	%

** No individual futures or forward currency contract position constituted greater than 1 percent of net asset value. Accordingly, the number of contracts and expiration dates are not presented.

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

F-7

Futures Portfolio Fund, Limited Partnership

Condensed Schedule of Investments (continued)

December 31, 2007

U.S. Forward Currency Contracts**

Description	Net unrealized gain (loss) on open long/short contracts			% of Net Asset Value
Long forward currency contracts	$	(1,774,645	)		(0.33	%)
Short forward currency contracts		982,357			0.18	%
Total U.S. forward currency contracts	$	(792,288	)		(0.15	%)

Foreign Forward Currency Contracts**

Description	Net unrealized gain (loss) on open long/short contracts			% of Net Asset Value
Long forward currency contracts	$	(39,572	)		(0.01	%)
Short forward currency contracts		(142,080	)		(0.03	%)
Total foreign forward currency contracts	$	(181,652	)		(0.04	%)
Net unrealized loss on open forward currency contracts	$	(973,940	)		(0.19	%)

** No individual futures or forward currency contract position constituted greater than 1 percent of net asset value. Accordingly, the number of contracts and expiration dates are not presented.

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

F-8

Futures Portfolio Fund, Limited Partnership

Statements of Operations

Years Ended December 31, 2008, 2007 and 2006

	2008			2007			2006
Trading Gains
Net realized gain	$	260,418,189		$	47,377,804		$	18,594,300
Net change in unrealized gain		3,002,404			641,048			27,906,017
Brokerage commissions		(1,866,008	)		(2,283,456	)		(1,715,388	)
Net gain from trading		261,554,585			45,735,396			44,784,929
Net Investment Loss
Income
Interest income		19,068,236			26,770,478			22,657,865
Expenses
General Partner management fee		13,379,664			10,186,030			8,822,422
General Partner 1 percent allocation		1,879,337			250,318			347,793
Advisor management fees		11,318,439			9,712,368			8,858,211
Advisor incentive fee		53,999,585			16,604,111			4,989,571
Selling agents’ fee		9,479,794			7,375,387			6,385,159
Operating expenses		6,405,612			4,979,458			4,869,769
Total expenses		96,462,431			49,107,672			34,272,925
Operating expenses waived		(1,894,004	)		(1,383,324	)		(1,261,651	)
Net total expenses		94,568,427			47,724,348			33,011,274
Net investment loss		(75,500,191	)		(20,953,870	)		(10,353,409	)
Net Income	$	186,054,394		$	24,781,526		$	34,431,520

	2008				2007				2006
	Class A		Class B		Class A		Class B		Class A		Class B
Increase in Net Asset Value Per Unit	$	1,151.31	$	1,568.94	$	142.06	$	263.30	$	236.46	$	370.78
Net Income Per Unit (based on weighted average number of units outstanding)	$	1,205.31	$	1,615.84	$	154.85	$	284.12	$	254.04	$	392.07

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

F-9

Futures Portfolio Fund, Limited Partnership

Statements of Cash Flows

Years Ended December 31, 2008, 2007 and 2006

	2008			2007			2006
Cash flows provided by (used in) operating activities
Net income	$	186,054,394		$	24,781,526		$	34,431,520
Adjustments to reconcile net income to net cash provided by (used in) operating activities
Net change in unrealized gains		(3,002,404	)		(641,048	)		(27,906,017	)
Net proceeds (purchases) of commercial paper		255,761,026			(206,718,438	)		(64,911,649	)
Net purchases of corporate notes		(78,147,406	)		-			-
Net purchases of investments in U.S. Government securities		(17,134,902	)		(49,838,000	)		-
Net proceeds (purchases) of investments in Government-sponsored enterprises		(75,198,945	)		135,581,067			(115,749,956	)
Decrease in interest receivable		211,082			429,291			26,925
Increase (decrease) in accounts payable and accrued expenses		15,796,942			2,431,332			(78,769	)
Increase (decrease) in General Partner 1 percent allocation		1,629,019			(97,475	)		198,477
Net cash provided by (used in) operating activities		285,968,806			(94,071,745	)		(173,989,469	)
Cash flows provided by (used in) financing activities
Contributions of units		186,069,173			86,364,306			152,284,070
Subscriptions received in advance		29,937,275			3,956,128			6,574,568
Redemption of units		(82,506,943	)		(80,330,612	)		(68,706,788	)
Net cash provided by financing activities		133,499,505			9,989,822			90,151,850
Net increase (decrease) in cash and cash equivalents		419,468,311			(84,081,923	)		(83,837,619	)
Cash and cash equivalents
Beginning of year		85,537,812			169,619,735			253,457,354
End of year	$	505,006,123		$	85,537,812		$	169,619,735
End of year cash and cash equivalents consists of:
Cash in broker trading accounts	$	218,445,964		$	80,795,179		$	165,335,453
Cash and cash equivalents		286,560,159			4,742,633			4,284,282
Total end of year cash and cash equivalents	$	505,006,123		$	85,537,812		$	169,619,735
Supplemental schedule of non-cash financing activities:
Redemptions payable	$	10,448,411		$	4,753,938		$	8,411,042

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

F-10

Futures Portfolio Fund, Limited Partnership

Statements of Changes in Partners' Capital (Net Asset Value)

Years Ended December 31, 2008, 2007 and 2006

	Class A Interests						Class B Interests
	Units			Amount			Units			Amount			Total
Balance at December 31, 2005		75,378.5969		$	263,005,434			26,635.1317		$	113,386,679		$	376,392,113
Net income					21,442,103						12,989,417			34,431,520
Contributions		30,279.5071			106,165,077			14,353.8625			61,862,531			168,027,608
Redemptions		(13,508.4970	)		(47,448,810	)		(6,255.2669	)		(27,342,338	)		(74,791,148	)
Transfers		(517.2813	)		(1,779,681	)		418.1003			1,779,681			-
Balance at December 31, 2006		91,632.3257		$	341,384,123			35,151.8276		$	162,675,970		$	504,060,093
Net income					14,481,809						10,299,717			24,781,526
Contributions		16,692.1516			61,337,528			6,911.4374			31,601,346			92,938,874
Redemptions		(13,602.7165	)		(50,952,284	)		(5,520.7112	)		(25,721,224	)		(76,673,508	)
Transfers		(533.0530	)		(1,961,862	)		426.0633			1,961,862			-
Balance at December 31, 2007		94,188.7078		$	364,289,314			36,968.6171		$	180,817,671		$	545,106,985
Net income					120,149,003						65,905,391			186,054,394
Contributions		27,723.6530			120,571,420			12,536.8009			69,453,881			190,025,301
Redemptions		(12,681.8275	)		(56,920,876	)		(5,427.0141	)		(31,280,540	)		(88,201,416	)
Transfers		(241.4694	)		(1,077,510	)		189.6701			1,077,510			-
Balance at  December 31, 2008		108,989.0639		$	547,011,351			44,268.0740		$	285,973,913		$	832,985,264

Net Asset Value Per Unit
December 31, 2008				December 31, 2007				December 31, 2006				December 31, 2005
Class A		Class B		Class A		Class B		Class A		Class B		Class A		Class B
$	5,018.96	$	6,460.05	$	3,867.65	$	4,891.11	$	3,725.59	$	4,627.81	$	3,489.13	$	4,257.03

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

F-11

Futures Portfolio Fund, Limited Partnership

Notes to the Financial Statements

Note 1: ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES

General Description of the Fund:

Futures Portfolio Fund, Limited Partnership (the “Fund”) is a Maryland limited partnership which operates as a commodity investment pool. The Fund utilizes commodity trading advisors to engage in the trading of futures contracts, forward currency contracts, swap contracts, and other financial instruments.

The Fund will automatically terminate on December 31, 2025, unless terminated earlier as provided in the Limited Partnership Agreement.

Regulation:

The Fund is a registrant with the Securities and Exchange Commission (“SEC”) pursuant to the Securities Exchange Act of 1934 (the “Act”). As a registrant, the Fund is subject to the regulations of the SEC and the informational requirements of the Act. As a commodity pool, the Fund is subject to the regulations of the Commodity Futures Trading Commission, an agency of the United States (“U.S.”) government which regulates most aspects of the commodity futures industry; rules of the National Futures Association, an industry self-regulatory organization; and the requirements of commodity exchanges where the Fund executes transactions. Additionally, the Fund is subject to the requirements of Futures Commission Merchants (brokers) and Interbank market makers through which the Fund trades.

Classes of Interests:

The Fund has two classes of limited partnership interests (“Interests”), Class A and Class B. The General Partner may offer additional classes at its discretion. Both Class A and Class B Interests are traded pursuant to identical trading programs and differ only in respect to the selling agents’ fees. Class B Interests are issued only at the General Partner’s discretion and are generally intended for investors who are participating in fee based investment advisory programs. All items of income or loss, except for the selling agents’ fees, are allocated pro rata between Class A and Class B Interests. The selling agents’ fees applicable to each class of Interest are then charged to each class. All items of income or loss allocated to each class of Interest are then allocated pro rata to each Limited Partner within each class. For purposes of both financial reporting and calculation of redemption value, net asset value per Class A or Class B unit is calculated by dividing the net asset value of Class A or Class B by the number or outstanding units of Class A or Class B.

F-12

Futures Portfolio Fund, Limited Partnership

Notes to the Financial Statements

Significant accounting policies are as follows:

Use of Estimates:

The preparation of financial statements in conformity with generally accepted accounting principles requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenue and expenses during the reporting period. Actual results could differ from those estimates.

Revenue Recognition:

Futures, options on futures, forward currency, and swap contracts are recorded on a trade date basis, and gains or losses are realized when contracts are liquidated. 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 a net gain or loss, as there exists a right of offset of unrealized gains or losses in accordance with Financial Accounting Standards Board Interpretation (“FASB”) No. 39 – Offsetting of Amounts Related to Certain Contracts, as amended by FASB No. 39-1 – Amendment of FASB Interpretation No. 39 (“FIN 39-1”). Any change in net unrealized gain or loss from the preceding period is reported in the statement of operations. Commercial paper, corporate notes, U.S. Government securities and Government-sponsored enterprises are recorded at amortized cost and interest is accrued and recorded through maturity, which approximates fair value.  Fair value of exchange-traded contracts is based upon settlement prices. Fair value of non-exchange traded contracts is based upon third-party quoted dealer values on the Interbank market.

Cash and Cash Equivalents:

Cash equivalents are highly liquid investments with an original maturity of three months or less at the date of acquisition that are not held for sale in the normal course of business. The Fund is at risk to the extent that it maintains balances with such institutions in excess of insured limits.  As of December 31, 2008, significant cash balances held at Newedge USA, LLC, UBS Financial Services, Inc. and Bank of America are $218,445,964, $204,886,354 and $81,663,804, respectively.  As of December 31, 2007, significant cash balances held at Newedge USA, LLC and Bank of America are $80,795,179 and $4,683,674, respectively.

Brokerage Commissions:

Brokerage commissions include other trading fees and are charged to expense when contracts are opened.

Redemptions Payable:

Redemptions payable represent redemptions approved by the General Partner prior to period end, including those that are not effective until subsequent periods.  These redemptions have been recorded using the period end net asset value per unit in accordance with the provisions of Statement of Financial Accounting Standards No. 150, Accounting for Certain Financial Instruments with Characteristics of both Liabilities and Equity.

F-13

Futures Portfolio Fund, Limited Partnership

Notes to the Financial Statements

Income Taxes:

The Fund prepares calendar year U.S. and applicable state 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, however, may be required to file returns in various state and local jurisdictions as a result of its operations or the residency of its partners. On January 1, 2007, the Fund adopted Financial Accounting Standards Board (FASB) Interpretation No. 48 (FIN 48), Accounting for Uncertainty in Income Taxes which defines the threshold for recognizing the benefits of tax return positions in the financial statements as “more-likely-than-not” to be sustained by the taxing authority. FIN 48 applies to all tax positions accounted for under Statement of Financial Accounting Standards No. 109, Accounting for Income Taxes. For the years ended December 31, 2008 and 2007, respectively, no income tax liability for uncertain tax positions has been recognized in the accompanying financial statements.  The 2005 through 2008 tax years generally remain subject to examination by U.S. federal and most state tax authorities.

Fair Value of Financial Instruments:

In September 2006, the FASB issued Statement of Financial Accounting Standards No. 157, Fair Value Measurements (“SFAS No. 157”).  SFAS No. 157 defines fair value, establishes a framework for measuring fair value and expands disclosures about fair value measurement and also emphasizes that fair value is a market-based measurement, not an entity-specific measurement.  SFAS No. 157 is effective for fiscal years beginning after November 15, 2007, except for nonfinancial assets and nonfinancial liabilities that are recognized or disclosed at fair value in the financial statements on a nonrecurring basis for which delayed application is permitted until fiscal years beginning after November 15, 2008.  The adoption of SFAS No. 157 was effective for the Fund on January 1, 2007, and did not impact our financial position, results of operations or cash flows.

SFAS No. 157 defines fair value as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date and sets out a fair value hierarchy.  The 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).  Inputs are broadly defined under SFAS 157 as assumptions market participants would use in pricing an asset or liability. The three levels of the fair value hierarchy under SFAS 157 are described below:

Level 1.  Unadjusted quoted prices in active markets for identical assets or liabilities that the reporting entity has the ability to access at the measurement date.

Level 2.  Inputs other than quoted prices within Level 1 that are observable for the asset or liability, either directly or indirectly.  A significant adjustment to a Level 2 input could result in the Level 2 measurement becoming a Level 3 measurement.

Level 3.  Inputs are unobservable for the asset or liability.

The following section describes the valuation techniques used by the Fund to measure different financial instruments at fair value and includes the level within the fair value hierarchy in which the financial instrument is categorized.

F-14

Futures Portfolio Fund, Limited Partnership

Notes to the Financial Statements

The following table presents the Fund’s fair value hierarchy for those assets and liabilities measured at fair value on a recurring basis as of December 31, 2008:

	Level 1		Level 2			Total
Equity in broker trading accounts
Futures contracts	$	34,492,682	$	-		$	34,492,682
Forward currency contracts		-		(1,202,959	)		(1,202,959	)
U.S. Government securities		66,972,902		-			66,972,902
Commercial paper		-		140,590,377			140,590,377
Government-sponsored enterprises		-		75,198,945			75,198,945
Corporate notes		-		78,147,406			78,147,406
Cash and cash equivalents
Money market funds		256,592,512		-			256,592,512

There were no Level 3 holdings as of December 31, 2008.

Fair value of exchange traded contracts is based upon exchange settlement prices. Fair value of non-exchange traded contracts is based on third-party quoted dealer values on the Interbank market. The investments in money market funds and futures contracts are valued using quoted market prices and are classified within Level 1. The fair values of forward currency contracts are based upon an underlying asset, index, or reference rate or a combination of these factors and are classified within Level 2. The Fund uses some, and when applicable, all of these financial instruments as part of its trading activities. The recorded values of commercial paper, Government-sponsored enterprises, U.S. Government securities and corporate notes are based on amortized cost carrying amounts due to the short-term maturity of the instruments and are classified within Level 1 or 2. Therefore, their carrying amounts approximate their fair values.

Foreign Currency Transactions:

The Fund’s functional currency is the U.S. dollar; however, it transacts business in currencies other than the U.S. dollar.  Assets and liabilities denominated in currencies other than the U.S. dollar are translated into U.S. dollars at the rates in effect at the date of the statement of financial condition. Income and expense items denominated in currencies other than the U.S. dollar are translated into U.S. dollars at the rates in effect during the period. Gains and losses resulting from the translation to U.S. dollars are reported in income currently as part of net trading gains and losses.

Reclassification:

Certain amounts in the 2007 and 2006 financial statements have been reclassified to conform with the 2008 presentation.

Recently Adopted Accounting Pronouncements:

In April 2007, the FASB issued Interpretation No. 39-1, Amendment of FASB Interpretation No. 39 (“FIN 39-1”).  FIN 39-1 defines “right of setoff” and specifies what conditions must be met for a derivative contract to qualify for this right of setoff.  It also addresses the applicability of a right of setoff to derivative instruments and clarifies the circumstances in which it is appropriate to offset amounts recognized for multiple derivative instruments executed with the same counterparty under a master netting arrangement and fair value amounts recognized for the right to reclaim cash collateral (a receivable) or the obligation to return cash collateral (a payable) arising from the same master netting arrangement as the derivative instruments.  This interpretation is effective for fiscal years beginning after November 15, 2007.  The adoption of FIN 39-1 did not have a material impact on the Fund’s financial statements.

F-15

Futures Portfolio Fund, Limited Partnership

Notes to the Financial Statements

Recent Accounting Pronouncements:

In March 2008, the FASB issued SFAS No. 161, Disclosures about Derivative Instruments and Hedging Activities, an Amendment of FASB Statement No. 133 (SFAS 161). SFAS 161 is intended to improve transparency in financial reporting by requiring enhanced disclosures of an entity’s derivative instruments and hedging activities and their effects on the entity’s financial position, financial performance, and cash flows. SFAS 161 applies to all derivative instruments within the scope of SFAS 133. It also applies to non-derivative hedging instruments and all hedged items designated and qualifying as hedges under SFAS 133. SFAS 161 amends the current qualitative and quantitative disclosure requirements for derivative instruments and hedging activities set forth in SFAS 133 and generally increases the level of disaggregation that will be required in an entity’s financial statements. SFAS 161 requires qualitative disclosures about objectives and strategies for using derivatives, quantitative disclosures about fair value amounts of gains and losses on derivative instruments, and disclosures about credit-risk related contingent features in derivative agreements. SFAS 161 is effective prospectively for financial statements issued for fiscal years and interim periods beginning after November 15, 2008. SFAS 161 is effective for the Fund in its year ending December 31, 2009. As this pronouncement is only disclosure related, it will not have an impact on the Fund’s financial position or results of operations.

Note 2: GENERAL PARTNER

The General Partner of the Fund is Steben & Company, Inc., which conducts and manages the business of the Fund.  During the years ended December 31, 2008, 2007 and 2006, the General Partner did not maintain a capital balance in the Fund; however, the sole shareholder of the General Partner has an investment in Class B Interests of the Fund.

During the years ended December 31, 2008, 2007 and 2006, the General Partner received the following compensation:

·  Class A Interests incur a monthly management fee equal to 1/12 of 1.95 percent (1.95 percent per annum) of the net asset value of the Class A Interests as of the last day of each month.

·  Class A Interests incur a monthly selling agents’ fee equal to 1/12 of 2 percent (2.00 percent per annum) of the net asset value of the Class A Interests as of the last day of each month. The General Partner, in turn, pays the selling agents’ fees to the respective selling agents. If the selling agents’ fees are not paid to the selling agent, or the General Partner was the selling agent, such portions of the selling agents’ fees are retained by the General Partner.

·  Class B Interests incur a monthly management fee equal to 1/12 of 1.95 percent (1.95 percent per annum) of the net asset value of the Class B Interests as of the last day of each month.

·  Class B Interests incur a monthly selling agents’ fee equal to 1/12 of 0.20 percent (0.20 percent per annum) of the net asset value of the Class B Interests as of the last day of each month.  The General Partner, in turn, pays the selling agents’ fees to the respective selling agents.  If the selling agents’ fees are not paid to the selling agent, or the General Partner was the selling agent, such portions of the selling agents’ fees are retained by the General Partner.

Pursuant to the terms of the Limited Partnership Agreement, the General Partner receives 1 percent of any increase or decrease in the Fund’s net assets, as defined.  Such amount is reflected as the General Partner 1 percent allocation in the statements of financial condition and the statements of operations.

F-16

Futures Portfolio Fund, Limited Partnership

Notes to the Financial Statements

Note 3: COMMODITY TRADING ADVISORS

The Fund has Advisory Agreements with various commodity trading advisors, pursuant to which the Fund pays each commodity trading advisor a monthly or quarterly management fee equal to 0 percent, 1 percent or 2 percent per annum of allocated net assets (as separately defined in each respective Advisory Agreement) and a quarterly or annual incentive fee equal to 20 percent, 25 percent or 30 percent of net new Trading Profits (as separately defined in each respective Advisory Agreement).

Note 4: DEPOSITS WITH BROKERS

The Fund deposits funds with brokers, subject to Commodity Futures Trading Commission regulations and various exchange and broker requirements. Margin requirements are satisfied by the deposit of U.S. Treasury bills and cash with such brokers. The Fund earns interest income on its assets deposited with the brokers.

Note 5: OPERATING EXPENSES

The Fund is responsible for all of its operating expenses such as accounting, audit, legal, administrative, marketing and offering expenses.  Operating expenses also include salary and administrative costs incurred by the General Partner relating to marketing and administration of the Fund, such as salaries and commissions of General Partner marketing personnel, and administrative employee salaries and related costs.  Pursuant to the terms of the Limited Partnership Agreement, operating expenses that exceed 1 percent of the average month-end net assets of the Fund are the responsibility of the General Partner.  For the years ended December 31, 2008, 2007 and 2006, actual operating expenses exceeded (were below) this 1 percent (pro rated operating expense limitation) of average month-end net assets of the Fund by ($475,275), ($335,443), and $148,806, respectively, with such excess amount included in operating expenses waived in the statements of operations.  Additionally, during the years ended December 31, 2008, 2007 and 2006, the General Partner voluntarily paid $1,894,004, $1,383,324 and $1,112,845, respectively, of operating expenses of the Fund, with such amounts also included in operating expenses waived in the statements of operations.  As of December 31, 2008 and 2007, $1,313,749 and $888,469, respectively, were payable to the General Partner for operating expenses not waived.  Such amounts are presented as accounts payable in the statements of financial condition.

Note 6: SUBSCRIPTIONS, DISTRIBUTIONS, AND REDEMPTIONS

Investments in the Fund are made by subscription agreement, subject to acceptance by the General Partner. Units are sold at the net asset value per Class A or Class B unit as of the close of business on the last day of the month in which the subscription is accepted. Investors whose subscriptions are accepted are admitted as Limited Partners as of the beginning of the month following the month in which their subscriptions were accepted. At December 31, 2008, 2007 and 2006, the Fund had received subscriptions of $29,937,275, $3,956,128, and $6,574,568, respectively, which were effective subsequent to year-end.

The Fund is not required to make distributions, but may do so at the sole discretion of the General Partner. A Limited Partner may request and receive redemption of Class A or Class B units owned at the end of any month, subject to 15 days written notice to the General Partner and restrictions in the Limited 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 nonexempt prohibited transaction (see SA-4, “Investment by Employee Benefit Plans”) under the Employee Retirement Income Security Act of 1974, as amended, or the Internal Revenue Code of 1986, as amended, or (b) beneficial to the Fund or (c) necessary to comply state, federal, or other self-regulatory organization regulations.

F-17

Futures Portfolio Fund, Limited Partnership

Notes to the Financial Statements

Note 7: TRADING ACTIVITIES AND RELATED RISKS

The Fund engages in the speculative trading of futures, swaps, options and over-the-counter contracts, including currency forwards traded in the United States and internationally (collectively, “derivatives”). The Fund is exposed to both market risk, the risk arising from changes in the fair value of the contracts, and credit risk, the risk of failure by another party to perform according to the terms of a contract.

Purchase and sale of futures contracts requires margin deposits with the brokers. Additional deposits may be necessary for any loss on contract value. The Commodity Exchange Act 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 Bills) 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 utilizes Newedge USA, LLC, as its futures broker and Newedge Group (UK Branch) as its options broker and forwards counterparty.

The Fund trades forward currency contracts in unregulated markets between principals and assumes the risk of loss from counterparty nonperformance. Accordingly, the risks associated with forward currencies 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 substantial portion of its assets on deposit with Interbank market makers and other financial institutions in connection with its trading of forward currency contracts and its cash management activities. In the event of an Interbank market maker’s or financial institution’s insolvency, recovery of Fund assets on deposit may be limited to account insurance or other protection afforded such deposits.

The Fund utilizes UBS Financial Services, Inc. as its cash management securities broker for the investment of some margin excess amounts into short-term fixed income instruments including high grade commercial paper (interest bearing with some credit risk), U.S. Government securities and Government-sponsored enterprises (interest bearing and credit risk free) with durations no longer than one year. The Fund invests in certain commercial paper issued by an affiliate of UBS Financial Services, Inc. Fluctuations in prevailing interest rates could cause immaterial market-to-market losses on the Fund’s U.S. Government securities and other fixed income instruments, although substantially all of the short-term investments are held to maturity.

For derivatives, risks arise from changes in the market value of the contracts. Theoretically, the Fund is exposed to a market risk equal to the value of futures and forward contracts purchased and unlimited liability on such contracts sold short. As both a buyer and seller of options, the Fund pays or receives a premium at the outset and then bears the risk of unfavorable changes in the price of the contract underlying the option. Written options expose the Fund to potentially unlimited liability; for purchased options the risk of loss is limited to the premiums paid.

In addition to market risk, in 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 United States 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 nonperformance by one of their members and, as such, should significantly reduce this credit risk. In cases where the clearinghouse is not backed by the clearing members, like some non-U.S. exchanges, it is normally backed by a consortium of banks or other financial institutions.

F-18

Futures Portfolio Fund, Limited Partnership

Notes to the Financial Statements

In the case of forward contracts, over-the-counter options contracts or swap 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. The Fund trades only with those counterparties that it believes to be creditworthy. All positions of the Fund are valued each day on a mark-to-market basis. There can be no assurance that any clearing member, clearinghouse or other counterparty will be able to meet its obligations to the Fund.

The unrealized gain (loss) on open futures and forward currency contracts is comprised of the following:

	Futures Contracts (exchange traded)						Forward Currency Contracts (non-exchange traded)
	December 31, 2008			December 31, 2007			December 31, 2008			December 31, 2007
Gross unrealized gains	$	45,886,155		$	41,301,339		$	2,924,001		$	1,944,903
Gross unrealized losses		(11,393,473	)		(10,040,080	)		(4,126,960	)		(2,918,843	)
Net unrealized gain (loss)	$	34,492,682		$	31,261,259		$	(1,202,959	)	$	(973,940	)

The General Partner has established procedures to actively monitor market risk and minimize credit risk, although there can be no assurance that it will, in fact, succeed in doing so. The Limited Partners bear the risk of loss only to the extent of the fair value of their respective investments and, in certain specific circumstances, distributions and redemptions received.

Note 8: INDEMNIFICATIONS

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

F-19

Futures Portfolio Fund, Limited Partnership

Notes to the Financial Statements

Note 9: FINANCIAL HIGHLIGHTS

The following information presents per unit operating performance data and other supplemental financial data for the years ended December 31, 2008, 2007 and 2006.  This information has been derived from information presented in the financial statements.

	2008						2007						2006
	Class A			Class B			Class A			Class B			Class A			Class B
	Interests			Interests			Interests			Interests			Interests			Interests
Per Unit Performance (for a unit outstanding throughout the entire year)
Net asset value per unit at beginning of year	$	3,867.65		$	4,891.11		$	3,725.59		$	4,627.81		$	3,489.13		$	4,257.03
Income from operations:
Gain from trading (1)		1,676.14			2,137.36			314.98			395.22			340.44			418.38
Net investment loss (1)		(524.83	)		(568.42	)		(172.92	)		(131.92	)		(103.98	)		(47.60	)
Total income from operations		1,151.31			1,568.94			142.06			263.30			236.46			370.78
Net asset value per unit at end of year	$	5,018.96		$	6,460.05		$	3,867.65		$	4,891.11		$	3,725.59		$	4,627.81
Total return		29.77	%		32.08	%		3.81	%		5.69	%		6.78	%		8.71	%
Supplemental data
Ratios to average net asset value:
Expenses prior to advisor incentive fees (2), (3)		6.71	%		4.88	%		6.65	%		4.83	%		6.96	%		5.16	%
Advisor incentive fees		8.10	%		8.10	%		3.24	%		3.22	%		1.14	%		1.12	%
Total expenses		14.81	%		12.98	%		9.89	%		8.05	%		8.10	%		6.28	%
Net investment loss (2), (3)		(11.95	%)		(10.13	%)		(4.68	%)		(2.85	%)		(2.96	%)		(1.10	%)

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

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

(2) All of the ratios under the supplemental data are computed net of voluntary and involuntary waivers of operating expenses.  For 2008, 2007 and 2006, the ratios are net of approximately 0.35%, 0.33% and 0.25% respectively, of average net asset value relating to the voluntary waiver of operating expenses. Both the nature and the amounts of the waivers are more fully explained in Note 5.

(3) The net investment loss includes interest income and excludes gains from trading activities as shown on the statement of operations.  The total amount is then reduced by all expenses, excluding brokerage commissions. The resulting amount is divided by the average net asset value for the year.

F-20