FUTURES PORTFOLIO FUND L.P. - FORM 10-Q

Attached files

file	filename
EXCEL - IDEA: XBRL DOCUMENT - FUTURES PORTFOLIO FUND L.P.	Financial_Report.xls
EX-32.1 - CERTIFICATION OF CHIEF EXECUTIVE OFFICER - FUTURES PORTFOLIO FUND L.P.	ex32-1.htm
EX-31.1 - CERTIFICATION OF CHIEF EXECUTIVE OFFICER - FUTURES PORTFOLIO FUND L.P.	ex31-1.htm
EX-32.2 - CERTIFICATION OF CHIEF FINANCIAL OFFICER - FUTURES PORTFOLIO FUND L.P.	ex32-2.htm
EX-31.2 - CERTIFICATION OF CHIEF FINANCIAL OFFICER - FUTURES PORTFOLIO FUND L.P.	ex31-2.htm

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM 10-Q

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

For the quarterly period ended September 30, 2014

Commission file number: 000-50728

FUTURES PORTFOLIO FUND, LIMITED PARTNERSHIP

Organized in Maryland

IRS Employer Identification No.: 52-1627106

c/o Steben & Company, Inc.

9711 Washingtonian Blvd., Suite 400

Gaithersburg, Maryland 20878

(240) 631-7600

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

Yes ☒ No ☐

Indicate by check mark whether the registrant has submitted electronically and posted on its corporate Web site, if any, every Interactive Data File required to be submitted and posted pursuant to Rule 405 of Regulation S-T during the preceding 12 months (or for such shorter period that the registrant was required to submit and post such files).

Yes ☒ No ☐

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

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

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

Yes ☐ No ☒

PART I: FINANCIAL INFORMATION

Item 1. Financial Statements

Futures Portfolio Fund, Limited Partnership

Consolidated Statements of Financial Condition

September 30, 2014 (Unaudited) and December 31, 2013 (Audited)

	September 30, 2014			December 31, 2013
Assets
Equity in broker trading accounts
Cash	$	259,918,610		$	289,217,101
Net unrealized gain (loss) on open futures contracts		19,893,623			37,958,108
Net unrealized gain (loss) on open forward currency contracts		(4,539,267	)		695,075
Total equity in broker trading accounts		275,272,966			327,870,284
Cash and cash equivalents		25,702,137			22,745,016
Investment in swap contract, at fair value		15,967,905			—
Investments in securities, at fair value		396,227,308			530,922,246
Certificates of deposit, at fair value		28,886,206			42,625,053
General Partner 1% allocation receivable		—			283,366
Total assets	$	742,056,522		$	924,445,965

Liabilities and Partners’ Capital (Net Asset Value)
Liabilities
Trading Advisor management fees payable	$	752,232		$	2,512,701
Trading Advisor incentive fees payable		3,832,220			177,898
Commissions and other trading fees payable on open contracts		151,633			144,920
Cash Manager fees payable		106,373			164,805
General Partner management and performance fees payable		911,527			1,145,591
General Partner 1% allocation payable		88,360			—
Selling Agent fees payable – General Partner		825,460			1,016,111
Administrative expenses payable – General Partner		185,761			344,649
Investment Manager fees payable		63,431			—
Distribution (12b-1) fees payable		57			—
Operating services fee payable		25,372			—
Redemptions payable		12,068,807			36,130,211
Subscriptions received in advance		5,658,415			2,399,374
Total liabilities		24,669,648			44,036,260
Partners’ Capital (Net Asset Value)
Class A Interests – 110,745.8776 and 133,795.0412 units outstanding at September 30, 2014 and December 31, 2013, respectively		460,839,675			550,501,395
Class B Interests – 42,772.7517 and 56,246.4420 units outstanding at September 30, 2014 and December 31, 2013, respectively		253,834,381			325,651,536
Class I Interests – 2,445.6642 and 4,675.5936 units outstanding at September 30, 2014 and December 31, 2013, respectively		2,300,937			4,256,774
Non-controlling interest		411,881			—
Total partners’ capital (net asset value)		717,386,874			880,409,705
Total liabilities and partners’ capital (net asset value)	$	742,056,522		$	924,445,965

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

Futures Portfolio Fund, Limited Partnership

Consolidated Condensed Schedule of Investments

September 30, 2014

(Unaudited)

					Description				Fair Value		% of Partners’ Capital (Net Asset Value)
INVESTMENTS IN SECURITIES
	U.S. Treasury Securities
		Face Value		Maturity Date	Name	Yield¹
		$	7,200,000	11/30/14	U.S. Treasury Note		2.13	%	$	7,275,898		1.01	%
			3,185,000	12/15/14	U.S. Treasury Note		0.25	%		3,188,592		0.44	%
			2,700,000	12/31/14	U.S. Treasury Note		0.13	%		2,701,274		0.38	%
			3,700,000	1/31/15	U.S. Treasury Note		0.25	%		3,704,015		0.52	%
			1,000,000	2/28/15	U.S. Treasury Note		2.38	%		1,014,239		0.14	%
			3,000,000	3/31/15	U.S. Treasury Note		2.50	%		3,036,650		0.42	%
			5,000,000	4/30/15	U.S. Treasury Note		0.13	%		5,004,570		0.70	%
			1,000,000	4/30/15	U.S. Treasury Note		2.50	%		1,024,642		0.14	%
			5,500,000	5/31/15	U.S. Treasury Note		0.25	%		5,511,496		0.77	%
			4,100,000	5/31/15	U.S. Treasury Note		2.13	%		4,185,163		0.58	%
			3,000,000	11/30/15	U.S. Treasury Note		1.38	%		3,054,528		0.43	%
			3,000,000	1/15/16	U.S. Treasury Note		0.38	%		3,006,720		0.42	%
			2,000,000	7/15/16	U.S. Treasury Note		0.63	%		2,007,259		0.28	%
		Total U.S. Treasury securities (cost: $44,816,559)								44,715,046		6.23	%

	U.S. Government Sponsored Enterprise Notes
			Face Value	Maturity Date	Name		Yield¹
		$	2,000,000	9/18/15	Federal Home Loan Banks		0.20	%		2,000,753		0.28	%
		Total U.S. government sponsored entities (cost: $1,999,600)								2,000,753		0.28	%

	U.S. Commercial Paper
			Face Value	Maturity Date	Name		Yield¹
		Automotive
		$	1,400,000	10/6/14	Nissan Motor Acceptance Corporation		0.24	%		1,399,952		0.20	%
			400,000	11/21/14	Nissan Motor Acceptance Corporation		0.28	%		399,841		0.06	%
			1,500,000	10/8/14	VW Credit, Inc.		0.25	%		1,499,927		0.21	%
		Banks
			2,000,000	11/6/14	Bank of Tokyo-Mitsubishi UFJ, Ltd.		0.17	%		1,999,660		0.28	%
			1,000,000	11/3/14	Manhattan Asset Funding Company LLC		0.16	%		999,853		0.14	%
			2,500,000	11/21/14	Mizuho Funding LLC		0.20	%		2,499,309		0.35	%
			1,800,000	10/20/14	Standard Chartered Bank		0.14	%		1,799,867		0.25	%
			300,000	11/13/14	Standard Chartered Bank		0.19	%		299,932		0.04	%
			1,600,000	11/13/14	Toronto Dominion Holdings (U.S.A.), Inc.		0.13	%		1,599,752		0.22	%
		Beverages
			2,100,000	10/22/14	Bacardi U.S.A., Inc.		0.23	%		2,099,718		0.28	%
			400,000	10/7/14	Brown-Forman Corporation		0.11	%		399,993		0.06	%
		Charity
			500,000	10/20/14	Catholic Health Initiatives		0.11	%		499,971		0.07	%

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

Futures Portfolio Fund, Limited Partnership

Consolidated Condensed Schedule of Investments (continued)

September 30, 2014

(Unaudited)

				Description				Fair Value		% of Partners’ Capital (Net Asset Value)
U.S. Commercial Paper (continued)
	Face Value		Maturity Date	Name	Yield¹
	Diversified Financial Services
	$	2,000,000	11/3/14	ABN AMRO Funding USA LLC		0.18	%	$	1,999,745		0.28	%
		250,000	10/15/14	AXA Financial, Inc.		0.21	%		249,980		0.03	%
		1,500,000	11/3/14	DCAT, LLC		0.22	%		1,499,698		0.21	%
		1,800,000	10/1/14	Gotham Funding Corporation		0.18	%		1,800,000		0.25	%
		200,000	10/22/14	ING (U.S.) Funding LLC		0.21	%		199,976		0.03	%
		2,100,000	10/23/14	ING (U.S.) Funding LLC		0.20	%		2,099,745		0.28	%
		500,000	10/17/14	J.P. Morgan Securities LLC		0.16	%		499,964		0.07	%
		1,800,000	10/14/14	Liberty Street Funding LLC		0.15	%		1,799,903		0.25	%
		1,500,000	11/12/14	Sheffield Receivables Corporation		0.18	%		1,499,685		0.21	%
	Energy
		500,000	10/6/14	Dominion Resources, Inc.		0.22	%		499,985		0.07	%
		1,100,000	10/16/14	Dominion Resources, Inc.		0.22	%		1,099,899		0.15	%
		1,700,000	10/7/14	Enterprise Products Operating LLC		0.25	%		1,699,929		0.24	%
		500,000	10/20/14	Enterprise Products Operating LLC		0.25	%		499,934		0.07	%
		400,000	10/23/14	Oglethorpe Power Corporation		0.12	%		399,971		0.06	%
		1,500,000	10/20/14	Sempra Energy Global Enterprises		0.28	%		1,499,778		0.21	%
		300,000	10/22/14	Sempra Energy Global Enterprises		0.28	%		299,951		0.04	%
		400,000	10/15/14	Southern Company Funding Corporation		0.17	%		399,974		0.06	%
		1,700,000	10/29/14	Southern Company Funding Corporation		0.18	%		1,699,762		0.24	%
	Total U.S. commercial paper (cost: $35,237,691)								35,245,654		4.91	%

Foreign Commercial Paper
	Face Value		Maturity Date	Name		Yield¹
	Banks
	$	500,000	10/16/14	Nordea Bank AB		0.12	%		499,975		0.07	%
		1,600,000	10/23/14	Oversea-Chinese Banking Corporation Ltd		0.18	%		1,599,824		0.22	%
		2,000,000	11/14/14	Oversea-Chinese Banking Corporation Ltd		0.18	%		1,999,660		0.28	%
		500,000	10/10/14	Skandinaviska Enskilda Banken AB		0.14	%		499,982		0.07	%
		1,800,000	10/3/14	Sumitomo Mitsui Banking Corporation		0.14	%		1,799,986		0.25	%
		500,000	10/27/14	Sumitomo Mitsui Banking Corporation		0.15	%		499,946		0.07	%
	Beverages
		500,000	10/9/14	Diageo Capital PLC		0.25	%		499,972		0.07	%
	Consumer Products
		3,000,000	4/21/15	Reckitt Benckiser Treasury Services PLC		0.18	%		2,996,790		0.41	%
	Diversified Financial Services
		1,800,000	11/19/14	Toyota Credit Canada Inc.		0.17	%		1,799,583		0.25	%
	Energy
		2,500,000	1/2/15	Electricite de France		0.18	%		2,498,549		0.35	%
		1,550,000	10/27/14	GDF Suez		0.16	%		1,549,821		0.22	%
	Multi-National
		2,200,000	10/15/14	Corporacion Andina de Fomento		0.16	%		2,199,863		0.31	%
	Total foreign commercial paper (cost: $18,424,354)								18,443,951		2.57	%
	Total commercial paper (cost: $53,662,045)								53,689,605		7.48	%

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

Futures Portfolio Fund, Limited Partnership

Consolidated Condensed Schedule of Investments (continued)

September 30, 2014

(Unaudited)

				Description			Fair Value		% of Partners’ Capital (Net Asset Value)
U.S. Corporate Notes
		Face Value	Maturity Date	Name	Yield¹
	Aerospace
	$	3,800,000	12/15/16	Rockwell Collins, Inc.	0.58	%	$	3,812,384		0.53	%
	Automotive
		1,000,000	9/15/16	Daimler Finance North America LLC	2.63	%		1,031,027		0.14	%
		1,400,000	1/30/15	Nissan Motor Acceptance Corporation	4.50	%		1,429,287		0.20	%
		1,700,000	9/18/15	Toyota Motor Credit Corporation	0.38	%		1,702,242		0.24	%
		1,400,000	9/23/16	Toyota Motor Credit Corporation	0.33	%		1,398,163		0.19	%
		2,000,000	5/23/16	Volkswagen Group of America Finance, LLC	0.45	%		2,001,858		0.28	%
		500,000	5/23/17	Volkswagen Group of America Finance, LLC	0.60	%		500,611		0.07	%
	Banks
		2,250,000	4/1/15	Bank of America	4.50	%		2,344,140		0.33	%
		5,250,000	3/22/16	Bank of America	1.05	%		5,288,132		0.74	%
		3,500,000	1/15/15	Bank of New York Company, Inc.	3.10	%		3,550,766		0.49	%
		2,000,000	2/20/15	Bank of New York Company, Inc.	1.20	%		2,008,139		0.28	%
		1,000,000	2/13/17	Capital One Bank	0.73	%		1,004,378		0.14	%
		9,250,000	4/1/16	Citigroup Inc.	1.30	%		9,345,923		1.30	%
		2,000,000	9/16/15	Comerica Incorporated	3.00	%		2,047,104		0.29	%
		1,000,000	2/26/16	Fifth Third Bank	0.64	%		1,003,202		0.14	%
		7,750,000	7/22/15	Goldman Sachs Group, Inc.	0.63	%		7,762,754		1.08	%
		1,000,000	2/7/16	Goldman Sachs Group, Inc.	3.63	%		1,040,748		0.15	%
		9,650,000	2/26/16	JPMorgan Chase & Co.	0.85	%		9,718,080		1.35	%
		1,500,000	2/26/16	JPMorgan Chase & Co.	0.85	%		1,510,582		0.21	%
		8,500,000	10/15/15	Morgan Stanley	0.71	%		8,527,592		1.19	%
		1,000,000	7/27/15	U.S. Bancorp	2.45	%		1,021,256		0.14	%
		2,500,000	10/1/15	U.S. Bank NA	0.29	%		2,503,000		0.35	%
		2,515,000	2/13/15	Wells Fargo & Company	1.25	%		2,527,743		0.35	%
		1,500,000	7/20/15	Wells Fargo Bank, National Association	0.51	%		1,504,287		0.21	%
		1,000,000	5/16/16	Wells Fargo Bank, National Association	0.44	%		998,139		0.14	%
	Beverages
		750,000	3/1/17	Anheuser-Busch Companies, LLC	5.60	%		830,060		0.12	%
		9,220,000	1/27/17	Anheuser-Busch Inbev Finance Inc.	1.13	%		9,264,809		1.29	%
	Biotechnology
		1,500,000	11/15/14	Amgen Inc.	1.88	%		1,513,381		0.21	%
		5,000,000	12/1/16	Gilead Sciences, Inc.	3.05	%		5,255,933		0.73	%
	Chemical
		1,400,000	12/8/14	Ecolab Inc.	2.38	%		1,415,667		0.20	%
	Computer
		3,000,000	2/5/16	International Business Machines Corporation	0.31	%		3,002,648		0.42	%
	Diversified Financial Services
		1,750,000	3/4/15	General Electric Capital Corporation	4.88	%		1,790,723		0.25	%
		3,500,000	7/2/15	General Electric Capital Corporation	1.63	%		3,547,346		0.49	%
		1,000,000	7/12/16	General Electric Capital Corporation	0.88	%		1,011,239		0.14	%
	Electronics
		1,350,000	11/17/15	Honeywell International Inc.	0.28	%		1,351,373		0.19	%
		4,196,000	2/1/17	Thermo Fisher Scientific Inc.	1.30	%		4,192,587		0.58	%

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

Futures Portfolio Fund, Limited Partnership

Consolidated Condensed Schedule of Investments (continued)

September 30, 2014

(Unaudited)

				Description			Fair Value		% of Partners’ Capital (Net Asset Value)
U.S. Corporate Notes (continued)
		Face Value	Maturity Date	Name	Yield¹
	Energy
	$	400,000	10/15/14	Atmos Energy Corporation	4.95	%	$	409,743		0.06	%
		5,750,000	4/3/17	Duke Energy Corporation	0.61	%		5,777,770		0.81	%
		1,273,000	3/6/15	Duke Energy Ohio, Inc.	0.37	%		1,274,079		0.18	%
		2,000,000	12/15/14	Entergy Louisiana, LLC	1.88	%		2,017,336		0.28	%
		1,000,000	8/15/16	Georgia Power Company	0.63	%		1,000,827		0.14	%
		1,370,000	10/1/14	Niagara Mohawk Power Corporation	3.55	%		1,394,338		0.19	%
		4,850,000	2/1/16	ONEOK Partners, L.P.	3.25	%		5,015,417		0.70	%
		1,100,000	11/15/14	PC Financial Partnership	5.00	%		1,126,780		0.16	%
		1,000,000	3/5/15	Phillips 66	1.95	%		1,007,801		0.14	%
		4,778,000	7/15/16	Pioneer Natural Resources Company	5.88	%		5,219,500		0.73	%
		5,500,000	6/15/16	Spectra Energy Partners, LP	2.95	%		5,721,079		0.80	%
		500,000	9/15/16	The Dayton Power and Light Company	1.88	%		505,567		0.07	%
	Food
		1,200,000	10/17/16	Kroger Co.	0.76	%		1,202,653		0.17	%
		500,000	10/17/16	Kroger Co.	0.76	%		501,105		0.07	%
	Healthcare
		600,000	12/11/14	Baxter International Inc.	0.40	%		600,310		0.08	%
		3,500,000	3/15/15	Medtronic, Inc.	3.00	%		3,546,632		0.49	%
		1,050,000	11/30/14	Zimmer Holdings, Inc.	1.40	%		1,056,587		0.15	%
		4,360,000	9/26/16	Ventas Realty, Limited Partnership	1.55	%		4,383,131		0.61	%
	Insurance
		1,500,000	2/11/15	Berkshire Hathaway Inc.	3.20	%		1,522,228		0.21	%
		4,000,000	9/30/15	Jackson National Life Global Funding	0.58	%		4,010,801		0.56	%
		1,000,000	4/10/17	Metropolitan Life Global Funding I	0.61	%		1,004,081		0.14	%
		2,500,000	10/5/15	New York Life Global Funding	0.26	%		2,502,354		0.35	%
		600,000	8/19/15	Pricoa Global Funding I	0.50	%		600,561		0.08	%
		2,498,000	12/1/15	Travelers Companies, Inc.	5.50	%		2,685,064		0.37	%
	Manufacturing
		600,000	2/19/15	Caterpillar Financial Services Corporation	0.30	%		600,400		0.08	%
		1,000,000	3/3/17	Caterpillar Financial Services Corporation	0.46	%		999,861		0.14	%
		4,890,000	11/2/15	Eaton Corporation	0.95	%		4,922,968		0.69	%
		800,000	10/8/14	John Deere Capital Corporation	0.33	%		800,651		0.11	%
		1,500,000	3/9/15	John Deere Capital Corporation	2.95	%		1,520,214		0.21	%
		2,400,000	6/15/15	John Deere Capital Corporation	0.35	%		2,402,598		0.33	%
		500,000	10/11/16	John Deere Capital Corporation	0.52	%		501,497		0.07	%
	Media
		2,945,000	4/15/16	NBC Universal Media, LLC	0.77	%		2,951,979		0.41	%
	Software
		1,500,000	7/7/17	Oracle Corporation	0.43	%		1,502,434		0.21	%
	Telecommunications
		694,000	8/15/15	AT&T Inc.	2.50	%		707,988		0.10	%
		1,500,000	8/15/16	AT&T Inc.	2.40	%		1,543,780		0.22	%
		3,000,000	9/3/15	Cisco Systems, Inc.	0.28	%		3,002,285		0.42	%
		9,575,000	9/15/16	Verizon Communications Inc.	1.76	%		9,836,245		1.38	%
	Total U.S. corporate notes (cost: $194,696,009)							194,135,947		27.06	%

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

Futures Portfolio Fund, Limited Partnership

Consolidated Condensed Schedule of Investments (continued)

September 30, 2014

(Unaudited)

				Description			Fair Value		% of Partners’ Capital (Net Asset Value)
Foreign Corporate Notes
	Face Value		Maturity Date	Name	Yield¹
	Automotive
	$	9,500,000	11/18/16	Volkswagen International Finance N.V.	0.67	%	$	9,526,795		1.33	%
	Banks
		2,200,000	11/10/14	Abbey National Treasury Services PLC	3.88	%		2,241,228		0.31	%
		1,000,000	1/13/15	Australia and New Zealand Banking Group Ltd	3.70	%		1,017,517		0.14	%
		3,950,000	5/7/15	Australia and New Zealand Banking Group Ltd	0.44	%		3,957,022		0.55	%
		4,100,000	9/24/15	Bank of Montreal	0.49	%		4,108,517		0.57	%
		4,740,000	3/19/15	Commonwealth Bank of Australia	3.50	%		4,816,606		0.67	%
		2,000,000	5/24/16	HSBC Bank PLC	3.10	%		2,098,814		0.29	%
		1,500,000	9/1/15	ING Bank N.V.	3.00	%		1,532,928		0.21	%
		5,650,000	9/25/15	ING Bank N.V.	2.00	%		5,711,660		0.80	%
		3,050,000	9/25/15	ING Bank N.V.	1.87	%		3,088,163		0.43	%
		1,500,000	7/27/15	Macquarie Bank Limited	3.45	%		1,544,243		0.22	%
		3,431,000	3/11/15	Rabobank Nederland	3.20	%		3,477,712		0.48	%
		4,190,000	11/18/14	Standard Chartered PLC	5.50	%		4,301,954		0.60	%
		5,000,000	5/1/15	Toronto-Dominion Bank	0.42	%		5,009,751		0.70	%
		2,200,000	1/15/15	UBS AG	3.88	%		2,240,959		0.31	%
		2,000,000	9/25/15	Westpac Banking Corporation	0.99	%		2,014,251		0.28	%
	Energy
		2,100,000	3/10/15	BP Capital Markets P.L.C.	3.88	%		2,137,246		0.30	%
		750,000	3/11/16	BP Capital Markets P.L.C.	3.20	%		778,393		0.11	%
		4,800,000	5/9/16	CNOOC Finance (2013) Limited	1.13	%		4,814,820		0.67	%
		8,000,000	6/2/17	Enbridge Inc.	0.68	%		8,019,605		1.12	%
		1,500,000	3/2/15	TransCanada PipeLines Limited	0.88	%		1,504,062		0.21	%
		1,000,000	1/15/16	TransCanada PipeLines Limited	0.75	%		1,001,073		0.14	%
	Healthcare
		2,550,000	5/29/15	Covidien International Finance S.A.	1.35	%		2,573,338		0.36	%
	Pharmaceuticals
		4,200,000	3/17/15	Takeda Pharmaceutical Co Ltd	1.03	%		4,214,397		0.59	%
	Telecommunication
		5,600,000	4/27/15	Telefonica Emisiones, S.A.U.	3.73	%		5,775,402		0.81	%
	Transportation
		4,500,000	10/28/16	Kansas City Southern de Mexico, SA	0.94	%		4,535,948		0.63	%
	Total foreign corporate notes (cost: $92,674,049)							92,042,404		12.83	%
	Total corporate notes (cost: $287,370,058)							286,178,351		39.89	%

U.S. Asset Backed Securities
	Automotive
	$	525,000	6/15/17	Ally Master Owner Trust	1.21	%		527,519		0.07	%
		1,000,000	9/15/17	BMW Manufacturing Co., LLC	0.55	%		1,002,343		0.14	%
		972,016	10/20/16	Ally Auto Receivables Trust 2014-SN1	0.52	%		972,054		0.14	%
		516,982	1/15/21	ARI Fleet Lease TR 2012-B	0.45	%		516,388		0.07	%
		990,000	6/20/17	Capital Auto Receivables Asset Trust 2013-1	0.79	%		990,952		0.14	%
		172,113	3/20/19	Enterprise Fleet Financing, LLC	1.06	%		172,816		0.02	%
		950,000	5/15/17	Honda Auto Receivables 2013-3 Owner Trust	0.77	%		951,703		0.13	%

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

Futures Portfolio Fund, Limited Partnership

Consolidated Condensed Schedule of Investments (continued)

September 30, 2014

(Unaudited)

					Description			Fair Value		% of Partners’ Capital (Net Asset Value)
	U.S. Asset Backed Securities (continued)
		Face Value		Maturity Date	Name	Yield¹
		Credit Card
		$	1,000,000	1/15/20	BA Credit Card Trust	0.44	%	$	998,777		0.14	%
			1,030,000	10/16/17	Chase Issuance Trust	0.30	%		1,030,252		0.14	%
		Other
			500,000	7/20/19	GE Dealer Floorplan Master Not	0.53	%		498,142		0.07	%
			55,000	8/15/17	VOLVO Financial Equipment LLC SER2012-1	1.51	%		55,372		0.01	%
		Student Loan
			953,579	12/15/21	SLM Private Education Loan Trust 2012-B	1.25	%		955,960		0.13	%
			425,716	8/15/23	SLM Private Education Loan Trust 2012-C	1.25	%		427,384		0.06	%
			542,096	10/16/23	SLM Private Education Loan Trust 2012-E	0.90	%		543,891		0.08	%
		Total U.S. asset backed securities (cost: $9,650,437)							9,643,553		1.34	%
		Total investments in securities (cost: $397,498,699)						$	396,227,308		55.22	%

CERTIFICATES OF DEPOSIT
	U.S. Certificates of Deposit
		Face Value		Maturity Date	Name	Yield¹
		Banks
		$	1,750,000	2/11/15	Bank of Tokyo-Mitsubishi UFJ, Ltd.	0.33	%	$	1,754,419		0.24	%
			2,000,000	10/7/14	China Construction Bank Corporation	0.58	%		2,003,021		0.28	%
			3,000,000	9/4/15	Lloyds Bank PLC	0.48	%		3,000,200		0.42	%
			1,200,000	3/2/15	Standard Chartered Bank	0.35	%		1,202,818		0.17	%
		Total U.S. certificates of deposit (cost: $7,950,000)							7,960,458		1.11	%

	Foreign Certificates of Deposit
		Face Value		Maturity Date	Name	Yield¹
		Banks
		$	2,000,000	10/23/15	Bank of Nova Scotia	0.48	%		2,005,889		0.28	%
			2,200,000	5/9/16	Bank of Nova Scotia	0.42	%		2,200,584		0.31	%
			2,000,000	11/16/15	Canadian Imperial Bank of Commerce	0.33	%		2,000,169		0.28	%
			1,000,000	1/15/15	Credit Suisse Group AG	0.63	%		1,001,947		0.14	%
			2,500,000	5/15/15	Credit Suisse Group AG	0.53	%		2,501,389		0.35	%
			3,000,000	7/23/15	Deutsche Bank AG	0.55	%		3,003,706		0.41	%
			1,400,000	2/25/15	Rabobank Nederland	0.28	%		1,400,665		0.20	%
			2,800,000	1/13/15	Sumitomo Mitsui Banking Corporation	0.36	%		2,808,254		0.39	%
			2,000,000	12/19/14	Svenska Handelsbanken AB (publ)	0.40	%		2,001,059		0.28	%
			2,000,000	11/14/14	The Norinchukin Bank	0.25	%		2,002,086		0.28	%
		Total foreign certificates of deposit (cost: $20,898,010)							20,925,748		2.92	%

		Total certificates of deposit (cost: $28,848,010)						$	28,886,206		4.03	%

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

Futures Portfolio Fund, Limited Partnership

Consolidated Condensed Schedule of Investments (continued)

September 30, 2014

(Unaudited)

			Description	Fair Value			% of Partners’ Capital (Net Asset Value)
OPEN FUTURES CONTRACTS
	Long U.S. Futures Contracts
			Agricultural commodities	$	(3,771,415	)		(0.51	)%
			Currencies		(1,650,672	)		(0.23	)%
			Energy		(561,212	)		(0.08	)%
			Equity indices		(1,829,757	)		(0.26	)%
			Interest rate instruments		(2,047,280	)		(0.29	)%
			Metals		(5,012,208	)		(0.70	)%
			Single stock futures		(122,831	)		(0.02	)%
		Net unrealized gain (loss) on open long U.S. futures contracts			(14,995,375	)		(2.09	)%

	Short U.S. Futures Contracts
			Agricultural commodities²		7,685,207			1.08	%
			Currencies		6,534,408			0.91	%
			Energy		4,909,513			0.68	%
			Equity indices		117,959			0.02	%
			Interest rate instruments		246,113			0.03	%
			Metals²		10,969,462			1.53	%
			Single stock futures		100,142			0.01	%
		Net unrealized gain (loss) on open short U.S. futures contracts			30,562,804			4.26	%

		Total U.S. Futures Contracts - Net unrealized gain (loss) on open U.S. futures contracts			15,567,429			2.17	%

	Long Foreign Futures Contracts
			Agricultural commodities		156,856			0.02	%
			Currencies		(72,684	)		(0.01	)%
			Energy		(4,438	)		(0.00	)%
			Equity indices		(611,178	)		(0.09	)%
			Interest rate instruments		4,987,022			0.70	%
			Metals		3,712			0.00	%
		Net unrealized gain (loss) on open long foreign futures contracts			4,459,290			0.62	%

	Short Foreign Futures Contracts
			Agricultural commodities		159,695			0.02	%
			Currencies		31,169			0.00	%
			Energy		37,193			0.01	%
			Equity indices		199,582			0.03	%
			Interest rate instruments		(560,735	)		(0.08	)%
		Net unrealized gain (loss) on open short foreign futures contracts			(133,096	)		(0.02	)%

		Total foreign futures contracts - net unrealized gain (loss) on open foreign futures contracts			4,326,194			0.60	%

		Net unrealized gain (loss) on open futures contracts		$	19,893,623			2.77	%

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

Futures Portfolio Fund, Limited Partnership

Consolidated Condensed Schedule of Investments (continued)

September 30, 2014

(Unaudited)

				Description	Fair Value			% of Partners’ Capital (Net Asset Value)
OPEN FORWARD CURRENCY CONTRACTS
	U.S. Forward Currency Contracts
				Long²	$	(17,086,598	)		(2.38	)%
				Short²		15,619,783			2.18	%
		Net unrealized gain (loss) on open U.S. forward currency contracts				(1,466,815	)		(0.20	)%

	Foreign Forward Currency Contracts
				Long		1,273,745			0.18	%
				Short		(4,346,197	)		(0.61	)%
		Net unrealized gain (loss) on open foreign forward currency contracts				(3,072,452	)		(0.43	)%

		Net unrealized gain (loss) on open forward currency contracts			$	(4,539,267	)		(0.63	)%

INVESTMENT IN SWAP CONTRACT
			Maturity Date	Name
			4/1/19	Deutsche Bank, AG Total Return	$	15,967,905			2.23	%

		Total investment in swap contract (cost: $12,500,000)			$	15,967,905			2.23	%

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

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

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

Futures Portfolio Fund, Limited Partnership

Consolidated Condensed Schedule of Investments

December 31, 2013

(Audited)

					Description			Fair Value		% of Partners’ Capital (Net Asset Value)
INVESTMENTS IN SECURITIES
	U.S. Treasury Securities
		Face Value		Maturity Date	Name	Yield¹
		$	8,000,000	2/28/14	U.S. Treasury Note	1.88	%	$	8,073,462		0.92	%
			8,350,000	3/31/14	U.S. Treasury Note	1.75	%		8,420,926		0.96	%
			5,115,000	4/15/14	U.S. Treasury Note	1.25	%		5,145,478		0.58	%
			7,500,000	5/15/14	U.S. Treasury Note	1.00	%		7,534,638		0.86	%
			8,750,000	5/31/14	U.S. Treasury Note	2.25	%		8,843,870		1.01	%
			3,000,000	5/31/14	U.S. Treasury Note	0.25	%		3,002,417		0.34	%
			8,100,000	6/30/14	U.S. Treasury Note	2.63	%		8,201,206		0.93	%
			4,000,000	6/30/14	U.S. Treasury Note	0.25	%		4,003,152		0.45	%
			5,000,000	8/31/14	U.S. Treasury Note	2.38	%		5,113,984		0.58	%
			5,000,000	9/30/14	U.S. Treasury Note	0.25	%		5,007,294		0.57	%
			7,200,000	11/30/14	U.S. Treasury Note	2.13	%		7,340,891		0.83	%
			3,185,000	12/15/14	U.S. Treasury Note	0.25	%		3,187,984		0.36	%
			2,700,000	12/31/14	U.S. Treasury Note	0.13	%		2,699,167		0.31	%
			3,700,000	1/31/15	U.S. Treasury Note	0.25	%		3,706,905		0.42	%
			5,000,000	4/30/15	U.S. Treasury Note	0.13	%		4,995,210		0.57	%
			2,833,000	12/31/15	U.S. Treasury Note	0.25	%		2,825,495		0.32	%
		Total U.S. Treasury securities (cost: $88,765,255)							88,102,079		10.01	%

	U.S. Commercial Paper
		Face Value		Maturity Date	Name	Yield¹
		Automotive
		$	2,200,000	1/21/14	Nissan Motor Acceptance Corp.	0.30	%		2,199,633		0.25	%
		Banks
			2,200,000	2/24/14	Mizuho Funding LLC	0.21	%		2,199,323		0.25	%
		Beverages
			2,200,000	1/15/14	Bacardi Corporation	0.25	%		2,199,786		0.25	%
			1,262,000	1/16/14	Brown-Forman Corporation	0.12	%		1,261,937		0.14	%
		Diversified Financial Services
			2,700,000	1/9/14	AXA Financial, Inc.	0.24	%		2,699,856		0.30	%
			1,500,000	1/14/14	VNA Holding Inc.	0.30	%		1,499,838		0.17	%
		Energy
			2,000,000	1/30/14	Devon Energy Corporation	0.20	%		1,999,678		0.23	%
			2,000,000	1/10/14	Enterprise Products Operating LLC	0.22	%		1,999,890		0.23	%
			2,200,000	1/7/14	Oglethorpe Power Corporation	0.16	%		2,199,941		0.25	%
			2,000,000	1/23/14	Sempra Energy Global Enterprises	0.25	%		1,999,694		0.23	%
			2,750,000	1/7/14	Southern Company Funding Corp.	0.17	%		2,749,922		0.31	%
		Food
			2,000,000	1/10/14	Sysco Corporation	0.17	%		1,999,915		0.23	%
		Manufacturing
			1,200,000	1/3/14	Stanley Black & Decker, Inc.	0.15	%		1,199,990		0.14	%
		Non-profit
			2,800,000	1/6/14	Salvation Army	0.15	%		2,799,942		0.31	%

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

Futures Portfolio Fund, Limited Partnership

Consolidated Condensed Schedule of Investments (continued)

December 31, 2013

(Audited)

				Description				Fair Value		% of Partners’ Capital (Net Asset Value)
U.S. Commercial Paper (continued)
	Face Value		Maturity Date	Name	Yield¹
	Telecommunications
	$	2,000,000	1/24/14	Verizon Communications Inc.		0.21	%	$	1,999,732		0.23	%
	Total U.S. commercial paper (cost: $31,004,242)								31,009,077		3.52	%

Foreign Commercial Paper
	Face Value		Maturity Date	Name		Yield¹
	Banks
	$	2,100,000	3/31/14	Bank of Nova Scotia		0.17	%		2,099,115		0.24	%
		2,015,000	1/14/14	Bank of Tokyo-Mitsubishi UFJ, Ltd.		0.15	%		2,014,891		0.23	%
		2,600,000	1/6/14	Commonwealth Bank of Australia		0.15	%		2,599,946		0.30	%
		2,400,000	2/27/14	DBS Bank Ltd		0.16	%		2,399,392		0.27	%
		1,250,000	4/7/14	DNB Bank ASA		0.18	%		1,249,400		0.14	%
		2,500,000	3/3/14	Nordea Bank AB		0.18	%		2,499,259		0.28	%
		2,500,000	1/7/14	Oversea-Chinese Banking Corporation Ltd		0.19	%		2,499,921		0.28	%
		1,400,000	2/10/14	Skandinaviska Enskilda Banken AB		0.15	%		1,399,767		0.16	%
		2,700,000	1/22/14	Sumitomo Mitsui Bank		0.15	%		2,699,764		0.31	%
	Consumer Products
		1,600,000	3/4/14	Reckitt Benckiser Treasury Services PLC		0.43	%		1,599,544		0.18	%
		4,000,000	4/17/14	Reckitt Benckiser Treasury Services PLC		0.40	%		3,997,670		0.46	%
	Energy
		2,500,000	1/2/15	Electricite de France		0.55	%		2,486,500		0.28	%
		3,000,000	1/30/14	GDF Suez		0.20	%		2,999,517		0.34	%
	Food
		2,100,000	1/17/14	Tesco Treasury Services PLC		0.25	%		2,099,767		0.24	%
	Insurance
		1,500,000	1/8/14	Prudential PLC		0.16	%		1,499,953		0.17	%
	Total foreign commercial paper (cost: $34,118,201)								34,144,406		3.88	%

	Total commercial paper (cost: $65,122,443)								65,153,483		7.40	%


U.S. Corporate Notes
	Face Value		Maturity Date	Name		Yield¹
	Aerospace
	$	1,240,000	6/1/14	BAE Systems Holdings Inc.		4.95	%		1,266,529		0.14	%
		2,800,000	12/15/16	Rockwell Collins, Inc.		0.59	%		2,805,386		0.32	%
	Automotive
		2,500,000	3/28/14	Daimler Finance North America LLC		1.95	%		2,518,789		0.29	%
		8,300,000	7/31/15	Daimler Finance North America LLC		1.30	%		8,407,757		0.95	%
		1,805,000	3/1/14	Johnson Controls, Inc.		1.75	%		1,819,497		0.21	%
		1,700,000	9/18/15	Toyota Motor Credit Corporation		0.39	%		1,700,853		0.19	%
	Banks
		2,250,000	4/1/15	Bank of America Corporation		4.50	%		2,378,565		0.27	%
		3,750,000	3/22/16	Bank of America Corporation		1.07	%		3,781,374		0.43	%
		2,000,000	2/20/15	Bank of New York Mellon		1.20	%		2,024,095		0.23	%
		189,000	4/1/14	Citigroup Inc.		1.18	%		189,567		0.02	%

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

Futures Portfolio Fund, Limited Partnership

Consolidated Condensed Schedule of Investments (continued)

December 31, 2013

(Audited)

				Description			Fair Value		% of Partners’ Capital (Net Asset Value)
U.S. Corporate Notes (continued)
	Face Value		Maturity Date	Name	Yield¹
	Banks (continued)
	$	8,000,000	4/1/16	Citigroup Inc.	1.30	%	$	8,052,560		0.91	%
		2,460,000	2/7/14	Goldman Sachs Group, Inc.	1.24	%		2,466,374		0.28	%
		9,250,000	7/22/15	Goldman Sachs Group, Inc.	0.64	%		9,232,548		1.05	%
		10,275,000	2/26/16	JPMorgan Chase & Co.	0.86	%		10,319,661		1.18	%
		7,500,000	10/15/15	Morgan Stanley	0.72	%		7,506,959		0.85	%
		2,641,000	5/1/14	Northern Trust Corporation	4.63	%		2,699,554		0.31	%
		3,500,000	1/15/15	The Bank of New York Mellon	3.10	%		3,644,296		0.41	%
		4,815,000	2/13/15	Wells Fargo & Company	1.25	%		4,877,825		0.55	%
		1,500,000	7/20/15	Wells Fargo Bank	0.52	%		1,503,866		0.17	%
	Beverages
		2,750,000	7/14/14	Anheuser-Busch InBev Worldwide Inc.	1.50	%		2,784,802		0.32	%
		6,650,000	7/15/15	Anheuser-Busch InBev Worldwide Inc.	0.80	%		6,705,121		0.76	%
	Biotechnology
		1,500,000	11/15/14	Amgen Inc.	1.88	%		1,520,308		0.17	%
		8,450,000	12/1/14	Gilead Sciences, Inc.	2.40	%		8,612,409		0.98	%
	Computers
		4,500,000	5/30/14	Hewlett-Packard Company	0.64	%		4,496,825		0.51	%
		3,850,000	9/19/14	Hewlett-Packard Company	1.79	%		3,884,488		0.44	%
	Diversified Financial Services
		2,500,000	8/25/14	American Express Credit Corporation	5.13	%		2,620,966		0.30	%
		4,500,000	4/8/14	American Honda Finance Corp.	0.37	%		4,505,258		0.51	%
		3,750,000	8/11/15	American Honda Finance Corporation	1.00	%		3,780,183		0.43	%
		500,000	2/15/14	CME Group Inc.	5.75	%		513,792		0.06	%
		1,860,000	1/10/14	ERAC USA Finance LLC	2.25	%		1,880,442		0.21	%
		1,750,000	3/4/15	General Electric Capital Corporation	4.88	%		1,865,951		0.21	%
		3,500,000	7/2/15	General Electric Capital Corporation	1.63	%		3,585,158		0.41	%
		5,000,000	1/8/16	General Electric Capital Corporation	0.44	%		4,989,578		0.57	%
		800,000	10/8/14	John Deere Capital Corporation	0.34	%		801,093		0.09	%
		1,500,000	3/9/15	John Deere Capital Corporation	2.95	%		1,556,997		0.18	%
		2,400,000	6/15/15	John Deere Capital Corporation	0.36	%		2,401,102		0.27	%
		1,000,000	4/21/14	MassMutual Global Funding II	2.88	%		1,013,309		0.12	%
	Electronics
		1,350,000	11/17/15	Honeywell International Inc.	0.29	%		1,350,416		0.15	%
	Energy
		1,100,000	11/15/14	177293 Canada Ltd.	5.00	%		1,147,025		0.13	%
		640,000	6/30/14	Arizona Public Service Company	5.80	%		655,732		0.07	%
		400,000	10/15/14	Atmos Energy Corporation	4.95	%		417,407		0.05	%
		1,730,000	5/15/14	DTE Energy Company	7.63	%		1,790,737		0.20	%
		1,273,000	3/6/15	Duke Energy Ohio, Inc.	0.38	%		1,273,979		0.14	%
		1,855,000	1/15/14	Exelon Generation Company, LLC	5.35	%		1,904,064		0.22	%
		2,000,000	6/1/14	NextEra Energy Capital Holdings, Inc.	1.61	%		2,011,605		0.23	%
		1,370,000	10/1/14	Niagara Mohawk Power Corporation	3.55	%		1,411,772		0.16	%

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

Futures Portfolio Fund, Limited Partnership

Consolidated Condensed Schedule of Investments (continued)

December 31, 2013

(Audited)

				Description			Fair Value		% of Partners’ Capital (Net Asset Value)
U.S. Corporate Notes (continued)
	Face Value		Maturity Date	Name	Yield¹
	Energy (continued)
	$	2,000,000	8/15/14	Public Service Electric and Gas Company	5.00	%	$	2,093,454		0.24	%
		2,000,000	8/15/14	Public Service Electric and Gas Company	0.85	%		2,012,144		0.23	%
		2,328,000	3/15/14	Sempra Energy	1.00	%		2,332,395		0.26	%
	Food
		6,000,000	6/4/15	Kraft Foods Group, Inc.	1.63	%		6,090,293		0.69	%
		4,500,000	10/17/16	Kroger Co.	0.80	%		4,499,780		0.51	%
	Healthcare
		600,000	12/11/14	Baxter International Inc.	0.41	%		600,903		0.07	%
		3,500,000	3/15/15	Medtronic, Inc.	3.00	%		3,642,140		0.41	%
		675,000	11/30/14	Zimmer Holdings, Inc.	1.40	%		680,182		0.08	%
	Diversified Financial Services
		11,122,000	3/20/15	American International Group, Inc.	3.00	%		11,529,028		1.32	%
		1,500,000	2/11/15	Berkshire Hathaway Inc.	3.20	%		1,564,714		0.18	%
		4,000,000	9/30/15	Jackson National Life Global Funding	0.60	%		4,011,869		0.46	%
		4,450,000	6/11/14	Pricoa Global Funding I	5.45	%		4,558,646		0.52	%
		600,000	8/19/15	Pricoa Global Funding I	0.51	%		601,286		0.07	%
		1,000,000	9/19/14	Principal Life Global Funding II	0.40	%		1,000,999		0.11	%
		2,498,000	12/1/15	Travelers Companies, Inc.	5.50	%		2,736,470		0.31	%
	Manufacturing
		4,000,000	11/2/15	Eaton Corporation	0.95	%		4,021,548		0.46	%
		3,750,000	10/9/15	General Electric Company	0.85	%		3,776,423		0.43	%
	Media
		2,900,000	4/30/15	NBCUniversal Media, LLC	3.65	%		3,037,184		0.34	%
		1,445,000	4/15/16	NBCUniversal Media, LLC	0.78	%		1,448,195		0.16	%
		1,150,000	9/15/14	Viacom Inc.	4.38	%		1,194,807		0.14	%
		4,600,000	2/11/15	Walt Disney Company	0.23	%		4,600,598		0.52	%
	Mining
		1,140,000	5/1/14	Rio Tinto Finance (USA) Limited	8.95	%		1,187,971		0.13	%
	Pharmaceuticals
		5,150,000	11/6/15	AbbVie Inc.	1.00	%		5,197,960		0.59	%
		975,000	2/12/15	Express Scripts Holding Company	2.10	%		997,404		0.11	%
		4,275,000	2/10/14	Novartis Capital Corporation	4.13	%		4,362,322		0.50	%
	REITs
		2,400,000	5/15/14	Simon Property Group, L.P.	6.75	%		2,437,512		0.28	%
		1,000,000	8/15/14	Simon Property Group, L.P.	5.63	%		1,044,933		0.12	%
	Retail
		1,800,000	1/15/14	AutoZone, Inc.	6.50	%		1,857,458		0.21	%
	Telecommunications
		960,000	9/15/14	AT&T Inc.	5.10	%		1,005,014		0.11	%
		8,050,000	2/13/15	AT&T Inc.	0.88	%		8,127,393		0.92	%
		1,040,000	8/15/15	AT&T Inc.	2.50	%		1,077,586		0.12	%
		2,250,000	3/28/14	Verizon Communications Inc.	0.86	%		2,253,042		0.26	%
		4,575,000	3/6/15	Verizon Communications Inc.	0.44	%		4,570,512		0.52	%
		4,000,000	9/15/16	Verizon Communications Inc.	1.77	%		4,128,792		0.47	%
	Total U.S. corporate notes (cost: $252,246,718)							250,957,531		28.50	%

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

Futures Portfolio Fund, Limited Partnership

Consolidated Condensed Schedule of Investments (continued)

December 31, 2013

(Audited)

				Description			Fair Value		% of Partners’ Capital (Net Asset Value)
Foreign Corporate Notes
	Face Value		Maturity Date	Name	Yield¹
	Automotive
	$	3,000,000	3/21/14	Volkswagen Int’l Finance N.V.	1.00	%	$	3,004,676		0.34	%
		10,000,000	11/18/16	Volkswagen Int’l Finance N.V.	0.68	%		10,017,381		1.14	%
	Banks
		1,000,000	1/13/15	Australia and New Zealand Banking Group	3.70	%		1,049,841		0.12	%
		3,950,000	5/7/15	Australia and New Zealand Banking Group	0.44	%		3,955,928		0.45	%
		4,100,000	9/24/15	Bank of Montreal	0.50	%		4,102,607		0.47	%
		1,800,000	7/10/14	Barclays Bank PLC	5.20	%		1,889,402		0.21	%
		2,740,000	3/19/15	Commonwealth Bank of Australia	3.50	%		2,863,444		0.33	%
		5,000,000	4/14/14	Danske Bank A/S	1.29	%		5,020,114		0.57	%
		400,000	1/17/14	HSBC Bank PLC	1.04	%		401,025		0.04	%
		4,000,000	6/9/14	ING Bank N.V.	1.64	%		4,025,891		0.46	%
		1,500,000	6/9/14	ING Bank N.V.	2.38	%		1,514,839		0.17	%
		5,350,000	9/25/15	ING Bank N.V.	2.00	%		5,458,302		0.62	%
		3,050,000	9/25/15	ING Bank N.V.	1.89	%		3,111,067		0.35	%
		1,175,000	4/11/14	National Australia Bank Limited	2.25	%		1,187,388		0.13	%
		600,000	3/20/15	Nordea Bank AB	2.25	%		615,818		0.07	%
		2,000,000	5/13/14	Rabobank Nederland	4.20	%		2,038,986		0.23	%
		3,431,000	3/11/15	Rabobank Nederland	3.20	%		3,571,331		0.41	%
		7,650,000	3/18/16	Rabobank Nederland	0.72	%		7,679,537		0.87	%
		4,190,000	11/18/14	Standard Chartered PLC	5.50	%		4,386,735		0.50	%
		5,000,000	5/1/15	Toronto-Dominion Bank	0.42	%		5,007,986		0.57	%
		2,200,000	1/15/15	UBS AG	3.88	%		2,313,791		0.26	%
	Energy
		8,600,000	11/14/14	Canadian Natural Resources Ltd	1.45	%		8,673,728		0.99	%
		4,800,000	5/9/16	CNOOC Finance (2013) Limited	1.13	%		4,802,760		0.55	%
		1,000,000	1/26/14	Electricite de France	5.50	%		1,026,421		0.12	%
		3,602,000	3/15/14	EOG Resources Canada Inc.	4.75	%		3,685,544		0.42	%
		1,500,000	3/2/15	TransCanada PipeLines Limited	0.88	%		1,508,699		0.17	%
	Food
		600,000	12/5/14	Tesco PLC	2.00	%		608,424		0.07	%
	Multi-national
		4,000,000	2/26/15	International Finance Corporation	0.38	%		4,004,804		0.45	%
	Pharmaceuticals
		10,150,000	3/17/15	Takeda Pharmaceutical Co Ltd	1.03	%		10,240,862		1.16	%
		8,500,000	3/21/14	Teva Pharmaceutical Finance III BV	0.75	%		8,513,655		0.97	%
	Telecommunications
		1,815,000	3/1/14	America Movil, S.A.B. de C.V.	5.50	%		1,862,021		0.21	%
		2,270,000	7/8/14	Orange	4.38	%		2,360,619		0.27	%
		2,100,000	6/10/14	Vodafone Group PLC	4.15	%		2,138,585		0.24	%
	Transportation
		4,000,000	10/28/16	Kansas City Southern de Mexico	0.94	%		4,066,942		0.46	%
	Total foreign corporate notes (cost: $127,072,938)							126,709,153		14.39	%
	Total corporate notes (cost: $379,319,656)							377,666,684		42.89	%
	Total investments in securities (cost: $533,207,354)						$	530,922,246		60.30	%

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

Futures Portfolio Fund, Limited Partnership

Consolidated Condensed Schedule of Investments (continued)

December 31, 2013

(Audited)

					Description				Fair Value			% of Partners’ Capital (Net Asset Value)
CERTIFICATES OF DEPOSIT
	U.S. Certificates of Deposit
		Face Value		Maturity Date	Name	Yield¹
		Banks
		$	4,000,000	2/11/14	Bank of Tokyo-Mitsubishi UFJ, Ltd. (NY)		0.42	%	$	4,016,143			0.46	%
			2,500,000	3/7/14	Bank of Tokyo-Mitsubishi UFJ, Ltd. (NY)		0.40	%		2,509,173			0.29	%
			1,000,000	1/30/14	Barclays Bank (NY)		0.78	%		1,007,812			0.11	%
			3,000,000	2/14/14	Barclays Bank (NY)		0.75	%		3,021,996			0.34	%
			2,000,000	4/1/14	China Construction Bank Corporation (NY)		0.65	%		2,005,242			0.23	%
			5,000,000	9/17/14	Deutsche Bank (NY)		0.51	%		5,012,367			0.57	%
			3,500,000	2/27/14	Mizuho Bank (NY)		0.21	%		3,500,827			0.40	%
			5,000,000	5/9/14	Sumitomo Mitsui Bank (NY)		0.38	%		5,014,597			0.57	%
			3,000,000	5/30/14	UBS AG (NY)		0.52	%		3,012,777			0.34	%
		Total U.S. certificates of deposit (cost: $29,000,000)								29,100,934			3.31	%

	Foreign Certificates of Deposit
		Face Value		Maturity Date	Name		Yield¹
		Banks
		$	2,000,000	2/10/14	Bank of Nova Scotia		0.74	%		2,004,015			0.23	%
			2,000,000	10/23/15	Bank of Nova Scotia		0.49	%		2,001,152			0.23	%
			2,000,000	1/15/15	Credit Suisse Group AG		0.64	%		2,005,475			0.23	%
			2,500,000	5/15/15	Credit Suisse Group AG		0.54	%		2,500,464			0.28	%
			3,000,000	2/14/14	Industrial and Commercial Bank of China Ltd		0.77	%		3,011,154			0.34	%
			2,000,000	12/19/14	Svenska Handelsbanken AB		0.41	%		2,001,859			0.23	%
		Total foreign certificates of deposit (cost: $13,500,000)								13,524,119			1.54	%

		Total certificates of deposit (cost: $42,500,000)							$	42,625,053			4.85	%


OPEN FUTURES CONTRACTS
	Long U.S. Futures Contracts
					Agricultural commodities				$	(1,285,920	)		(0.15	)%
					Currencies					1,637,874			0.19	%
					Energy					178,014			0.02	%
					Equity indices²					9,622,471			1.09	%
					Interest rate instruments					(1,613,148	)		(0.18	)%
					Metals					3,628,603			0.41	%
					Single stock futures					553,351			0.06	%
		Net unrealized gain (loss) on open long U.S. futures contracts								12,721,245			1.44	%

	Short U.S. Futures Contracts
					Agricultural commodities					5,024,333			0.58	%
					Currencies					4,288,371			0.49	%
					Energy					(190,577	)		(0.02	)%
					Equity indices					1,437,522			0.16	%
					Interest rate instruments					1,571,383			0.18	%
					Metals					(2,334,738	)		(0.27	)%
					Single stock futures					(50,972	)		(0.01	)%
		Net unrealized gain (loss) on open short U.S. futures contracts								9,745,322			1.11	%

		Total U.S. Futures Contracts - Net unrealized gain (loss) on open U.S. futures contracts								22,466,567			2.55	%

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

Futures Portfolio Fund, Limited Partnership

Consolidated Condensed Schedule of Investments (continued)

December 31, 2013

(Audited)

			Description	Fair Value			% of Partners’ Capital (Net Asset Value)
	Long Foreign Futures Contracts
			Agricultural commodities	$	7,074			0.00	%
			Currencies		1,610,945			0.18	%
			Energy		16,781			0.00	%
			Equity indices²		14,012,489			1.59	%
			Interest rate instruments		(3,066,606	)		(0.35	)%
			Single stock futures		46,170			0.01	%
		Net unrealized gain (loss) on open long foreign futures contracts			12,626,853			1.43	%

	Short Foreign Futures Contracts
			Agricultural commodities		171,905			0.02	%
			Currencies		148,660			0.02	%
			Energy		16,007			0.00	%
			Equity indices		(206,846	)		(0.02	)%
			Interest rate instruments		2,737,146			0.31	%
			Metals		(2,184	)		(0.00	)%
		Net unrealized gain (loss) on open short foreign futures contracts			2,864,688			0.33	%

		Total foreign futures contracts - net unrealized gain (loss) on open foreign futures contracts			15,491,541			1.76	%

		Net unrealized gain (loss) on open futures contracts		$	37,958,108			4.31	%

OPEN FORWARD CURRENCY CONTRACTS
	U.S. Forward Currency Contracts
			Long	$	(1,252,456	)		(0.14	)%
			Short		1,307,980			0.15	%
		Net unrealized gain (loss) on open U.S. forward currency contracts			55,524			0.01	%

	Foreign Forward Currency Contracts
			Long		412,242			0.04	%
			Short		227,309			0.03	%
		Net unrealized gain (loss) on open foreign forward currency contracts			639,551			0.07	%

		Net unrealized gain (loss) on open forward currency contracts		$	695,075			0.08	%

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

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

Futures Portfolio Fund, Limited Partnership

Consolidated Statements of Operations

For the Three and Nine Months Ended September 30, 2014 and 2013

(Unaudited)

	Three Months Ended September 30,						Nine Months Ended September 30,
	2014			2013			2014			2013
Gain (Loss) from Trading Activity
Net realized gain (loss)	$	23,524,185		$	(10,895,143	)	$	63,210,377		$	(15,217,479	)
Net change in unrealized gain (loss)		(59,383	)		(10,596,841	)		(19,826,924	)		(21,905,995	)
Brokerage commissions and trading expenses		(1,422,727	)		(866,911	)		(3,446,327	)		(3,304,944	)
Net gain (loss) from trading activity		22,042,075			(22,358,895	)		39,937,126			(40,428,418	)

Income
Interest income		1,341,177			2,530,090			4,883,987			7,561,644
Net realized and change in unrealized gain (loss) on securities and certificates of deposit		(906,550	)		(788,266	)		(2,718,643	)		(4,354,767	)
Total income (loss)		434,627			1,741,824			2,165,344			3,206,877

Expenses
Trading Advisor management fee		2,422,713			3,811,909			8,478,828			13,171,818
Trading Advisor incentive fee		3,832,220			373,031			4,992,995			373,031
Cash manager fees		110,321			212,840			400,606			642,657
General Partner management and performance fees		2,747,104			3,909,159			8,814,604			13,116,695
Selling Agent fees – General Partner		2,486,861			3,363,137			7,920,870			11,198,107
General Partner 1% allocation		100,465			(334,633	)		88,360			(796,654	)
Administrative expenses – General Partner		558,783			1,176,130			2,164,493			3,941,516
Investment Manager fees		191,403			—			347,832			—
Distribution (12b-1) fees		91			—			118			—
Operating services fee		76,562			—			139,633			—
Total expenses		12,526,523			12,511,573			33,348,339			41,647,170
Net investment income (loss)		(12,091,896	)		(10,769,749	)		(31,182,995	)		(38,440,293	)
Net Income (Loss)	$	9,950,179		$	(33,128,644	)	$	8,754,131		$	(78,868,711	)

	Three Months Ended September 30,
	2014						2013
	Class A		Class B		Class I		Class A			Class B			Class I
Increase (decrease) in net asset value per unit	$	51.27	$	99.22	$	18.03	$	(131.17	)	$	(158.54	)	$	(22.73	)

Net income (loss) per unit†	$	50.06	$	97.05	$	18.02	$	(134.19	)	$	(166.86	)	$	(23.88	)

Weighted average number of units outstanding		112,927.9085		43,777.9022		2,445.6642		157,065.6268			71,435.0710			5,511.4003

	Nine Months Ended September 30,
	2014						2013
	Class A		Class B		Class I		Class A			Class B			Class I
Increase (decrease) in net asset value per unit	$	46.74	$	144.75	$	30.24	$	(322.31	)	$	(372.60	)	$	(54.28	)

Net income (loss) per unit†	$	29.35	$	105.89	$	21.18	$	(310.92	)	$	(349.72	)	$	(64.39	)

Weighted average number of units outstanding		121,329.2014		48,329.8494		3,227.6796		165,177.3920			77,703.0946			5,236.5546

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

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

Futures Portfolio Fund, Limited Partnership

Consolidated Statements of Cash Flows

For the Nine Months Ended September 30, 2014 and 2013

(Unaudited)

	Nine Months Ended September 30,
	2014			2013
Cash flows from operating activities
Net income (loss)	$	8,754,131		$	(78,868,711	)
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities
Net change in unrealized (gain) loss from trading activity		19,830,922			21,905,995
Purchase of swap contract		(12,500,000	)		—
Purchases of securities and certificates of deposit		(819,599,191	)		(1,203,186,095	)
Proceeds from disposition of securities and certificates of deposit		965,314,333			1,252,813,949
Net realized and change in unrealized gain (loss) on securities and certificates of deposit		2,718,643			4,354,767
Changes in
Trading Advisor management fee payable		(1,760,469	)		(463,641	)
Trading Advisor incentive fee payable		3,654,322			373,031
Commissions and other trading fees payable on open contracts		6,713			(104,263	)
Cash Manager fees payable		(58,432	)		(110,948	)
General Partner management and performance fees payable		(234,064	)		(384,520	)
General Partner 1% allocation receivable/payable		371,726			50,851
Selling Agent fees payable – General Partner		(190,651	)		(296,384	)
Administrative expenses payable – General Partner		(158,888	)		(114,233	)
Investment Manager fee payable		63,431			—
Distribution (12b-1) fees payable		57			—
Operating services fee payable		25,372			—
Net cash provided by (used in) operating activities		166,237,955			(4,030,202	)

Cash flows from financing activities
Subscriptions		26,095,564			51,525,563
Subscriptions received in advance		5,658,415			3,963,648
Redemptions		(224,738,173	)		(285,392,060	)
Non-controlling interest – subscriptions		404,869			—
Net cash used in financing activities		(192,579,325	)		(229,902,849	)

Net increase (decrease) in cash and cash equivalents		(26,341,370	)		(233,933,051	)
Cash and cash equivalents, beginning of period		311,962,117			533,216,653
Cash and cash equivalents, end of period	$	285,620,747		$	299,283,602

End of period cash and cash equivalents consists of
Cash in broker trading accounts	$	259,918,610		$	277,513,309
Cash and cash equivalents		25,702,137			21,770,293
Total end of period cash and cash equivalents	$	285,620,747		$	299,283,602

Supplemental disclosure of cash flow information
Prior period redemptions paid	$	36,130,211		$	41,157,564
Prior period subscriptions received in advance	$	2,399,374		$	9,060,642

Supplemental schedule of non-cash financing activities
Redemptions payable	$	12,068,807		$	51,467,265

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

Futures Portfolio Fund, Limited Partnership

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

For the Nine Months Ended September 30, 2014 and 2013

(Unaudited)

	Class A						Class B						Class I						Non-Controlling Interest
	Units			Amount			Units			Amount			Units			Amount			Units		Amount		Total
Nine Months Ended September 30, 2014
Balance at December 31, 2013		133,795.0412		$	550,501,395			56,246.4420		$	325,651,536			4,675.5936		$	4,256,774			—	$	—	$	880,409,705
Net income (loss)					3,561,053						5,117,696						68,370					7,012		8,754,131
Subscriptions		4,790.9570			19,388,345			1,588.6229			9,106,593			—			—					404,869		28,899,807
Redemptions		(27,316.9635	)		(110,467,830	)		(15,431.0260	)		(88,184,732	)		(2,229.9294	)		(2,024,207	)		—		—		(200,676,769	)
Transfers		(523.1571	)		(2,143,288	)		368.7128			2,143,288			—			—			—		—		—
Balance at September 30, 2014		110,745.8776		$	460,839,675			42,772.7517		$	253,834,381			2,445.6642		$	2,300,937			—	$	411,881	$	717,386,874

Nine Months Ended September 30, 2013
Balance at December 31, 2012		178,207.9880		$	753,610,488			86,910.3630		$	508,000,871			2,484.3408		$	2,267,581			—	$	—	$	1,263,878,940
Net income (loss)					(51,357,397	)					(27,174,120	)					(337,194	)				—		(78,868,711	)
Subscriptions		8,382.8810			35,455,180			3,773.8057			22,090,880			3,305.6618			3,040,145			—		—		60,586,205
Redemptions		(34,632.8214	)		(143,816,580	)		(26,320.4417	)		(150,928,496	)		(1,114.4090	)		(956,685	)		—		—		(295,701,761	)
Transfers		(1,081.9340	)		(4,491,021	)		776.4547			4,491,021						—			—		—		—
Balance at September 30, 2013		150,876.1136		$	589,400,670			65,140.1817		$	356,480,156			4,675.5936		$	4,013,847			—	$	—	$	949,894,673

	Net Asset Value per Unit
	Class A		Class B		Class I

September 30, 2014	$	4,161.25	$	5,934.48	$	940.66
December 31, 2013		4,114.51		5,789.73		910.42
September 30, 2013		3,906.52		5,472.51		858.47
December 31, 2012		4,228.83		5,845.11		912.75

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

Futures Portfolio Fund, Limited Partnership

Notes to Consolidated Financial Statements

(Unaudited)

Organization and Summary of Significant Accounting Policies

Description of the Fund

Futures Portfolio Fund, Limited Partnership (“Fund”) is a Maryland limited partnership, which operates as a commodity investment pool that commenced trading operations on January 2, 1990. The Fund issues units of limited partner interests (“Units”) in three classes, Class A, B and I, which represent units of fractional undivided beneficial interest in and ownership of the Fund. Class I Units were made available for purchase on June 1, 2012. The Fund will automatically terminate on December 31, 2025, unless terminated earlier as provided in the Third Amended and Restated Limited Partnership Agreement (“Partnership Agreement”).

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

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

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

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

During the second quarter of 2014, the Fund purchased $58.5 million of Class I shares of the Steben Managed Futures Strategy Fund (“SMFF”). SMFF is a non-diversified series of shares of beneficial interest of Steben Alternative Investment Fund (the “Trust”), a statutory trust organized under the laws of the State of Delaware, and is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. SMFF issues four classes of shares: Class A, C, I and N. At September 30, 2014, the Fund owned a majority of the outstanding shares of SMFF and therefore had effective control of that entity. Accordingly, the assets, liabilities and operating results of SMFF have been consolidated with Futures Portfolio Fund. SMFF has a similar investment strategy to the Fund, except that it uses a total return swap with Deutsche Bank AG to obtain access to the returns of select commodity trading advisors. The General Partner serves as the investment manager of SMFF.

Significant Accounting Policies

Accounting Principles

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

Consolidation

The accompanying consolidated financial statements include the accounts of the Fund and SMFF, for which the Fund is the majority shareholder. All non-controlling interests in SMFF, as well as any material intercompany accounts and transactions have been eliminated in consolidation.

Use of Estimates

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

Revenue Recognition

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

Fair Value of Financial Instruments

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

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

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

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

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

The Fund assesses the classification of the instruments at each measurement date, and any transfers between levels are recognized on the actual date of the event or change in circumstances that caused the transfer in accordance with the Fund’s accounting policy regarding the recognition of transfers between levels of the fair value hierarchy. For the periods ended September 30, 2014 and December 31, 2013, there were no such transfers between levels.

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

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

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

Cash and Cash Equivalents

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

Brokerage Commissions and Trading Expenses

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

Redemptions Payable

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

Income Taxes

The Fund prepares calendar year U.S. and applicable state and local tax returns. The Fund is not subject to federal income taxes as each partner is individually liable for his or her allocable share of the Fund’s income, expenses and trading gains or losses. The Fund evaluates the tax positions taken or expected to be taken in the course of preparing the Fund’s tax returns to determine whether the tax positions are more-likely-than-not to be sustained when examined by the applicable tax authority. Tax positions not deemed to meet the more-likely-than-not threshold would be recorded as a tax benefit or expense and asset or liability in the current year. Management has determined there are no material uncertain income tax positions through September 30, 2014. With few exceptions, the Fund is no longer subject to U.S. federal, or state and local income tax examinations by tax authorities for years before 2011.

Foreign Currency Transactions

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

Swap Agreement

Through its investment in SMFF, the Fund has entered into a total return swap with Deutsche Bank AG. This two-party contract was entered in to exchange, or swap, the returns realized on a basket of CTA programs. Under the terms of the swap agreement, the investment manager of SMFF has the ability to periodically adjust the notional level of the swap, the notional allocation to each CTA program and the mix of CTA programs. The swap was effective April 2, 2014 and has a term of five years, with certain early termination provisions. The swap includes a 0.50% fee to Deutsche Bank.

At September 30, 2014, the notional value of the swap was $73,705,901 and SMFF had provided $12,496,500 as collateral. During the nine months ended September 30, 2014, the swap had an appreciation in fair value of $3,467,905.

Reclassification

Certain amounts reported in the 2013 consolidated financial statements may have been reclassified to conform to the 2014 presentation without affecting previously reported partners’ capital (net asset value).

Fair Value Disclosures

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

At September 30, 2014
	Level 1		Level 2			Total
Equity in broker trading accounts:
Net unrealized gain (loss) on open futures contracts*	$	19,893,623	$	—		$	19,893,623
Net unrealized gain (loss) on open forward currency contracts*		—		(4,539,267	)		(4,539,267	)
Investment in swap*		—		15,967,905			15,967,905
Cash and cash equivalents:
Money market fund		8,711,019		—			8,711,019
Investments in securities:
U.S. Treasury securities*		44,715,046		—			44,715,046
U.S. government sponsored enterprise notes		—		2,000,753			2,000,753
Asset backed securities*		—		9,643,553			9,643,553
Commercial paper*		—		53,689,605			53,689,605
Corporate notes*		—		286,178,351			286,178,351
Certificates of deposit*		—		28,886,206			28,886,206
Total	$	73,319,688	$	391,827,106		$	465,146,794

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

At December 31, 2013
	Level 1		Level 2		Total
Equity in broker trading accounts:
Net unrealized gain (loss) on open futures contracts*	$	37,958,108	$	—	$	37,958,108
Net unrealized gain (loss) on open forward currency contracts*		—		695,075		695,075
Investment in swap*		—		—		—
Cash and cash equivalents:
Money market fund		6,338,530		—		6,338,530
Investments in securities:
U.S. Treasury securities*		88,102,079		—		88,102,079
Commercial paper*		—		65,153,483		65,153,483
Corporate notes*		—		377,666,684		377,666,684
Certificates of deposit*		—		42,625,053		42,625,053
Total	$	132,398,717	$	486,140,295	$	618,539,012

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

There were no Level 3 holdings at September 30, 2014 or December 31, 2013, or during the periods then ended.

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

Derivative Instruments Disclosures

The Fund’s derivative contracts are comprised of futures and forward currency contracts, none of which are designated as hedging instruments. At September 30, 2014, the Fund’s derivative contracts had the following impact on the consolidated statements of financial condition:

	Derivative Assets and Liabilities, at fair value
Statements of Financial Condition Location	Gross Amounts of Recognized Assets		Gross Amounts Offset in the Statements of Financial Condition			Net Amount of Assets Presented in the Statements of Financial Condition
Equity in broker trading accounts
Net unrealized gain (loss) on open futures contracts
Agricultural commodities	$	9,381,577	$	(5,151,234	)	$	4,230,343
Currencies		7,162,127		(2,319,906	)		4,842,221
Energy		5,536,277		(1,155,221	)		4,381,056
Equity indices		3,571,180		(5,694,574	)		(2,123,394	)
Interest rate instruments		6,249,443		(3,624,323	)		2,625,120
Metals		11,370,331		(5,409,365	)		5,960,966
Single stock futures		248,739		(271,428	)		(22,689	)
Net unrealized gain (loss) on open futures contracts	$	43,519,674	$	(23,626,051	)	$	19,893,623

Net unrealized gain (loss) on open forward currency contracts	$	17,646,941	$	(22,186,208	)	$	(4,539,267	)

Investment in swap contract	$	15,967,905	$	—		$	15,967,905

At September 30, 2014, there were 64,380 open futures contracts and 2,667 open forward currency contracts. For the three and nine months ended September 30, 2014, the Fund’s derivative contracts had the following impact on the consolidated statements of operations:

	Three Months Ended September 30, 2014						Nine Months Ended September 30, 2014
Types of Exposure	Net realized gain (loss)			Net change in unrealized gain (loss)			Net realized gain (loss)			Net change in unrealized gain (loss)
Futures contracts
Agricultural commodities	$	3,427,306		$	4,199,308		$	13,023,155		$	312,951
Currencies		6,176,382			3,001,894			4,393,805			(2,843,629	)
Energy		(8,584,729	)		1,921,259			(14,802,785	)		4,360,831
Equity indices		4,015,489			(5,616,395	)		15,082,650			(26,989,030	)
Interest rate instruments		17,577,743			(8,237,599	)		49,409,974			2,996,345
Metals		(1,060,094	)		7,205,303			(12,493,028	)		4,669,285
Single stock futures		(364,008	)		(389,059	)		1,634,179			(571,238	)
Total futures contracts		21,188,089			2,084,711			56,247,950			(18,064,485	)

Forward currency contracts		3,371,455			(4,020,523	)		7,699,833			(5,234,342	)

Investment in swap contract		—			1,876,429			(3,500	)		3,471,903

Total futures, forward currency and swap contracts	$	24,559,544		$	(59,383	)	$	63,944,283		$	(19,826,924	)

For the three and nine months ended September 30, 2014, the number of futures contracts closed was 415,069 and 969,822, respectively, and the number of forward currency contracts closed was 8,460 and 28,476, respectively.

The Fund’s financial assets, derivative assets, and cash collateral held by counterparties at September 30, 2014 were:

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

JP Morgan Securities, LLC	$	3,831,294		$	—	$	—	$	3,831,294
Newedge UK Financial Ltd		(3,072,452	)		—		—		(3,072,452	)
Newedge USA, LLC		16,062,329			—		—		16,062,329
UBS AG		(1,466,815	)		—		—		(1,466,815	)
Deutsche Bank AG		15,967,905			—		—		15,967,905
Total	$	31,322,261		$	—	$	—	$	31,322,261

At December 31, 2013, the Fund’s derivative contracts had the following impact on the consolidated statements of financial condition:

December 31, 2013	Derivative Assets and Liabilities, at fair value
Statements of Financial Condition Location	Gross Amounts of Recognized Assets		Gross Amounts Offset in the Statements of Financial Condition			Net Amount of Assets Presented in the Statements of Financial Condition
Equity in broker trading accounts
Net unrealized gain (loss) on open futures contracts
Agricultural commodities	$	5,823,273	$	(1,905,881	)	$	3,917,392
Currencies		8,479,775		(793,925	)		7,685,850
Energy		1,961,940		(1,941,715	)		20,225
Equity indices		25,256,880		(391,244	)		24,865,636
Interest rate instruments		5,523,958		(5,895,183	)		(371,225	)
Metals		10,448,475		(9,156,794	)		1,291,681
Single stock futures		617,785		(69,236	)		548,549
Net unrealized gain (loss) on open futures contracts	$	58,112,086	$	(20,153,978	)	$	37,958,108

Net unrealized gain (loss) on open forward currency contracts	$	5,818,188	$	(5,123,113	)	$	695,075

At December 31, 2013, there were 64,196 open futures contracts and 2,271 open forward currency contracts. For the three and nine months ended September 30, 2013, the Fund’s derivative contracts had the following impact on the consolidated statements of operations:

	Three Months Ended September 30, 2013						Nine Months Ended September 30, 2013
Types of Exposure	Net realized gain (loss)			Net change in unrealized gain (loss)			Net realized gain (loss)			Net change in unrealized gain (loss)
Futures contracts
Agricultural commodities	$	(805,028	)	$	689,645		$	(1,264,562	)	$	435,544
Currencies		(12,385,354	)		2,355,722			(11,560,915	)		(2,029,027	)
Energy		(920,497	)		(2,528,921	)		(35,802,162	)		(4,077,227	)
Equity indices		17,352,796			(1,092,270	)		88,977,260			(9,949,046	)
Interest rate instruments		(4,474,747	)		7,562,309			(65,103,755	)		783,780
Metals		(2,462,257	)		(20,978,857	)		17,411,009			638,789
Single stock futures		(117,345	)		53,020			1,441,010			(34,225	)
Total futures contracts		(3,812,432	)		(13,939,352	)		(5,902,115	)		(14,231,412	)

Forward currency contracts		(8,147,754	)		3,342,511			(9,460,025	)		(7,674,583	)

Total futures and forward currency contracts	$	(11,960,186	)	$	(10,596,841	)	$	(15,362,140	)	$	(21,905,995	)

For the three and nine months ended September 30, 2013, the number of futures contracts closed was 344,416 and 1,072,438, respectively, and the number of forward currency contracts closed was 10,344 and 35,722, respectively.

The Fund’s financial assets, derivative assets, and cash collateral held by counterparties at December 31, 2013 were:

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

JP Morgan Securities, LLC	$	11,027,627	$	—	$	—	$	11,027,627
Newedge UK Financial Ltd		639,551		—		—		639,551
Newedge USA, LLC		26,930,481		—		—		26,930,481
UBS AG		55,524		—		—		55,524
Deutsche Bank AG		—		—		—		—
Total	$	38,653,183	$	—	$	—	$	38,653,183

General Partner

At September 30, 2014 and December 31, 2013, and for the periods then ended, the General Partner did not maintain a capital balance in the Fund. However, the beneficiary of the majority shareholder of the General Partner had the following investment:

	September 30, 2014		December 31, 2013
Class of units	I		I
Number of units		254.4114		254.4114
Value	$	239,313	$	231,622

The General Partner earns the following compensation:

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

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

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

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

	§	Selling Agent Fees – the Class A Units incur a monthly fee equal to 1/12^th of 2% of the month-end net asset value of the Class A Units. Selling agent fees amounted to $2,356,765 and $3,159,014 for the three months ended September 30, 2014 and 2013, respectively. For the nine months ended September 30, 2014 and 2013, selling agent fees were $7,497,404 and $10,505,197, respectively. Such amounts are included in selling agent fees – General Partner in the consolidated statements of operations. The General Partner, in turn, pays the selling agent fees to the respective selling agents. If there is no designated selling agent or the General Partner was the selling agent, such portions of the selling agent fees are retained by the General Partner.

	§	Broker Dealer Servicing Fees – the Class B Units incur a monthly fee equal to 1/12^th of 0.2% of the month-end net asset value of the Class B Units. Broker dealer servicing fees amounted to $130,096 and $204,123 for the three months ended September 30, 2014 and 2013, respectively. For the nine months ended September 30, 2014 and 2013, broker dealer servicing fees were $423,465 and $692,910, respectively. Such amounts are included in selling agent fees – General Partner in the consolidated statements of operations. The General Partner, in turn, pays the fees to the respective selling agents. If there is no designated selling agent or the General Partner was the selling agent, such portions of the broker dealer servicing fees are retained by the General Partner.

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

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

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

Trading Advisors and Cash Managers

The Fund has advisory agreements with various commodity trading advisors, pursuant to which the Fund incurs a monthly trading advisor management fee that ranges from 0% to 2% per annum of allocated net assets (as defined in each respective advisory agreement), paid monthly or quarterly in arrears. Additionally, the Fund incurs trading advisor incentive fees, payable quarterly in arrears, ranging from 10% to 30% of net new trading profits (as defined in each respective advisory agreement).

The Fund has engaged J.P. Morgan Investment Management, Inc. and Principal Global Investors, LLC (collectively, the “Cash Managers”) to provide cash management services to the Fund. The Fund incurs monthly fees, payable in arrears to the Cash Managers, equal to approximately 1/12th of 0.11% of the investments in securities and certificates of deposit.

Deposits with Brokers

To meet margin requirements, the Fund deposits funds with its futures brokers, subject to CFTC regulations and various exchange and broker requirements. The Fund earns interest income on its assets deposited with brokers. At September 30, 2014 and December 31, 2013, the Fund had margin requirements of $113,480,263 and $130,308,150, respectively.

Subscriptions, Distributions and Redemptions

Investments in the Fund are made by subscription agreement and must be received within five business days of the end of the month, subject to acceptance by the General Partner. The minimum investment is $10,000 for Class A and B units and $2,000,000 for Class I units. Units are sold at the respective net asset value per unit for Class A, B or I interests as of the close of business on the last day of the month in which the subscription is accepted. Investors whose subscriptions are accepted are admitted as limited partners as of the beginning of the month following the month in which their subscriptions were accepted. At September 30, 2014 and December 31, 2013, the Fund received advance subscriptions of $5,658,415 and $2,399,374, respectively, which were recognized as subscriptions to the Fund or returned, if applicable, subsequent to period-end.

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

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

Trading Activities and Related Risks

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

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

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

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

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

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

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

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

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

Through its investments in debt securities and certificates of deposit, the Fund has exposure to U.S. and foreign enterprises. The following table presents the exposure at September 30, 2014.

Country or Region	U.S. Treasury Securities		U.S. Government Sponsored Enterprise Notes		Commercial Paper		Corporate Notes		Asset Backed Securities		Certificates of Deposit		Total		% of Partners’ Capital (Net Asset Value)
United States	$	44,715,046	$	2,000,753	$	35,245,654	$	194,135,947	$	9,643,553	$	7,960,458	$	293,701,411		40.94	%
Canada		—		—		1,799,583		19,643,008		—		6,206,642		27,649,233		3.85	%
Netherlands		—		—		—		23,337,258		—		1,400,665		24,737,923		3.45	%
Great Britain		—		—		3,496,762		11,557,635		—		—		15,054,397		2.10	%
Australia		—		—		—		13,349,639		—		—		13,349,639		1.86	%
Japan		—		—		2,299,932		4,214,397		—		4,810,340		11,324,669		1.58	%
Spain		—		—		—		5,775,402		—		—		5,775,402		0.81	%
Switzerland		—		—		—		2,240,959		—		3,503,336		5,744,295		0.80	%
British Virgin Islands		—		—		—		4,814,820		—		—		4,814,820		0.67	%
Mexico		—		—		—		4,535,948		—		—		4,535,948		0.63	%
France		—		—		4,048,370		—		—		—		4,048,370		0.56	%
Singapore		—		—		3,599,484		—		—		—		3,599,484		0.50	%
Germany		—		—		—		—		—		3,003,706		3,003,706		0.42	%
Sweden		—		—		999,957		—		—		2,001,059		3,001,016		0.42	%
Luxumberg		—		—		—		2,573,338		—		—		2,573,338		0.36	%
Multi-national		—		—		2,199,863		—		—		—		2,199,863		0.31	%
Total	$	44,715,046	$	2,000,753	$	53,689,605	$	286,178,351	$	9,643,553	$	28,886,206	$	425,113,514		59.26	%

The following table presents the exposure at December 31, 2013.

Country or Region	U.S. Treasury Securities		Commercial Paper		Corporate Notes		Certificates of Deposit		Total		% of Partners’ Capital (Net Asset Value)
United States	$	88,102,079	$	31,009,077	$	250,957,531	$	29,100,934	$	399,169,621		45.35	%
Netherlands		—		—		40,422,010		—		40,422,010		4.59	%
Canada		—		2,099,115		22,978,564		4,005,167		29,082,846		3.30	%
Great Britain		—		9,196,934		9,424,171		—		18,621,105		2.12	%
Japan		—		4,714,655		10,240,862		—		14,955,517		1.70	%
Australia		—		2,599,946		9,056,601		—		11,656,547		1.32	%
France		—		5,486,017		3,387,040		—		8,873,057		1.01	%
Netherland Antilles		—		—		8,513,655		—		8,513,655		0.97	%
Switzerland		—		—		2,313,791		4,505,939		6,819,730		0.77	%
Sweden		—		3,899,026		615,818		2,001,859		6,516,703		0.74	%
Mexico		—		—		5,928,963		—		5,928,963		0.67	%
Denmark		—		—		5,020,114		—		5,020,114		0.57	%
Singapore		—		4,899,313		—		—		4,899,313		0.56	%
British Virgin Islands		—		—		4,802,760		—		4,802,760		0.55	%
Multi-national		—		—		4,004,804		—		4,004,804		0.45	%
China		—		—		—		3,011,154		3,011,154		0.34	%
Norway		—		1,249,400		—		—		1,249,400		0.14	%
Total	$	88,102,079	$	65,153,483	$	377,666,684	$	42,625,053	$	573,547,299		65.15	%

Indemnifications

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

10.

Interim Financial Statements

The consolidated statements of financial condition, including the consolidated condensed schedule of investments, at September 30, 2014, the consolidated statements of operations for the three and nine months ended September 30, 2014 and 2013, the consolidated statements of cash flows and changes in partners’ capital (net asset value) for the nine months ended September 30, 2014 and 2013, and the accompanying notes to the consolidated financial statements are unaudited. Certain information and footnote disclosures normally included in consolidated financial statements prepared in accordance with GAAP may be omitted pursuant to such rules and regulations. In the opinion of management, such consolidated financial statements and accompanying disclosures reflect all adjustments, which were of a normal and recurring nature, necessary to present fairly the financial position at September 30, 2014, results of operations for the three and nine months ended September 30, 2014 and 2013, cash flows and changes in partners’ capital (net asset value) for the nine months ended September 30, 2014 and 2013. The results of operations for the three and nine months ended September 30, 2014 and 2013 are not necessarily indicative of the results to be expected for the full year or any other period. These consolidated financial statements should be read in conjunction with the audited financial statements and the notes thereto included in the Fund’s Form 10-K as filed with the SEC.

11.

Financial Highlights

The following information presents per unit operating performance data and other financial ratios for the three and nine months ended September 30, 2014 and 2013, assuming the unit was outstanding throughout the entire period:

	Three Months Ended September 30,
	2014									2013
	Class A			Class B			Class I			Class A			Class B			Class I
Per Unit Operating Performance
Net asset value per Unit at beginning of period	$	4,109.98		$	5,835.26		$	922.63		$	4,037.69		$	5,631.05		$	881.20
Gain (loss) from operations
Gain (loss) from trading⁽¹⁾		126.74			180.17			28.41			(82.58	)		(114.99	)		(18.00	)
Net investment income (loss)⁽¹⁾		(75.47	)		(80.95	)		(10.38	)		(48.59	)		(43.55	)		(4.73	)
Total gain (loss) from operations		51.27			99.22			18.03			(131.17	)		(158.54	)		(22.73	)

Net asset value per Unit at end of period	$	4,161.25		$	5,934.48		$	940.66		$	3,906.52		$	5,472.51		$	858.47

Total return ⁽⁴⁾		1.25	%		1.70	%		1.95	%		(3.25	)%		(2.82	)%		(2.58	)%

Other Financial Ratios
Ratios to average net asset value
Expenses prior to General Partner 1% allocation ^{(2) (3)}		7.53	%		5.70	%		4.64	%		5.71	%		3.95	%		2.99	%
General Partner 1% allocation ⁽⁴⁾		0.01	%		0.02	%		0.02	%		(0.03	)%		(0.03	)%		(0.03	)%
Net total expenses		7.54	%		5.72	%		4.66	%		5.68	%		3.92	%		2.96	%

Net investment income (loss) ^{(2) (3) (5)}		(7.29	)%		(5.46	)%		(4.40	)%		(5.04	)%		(3.26	)%		(2.29	)%

	Nine Months Ended September 30,
	2014									2013
	Class A			Class B			Class I			Class A			Class B			Class I
Per Unit Operating Performance
Net asset value per Unit at beginning of period	$	4,114.51		$	5,789.73		$	910.42		$	4,228.83		$	5,845.11		$	912.75
Gain (loss) from operations
Gain (loss) from trading⁽¹⁾		230.73			326.66			51.15			(159.96	)		(224.33	)		(34.55	)
Net investment income (loss)⁽¹⁾		(183.99	)		(181.91	)		(20.91	)		(162.35	)		(148.27	)		(19.73	)
Total gain (loss) from operations		46.74			144.75			30.24			(322.31	)		(372.60	)		(54.28	)

Net asset value per Unit at end of period	$	4,161.25		$	5,934.48		$	940.66		$	3,906.52		$	5,472.51		$	858.47

Total return ⁽⁴⁾		1.14	%		2.50	%		3.32	%		(7.62	)%		(6.37	)%		(5.95	)%

Other Financial Ratios
Ratios to average net asset value
Expenses prior to General Partner 1% allocation ^{(2) (3)}		6.41	%		4.57	%		3.45	%		5.66	%		3.86	%		3.40	%
General Partner 1% allocation ⁽⁴⁾		0.01	%		0.02	%		0.02	%		(0.08	)%		(0.06	)%		(0.07	)%
Net total expenses		6.42	%		4.59	%		3.47	%		5.58	%		3.80	%		3.33	%

Net investment income (loss) ^{(2) (3) (5)}		(6.04	)%		(4.20	)%		(3.05	)%		(5.29	)%		(3.48	)%		(3.00	)%

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

⁽¹⁾ The net investment income (loss) per unit is calculated by dividing the net investment income (loss) by the average number of Class A, B or I Units outstanding during the period. Gain (loss) 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 (loss) from trading per unit due to the timing of trading gains and losses during the period relative to the number of units outstanding.

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

⁽³⁾ Ratios have been annualized.

⁽⁴⁾ Ratios have not been annualized.

⁽⁵⁾ Ratio excludes General Partner 1% allocation.

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

Results of Operations

During the second quarter of 2014, the Fund purchased $58.5 million of Class I shares of the Steben Managed Futures Strategy Fund (“SMFF”). SMFF is a non-diversified series of shares of beneficial interest of Steben Alternative Investment Fund (the “Trust”), a statutory trust organized under the laws of the State of Delaware, and is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. SMFF has a similar investment strategy to the Fund, except that it uses a total return swap with Deutsche Bank AG to obtain access to the returns of select commodity trading advisors. By using the swap agreement, the Fund was able to take advantage of lower CTA fees at lower investment levels.

The returns for each Class of Units for the nine months ended September 30, 2014 and 2013 were:

Class of Units	2014		2013
Class A		1.14%		(7.62)%
Class B		2.50%		(6.37)%
Class I		3.32%		(5.95)%

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

2014

January

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

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

February

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

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

March

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

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

April

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

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

May

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

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

June

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

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

July

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

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

August

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

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

September

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

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

2013

January

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

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

February

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

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

March

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

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

April

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

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

May

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

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

June

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

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

July

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

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

August

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

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

September

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

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

Liquidity

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

Capital Resources

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

Off-Balance Sheet Risk

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

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

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

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

Significant Accounting Estimates

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

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

Item 3. Quantitative and Qualitative Disclosures about Market Risk

Introduction

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

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

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

Standard of Materiality

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

Quantifying the Fund’s Trading Value at Risk

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

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

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

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

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

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

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

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

The following table indicates the trading Value at Risk associated with the Fund’s open positions by market sector at September 30, 2014 and December 31, 2013. All open position trading risk exposures of the Fund have been included in calculating the figures set forth below.

	September 30, 2014					December 31, 2013
Market Sector	Value at Risk		% of Total Capitalization			Value at Risk		% of Total Capitalization

Agricultural commodities	$	7,777,396		1.08	%	$	12,048,839		1.37	%
Currencies		29,646,935		4.14			32,743,375		3.72
Energy		7,792,000		1.09			10,635,338		1.21
Equity indices		29,342,019		4.09			43,589,832		4.95
Interest rate instruments		25,982,295		3.62			20,895,833		2.37
Metals		11,155,063		1.55			14,333,234		1.63
Single stock futures		6,750,350		0.94			4,144,187		0.47
Total	$	118,446,058		16.51	%	$	138,390,638		15.72	%

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

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

Non-Trading Risk

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

Qualitative Disclosures Regarding Primary Trading Risk Exposures

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

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

The following were the primary trading risk exposures of the Fund as of September 30, 2014, by market sector.

Agricultural Commodities

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

Currencies

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

Energy

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

Equity Indices

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

Interest Rate Instruments

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

Metals

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

Single Stock Futures

The Fund has a very small exposure to Single Stock Futures (“SSF”). The Fund’s SSF exposure is primarily due to adverse price movements in the underlying stock.

Qualitative Disclosures Regarding Non-Trading Risk Exposure

The following were the only non-trading risk exposures of the Fund as of September 30, 2014.

Foreign Currency Balances

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

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

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

Qualitative Disclosures Regarding Means of Managing Risk Exposure

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

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

Item 4. Controls and Procedures

The General Partner, with the participation of the Chief Executive Officer and Chief Financial Officer, evaluated the effectiveness of the design and operation of the Fund’s disclosure controls and procedures at September 30, 2014 (the “Evaluation Date”). Based on their evaluation, the Chief Executive Officer and Chief Financial Officer of the General Partner concluded that, as of the Evaluation Date, the Fund’s disclosure controls and procedures were effective.

There has been no change in internal control over financial reporting that occurred during the period ended September 30, 2014 that has materially affected, or is reasonably likely to materially affect, the Fund’s internal control over financial reporting.

PART II: OTHER INFORMATION

Item 1. Legal Proceedings

None.

Item 1A. Risk Factors

There have been no material changes from risk factors disclosed in the Fund’s Form 10-K for year ended December 31, 2013.

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

There were no sales of unregistered securities of the Fund during the three months ended September 30, 2014. Under the Fund’s Partnership Agreement, limited partners may redeem their Units at the end of each calendar month at the then current month-end net asset value per Unit. Redemptions of Units during the three months ended September 30, 2014 were as follows:

	July		August		September		Total
A Units
Units redeemed		2,509.2558		1,978.7723		1,694.1685		6,182.1966
Average net asset value per unit	$	4,013.19	$	4,174.90	$	4,161.25	$	4,105.52

B Units
Units redeemed		1,265.5461		969.3600		809.1739		3,044.0800
Average net asset value per unit	$	5,706.32	$	5,945.10	$	5,934.48	$	5,843.01

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

Item 3. Defaults Upon Senior Securities

Not applicable.

Item 4. Mine Safety Disclosures

Not applicable.

Item 5. Other Information

None.

Item 6. Exhibits

The following exhibits are filed herewith of incorporated by reference.

Exhibit No.	Description of Exhibit
1.1 *	Form of Selling Agreement

3.1 *	Maryland Certificate of Limited Partnership

4.1 *	Limited Partnership Agreement

10.1 *	Form of Subscription Agreement

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

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

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

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

101.INS	XBRL Instance Document

101.SCH	XBRL Taxonomy Extension Schema Document

101.CAL	XBRL Taxonomy Extension Calculation Linkbase Document

101.DEF	XBRL Taxonomy Extension Definition Linkbase Document

101.LAB	XBRL Taxonomy Extension Label Linkbase Document

101.PRE	XBRL Taxonomy Extension Presentation Linkbase Document

* Filed with the Registrant’s Form 10, filed on April 29, 2004, and incorporated herein by reference.

SIGNATURES

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

Dated: November 13, 2014	Futures Portfolio Fund, Limited Partnership

	By:	Steben & Company, Inc.
		General Partner

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

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

FUTURES PORTFOLIO FUND L.P. - FORM 10-Q - November 13, 2014

Attached files

FUTURES PORTFOLIO FUND L.P. Reports