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

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EXCEL - IDEA: XBRL DOCUMENT - FUTURES PORTFOLIO FUND L.P.	Financial_Report.xls
EX-31.02 - CERTIFICATION OF CHIEF FINANCIAL OFFICER - FUTURES PORTFOLIO FUND L.P.	ex31-02.htm
EX-32.01 - CERTIFICATION OF CHIEF EXECUTIVE OFFICER - FUTURES PORTFOLIO FUND L.P.	ex32-01.htm
EX-31.01 - CERTIFICATION OF CHIEF EXECUTIVE OFFICER - FUTURES PORTFOLIO FUND L.P.	ex31-01.htm
EX-32.02 - CERTIFICATION OF CHIEF FINANCIAL OFFICER - FUTURES PORTFOLIO FUND L.P.	ex32-02.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 March 31, 2015

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

March 31, 2015 (Unaudited) and December 31, 2014 (Audited)

	March 31, 2015			December 31, 2014
Assets
Equity in broker trading accounts
Cash	$	271,576,630		$	240,042,950
Net unrealized gain (loss) on open futures contracts		20,867,038			33,424,425
Net unrealized gain (loss) on open forward currency contracts		(387,743	)		(1,409,257	)
Net unrealized gain (loss) on swap contract		11,485,018			8,071,814
Total equity in broker trading accounts		303,540,943			280,129,932
Cash and cash equivalents		29,908,999			29,900,779
Investments in securities, at fair value		440,970,910			430,462,588
Certificates of deposit, at fair value		32,095,630			28,894,203
Subscriptions receivable		488,414			209,400
Total assets	$	807,004,896		$	769,596,902

Liabilities and Partners’ Capital (Net Asset Value)
Liabilities
Trading Advisor management fees payable	$	1,134,184		$	1,212,424
Trading Advisor incentive fees payable		9,346,873			10,977,066
Commissions and other trading fees payable on open contracts		149,174			146,411
Cash Manager fees payable		111,067			111,171
General Partner management and performance fees payable		973,005			930,656
General Partner 1% allocation payable		480,980			538,285
Selling Agent fees payable – General Partner		873,416			838,049
Administrative expenses payable – General Partner		190,360			183,163
Investment Manager fees payable		86,488			74,621
Distribution (12b-1) fees payable		1,265			321
Operating services fee payable		34,595			29,848
Redemptions payable		10,174,269			10,423,609
Subscriptions received in advance		4,584,146			2,577,065
Total liabilities		28,139,822			28,042,689
Partners’ Capital (Net Asset Value)
Class A Interests – 104,102.0664 and 106,074.0114 units outstanding at March 31, 2015 and December 31, 2014, respectively		488,591,647			468,243,719
Class B Interests – 40,037.1267 and 41,522.9665 units outstanding at March 31, 2015 and December 31, 2014, respectively		270,388,953			262,572,733
Class I Interests – 3,819.1423 and 3,438.9708 units outstanding at March 31, 2015 and December 31, 2014, respectively		4,101,440			3,455,693
Non-controlling interest		15,783,034			7,282,068
Total partners’ capital (net asset value)		778,865,074			741,554,213
Total liabilities and partners’ capital (net asset value)	$	807,004,896		$	769,596,902

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

Futures Portfolio Fund, Limited Partnership

Consolidated Condensed Schedule of Investments

March 31, 2015

(Unaudited)

			Description				Fair Value		% of Partners' Capital (Net Asset Value)
INVESTMENTS IN SECURITIES
U.S. Treasury Securities
Face Value		Maturity Date	Name	Yield¹
$	1,000,000	4/30/15	U.S. Treasury Note		2.50	%	$	1,012,376		0.13	%
	5,500,000	5/31/15	U.S. Treasury Note		0.25	%		5,505,038		0.71	%
	1,520,000	5/31/15	U.S. Treasury Note		2.13	%		1,535,872		0.20	%
	10,500,000	7/15/15	U.S. Treasury Note		0.25	%		10,510,866		1.34	%
	3,400,000	8/31/15	U.S. Treasury Note		0.38	%		3,404,951		0.44	%
	3,740,000	11/15/15	U.S. Treasury Note		0.38	%		3,749,235		0.48	%
	3,000,000	11/30/15	U.S. Treasury Note		1.38	%		3,037,028		0.39	%
	3,000,000	1/15/16	U.S. Treasury Note		0.38	%		3,005,410		0.39	%
	1,100,000	1/31/16	U.S. Treasury Note		2.00	%		1,119,585		0.14	%
	2,000,000	2/29/16	U.S. Treasury Note		0.25	%		2,000,279		0.26	%
	2,000,000	7/15/16	U.S. Treasury Note		0.63	%		2,008,718		0.26	%
Total U.S. Treasury securities (cost: $39,916,416)								36,889,358		4.74	%

U.S. Government Sponsored Enterprise Notes
	Face Value	Maturity Date	Name		Yield¹
$	2,000,000	9/18/15	Federal Home Loan Banks		0.20	%		2,000,061		0.26	%
Total U.S. government sponsored entities (cost: $1,999,600)								2,000,061		0.26	%

U.S. Commercial Paper
	Face Value	Maturity Date	Name		Yield¹
Automotive
$	2,000,000	4/10/15	Daimler Finance North America LLC		0.38	%		1,999,810		0.26	%
	1,000,000	7/20/15	Hyundai Capital America		0.75	%		998,960		0.13	%
Banks
	2,500,000	8/6/15	Agricultural Bank of China Limited		0.74	%		2,497,700		0.32	%
	1,800,000	5/1/15	Credit Suisse (USA), Inc.		0.30	%		1,799,550		0.23	%
	400,000	4/1/15	HSBC Bank USA		0.16	%		400,000		0.05	%
	2,100,000	6/15/15	Mitsubishi UFJ Trust & Banking Corp. (USA)		0.24	%		2,098,950		0.27	%
	500,000	4/6/15	Mizuho Funding LLC		0.25	%		499,983		0.06	%
	1,100,000	4/13/15	MUFG Union Bank		0.15	%		1,099,945		0.14	%
	500,000	5/11/15	MUFG Union Bank		0.16	%		499,911		0.06	%
	1,700,000	5/15/15	Standard Chartered Bank		0.20	%		1,699,584		0.22	%
Beverages
	2,100,000	4/22/15	Bacardi U.S.A., Inc.		0.49	%		2,099,400		0.27	%
	1,000,000	4/13/15	Molson Coors Brewing Company		0.45	%		999,856		0.13	%
Diversified financial services
	500,000	7/28/15	ABN AMRO Funding USA LLC		0.41	%		499,605		0.06	%
	1,500,000	4/1/15	Alpine Securities Corporation		0.00	%		1,500,000		0.19	%
	1,800,000	5/4/15	AXA Financial, Inc.		0.25	%		1,799,587		0.23	%
	300,000	5/5/15	AXA Financial, Inc.		0.24	%		299,932		0.04	%
	1,450,000	4/7/15	DCAT, LLC		0.26	%		1,449,937		0.19	%
	1,800,000	4/27/15	Gotham Funding Corporation		0.18	%		1,799,766		0.23	%
	300,000	5/12/15	ING (U.S.) Funding LLC		0.23	%		299,921		0.04	%
	200,000	6/17/15	ING (U.S.) Funding LLC		0.22	%		199,906		0.03	%
	500,000	4/14/15	Intercontinental Exchange, Inc.		0.17	%		499,969		0.06	%
	1,400,000	4/20/15	Manhattan Asset Funding Company LLC		0.20	%		1,399,852		0.18	%

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

Futures Portfolio Fund, Limited Partnership

Consolidated Condensed Schedule of Investments (continued)

March 31, 2015

(Unaudited)

			Description				Fair Value		% of Partners’ Capital (Net Asset Value)
U.S. Commercial Paper (continued)
Face Value		Maturity Date	Name	Yield¹
Diversified financial services (continued)
$	400,000	4/17/15	J.P. Morgan Securities LLC		0.25	%	$	399,956		0.05	%
	1,800,000	5/13/15	Liberty Street Funding LLC		0.16	%		1,799,664		0.23	%
	1,800,000	4/27/15	Nieuw Amsterdam Receivables Corp.		0.12	%		1,799,844		0.23	%
Energy
	1,000,000	6/10/15	Anadarko Petroleum Corporation		0.77	%		999,410		0.13	%
	1,800,000	4/28/15	Dominion Resources, Inc.		0.52	%		1,799,298		0.23	%
	1,800,000	4/6/15	Duke Energy Corporation		0.41	%		1,799,897		0.23	%
	1,900,000	4/28/15	Enterprise Products Operating LLC		0.60	%		1,899,145		0.24	%
	1,700,000	4/8/15	Motiva Enterprises LLC		0.57	%		1,699,812		0.22	%
	1,000,000	4/9/15	Nabors Industries, Inc.		0.63	%		999,945		0.13	%
	400,000	4/2/15	NextEra Energy Capital Holdings, Inc.		0.50	%		399,994		0.05	%
	2,400,000	5/11/15	Oglethorpe Power Corporation		0.17	%		2,399,547		0.31	%
	400,000	4/1/15	Southern Company Funding Corporation		0.23	%		400,000		0.05	%
	1,600,000	4/2/15	Southern Company Funding Corporation		0.20	%		1,599,991		0.21	%
Food
	400,000	4/7/15	General Mills, Inc.		0.32	%		399,979		0.05	%
	1,600,000	5/6/15	General Mills, Inc.		0.48	%		1,599,253		0.21	%
Manufacturing
	400,000	4/9/15	Eaton Corporation		0.55	%		399,951		0.05	%
Non-profit
	530,000	5/27/15	Catholic Health Initiatives		0.15	%		529,876		0.07	%
REITS
	400,000	5/13/15	Simon Property Group, L.P.		0.17	%		399,921		0.05	%
Retail
	1,000,000	4/13/15	AutoZone, Inc.		0.50	%		999,921		0.13	%
	400,000	4/27/15	CVS Caremark Corporation		0.47	%		399,864		0.05	%
Total U.S. commercial paper (cost: $49,146,768)								49,167,392		6.31	%

Foreign Commercial Paper
	Face Value	Maturity Date	Name		Yield¹
Banks
$	2,000,000	9/8/15	Bank of China Limited		0.70	%		1,994,479		0.26	%
	500,000	5/18/15	DNB Bank ASA		0.14	%		499,909		0.06	%
	3,000,000	2/23/16	DNB Bank ASA		0.54	%		2,986,500		0.38	%
	500,000	4/8/15	John Deere Bank SA		0.12	%		499,988		0.06	%
	1,800,000	4/9/15	John Deere Bank SA		0.11	%		1,799,956		0.23	%
	450,000	1/6/16	Macquarie Bank Limited		0.60	%		450,689		0.06	%
	500,000	6/10/15	Oversea-Chinese Banking Corp. Ltd		0.17	%		499,835		0.06	%
	1,800,000	6/26/15	Sumitomo Mitsui Bank		0.24	%		1,798,968		0.23	%
Beverages
	1,200,000	4/15/15	Diageo Capital PLC		0.50	%		1,199,839		0.15	%
Consumer products
	3,000,000	4/21/15	Reckitt Benckiser Treasury Services PLC		0.31	%		2,999,773		0.41	%
Energy
	1,500,000	6/2/15	Centrica PLC		0.68	%		1,499,260		0.19	%
	2,500,000	1/8/16	Electricite de France		0.72	%		2,486,950		0.32	%
	500,000	4/20/15	GDF Suez		0.17	%		499,955		0.06	%

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

Futures Portfolio Fund, Limited Partnership

Consolidated Condensed Schedule of Investments (continued)

March 31, 2015

(Unaudited)

			Description				Fair Value		% of Partners’ Capital (Net Asset Value)
Foreign Commercial Paper (continued)
Face Value		Maturity Date	Name	Yield¹
Energy (continued)
$	1,600,000	5/26/15	GDF Suez		0.20	%	$	1,599,511		0.21	%
Insurance
	1,800,000	4/7/15	Prudential Public Limited Company		0.19	%		1,799,943		0.23	%
	400,000	5/1/15	Prudential Public Limited Company		0.18	%		399,940		0.05	%
Total foreign commercial paper (cost: $22,988,985)								23,015,495		2.96	%
Total commercial paper (cost: $72,135,753)								72,182,887		9.27	%

U.S. Corporate Notes
	Face Value	Maturity Date	Name		Yield¹
Aerospace
$	1,200,000	5/1/16	Lockheed Martin Corporation		7.65	%		1,326,848		0.17	%
	3,800,000	12/15/16	Rockwell Collins, Inc.		0.62	%		3,804,088		0.49	%
Automotive
	700,000	1/11/16	Daimler Finance North America LLC		1.25	%		704,534		0.09	%
	2,500,000	9/15/16	Daimler Finance North America LLC		2.63	%		2,564,892		0.33	%
	6,700,000	3/2/18	Daimler Finance North America LLC		0.68	%		6,717,206		0.86	%
	7,350,000	1/9/18	Ford Motor Credit Company LLC		1.19	%		7,392,008		0.95	%
	1,388,000	3/15/16	Nissan Motor Acceptance Corporation		1.00	%		1,392,323		0.18	%
	1,700,000	9/18/15	Toyota Motor Credit Corporation		0.42	%		1,701,187		0.22	%
	1,400,000	9/23/16	Toyota Motor Credit Corporation		0.36	%		1,399,383		0.18	%
	2,000,000	5/23/16	Volkswagen Group of America Finance, LLC		0.48	%		1,998,596		0.26	%
	500,000	5/23/17	Volkswagen Group of America Finance, LLC		0.63	%		499,675		0.06	%
	5,000,000	11/20/17	Volkswagen Group of America Finance, LLC		0.70	%		4,995,392		0.64	%
Banks
	2,250,000	4/1/15	Bank of America Corporation		4.50	%		2,300,850		0.30	%
	3,750,000	3/22/16	Bank of America Corporation		1.08	%		3,767,142		0.48	%
	1,500,000	3/22/16	Bank of America Corporation		1.08	%		1,506,857		0.19	%
	1,298,000	3/15/16	BB&T Corporation		3.20	%		1,327,174		0.17	%
	1,000,000	2/13/17	Capital One Bank		0.76	%		1,002,990		0.13	%
	1,500,000	11/6/15	Capital One Financial Corporation		1.00	%		1,507,849		0.19	%
	9,250,000	4/1/16	Citigroup Inc.		1.30	%		9,336,858		1.20	%
	2,000,000	9/16/15	Comerica Incorporated		3.00	%		2,023,260		0.26	%
	1,000,000	2/26/16	Fifth Third Bank		0.67	%		1,001,957		0.13	%
	7,750,000	7/22/15	Goldman Sachs		0.66	%		7,761,305		1.00	%
	1,000,000	2/7/16	Goldman Sachs		3.63	%		1,026,288		0.13	%
	400,000	12/15/17	Goldman Sachs		1.07	%		401,190		0.05	%
	11,150,000	2/26/16	JPMorgan Chase & Co.		0.88	%		11,188,268		1.41	%
	1,000,000	10/15/15	Morgan Stanley		0.73	%		1,002,448		0.13	%
	9,725,000	2/9/18	MUFG Americas Holdings Corporation		0.83	%		9,762,632		1.25	%
	300,000	1/28/16	PNC Bank		0.80	%		301,021		0.04	%
	2,000,000	4/29/16	PNC Bank, National Association		0.57	%		2,001,768		0.26	%
	1,158,000	3/7/16	State Street Corporation		2.88	%		1,185,136		0.15	%
	1,000,000	7/27/15	U.S. Bancorp		2.45	%		1,010,810		0.13	%
	2,500,000	10/1/15	U.S. Bank National Association		0.32	%		2,502,091		0.32	%
	1,500,000	7/20/15	Wells Fargo Bank		0.54	%		1,502,676		0.19	%
	2,000,000	5/16/16	Wells Fargo Bank, National Association		0.47	%		1,990,085		0.26	%

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

Futures Portfolio Fund, Limited Partnership

Consolidated Condensed Schedule of Investments (continued)

March 31, 2015

(Unaudited)

			Description				Fair Value		% of Partners’ Capital (Net Asset Value)
U.S. Corporate Notes (continued)
Face Value		Maturity Date	Name	Yield¹
Beverages
$	750,000	3/1/17	Anheuser-Busch Companies, LLC		5.60	%	$	820,573		0.11	%
	2,000,000	1/15/16	Anheuser-Busch Inbev Finance Inc.		0.80	%		2,010,700		0.26	%
	2,000,000	11/15/15	Coca-Cola Company		1.50	%		2,025,035		0.26	%
Biomedical
	5,000,000	12/1/16	Gilead Sciences, Inc.		3.05	%		5,227,683		0.67	%
Building materials
	300,000	1/15/16	CRH America, Inc.		4.13	%		309,258		0.04	%
Computer services
	3,000,000	2/5/16	IBM		0.33	%		3,002,852		0.39	%
Diversified financial services
	1,800,000	9/15/15	American Express Credit Corporation		2.75	%		1,819,671		0.23	%
	2,000,000	5/9/16	General Electric Capital Corporation		2.95	%		2,073,714		0.27	%
	1,000,000	7/12/16	General Electric Capital Corporation		0.90	%		1,007,880		0.13	%
	1,000,000	1/9/17	General Electric Capital Corporation		0.53	%		1,002,435		0.13	%
Electronics
	1,350,000	11/17/15	Honeywell International Inc.		0.31	%		1,350,669		0.17	%
Energy
	1,000,000	8/1/16	Arizona Public Service Company		6.25	%		1,082,651		0.14	%
	500,000	9/15/16	Dayton Power and Light Company		1.88	%		505,932		0.06	%
	5,750,000	4/3/17	Duke Energy Corporation		0.64	%		5,775,601		0.74	%
	1,000,000	8/15/16	Georgia Power Company		0.66	%		999,985		0.13	%
	3,350,000	12/1/17	Kinder Morgan, Inc.		2.00	%		3,368,038		0.43	%
	1,000,000	9/1/15	NextEra Energy Capital Holdings, Inc.		2.60	%		1,009,075		0.13	%
	4,850,000	2/1/16	ONEOK Partners, L.P.		3.25	%		4,937,284		0.63	%
	800,000	8/15/15	Orange and Rockland Utilities, Inc.		2.50	%		806,591		0.10	%
	4,778,000	7/15/16	Pioneer Natural Resources Company		5.88	%		5,100,050		0.65	%
	5,500,000	6/15/16	Spectra Energy Partners, LP		2.95	%		5,648,149		0.73	%
Healthcare
	375,000	6/15/16	Becton, Dickinson and Company		0.72	%		375,240		0.05	%
	3,295,000	9/26/16	Ventas Realty, Limited Partnership		1.55	%		3,312,184		0.43	%
	4,775,000	4/1/18	Zimmer Holdings, Inc.		2.00	%		4,812,945		0.62	%
Insurance
	784,000	10/1/15	American International Group, Inc.		5.05	%		820,461		0.11	%
	2,700,000	10/18/16	American International Group, Inc.		5.60	%		2,947,740		0.38	%
	1,254,000	9/30/15	Aon Corporation		3.50	%		1,271,127		0.16	%
	1,800,000	7/28/16	Jackson National Life Global Funding		0.50	%		1,802,237		0.23	%
	2,000,000	7/14/16	Metropolitan Life Global Funding I		0.45	%		2,003,449		0.26	%
	1,000,000	4/10/17	Metropolitan Life Global Funding I		0.63	%		1,004,187		0.13	%
	309,000	4/10/17	Metropolitan Life Global Funding I		1.30	%		312,703		0.04	%
	2,500,000	10/5/15	New York Life Global Funding		0.29	%		2,501,581		0.32	%
	1,000,000	3/1/17	New York Life Global Funding		1.13	%		1,004,828		0.13	%
	600,000	8/19/15	Pricoa Global Funding I		0.53	%		600,637		0.08	%
	7,500,000	11/25/16	Pricoa Global Funding I		1.15	%		7,553,513		0.97	%
	2,498,000	12/1/15	Travelers Companies, Inc.		5.50	%		2,624,500		0.34	%
Manufacturing
	1,000,000	3/3/17	Caterpillar Financial Services Corporation		0.49	%		999,296		0.13	%
	5,390,000	11/2/15	Eaton Corporation		0.95	%		5,420,033		0.70	%

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

Futures Portfolio Fund, Limited Partnership

Consolidated Condensed Schedule of Investments (continued)

March 31, 2015

(Unaudited)

			Description				Fair Value		% of Partners' Capital (Net Asset Value)
U.S. Corporate Notes (continued)
Face Value		Maturity Date	Name	Yield¹
Manufacturing (continued)
$	2,400,000	6/15/15	John Deere Capital Corporation		0.39	%	$	2,400,945		0.31	%
Media
	2,945,000	4/15/16	NBCUniversal Media, LLC		0.79	%		2,947,263		0.38	%
Pharmaceuticals
	500,000	3/17/17	EMD FIN LLC		0.62	%		500,912		0.06	%
Retail
	2,000,000	3/1/16	Home Depot, Inc.		5.40	%		2,096,900		0.27	%
	700,000	5/18/16	Walgreens Boots Alliance, Inc.		0.71	%		701,631		0.09	%
Software
	1,400,000	7/7/17	Oracle Corporation		0.45	%		1,401,202		0.18	%
Telecommunication
	2,094,000	8/15/15	AT&T Inc.		2.50	%		2,114,792		0.27	%
	1,500,000	8/15/16	AT&T Inc.		2.40	%		1,530,925		0.20	%
	3,000,000	9/3/15	Cisco Systems, Inc.		0.31	%		3,001,156		0.39	%
	2,150,000	9/15/16	Verizon Communications Inc.		1.80	%		2,190,741		0.28	%
	1,700,000	11/1/16	Verizon Communications Inc.		2.00	%		1,738,993		0.22	%
Total U.S. corporate notes (cost: $210,070,089)								209,782,734		26.9	%

Foreign Corporate Notes
	Face Value	Maturity Date	Name		Yield¹
Automotive
$	4,500,000	11/18/16	Volkswagen International Finance N.V.		0.70	%		4,505,006		0.58	%
Banks
	1,810,000	1/22/16	ABN AMRO Bank NV		1.38	%		1,823,060		0.23	%
	3,950,000	5/7/15	Australia and New Zealand Banking Group Ltd		0.46	%		3,953,149		0.51	%
	4,100,000	9/24/15	Bank of Montreal		0.52	%		4,104,448		0.53	%
	2,000,000	9/11/15	Bank of Tokyo-Mitsubishi UFJ, Ltd.		2.45	%		2,018,046		0.26	%
	1,000,000	6/28/15	HSBC Bank PLC		3.50	%		1,016,302		0.13	%
	3,700,000	5/24/16	HSBC Bank PLC		3.10	%		3,838,684		0.49	%
	5,650,000	9/25/15	ING Bank N.V.		2.00	%		5,670,698		0.73	%
	1,000,000	3/15/16	ING Bank NV		4.00	%		1,029,168		0.13	%
	1,500,000	9/1/15	ING Group NV		3.00	%		1,517,190		0.19	%
	1,500,000	7/27/15	Macquarie Bank Limited		3.45	%		1,522,175		0.20	%
	2,000,000	12/9/16	National Australia Bank Limited		0.51	%		2,001,168		0.26	%
	1,200,000	5/13/16	Nordea Bank AB		0.88	%		1,206,401		0.15	%
	500,000	5/12/16	Standard Chartered PLC		3.20	%		517,350		0.07	%
	1,250,000	7/18/15	Sumitomo Mitsui Bank		1.35	%		1,256,347		0.16	%
	1,200,000	1/18/16	Sumitomo Mitsui Bank		0.90	%		1,203,718		0.15	%
	1,000,000	9/23/16	Svenska Handelsbanken AB		0.73	%		1,004,498		0.13	%
	5,000,000	5/1/15	Toronto-Dominion Bank		0.44	%		5,004,023		0.63	%
	2,000,000	9/26/16	UBS AG		0.77	%		1,999,652		0.26	%
	2,000,000	9/25/15	Westpac Banking Corporation		1.03	%		2,007,131		0.26	%
Beverages
	1,000,000	10/1/15	Heineken N.V.		0.80	%		1,004,781		0.13	%
Diversified financial services
	800,000	1/29/18	Caisse centrale Desjardins		0.92	%		801,143		0.10	%

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

Futures Portfolio Fund, Limited Partnership

Consolidated Condensed Schedule of Investments (continued)

March 31, 2015

(Unaudited)

			Description				Fair Value		% of Partners' Capital (Net Asset Value)
Foreign Corporate Notes (continued)
Face Value		Maturity Date	Name	Yield¹
Energy
$	750,000	3/11/16	BP Capital Markets P.L.C.		3.20	%	$	768,928		0.10	%
	4,800,000	5/9/16	CNOOC Finance (2013) Limited		1.13	%		4,811,556		0.62	%
	8,000,000	6/2/17	Enbridge Inc.		0.71	%		7,907,144		1.02	%
	1,000,000	1/15/16	TransCanada PipeLines Limited		0.75	%		999,933		0.13	%
Healthcare
	2,550,000	5/29/15	Covidien International Finance S.A.		1.35	%		2,565,211		0.33	%
Insurance
	1,200,000	9/17/15	Manulife Financial Corporation		3.40	%		1,216,367		0.16	%
Pharmaceuticals
	6,790,000	3/12/18	Actavis Funding SCS		1.35	%		6,875,206		0.88	%
Telcommunication
	1,275,000	6/22/15	British Telecommunications PLC		2.00	%		1,286,038		0.17	%
	1,300,000	4/11/16	Deutsche Telekom International Finance B.V.		3.13	%		1,347,278		0.17	%
	1,000,000	9/16/15	Orange		2.13	%		1,006,376		0.13	%
	1,000,000	2/16/16	Telefonica Emisiones, S.A.U.		3.99	%		1,030,444		0.13	%
Transportation
	4,500,000	10/28/16	Kansas City Southern de Mexico, SA de CV		0.96	%		4,519,229		0.58	%
Total foreign corporate notes (cost: $83,518,559)								83,337,848		10.70	%
Total corporate notes (cost: $293,588,648)								293,120,582		37.63	%

U.S. Asset Backed Securities
Automotive
$	602,351	10/20/16	Ally Auto Receivables Trust 2014-SN1		0.52	%		602,128		0.08	%
	525,000	6/15/17	Ally Master Owner Trust		1.21	%		525,991		0.07	%
	500,000	4/9/18	Americredit Automobile Receivables Trust 2014-4		0.58	%		499,699		0.06	%
	621,206	1/15/21	ARI Fleet Lease Trust 2012-B		0.47	%		620,598		0.08	%
	1,000,000	9/15/17	BMW Manufacturing Co., LLC		0.57	%		1,002,373		0.13	%
	990,000	6/20/17	Capital Auto Receivables Asset Trust 2013-1		0.79	%		990,962		0.13	%
	1,800,000	2/15/18	CarMax Auto Owner Trust 2014-4		0.67	%		1,801,011		0.23	%
	250,000	11/15/17	Drive Auto Receivables Trust 2015-A		1.01	%		250,066		0.03	%
	125,281	3/20/19	Enterprise Fleet Financing, LLC		1.06	%		125,561		0.02	%
	645,000	3/15/18	Ford Credit Auto Owner Trust 2012-D		0.67	%		644,935		0.08	%
	2,000,000	8/15/17	Ford Credit Auto Owner Trust 2014-C		0.61	%		2,000,392		0.26	%
	919,534	5/15/17	Honda Auto Receivables 2013-3 Owner Trust		0.77	%		920,612		0.12	%
	2,000,000	9/18/17	Honda Auto Receivables 2013-4 Owner Trust		0.69	%		2,001,328		0.26	%
	700,000	6/15/17	Honda Auto Receivables 2015-1 Owner Trust		0.70	%		700,256		0.09	%
	1,900,000	11/15/17	Hyundai Auto Lease Securitization Trust 2014-B		0.98	%		1,902,570		0.24	%
	1,400,000	10/16/17	Hyundai Auto Receivables Trust 2015-A		0.68	%		1,399,662		0.18	%
	1,100,000	6/15/17	Nissan Auto Receivables 2014-B Owner Trust		0.60	%		1,100,033		0.14	%
	1,020,792	8/15/17	Santander Drive Auto Receivables Trust 2014-3		0.54	%		1,020,453		0.13	%
	285,000	4/16/18	Santander Drive Auto Receivables Trust 2014-5		0.57	%		284,813		0.04	%
	1,390,219	8/21/17	Volkswagen Auto Loan Enhanced Trust 2013-1		0.56	%		1,389,697		0.18	%
Credit cards
	1,000,000	1/15/20	BA Credit Card Trust		0.46	%		999,435		0.13	%
	1,830,000	8/15/18	Barclays Dryrock Issuance Trust		0.64	%		1,830,425		0.24	%
	1,500,000	11/15/18	Capital One Multi-Asset Execution Trust		0.63	%		1,499,979		0.19	%

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

Futures Portfolio Fund, Limited Partnership

Consolidated Condensed Schedule of Investments (continued)

March 31, 2015

(Unaudited)

			Description				Fair Value		% of Partners' Capital (Net Asset Value)
U.S. Asset Backed Securities (continued)
Face Value		Maturity Date	Name	Yield¹
Credit cards (continued)
$	2,000,000	9/16/19	Capital One Multi-Asset Execution Trust		0.96	%	$	2,004,269		0.26	%
	1,030,000	10/16/17	Chase Issuance Trust		0.32	%		1,029,428		0.13	%
	1,185,000	6/15/18	GE Capital Credit Card Master Note Trust		0.95	%		1,186,482		0.15	%
Commercial mortgages
	507,580	5/10/45	Banc of America Commercial Mortgage Trust 2006-2		5.73	%		532,461		0.07	%
	959,688	4/15/43	J.P. Morgan Chase Commercial Mortgage Securities Corp.		5.48	%		985,219		0.13	%
	2,000,000	9/15/39	LB-UBS Commercial Mortgage Trust 2006-C6		5.37	%		2,105,909		0.26	%
Other
	1,393,281	8/15/18	CNH Equipment Trust 2013-B		0.69	%		1,393,835		0.18	%
	500,000	7/20/19	GE Dealer Floorplan Master Note		0.56	%		498,663		0.06	%
	1,000,000	2/15/18	John Deere Owner Trust 2015		0.87	%		1,001,479		0.13	%
	400,000	12/15/17	Kubota Credit Owner Trust 2015-1		0.94	%		400,423		0.05	%
	55,000	8/15/17	Volvo Fin'l Equip LLC Series 2012-1		1.51	%		55,170		0.01	%
Student loans
	93,444	5/16/22	Navient Private Ed Loan Trust 2014-A		0.65	%		93,388		0.01	%
	313,733	8/15/23	SLM Private Ed Loan Trust 2012-C		1.27	%		314,752		0.04	%
	80,037	8/15/25	SLM Private Education Loan Trust 2012-A		1.57	%		80,698		0.01	%
	553,509	12/15/21	SLM Private Education Loan Trust 2012-B		1.27	%		554,497		0.07	%
	427,882	10/16/23	SLM Private Education Loan Trust 2012-E		0.92	%		428,370		0.05	%
Total U.S. asset backed securities (cost: $36,786,943)								36,778,022		4.72	%
Total investments in securities (cost: $441,427,360)							$	440,970,910		56.62	%

CERTIFICATES OF DEPOSIT
U.S. Certificates of Deposit
	Face Value	Maturity Date	Name		Yield¹
Banks
$	2,000,000	3/4/16	Barclays Bank PLC		0.88	%	$	2,003,463		0.26	%
	2,500,000	1/28/16	Credit Suisse Group AG		0.68	%		2,503,978		0.32	%
	2,000,000	5/12/15	Industrial and Commercial Bank of China Ltd		0.72	%		2,006,842		0.26	%
	3,000,000	9/4/15	Lloyds Bank plc		0.48	%		3,010,137		0.38	%
	2,000,000	2/26/16	Standard Chartered Bank		0.65	%		2,001,872		0.26	%
Total U.S. certificates of deposit (cost: $11,500,000)								11,526,292		1.48	%

Foreign Certificates of Deposit
	Face Value	Maturity Date	Name		Yield¹
Banks
$	2,000,000	10/23/15	Bank of Nova Scotia		0.51	%		2,003,958		0.26	%
	2,200,000	5/9/16	Bank of Nova Scotia		0.45	%		2,200,803		0.28	%
	2,000,000	11/16/15	Canadian Imperial Bank of Commerce		0.36	%		2,000,333		0.26	%
	2,500,000	9/1/15	Chiba Bank, Ltd.		0.34	%		2,501,206		0.32	%
	2,000,000	8/3/15	China Construction Bank Corporation		0.69	%		2,003,527		0.26	%
	3,000,000	7/23/15	Deutsche Bank AG		0.58	%		3,003,390		0.38	%
	2,000,000	2/19/16	Landesbank Hessen-Thuringen Girozentrale		0.57	%		2,002,732		0.26	%
	2,000,000	2/13/17	Nordea Bank Finland PLC		0.54	%		2,000,985		0.26	%
	850,000	2/12/16	Sumitomo Mitsui Bank		0.52	%		850,600		0.10	%

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

Futures Portfolio Fund, Limited Partnership

Consolidated Condensed Schedule of Investments (continued)

March 31, 2015

(Unaudited)

				Description					Fair Value			% of Partners’ Capital (Net Asset Value)
Foreign Certificates of Deposit (continued)
Face Value		Maturity Date		Name		Yield¹
Banks (continued)
$	2,000,000		8/17/16		Svenska Handelsbanken AB		0.44	%	$	2,001,804			0.26	%
Total foreign certificates of deposit (cost: $20,548,010)										20,569,338			1.84	%

Total certificates of deposit (cost: $32,048,010)									$	32,095,630			3.32	%

OPEN FUTURES CONTRACTS
Long U.S. Futures Contracts
					Agricultural commodities				$	(343,721	)		(0.04	)%
					Currencies					(77,481	)		(0.02	)%
					Energy					(400,134	)		(0.05	)%
					Equity indices					(113,002	)		(0.01	)%
					Interest rate instruments					7,545,767			0.97	%
					Metals					(347,361	)		(0.04	)%
					Single stock futures					(53,773	)		(0.01	)%
Net unrealized gain (loss) on open long U.S. futures contracts										6,210,295			0.80	%

Short U.S. Futures Contracts
					Agricultural commodities					4,280,110			0.55	%
					Currencies					239,056			0.03	%
					Energy					2,485,858			0.32	%
					Equity indices					(30,241	)		(0.00	)%
					Interest rate instruments					(209,808	)		(0.03	)%
					Metals					(762,034	)		(0.10	)%
					Single stock futures					(101,967	)		(0.01	)%
Net unrealized gain (loss) on open short U.S. futures contracts										5,900,974			0.76	%

Total U.S. Futures Contracts - Net unrealized gain (loss) on open U.S. futures contracts										12,111,269			1.56	%

Long Foreign Futures Contracts
					Agricultural commodities					(99,715	)		(0.01	)%
					Currencies					(94,019	)		(0.01	)%
					Energy					(150	)		(0.00	)%
					Equity indices					2,581,215			0.33	%
					Interest rate instruments					6,528,835			0.84	%
					Single stock futures					6,476			0.00	%
Net unrealized gain (loss) on open long foreign futures contracts										8,922,642			1.15	%

Short Foreign Futures Contracts
					Agricultural commodities					57,584			0.01	%
					Currencies					44,444			0.01	%
					Energy					(75,890	)		(0.01	)%
					Equity indices					252,735			0.03	%
					Interest rate instruments					(459,514	)		(0.06	)%
					Metals					13,768			0.00	%
Net unrealized gain (loss) on open short foreign futures contracts										(166,873	)		(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)

March 31, 2015

(Unaudited)

					% of Partners’
					Capital
	Description	Fair Value			(Net Asset Value)

Total foreign futures contracts - net unrealized gain (loss) on open foreign futures contracts		$	8,755,769			1.13	%

Net unrealized gain (loss) on open futures contracts		$	20,867,038			2.69	%

OPEN FORWARD CURRENCY CONTRACTS
U.S. Forward Currency Contracts
Long		$	(1,078,836	)		(0.14	)%
Short			523,082			0.07	%
Net unrealized gain (loss) on open U.S. forward currency contracts			(555,754	)		(0.07	)%

Foreign Forward Currency Contracts
Long			(682,376	)		(0.09	)%
Short			850,387			0.11	%
Net unrealized gain (loss) on open foreign forward currency contracts			168,011			0.02	%

Net unrealized gain (loss) on open forward currency contracts		$	(387,743	)		(0.05	)%

TOTAL RETURN SWAP CONTRACT
Termination Date	Counterparty	$	11,485,018			1.47	%
4/1/19	Deutsche Bank, AG
Comprised of a proprietary basket of Commodity Trading Advisor's (“CTA”) Programs investing in various futures, forwards and currency derivative contracts and other similar investments. See Notes 2 and 3.

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

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

Futures Portfolio Fund, Limited Partnership

Consolidated Condensed Schedule of Investments

December 31, 2014

(Audited)

				Description				Fair Value		% of Partners’ Capital (Net Asset Value)
INVESTMENTS IN SECURITIES
U.S. Treasury Securities
Face Value		Maturity Date		Name	Yield¹
$	1,000,000		2/28/15	U.S. Treasury Note		2.38	%	$	1,021,339		0.14	%
	5,000,000		4/30/15	U.S. Treasury Note		0.13	%		5,002,240		0.67	%
	1,000,000		4/30/15	U.S. Treasury Note		2.50	%		1,012,092		0.14	%
	5,500,000		5/31/15	U.S. Treasury Note		0.25	%		5,504,646		0.74	%
	1,520,000		5/31/15	U.S. Treasury Note		2.13	%		1,535,364		0.21	%
	10,500,000		7/15/15	U.S. Treasury Note		0.25	%		10,519,056		1.41	%
	3,400,000		8/31/15	U.S. Treasury Note		0.38	%		3,408,446		0.46	%
	3,320,000		11/15/15	U.S. Treasury Note		0.38	%		3,324,737		0.45	%
	3,000,000		11/30/15	U.S. Treasury Note		1.38	%		3,033,626		0.41	%
	3,000,000		1/15/16	U.S. Treasury Note		0.38	%		3,007,072		0.41	%
	2,000,000		7/15/16	U.S. Treasury Note		0.63	%		2,009,680		0.27	%
Total U.S. Treasury securities (cost: $39,423,113)									39,378,298		5.31	%

U.S. Government Sponsored Enterprise Notes
	Face Value		Maturity Date	Name		Yield¹
$	2,000,000		9/18/15	Federal Home Loan Banks		0.20	%		2,000,951		0.27	%
Total U.S. government sponsored entities (cost: $1,999,600)									2,000,951		0.27	%

U.S. Commercial Paper
	Face Value		Maturity Date	Name		Yield¹
Automotive
$	400,000		1/15/15	Nissan Motor Acceptance Corporation		0.33	%		399,948		0.05	%
Banks
	1,800,000		5/1/15	Credit Suisse (USA), Inc.		0.30	%		1,798,200		0.24	%
	400,000		1/22/15	HSBC Bank USA, National Association		0.15	%		399,965		0.05	%
	1,200,000		2/27/15	Manhattan Asset Funding Company LLC		0.21	%		1,199,601		0.16	%
	1,300,000		1/23/15	Mizuho Funding LLC		0.17	%		1,299,865		0.18	%
	500,000		2/6/15	MUFG Union Bank, National Association		0.18	%		499,910		0.07	%
	1,800,000		2/9/15	Standard Chartered Bank		0.20	%		1,799,610		0.24	%
	500,000		2/17/15	Standard Chartered Bank		0.19	%		499,876		0.07	%
	1,800,000		1/26/15	Sumitomo Mitsui Banking Corporation		0.17	%		1,799,787		0.24	%
	530,000		3/31/15	Sumitomo Mitsui Banking Corporation		0.23	%		529,699		0.07	%
Beverages
	2,000,000		1/7/15	Bacardi Corporation		0.33	%		1,999,890		0.28	%
	400,000		1/6/15	Brown-Forman Corporation		0.18	%		399,990		0.05	%
Diversified financial services
	500,000		7/28/15	ABN AMRO Funding USA LLC		0.35	%		498,987		0.07	%
	300,000		1/29/15	AXA Financial, Inc.		0.23	%		299,946		0.04	%
	1,800,000		2/17/15	AXA Financial, Inc.		0.21	%		1,799,507		0.24	%
	1,450,000		2/2/15	DCAT, LLC		0.26	%		1,449,665		0.20	%
	1,800,000		1/20/15	Gotham Funding Corporation		0.17	%		1,799,839		0.24	%
	300,000		2/17/15	ING (U.S.) Funding LLC		0.18	%		299,930		0.04	%
	200,000		3/16/15	ING (U.S.) Funding LLC		0.22	%		199,910		0.03	%

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

Futures Portfolio Fund, Limited Partnership

Consolidated Condensed Schedule of Investments (continued)

December 31, 2014

(Audited)

				Description				Fair Value		% of Partners’ Capital (Net Asset Value)
U.S. Commercial Paper (continued)
Face Value		Maturity Date		Name	Yield¹
Diversified financial services (continued)
$	1,700,000		1/13/15	Liberty Street Funding LLC		0.17	%	$	1,699,904		0.23	%
	1,800,000		1/28/15	National Rural Utilities Cooperative Finance Corp.		0.15	%		1,799,798		0.24	%
	500,000		2/4/15	National Rural Utilities Cooperative Finance Corp.		0.14	%		499,934		0.07	%
Energy
	400,000		1/8/15	Apache Corporation		0.40	%		399,969		0.05	%
	1,800,000		1/9/15	Apache Corporation		0.41	%		1,799,836		0.24	%
	1,200,000		1/21/15	Dominion Resources, Inc.		0.37	%		1,199,753		0.16	%
	1,500,000		1/6/15	Duke Energy Corporation		0.32	%		1,499,933		0.20	%
	400,000		1/12/15	Duke Energy Corporation		0.34	%		399,958		0.05	%
	400,000		1/5/15	Enterprise Products Operating LLC		0.67	%		399,970		0.05	%
	1,700,000		1/6/15	Enterprise Products Operating LLC		0.52	%		1,699,877		0.23	%
	1,600,000		1/5/15	ONEOK Partners, L.P.		0.38	%		1,599,932		0.22	%
	500,000		1/9/15	ONEOK Partners, L.P.		0.43	%		499,952		0.07	%
	2,000,000		1/5/15	Questar Corporation		0.15	%		1,999,967		0.28	%
	500,000		1/6/15	Southern Company Funding Corporation		0.25	%		499,983		0.07	%
	1,500,000		1/7/15	Southern Company Funding Corporation		0.20	%		1,499,950		0.20	%
Food
	1,500,000		1/21/15	General Mills, Inc.		0.42	%		1,499,650		0.20	%
Media
	2,000,000		1/5/15	CBS Corporation		0.40	%		1,999,911		0.27	%
Total U.S. commercial paper (cost: $39,963,544)									39,972,402		5.39	%

Foreign Commercial Paper
	Face Value		Maturity Date	Name		Yield¹
Banks
$	2,100,000		1/30/15	Bank of Tokyo-Mitsubishi UFJ, Ltd.		0.17	%		2,099,711		0.28	%
	1,500,000		1/6/16	Macquarie Bank Limited		0.77	%		1,488,120		0.20	%
	2,500,000		1/13/15	Nordea Bank AB		0.13	%		2,499,892		0.34	%
	500,000		2/6/15	Skandinaviska Enskilda Banken AB		0.20	%		499,900		0.07	%
Consumer products
	3,000,000		4/21/15	Reckitt Benckiser Treasury Services PLC		0.19	%		2,998,243		0.40	%
Energy
	2,500,000		1/8/16	Electricite de France		0.44	%		2,488,600		0.34	%
	400,000		1/5/15	GDF Suez		0.14	%		399,994		0.05	%
	1,600,000		2/26/15	GDF Suez		0.17	%		1,599,577		0.21	%
Insurance
	2,200,000		1/7/15	Prudential Public Limited Company		0.17	%		2,199,938		0.30	%
Total foreign commercial paper (cost: $16,258,508)									16,273,975		2.19	%
Total commercial paper (cost: $56,222,052)									56,246,377		7.58	%

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, 2014

(Audited)

				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.		0.59	%	$	3,806,001		0.51	%
Automotive
	1,700,000		12/11/17	American Honda Finance Corporation		0.55	%		1,699,452		0.23	%
	700,000		1/11/16	Daimler Finance North America LLC		1.25	%		706,036		0.10	%
	4,500,000		9/15/16	Daimler Finance North America LLC		2.63	%		4,642,061		0.63	%
	1,400,000		1/30/15	Nissan Motor Acceptance Corporation		4.50	%		1,430,509		0.19	%
	1,700,000		9/18/15	Toyota Motor Credit Corporation		0.39	%		1,701,793		0.23	%
	1,400,000		9/23/16	Toyota Motor Credit Corporation		0.35	%		1,398,611		0.19	%
	2,000,000		5/23/16	Volkswagen Group of America Finance, LLC		0.45	%		1,998,934		0.27	%
	500,000		5/23/17	Volkswagen Group of America Finance, LLC		0.60	%		499,668		0.07	%
	5,000,000		11/20/17	Volkswagen Group of America Finance, LLC		0.67	%		4,995,919		0.67	%
Banks
	2,250,000		4/1/15	Bank of America Corporation		4.50	%		2,296,733		0.31	%
	5,250,000		3/22/16	Bank of America Corporation		1.07	%		5,280,431		0.71	%
	3,500,000		1/15/15	Bank of New York Company, Inc.		3.10	%		3,552,460		0.48	%
	2,000,000		2/20/15	Bank of New York Company, Inc.		1.20	%		2,009,385		0.27	%
	1,000,000		2/13/17	Capital One Bank		0.73	%		1,002,978		0.14	%
	1,500,000		11/6/15	Capital One Bank		1.00	%		1,500,864		0.20	%
	9,250,000		4/1/16	Citigroup Inc.		1.30	%		9,300,690		1.25	%
	2,000,000		9/16/15	Comerica Incorporated		3.00	%		2,047,364		0.28	%
	1,000,000		2/26/16	Fifth Third Bank		0.64	%		1,001,575		0.14	%
	7,750,000		7/22/15	Goldman Sachs Group, Inc.		0.63	%		7,760,436		1.05	%
	1,000,000		2/7/16	Goldman Sachs Group, Inc.		3.63	%		1,040,200		0.14	%
	400,000		12/15/17	Goldman Sachs Group, Inc.		1.04	%		399,585		0.05	%
	11,150,000		2/26/16	JPMorgan Chase & Co.		0.85	%		11,207,471		1.51	%
	5,000,000		10/15/15	Morgan Stanley		0.71	%		5,011,698		0.68	%
	1,158,000		3/7/16	State Street Corporation		2.88	%		1,196,872		0.16	%
	1,000,000		7/27/15	U.S. Bancorp		2.45	%		1,021,994		0.14	%
	2,500,000		10/1/15	U.S. Bancorp		0.30	%		2,502,280		0.34	%
	2,515,000		2/13/15	Wells Fargo & Company		1.25	%		2,529,470		0.34	%
	1,500,000		7/20/15	Wells Fargo Bank		0.51	%		1,503,156		0.20	%
	2,000,000		5/16/16	Wells Fargo Bank		0.44	%		1,995,105		0.27	%
Beverages
	750,000		3/1/17	Anheuser-Busch Inbev		5.60	%		832,415		0.11	%
	5,720,000		1/27/17	Anheuser-Busch Inbev		1.13	%		5,759,826		0.78	%
	2,000,000		11/15/15	Coca-Cola Company		1.50	%		2,023,435		0.27	%
Biomedical
	5,000,000		12/1/16	Gilead Sciences, Inc.		3.05	%		5,199,308		0.70	%
Building materials
	600,000		1/15/16	CRH America, Inc.		4.13	%		628,855		0.08	%
Computers
	3,000,000		2/5/16	IBM		0.30	%		3,001,034		0.40	%

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, 2014

(Audited)

				Description				Fair Value		% of Partners’ Capital (Net Asset Value)
U.S. Corporate Notes (continued)
Face Value		Maturity Date		Name	Yield¹
Diversified Financial Services
$	1,800,000		9/15/15	American Express Credit Corporation		2.75	%	$	1,842,345		0.25	%
	1,000,000		7/12/16	General Electric Capital Corporation		0.88	%		1,009,031		0.14	%
Electronics
	1,350,000		11/17/15	Honeywell International Inc.		0.28	%		1,350,784		0.18	%
	4,196,000		2/1/17	Thermo Fisher Scientific Inc.		1.30	%		4,198,126		0.57	%
Energy
	1,000,000		8/1/16	Arizona Public Service Company		6.25	%		1,109,058		0.15	%
	500,000		9/15/16	Dayton Power and Light Company		1.88	%		508,275		0.07	%
	5,750,000		4/3/17	Duke Energy Corporation		0.61	%		5,769,731		0.78	%
	1,273,000		3/6/15	Duke Energy Ohio, Inc.		0.38	%		1,273,193		0.17	%
	1,000,000		8/15/16	Georgia Power Company		0.63	%		999,990		0.13	%
	3,850,000		12/1/17	Kinder Morgan, Inc.		2.00	%		3,839,045		0.52	%
	1,000,000		9/1/15	NextEra Energy Capital Holdings, Inc.		2.60	%		1,019,075		0.14	%
	4,850,000		2/1/16	ONEOK Partners, L.P.		3.25	%		5,018,400		0.68	%
	1,000,000		3/5/15	Phillips 66		1.95	%		1,008,813		0.14	%
	4,778,000		7/15/16	Pioneer Natural Resources Company		5.88	%		5,170,227		0.70	%
	5,500,000		6/15/16	Spectra Energy Partners, LP		2.95	%		5,632,721		0.76	%
Healthcare
	4,400,000		6/15/16	Becton, Dickinson and Company		0.69	%		4,401,875		0.59	%
	500,000		6/15/16	Becton, Dickinson and Company		0.69	%		500,213		0.07	%
	1,500,000		3/15/15	Medtronic, Inc.		3.00	%		1,519,894		0.20	%
	4,360,000		9/26/16	Ventas Realty, Limited Partnership		1.55	%		4,394,968		0.59	%
Insurance
	784,000		10/1/15	American International Group, Inc.		5.05	%		817,688		0.11	%
	2,150,000		10/18/16	American International Group, Inc.		5.60	%		2,331,536		0.31	%
	1,254,000		9/30/15	Aon Corporation		3.50	%		1,289,929		0.17	%
	1,500,000		2/11/15	Berkshire Hathaway Inc.		3.20	%		1,522,958		0.21	%
	4,000,000		9/30/15	Jackson National Life Global Funding		0.61	%		4,005,871		0.54	%
	1,000,000		4/10/17	Metropolitan Life Global Funding I		0.61	%		1,002,004		0.14	%
	309,000		4/10/17	Metropolitan Life Global Funding I		1.30	%		309,073		0.04	%
	2,500,000		10/5/15	New York Life Global Funding		0.26	%		2,501,391		0.34	%
	600,000		8/19/15	Pricoa Global Funding I		0.50	%		600,848		0.08	%
	7,500,000		11/25/16	Pricoa Global Funding I		1.15	%		7,484,700		1.01	%
	2,498,000		12/1/15	Travelers Companies, Inc.		5.50	%		2,612,614		0.35	%
Manufacturing
	600,000		2/19/15	Caterpillar Financial Services Corporation		0.30	%		600,286		0.08	%
	1,000,000		3/3/17	Caterpillar Financial Services Corporation		0.46	%		998,874		0.13	%
	5,390,000		11/2/15	Eaton Corporation		0.95	%		5,403,782		0.73	%
	1,500,000		3/9/15	John Deere Capital Corporation		2.95	%		1,520,722		0.21	%
	2,400,000		6/15/15	John Deere Capital Corporation		0.36	%		2,401,016		0.32	%
	500,000		10/11/16	John Deere Capital Corporation		0.52	%		500,920		0.07	%
Media
	2,945,000		4/15/16	NBCUniversal Media, LLC		0.77	%		2,946,069		0.40	%

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, 2014

(Audited)

				Description				Fair Value		% of Partners’ Capital (Net Asset Value)
U.S. Corporate Notes (continued)
Face Value		Maturity Date		Name	Yield¹
Retail
$	700,000		5/18/16	Walgreens Boots Alliance, Inc.		0.68	%	$	700,563		0.09	%
Software
	1,400,000		7/7/17	Oracle Corporation		0.43	%		1,397,943		0.19	%
Telecommunication
	694,000		8/15/15	AT&T Inc.		2.50	%		708,047		0.10	%
	1,500,000		8/15/16	AT&T Inc.		2.40	%		1,543,195		0.21	%
	3,000,000		9/3/15	Cisco Systems, Inc.		0.28	%		3,000,766		0.40	%
	5,750,000		9/15/16	Verizon Communications Inc.		1.77	%		5,880,733		0.79	%
	1,700,000		11/1/16	Verizon Communications Inc.		2.00	%		1,730,594		0.23	%
Total U.S. corporate notes (cost: $209,714,377)									208,862,490		28.17	%

Foreign Corporate Notes
	Face Value		Maturity Date	Name		Yield¹
Automotive
$	4,500,000		11/18/16	Volkswagen International Finance N.V.		0.67	%		4,505,496		0.61	%
Banks
	800,000		1/22/16	ABN AMRO Bank N.V.		1.38	%		808,094		0.11	%
	1,000,000		1/13/15	Australia and New Zealand Banking Group Ltd		3.70	%		1,018,133		0.14	%
	3,950,000		5/7/15	Australia and New Zealand Banking Group Ltd		0.43	%		3,955,079		0.53	%
	4,100,000		9/24/15	Bank of Montreal		0.51	%		4,104,827		0.55	%
	2,000,000		9/11/15	Bank of Tokyo-Mitsubishi UFJ, Ltd.		2.45	%		2,035,808		0.27	%
	4,740,000		3/19/15	Commonwealth Bank of Australia		3.50	%		4,817,109		0.64	%
	3,700,000		5/24/16	HSBC Bank PLC		3.10	%		3,831,991		0.52	%
	5,650,000		9/25/15	ING Bank N.V.		2.00	%		5,729,740		0.77	%
	3,050,000		9/25/15	ING Bank N.V.		1.89	%		3,077,627		0.42	%
	1,500,000		9/1/15	ING Group, N.V.		3.00	%		1,535,940		0.21	%
	1,500,000		7/27/15	Macquarie Bank Limited		3.45	%		1,545,857		0.21	%
	2,000,000		12/9/16	National Australia Bank Limited		0.49	%		1,999,764		0.27	%
	1,200,000		5/13/16	Nordea Bank AB		0.88	%		1,200,334		0.16	%
	3,431,000		3/11/15	Rabobank Nederland		3.20	%		3,481,703		0.47	%
	1,250,000		7/18/15	Sumitomo Mitsui Banking Corporation		1.35	%		1,263,486		0.17	%
	1,000,000		9/23/16	Svenska Handelsbanken AB (publ)		0.72	%		1,003,919		0.14	%
	5,000,000		5/1/15	Toronto-Dominion Bank		0.41	%		5,006,156		0.68	%
	2,200,000		1/15/15	UBS AG		3.88	%		2,241,635		0.30	%
	2,000,000		9/25/15	Westpac Banking Corporation		1.01	%		2,010,667		0.27	%
Beverages
	1,000,000		10/1/15	Heineken N.V.		0.80	%		1,003,115		0.14	%
Energy
	2,100,000		3/10/15	BP Capital Markets P.L.C.		3.88	%		2,137,831		0.29	%
	750,000		3/11/16	BP Capital Markets P.L.C.		3.20	%		776,736		0.10	%
	4,800,000		5/9/16	CNOOC Finance (2013) Limited		1.13	%		4,790,088		0.64	%
	8,000,000		6/2/17	Enbridge Inc.		0.68	%		7,950,957		1.07	%
	1,500,000		3/2/15	TransCanada PipeLines Limited		0.88	%		1,505,135		0.20	%
	1,000,000		1/15/16	TransCanada PipeLines Limited		0.75	%		1,001,178		0.14	%

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, 2014

(Audited)

				Description				Fair Value		% of Partners' Capital (Net Asset Value)
Foreign Corporate Notes (continued)
Face Value		Maturity Date		Name	Yield¹
Healthcare
$	2,550,000		5/29/15	Covidien International Finance S.A.		1.35	%	$	2,560,713		0.35	%
Insurance
	1,200,000		9/17/15	Manulife Financial Corporation		3.40	%		1,233,395		0.17	%
Pharmaceutical
	4,200,000		3/17/15	Takeda Pharmaceutical Co Ltd		1.03	%		4,217,260		0.57	%
Telecommunication
	1,300,000		4/11/16	Deutsche Telekom International Finance B.V.		3.13	%		1,341,433		0.18	%
	1,000,000		9/16/15	Orange		2.13	%		1,014,535		0.14	%
	5,600,000		4/27/15	Telefonica Emisiones, S.A.U.		3.73	%		5,684,276		0.76	%
Transportation
	4,500,000		10/28/16	Kansas City Southern de Mexico, S.A. de C.V.		0.93	%		4,517,931		0.61	%
Total foreign corporate notes (cost: $95,623,193)									94,907,948		12.80	%
Total corporate notes (cost: $305,337,570)									303,770,438		40.97	%

U.S. Asset Backed Securities
Automotive
$	525,000		6/15/17	Ally Master Owner Trust		1.21	%		526,800		0.07	%
	795,787		10/20/16	Ally Auto Receivables Trust 2014-SN1		0.52	%		795,858		0.11	%
	500,000		4/9/18	Americredit Automobile Receivables Trust 2014-4		0.56	%		500,186		0.07	%
	718,153		1/15/21	ARI Fleet Lease Trust 2012-B		0.46	%		717,483		0.10	%
	1,000,000		9/15/17	BMW Manufacturing Co., LLC		0.56	%		1,000,987		0.13	%
	990,000		6/20/17	Capital Auto Receivables Asset Trust 2013-1		0.79	%		990,546		0.13	%
	1,800,000		2/15/18	Carmax Auto Owner Trust 2014-4		0.67	%		1,798,570		0.24	%
	149,691		3/20/19	Enterprise Fleet Financing, LLC		1.06	%		150,183		0.02	%
	2,000,000		8/15/17	Ford Credit Auto Owner Trust 2014-C		0.61	%		1,997,674		0.27	%
	950,000		5/15/17	Honda Auto Receivables 2013-3 Owner Trust		0.77	%		951,142		0.13	%
	2,000,000		9/18/17	Honda Auto Receivables 2013-4 Owner Trust		0.69	%		1,998,994		0.27	%
	1,900,000		11/15/17	Hyundai Auto Lease Securitization Trust 2014-B		0.98	%		1,897,427		0.26	%
	1,100,000		6/15/17	Nissan Auto Receivables 2014-B Owner Trust		0.60	%		1,099,819		0.15	%
	1,400,490		8/15/17	Santander Drive Auto Receivables Trust 2014-3		0.54	%		1,400,350		0.19	%
	285,000		4/16/18	Santander Drive Auto Receivables Trust 2014-5		0.56	%		285,078		0.04	%
	55,000		8/15/17	Volvo Finl Equip LLC Series 2012-1		1.51	%		55,273		0.01	%
Commerial mortgages
	510,119		5/10/45	Banc of America Commercial Mortgage Trust 2006-2		5.73	%		539,705		0.07	%
Credit cards
	1,000,000		1/15/20	BA Credit Card Trust		0.45	%		998,973		0.13	%
	1,830,000		8/15/18	Barclays Dryrock Issuance Trust		0.64	%		1,829,607		0.25	%
	1,500,000		11/15/18	Capital One Multi-Asset Execution Trust		0.63	%		1,499,240		0.20	%
	2,000,000		9/16/19	Capital One Multi-Asset Execution Trust		0.96	%		1,993,487		0.27	%
	1,030,000		10/16/17	Chase Issuance Trust		0.31	%		1,029,070		0.14	%
	1,185,000		6/15/18	GE Capital Credit Card Master Note Trust		0.95	%		1,187,398		0.16	%
Other
	1,500,000		8/15/18	CNH Equipment Trust 2013-B		0.69	%		1,500,775		0.20	%
	500,000		7/20/19	GE Dealer Floorplan Master Note		0.55	%		499,111		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)

December 31, 2014

(Audited)

				Description				Fair Value		% of Partners’ Capital (Net Asset Value)
U.S. Asset Backed Securities (continued)
Face Value		Maturity Date		Name	Yield¹
Student loans
$	106,439		5/16/22	Navient Private Ed Loan Trust 2014-A		0.64	%	$	106,345		0.01	%
	90,094		8/15/25	SLM Private Education Loan Trust 2012-A		1.56	%		90,748		0.01	%
	763,940		12/15/21	SLM Private Education Loan Trust 2012-B		1.26	%		765,617		0.10	%
	371,170		8/15/23	SLM Private Education Loan Trust 2012-C		1.26	%		372,519		0.05	%
	486,984		10/16/23	SLM Private Education Loan Trust 2012-E		0.91	%		487,559		0.07	%
Total U.S. asset backed securities (cost: $29,095,158)									29,066,524		3.92	%
Total investments in securities (cost: $432,077,493)								$	430,462,588		58.05	%

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	%	$	1,755,446		0.24	%
	2,000,000		5/12/15	Industrial and Commercial Bank of China Ltd		0.72	%		2,002,760		0.27	%
	3,000,000		9/4/15	Lloyds Bank plc		0.48	%		3,005,530		0.41	%
	2,000,000		2/24/15	Norinchukin Bank		0.20	%		2,000,458		0.26	%
	1,200,000		3/3/15	Standard Chartered Bank		0.35	%		1,203,781		0.16	%
	2,800,000		1/13/15	Sumitomo Mitsui Banking Corporation		0.36	%		2,810,027		0.38	%
Total U.S. certificates of deposit (cost: $12,750,000)									12,778,002		1.72	%

Foreign Certificates of Deposit
	Face Value		Maturity Date	Name		Yield¹
Banks
$	2,000,000		10/23/15	Bank of Nova Scotia		0.48	%		2,004,887		0.27	%
	2,200,000		5/9/16	Bank of Nova Scotia		0.42	%		2,200,678		0.29	%
	2,000,000		11/16/15	Canadian Imperial Bank of Commerce		0.33	%		2,000,246		0.27	%
	1,000,000		1/7/15	China Construction Bank Corporation		0.55	%		1,001,363		0.14	%
	1,000,000		4/6/15	China Construction Bank Corporation		0.75	%		1,002,251		0.14	%
	1,000,000		1/15/15	Credit Suisse Group AG		0.63	%		1,001,423		0.13	%
	2,500,000		5/15/15	Credit Suisse Group AG		0.53	%		2,501,385		0.34	%
	3,000,000		7/23/15	Deutsche Bank AG		0.55	%		3,003,512		0.40	%
	1,400,000		2/25/15	Rabobank Nederland		0.28	%		1,400,456		0.19	%
Total foreign certificates of deposit (cost: $16,098,010)									16,116,201		2.17	%

Total certificates of deposit (cost: $28,848,010)								$	28,894,203		3.89	%

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, 2014

(Audited)

	Description	Fair Value			% of Partners’ Capital (Net Asset Value)
OPEN FUTURES CONTRACTS
Long U.S. Futures Contracts
	Agricultural commodities	$	(1,185,132	)		(0.15	)%
	Currencies		(106,053	)		(0.01	)%
	Energy		(1,530,775	)		(0.21	)%
	Equity indices		2,610,713			0.35	%
	Interest rate instruments		538,929			0.07	%
	Metals		(6,726,433	)		(0.91	)%
	Single stock futures		510,768			0.07	%
Net unrealized gain (loss) on open long U.S. futures contracts			(5,887,983	)		(0.79	)%

Short U.S. Futures Contracts
	Agricultural commodities		3,070,083			0.42	%
	Currencies		4,168,170			0.56	%
	Energy²		10,683,171			1.44	%
	Equity indices		(747,654	)		(0.10	)%
	Interest rate instruments		49,057			0.01	%
	Metals		6,476,573			0.87	%
	Single stock futures		(113,845	)		(0.02	)%
Net unrealized gain (loss) on open short U.S. futures contracts			23,585,555			3.18	%

Total U.S. Futures Contracts - Net unrealized gain (loss) on open U.S. futures contracts			17,697,572			2.39	%

Long Foreign Futures Contracts
	Agricultural commodities		92,841			0.01	%
	Currencies		(77,868	)		(0.01	)%
	Energy		10,646			0.00	%
	Equity indices		2,888,385			0.39	%
	Interest rate instruments²		13,765,795			1.86	%
	Metals		15,039			0.00	%
	Single stock futures		8,438			0.00	%
Net unrealized gain (loss) on open long foreign futures contracts			16,703,276			2.25	%

Short Foreign Futures Contracts
	Agricultural commodities		(27,578	)		(0.00	)%
	Currencies		25,247			0.00	%
	Energy		453,431			0.06	%
	Equity indices		(571,693	)		(0.08	)%
	Interest rate instruments		(855,830	)		(0.11	)%
Net unrealized gain (loss) on open short foreign futures contracts			(976,423	)		(0.13	)%

Total foreign futures contracts - net unrealized gain (loss) on open foreign futures contracts			15,726,853			2.12	%

Net unrealized gain (loss) on open futures contracts		$	33,424,425			4.51	%

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, 2014

(Audited)

	Description	Fair Value			% of Partners’ Capital (Net Asset Value)
OPEN FORWARD CURRENCY CONTRACTS
U.S. Forward Currency Contracts
Long		$	(4,864,209	)		(0.66	)%
Short			6,150,586			0.83	%
Net unrealized gain (loss) on open U.S. forward currency contracts			1,286,377			0.17	%

Foreign Forward Currency Contracts
Long			201,411			0.03	%
Short			(2,897,045	)		(0.39	)%
Net unrealized gain (loss) on open foreign forward currency contracts			(2,695,634	)		(0.36	)%

Net unrealized gain (loss) on open forward currency contracts		$	(1,409,257	)		(0.19	)%

TOTAL RETURN SWAP CONTRACT
Termination Date	Counterparty
4/1/19	Deutsche Bank, AG	$	8,071,814			1.09	%
Comprised of a proprietary basket of Commodity Trading Advisor's ("CTA") Programs investing in various futures, forwards and currency derivative contracts and other similar investments. See Notes 2 and 3.

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

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

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

Futures Portfolio Fund, Limited Partnership

Consolidated Statements of Operations

For the Three Months Ended March 31, 2015 and 2014

(Unaudited)

	Three Months Ended March 31,
	2015			2014
Trading Gain (Loss) from Futures, Forwards and Swap
Net realized gain (loss)	$	75,441,543		$	2,282,695
Net change in unrealized gain (loss)		(8,122,669	)		(22,128,876	)
Brokerage commissions and trading expenses		(1,508,162	)		(832,905	)
Net gain (loss) from futures, forwards and swap trading		65,810,712			(20,679,086	)

Income (loss)
Interest income		1,299,428			1,977,118
Net realized and change in unrealized gain (loss) on securities and certificates of deposit		(106,872	)		(1,193,785	)
Total income (loss)		1,192,556			783,333

Expenses
Trading Advisor management fee		2,548,393			3,203,049
Trading Advisor incentive fee		9,346,873			182,751
Cash manager fees		120,334			161,279
General Partner management and performance fees		2,888,767			3,148,120
Selling Agent fees – General Partner		2,596,327			2,797,871
General Partner 1% allocation		480,980			(303,359	)
Administrative expenses – General Partner		578,354			947,072
Investment Manager fees		239,875			—
Distribution (12b-1) fees		2,592			—
Operating services fee		95,950			—
Total expenses		18,898,445			10,136,783

Net investment income (loss)		(17,705,889	)		(9,353,450	)
Net income (loss)		48,104,823			(30,032,536	)
Less: net income attributable to non-controlling interest		(488,330	)		—
Net Income (Loss) attributable to the Fund	$	47,616,493		$	(30,032,536	)

	Three Months Ended March 31,
	2015						2014
	Class A		Class B		Class I		Class A			Class B			Class I
Increase (decrease) in net asset value per unit	$	279.09	$	429.90	$	68.94	$	(148.93	)	$	(184.57	)	$	(26.79	)

Net income (loss) per unit†	$	281.63	$	434.88	$	69.54	$	(151.94	)	$	(190.38	)	$	(25.71	)

Weighted average number of units outstanding		105,126.5108		40,846.9021		3,534.0137		130,066.0704			53,388.9474			4,120.6780

† (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 Three Months Ended March 31, 2015 and 2014

(Unaudited)

	Three Months Ended March 31,
	2015			2014
Cash flows from operating activities
Net income (loss)	$	48,104,823		$	(30,032,536	)
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities
Net change in unrealized (gain) loss from futures, forwards and swap trading		8,122,669			22,128,876
Purchases of securities and certificates of deposit		(234,281,151	)		(251,473,360	)
Proceeds from disposition of securities and certificates of deposit		220,464,530			341,921,678
Net realized and change in unrealized gain (loss) on securities and certificates of deposit		106,872			1,193,785
Changes in
Trading Advisor management fee payable		(78,240	)		(676,388	)
Trading Advisor incentive fee payable		(1,630,193	)		4,853
Commissions and other trading fees payable on open contracts		2,763			(17,103	)
Cash Manager fees payable		(104	)		(16,103	)
General Partner management and performance fees payable		42,349			(128,988	)
General Partner 1% allocation receivable/payable		(57,305	)		(19,993	)
Selling Agent fees payable – General Partner		35,367			(107,854	)
Administrative expenses payable – General Partner		7,197			(38,920	)
Investment Manager fee payable		11,867			—
Distribution (12b-1) fees payable		944			—
Operating services fee payable		4,747			—
Net cash provided by (used in) operating activities		40,857,135			82,737,947

Cash flows from financing activities
Subscriptions		5,467,685			5,171,808
Subscriptions received in advance		4,584,146			4,573,240
Redemptions		(27,151,443	)		(80,909,923	)
Non-controlling interest – subscriptions		8,200,099			—
Non-controlling interest – redemptions		(415,722	)		—
Net cash provided by (used in) financing activities		(9,315,235	)		(71,164,875	)

Net increase (decrease) in cash and cash equivalents		31,541,900			11,573,072
Cash and cash equivalents, beginning of period		269,943,729			311,962,117
Cash and cash equivalents, end of period	$	301,485,629		$	323,535,189

End of period cash and cash equivalents consists of
Cash in broker trading accounts	$	271,576,630		$	247,588,661
Cash and cash equivalents		29,908,999			75,946,528
Total end of period cash and cash equivalents	$	301,485,629		$	323,535,189

Supplemental disclosure of cash flow information
Prior period redemptions paid	$	10,423,609		$	36,130,211
Prior period subscriptions received in advance	$	2,577,065		$	2,399,374

Supplemental schedule of non-cash financing activities
Redemptions payable	$	10,174,269		$	31,650,055

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 Three Months Ended March 31, 2015 and 2014

(Unaudited)

	Class A						Class B						Class I						Non-Controlling Interest
	Units			Amount			Units			Amount			Units			Amount			Amount			Total
Three Months Ended March 31, 2015
Balance at December 31, 2014		106,074.0114		$	468,243,719			41,522.9665		$	262,572,733			3,438.9708		$	3,455,693		$	7,282,068		$	741,554,213
Net income (loss)					29,607,049						17,763,697						245,747			488,330			48,104,823
Subscriptions		1,218.7846			5,547,831			325.2667			2,096,919			380.1715			400,000			8,479,113			16,523,863
Redemptions		(2,820.9805	)		(13,087,230	)		(2,068.2623	)		(13,764,118	)		—			—			(466,477	)		(27,317,825	)
Transfers		(369.7491	)		(1,719,722	)		257.1558			1,719,722			—			—			—			—
Balance at March 31, 2015		104,102.0664		$	488,591,647			40,037.1267		$	270,388,953			3,819.1423		$	4,101,440		$	15,783,034		$	778,865,074

Three Months Ended March 31, 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)					(19,762,382	)					(10,164,209	)					(105,945	)		—			(30,032,536	)
Subscriptions		1,347.8464			5,426,911			376.9991			2,144,270			—			—			—			7,571,181
Redemptions		(9,079.4019	)		(36,242,936	)		(6,945.8208	)		(39,186,830	)		(1,109.8311	)		(1,000,000	)		—			(76,429,766	)
Transfers		(168.0220	)		(673,847	)		119.1039			673,847			—			—			—			—
Balance at March 31, 2014		125,895.4637		$	499,249,141			49,796.7242		$	279,118,614			3,565.7625		$	3,150,829		$	—		$	781,518,584

		Net Asset Value per Unit
		Class A		Class B		Class I

March 31, 2015	$	4,693.39	$	6,753.46	$	1,073.92
December 31, 2014		4,414.30		6,323.56		1,004.98
March 31, 2014		3,965.58		5,605.16		883.63
December 31, 2013		4,114.51		5,789.73		910.42

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 March 31, 2015, 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 the Fund. The portion of SMFF that is not owned by the Fund is presented as the non-controlling interest. SMFF has a similar investment strategy to the Fund, 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”). The Fund is an investment company and follows accounting and reporting guidance under the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946, Financial Services – Investment Companies.

Consolidation

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

Use of Estimates

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

Revenue Recognition

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

Fair Value of Financial Instruments

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

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

	Level 2 –	Fair value is based on quoted prices for similar instruments in active markets and inputs other than quoted prices that are observable for the financial instrument, such as interest rates and yield curves that are observable at commonly quoted intervals using a market approach. Financial instruments utilizing Level 2 inputs include forward currency contracts, 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 March 31, 2015 and December 31, 2014, 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 March 31, 2015. 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 AG.

At March 31, 2015, the notional value of the swap was $90,792,186 and SMFF had provided $9,696,500 as collateral. During the three months ended March 31, 2015, the swap had an appreciation in fair value of $3,413,204.

Reclassification

Certain amounts reported in the 2014 consolidated financial statements may have been reclassified to conform to the 2015 presentation without affecting previously reported partners’ capital (net asset value) or net income (loss).

Fair Value Disclosures

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

At March 31, 2015
	Level 1		Level 2			Total
Equity in broker trading accounts:
Net unrealized gain (loss) on open futures contracts*	$	20,867,038	$	—		$	20,867,038
Net unrealized gain (loss) on open forward currency contracts*		—		(387,743	)		(387,743	)
Net unrealized gain (loss) on swap contract*		—		11,485,018			11,485,018
Cash and cash equivalents:
Money market fund		9,315,114		—			9,315,114
Investments in securities:
U.S. Treasury securities*		36,889,358		—			36,889,358
U.S. government sponsored enterprise notes*		—		2,000,061			2,000,061
Asset backed securities*		—		36,778,022			36,778,022
Commercial paper*		—		72,182,887			72,182,887
Corporate notes*		—		293,120,582			293,120,582
Certificates of deposit*		—		32,095,630			32,095,630
Total	$	67,071,510	$	447,274,457		$	514,345,967

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

At December 31, 2014
	Level 1		Level 2			Total
Equity in broker trading accounts:
Net unrealized gain (loss) on open futures contracts*	$	33,424,425	$	—		$	33,424,425
Net unrealized gain (loss) on open forward currency contracts*		—		(1,409,257	)		(1,409,257	)
Net unrealized gain (loss) on swap contract*		—		8,071,814			8,071,814
Cash and cash equivalents:
Money market fund		11,400,634		—			11,400,634
Investments in securities:
U.S. Treasury securities*		39,378,298		—			39,378,298
U.S. government sponsored enterprise notes*		—		2,000,951			2,000,951
Asset backed securities*		—		29,066,524			29,066,524
Commercial paper*		—		56,246,377			56,246,377
Corporate notes*		—		303,770,438			303,770,438
Certificates of deposit*		—		28,894,203			28,894,203
Total	$	84,203,357	$	426,641,050		$	510,844,407

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

There were no Level 3 holdings at March 31, 2015 or December 31, 2014, 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 March 31, 2015, 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	$	5,159,128	$	(1,264,870	)	$	3,894,258
Currencies		2,532,562		(2,420,562	)		112,000
Energy		2,979,558		(969,874	)		2,009,684
Equity indices		4,880,671		(2,189,963	)		2,690,708
Interest rate instruments		15,050,872		(1,645,593	)		13,405,279
Metals		6,868,647		(7,964,274	)		(1,095,627	)
Single stock futures		153,533		(302,797	)		(149,264	)
Net unrealized gain (loss) on open futures contracts	$	37,624,971	$	(16,757,933	)	$	20,867,038

Net unrealized gain (loss) on open forward currency contracts	$	7,526,408	$	(7,914,151	)	$	(387,743	)

Net unrealized gain (loss) on swap contract*	$	11,485,018	$	—		$	11,485,018

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

Agricultural commodities	4	%
Currencies	18	%
Energy	3	%
Equity indices	15	%
Interest rate instruments	54	%
Metals	6	%
Total	100	%

At March 31, 2015, there were 65,630 open futures contracts and 3,163 open forward currency contracts. The Fund’s financial assets, derivative assets, and cash collateral held by counterparties at March 31, 2015 were:

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

JP Morgan Securities, LLC	$	3,065,919		$	—	$	—	$	3,065,919
Société Générale Newedge UK Limited*		157,026			—		—		157,026
SG Americas Securities, LLC**		17,596,908			—		—		17,596,908
UBS AG		(566,873	)		—		—		(566,873	)
Deutsche Bank AG		11,711,334			—		—		11,711,334
Total	$	31,964,314		$	—	$	—	$	31,964,314

*formerly Newedge UK Financial Ltd

**formerly Newedge USA, LLC

For the three months ended March 31, 2015, the Fund’s derivative contracts had the following impact on the consolidated statements of operations:

	Three Months Ended March 31, 2015
Types of Exposure	Net realized gain (loss)			Net change in unrealized gain (loss)
Futures contracts
Agricultural commodities	$	(2,206,915	)	$	1,944,044
Currencies		16,107,345			(3,897,496	)
Energy		9,656,461			(7,606,789	)
Equity indices		25,028,539			(1,489,043	)
Interest rate instruments		30,156,761			(92,672	)
Metals		(3,874,415	)		(860,806	)
Single stock futures		(26,246	)		(554,625	)
Total futures contracts		74,841,530			(12,557,387	)

Forward currency contracts		1,431,030			1,021,514

Swap contract		—			3,413,204

Total futures, forward currency and swap contracts	$	76,272,560		$	(8,122,669	)

For the three months ended March 31, 2015, the number of futures contracts closed was 457,383 and the number of forward currency contracts closed was 27,470.

At December 31, 2014, the Fund’s derivative contracts had the following impact on the consolidated statements of financial condition:

December 31, 2014	Derivative Assets and Liabilities, at fair value
Consolidated Statements of Financial Condition Location	Gross Amounts of Recognized Assets		Gross Amounts Offset in the Statements of Financial Condition			Net Amount of Assets Presented in the Statements of Financial Condition
Equity in broker trading accounts: Net unrealized gain (loss) on open futures contracts
Agricultural commodities	$	3,586,791	$	(1,636,577	)	$	1,950,214
Currencies		4,725,746		(716,250	)		4,009,496
Energy		11,263,597		(1,647,124	)		9,616,473
Equity indices		8,159,156		(3,979,405	)		4,179,751
Interest rate instruments		16,531,993		(3,034,042	)		13,497,951
Metals		6,662,967		(6,897,788	)		(234,821	)
Single stock futures		619,062		(213,701	)		405,361
Net unrealized gain (loss) on open futures contracts	$	51,549,312	$	(18,124,887	)	$	33,424,425

Net unrealized gain (loss) on open forward currency contracts	$	9,242,604	$	(10,651,861	)	$	(1,409,257	)
Net unrealized gain (loss) on swap contract *	$	8,071,814	$	—		$	8,071,814

*At December 31, 2014, the sector exposure of the CTA indices underlying the swap was:

Agricultural commodities	5	%
Currencies	30	%
Energy	2	%
Equity indices	12	%
Interest rate instruments	45	%
Metals	6	%
Total	100	%

At December 31, 2014, there were 63,480 open futures contracts and 2,160 open forward currency contracts. The Fund’s financial assets, derivative assets, and cash collateral held by counterparties at December 31, 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		Cash Collateral Received		Net Amount

JP Morgan Securities, LLC	$	5,521,276		$	—	$	—	$	5,521,276
Société Générale Newedge UK Limited*		(2,696,108	)		—		—		(2,696,108	)
SG Americas Securities, LLC**		27,903,149			—		—		27,903,149
UBS AG		1,286,851			—		—		1,286,851
Deutsche Bank AG		8,071,814			—		—		8,071,814
Total	$	40,086,982		$	—	$	—	$	40,086,982

*formerly Newedge UK Financial Ltd

**formerly Newedge USA, LLC

For the three months ended March 31, 2014, the Fund’s derivative contracts had the following impact on the consolidated statements of operations:

	Three Months Ended March 31, 2014
Types of Exposure	Net realized gain			Net change in unrealized gain (loss)
Futures contracts
Agricultural commodities	$	4,508,044		$	3,572,869
Currencies		10,224			(6,984,555	)
Energy		(7,984,475	)		(546,717	)
Equity indices		727,403			(20,434,919	)
Interest rate instruments		16,039,082			368,872
Metals		(8,805,263	)		(1,481,194	)
Single stock futures		799,569			(386,187	)
Total futures contracts		5,294,584			(25,891,831	)

Forward currency contracts		(3,177,427	)		3,762,955

Total futures and forward currency contracts	$	2,117,157		$	(22,128,876	)

For the three months ended March 31, 2014, the number of futures contracts closed was 240,145 and the number of forward currency contracts closed was 11,030.

General Partner

At March 31, 2015 and December 31, 2014, 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:

	March 31,		December 31,
	2015		2014
Class of units		I		I
Number of units		254.4114		254.4114
Value	$	273,217	$	255,679

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 $2,458,974 and $2,643,358 for the three months ended March 31, 2015 and 2014, 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 $137,353 and $154,513 for the three months ended March 31, 2015 and 2014, 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.

5.	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 12.50% 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 1/12^th of 0.11% of the investments in securities and certificates of deposit.

6.	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 March 31, 2015 and December 31, 2014, the Fund had margin requirements of $117,467,997 and $104,811,368, 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 March 31, 2015 and December 31, 2014, the Fund received advance subscriptions of $4,584,146 and $2,577,065, 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 with SG Americas Securities, LLC (formerly Newedge USA, LLC), JP Morgan Securities, LLC and Deutsche Bank Securities, Inc. as its futures brokers and Société Générale Newedge UK Limited (formerly Newedge UK Finance Limited), Deutsche Bank AG and UBS 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 March 31, 2015.

Country or Region	U.S. Treasury Securities		U.S. Gov’t Sponsored Enterprise Notes		Commercial Paper		Corporate Notes		Asset Backed Securities		Certificates of Deposit		Total		% of Partners’ Capital (Net Asset Value)
United States	$	36,889,358	$	2,000,061	$	49,167,392	$	209,782,734	$	36,778,022	$	11,526,292	$	346,143,859		44.43	%
Canada		—		—		—		20,033,058		—		6,205,094		26,238,152		3.37	%
Netherlands		—		—		—		16,897,181		—		—		16,897,181		2.17	%
Great Britain		—		—		7,898,755		7,427,302		—		—		15,326,057		1.97	%
Luxumbourg		—		—		2,299,944		9,440,417		—		—		11,740,361		1.51	%
Australia		—		—		450,689		9,483,623		—		—		9,934,312		1.28	%
Japan		—		—		1,798,968		4,478,111		—		3,351,806		9,628,885		1.24	%
France		—		—		4,586,416		1,006,376		—		—		5,592,792		0.72	%
Germany		—		—		—		—		—		5,006,122		5,006,122		0.64	%
British Virgin Islands		—		—		—		4,811,556		—		—		4,811,556		0.62	%
Mexico		—		—		—		4,519,229		—		—		4,519,229		0.58	%
Sweden		—		—		—		2,210,899		—		2,001,804		4,212,703		0.54	%
China		—		—		1,994,479		—		—		2,003,527		3,998,006		0.51	%
Norway		—		—		3,486,409		—		—		—		3,486,409		0.45	%
Finland		—		—		—		—		—		2,000,985		2,000,985		0.26	%
Switzerland		—		—		—		1,999,652		—		—		1,999,652		0.26	%
Spain		—		—		—		1,030,444		—		—		1,030,444		0.13	%
Singapore		—		—		499,835		—		—		—		499,835		0.06	%
Total	$	36,889,358	$	2,000,061	$	72,182,887	$	293,120,582	$	36,778,022	$	32,095,630	$	473,066,540		60.74	%

The following table presents the exposure at December 31, 2014.

Country or Region	U.S. Treasury Securities		U.S. Gov’t Sponsored Enterprise Notes		Commercial Paper		Corporate Notes		Asset Backed Securities		Certificates of Deposit		Total		% of Partners’ Capital (Net Asset Value)
United States	$	39,378,298	$	2,000,951	$	39,972,402	$	208,862,490	$	29,066,524	$	12,778,002	$	332,058,667		44.77	%
Canada		—		—		—		20,801,648		—		6,205,811		27,007,459		3.64	%
Netherlands		—		—		—		21,483,148		—		1,400,456		22,883,604		3.09	%
Australia		—		—		1,488,120		15,346,609		—		—		16,834,729		2.27	%
Great Britain		—		—		5,198,181		6,746,558		—		—		11,944,739		1.61	%
Japan		—		—		2,099,711		7,516,554		—		—		9,616,265		1.30	%
Switzerland		—		—		—		2,241,635		—		3,502,808		5,744,443		0.77	%
Spain		—		—		—		5,684,276		—		—		5,684,276		0.77	%
France		—		—		4,488,171		1,014,535		—		—		5,502,706		0.74	%
Sweden		—		—		2,999,792		2,204,253		—		—		5,204,045		0.70	%
British Virgin Islands		—		—		—		4,790,088		—		—		4,790,088		0.65	%
Mexico		—		—		—		4,517,931		—		—		4,517,931		0.61	%
Germany		—		—		—		—		—		3,003,512		3,003,512		0.41	%
Luxumbourg		—		—		—		2,560,713		—		—		2,560,713		0.35	%
China		—		—		—		—		—		2,003,614		2,003,614		0.27	%
Total	$	39,378,298	$	2,000,951	$	56,246,377	$	303,770,438	$	29,066,524	$	28,894,203	$	459,356,791		61.95	%

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 March 31, 2015, the consolidated statements of operations, the consolidated statements of cash flows, and consolidated statement of changes in partners’ capital (net asset value) for the three months ended March 31, 2015 and 2014, 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 March 31, 2015, results of operations, cash flows and changes in partners’ capital (net asset value) for the three months ended March 31, 2015 and 2014. The results of operations for the three months ended March 31, 2015 and 2014 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 months ended March 31, 2015 and 2014, assuming the unit was outstanding throughout the entire period:

	Three Months Ended March 31,
	2015									2014
	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	$	4,414.30		$	6,323.56		$	1,004.98		$	4,114.51		$	5,789.73		$	910.42

Gain (loss) from trading⁽¹⁾		394.18			565.34			90.05			(96.96	)		(136.40	)		(21.41	)
Net investment income (loss)⁽¹⁾		(115.09	)		(135.44	)		(21.11	)		(51.97	)		(48.17	)		(5.38	)
Total gain (loss) from operations		279.09			429.90			68.94			(148.93	)		(184.57	)		(26.79	)

Net asset value per Unit at end of period	$	4,693.39		$	6,753.46		$	1,073.92		$	3,965.58		$	5,605.16		$	883.63

Total return ⁽⁴⁾		6.32	%		6.80	%		6.86	%		(3.62	)%		(3.19	)%		(2.94	)%

Other Financial Ratios
Ratios to average net asset value
Expenses prior to General Partner 1% allocation ^{(2) (3)}		10.44	%		8.61	%		8.44	%		5.62	%		3.84	%		2.88	%
General Partner 1% allocation ⁽⁴⁾		0.06	%		0.07	%		0.07	%		(0.04	)%		(0.03	)%		(0.03	)%
Net total expenses		10.50	%		8.68	%		8.51	%		5.58	%		3.81	%		2.85	%

Net investment income (loss) ^{(2) (3) (5)}		(9.81	)%		(7.98	)%		(7.81	)%		(5.23	)%		(3.44	)%		(2.45	)%

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

The returns for each Class of Units for the three months ended March 31, 2015 and 2014 were:

Class of Units	2015			2014
Class A		6.32	%		(3.62	)%
Class B		6.80	%		(3.19	)%
Class I		6.86	%		(2.94	)%

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

2015

January

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

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

February

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

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

March

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

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

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%.

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

Significant Accounting 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, asset backed securities and corporate notes, are stated at fair value based on quoted market prices for similar assets in an active market. Given the valuation sources, there is little judgment or uncertainty involved in the valuation of these assets, and it is unlikely that materially different amounts would be reported under different valuation methodologies or assumptions.

Item 3. Quantitative and Qualitative Disclosures about Market Risk

Introduction

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

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

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

Standard of Materiality

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

Quantifying the Fund’s Trading Value at Risk

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

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

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

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

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

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

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

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

The following table indicates the trading Value at Risk associated with the Fund’s open positions by market sector at March 31, 2015 and December 31, 2014. All open position trading risk exposures of the Fund have been included in calculating the figures set forth below.

	March 31, 2015					December 31, 2014
Market Sector	Value at Risk		% of Total Capitalization			Value at Risk		% of Total Capitalization

Agricultural commodities	$	6,877,302		0.88	%	$	8,075,148		1.09	%
Currencies		30,906,468		3.97			18,867,664		2.54
Energy		8,721,619		1.12			9,381,922		1.27
Equity indices		37,334,298		4.79			26,466,899		3.57
Interest rate instruments		27,753,585		3.56			31,668,506		4.27
Metals		7,991,435		1.03			7,196,461		0.97
Single stock futures		3,967,667		0.51			7,932,365		1.07
Total	$	123,552,374		15.86	%	$	109,588,965		14.78	%

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

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

Non-Trading Risk

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

Qualitative Disclosures Regarding Primary Trading Risk Exposures.

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

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

The following were the primary trading risk exposures of the Fund as of March 31, 2015, 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 March 31, 2015.

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 March 31, 2015 (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 March 31, 2015 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, 2014.

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 March 31, 2015. 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 March 31, 2015 were as follows:

	January		February		March		Total
A Units
Units redeemed		767.7251		867.1997		1,186.0557		2,820.9805
Average net asset value per unit	$	4,598.37	$	4,601.39	$	4,693.39	$	4,639.25

B Units
Units redeemed		398.2778		994.9300		675.0545		2,068.2623
Average net asset value per unit	$	6,597.07	$	6,611.22	$	6,753.46	$	6,654.92

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

Item 3. Defaults Upon Senior Securities

Not applicable.

Item 4. Mine Safety Disclosures

Not applicable.

Item 5. Other Information

None.

Item 6. Exhibits

The following exhibits are filed herewith of incorporated by reference.

Exhibit No.	Description of Exhibit

1.1^(a)	Form of Selling Agreement
3.1^(a)	Maryland Certificate of Limited Partnership.
4.1^(a)	Limited Partnership Agreement.
10.1^(a)	orm of Subscription Agreement
16.1^(a)	Letter regarding change in certifying accountant.
31.01	Certification of Chief Executive Officer of the General Partner in accordance with Section 302 of the Sarbanes-Oxley Act of 2002
31.02	Certification of Chief Financial Officer of the General Partner in accordance with Section 302 of the Sarbanes-Oxley Act of 2002
32.01	Certification of Chief Executive Officer of the General Partner in accordance with Section 906 of the Sarbanes-Oxley Act of 2002
32.02	Certification of Chief Financial Officer of the General Partner in accordance with Section 906 of the Sarbanes-Oxley Act of 2002
101.INS	XBRL Instance Document
101.SCH	XBRL Taxonomy Extension Schema Document
101.CAL	XBRL Taxonomy Extension Calculation Linkbase Document
101.DEF	XBRL Taxonomy Extension Definition Linkbase Document
101.LAB	XBRL Taxonomy Extension Label Linkbase Document
101.PRE	XBRL Taxonomy Extension Presentation Linkbase Document

(a)

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

SIGNATURES

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


Dated: May 15, 2015	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 - May 15, 2015

Attached files

FUTURES PORTFOLIO FUND L.P. Reports