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                                 UNITED STATES
                      SECURITIES AND EXCHANGE COMMISSION

                            Washington, D.C. 20549

                                   FORM 10-K

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

                  For the Fiscal Year Ended December 31, 2005

                                      OR

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

For the transition period from ________ to _______

Commission file number:  000-50728

                  FUTURES PORTFOLIO FUND, LIMITED PARTNERSHIP
            (Exact name of registrant as specified in its charter)

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

                          c/o Steben & Company, Inc.
                         2099 Gaither Road, Suite 200
                           Rockville, Maryland 20850
               (Address of Principal Executive Office)(zip code)

                                (240) 631-9808
             Registrant's telephone number, including area code:

                   ----------------------------------------

Indicate by check mark whether the registrant (1) has filed all reports
required to be filed by Section 13 or 15(d) of the Securities Exchange

Act of 1934 during the preceding 12 months (or for such shorter period that
the registrant was required to file such reports), and (2) has been subject to
such filing requirements for the past 90 days. [X] Yes [ ] No

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

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

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

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

Large accelerated filer [ ]   Accelerated filer [ ]    Non-accelerated filer [X]

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

Aggregate market value of the voting and non-voting common equity held by
non-affiliates: the registrant is a limited partnership; as of December 31,
2005, 75,378.5969 Class A units and 26,635.1317 Class B units with an
aggregate value of $ 263,005,434 and $ 113,386,679 respectively, were
outstanding.

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

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

                      Documents Incorporated by Reference

Registrant's Financial Statements for the year ended December 31, 2005 with
Report of Independent Registered Public Accounting Firm and the annual report
to security holders for the fiscal year ended December 31, 2005, is
incorporated by reference into Part II Item 8 and Part IV hereof and filed as
an exhibit herewith.

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<PAGE>

                               Table of Contents

                                    Part I

Item 1: Business.............................................................1

Item 2: Properties...........................................................8

Item 3:Legal Proceedings.....................................................8

Item 4: Submission of Matters to a Vote of Security Holders..................8

                                    Part II

Item 5: Markets for Registrant's Common Equity, Related Stockholder
        Matters and Issuer Purchases of Equity Securities....................9

Item 6: Selected Financial Data.............................................10

Item 7: Management's Discussion and Analysis of Financial Condition
        and Results of Operations...........................................16

Item 7A: Quantitative and Qualitative Disclosures About Market Risk.........25

Item 8: Financial Statements and Supplementary Data.........................29

Item 9: Changes in and Disagreements with Accountants on Accounting
        and Financial Disclosure............................................30

Item 9A: Controls and Procedures............................................30

Item 9B: Other Information..................................................30

                                   Part III

Item 10: Directors and Executive Officers of the Registrant ................30

Item 11: Executive Compensation.............................................33

Item 12: Security Ownership of Certain Beneficial Owners and Management ....34

Item 13: Certain Relationships and Related Transactions.....................35

Item 14: Principal Accounting Fees and Services.............................35

                                    Part IV

Item 15: Exhibits, Financial Statement Schedules............................36

<PAGE>

     ITEM 1: Business

     (a) General development of business.

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

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

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

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

     As of December 31, 2005, the aggregate capitalization of the Fund was
$376,392,113. The net asset value per limited partnership interest ("Unit") of
the Class A Units was $3,489.13, and the net asset value per Unit of the Class
B Units was $4,257.03.

     (b) Financial information about segments.

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

     (c) Narrative description of business.

     General


                                      1
<PAGE>

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

     The Fund trades speculatively in the U.S. and international futures and
forward markets and may include options and securities. Specifically, the Fund
trades futures on interest rates, stock indices, energy products, currencies,
metals and agricultural commodities. The Fund trades currency forwards and may
trade forwards on other items in the future.

     The Fund utilizes UBS Financial Services, Inc. as it cash management
securities broker for the investment of some margin excess amounts into
short-term fixed income instruments including high grade commercial paper
(interest bearing with some credit risk), U.S. Agency securities and Treasury
Bills (interest bearing and credit risk free) with durations no longer than
one year.

     The Fund trades on a variety of United States and foreign futures
exchanges. Approximately 60% of the Fund's trading is currently in the form of
exchange traded futures, and the balance is in off exchange currency forwards.
100% of the Fund's off-exchange trading takes place in the highly liquid,
institutionally-based currency forward markets, although other types of
forward contracts may be traded in the future.

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

     General Partner

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

     Trading Advisors and Allocations of the Fund

     As of December 31, 2005 the Trading Advisors of the Fund and the
allocation of the Fund's assets are approximately reflected as follows:

------------------------------------- ----------------- ----------------------
                                       As a % of Total   As a % of Total Fund
                                         Allocations            Equity
------------------------------------- ----------------- ----------------------
   Aspect Capital, Ltd.                      19%                  26%
------------------------------------- ----------------- ----------------------


                                      2
<PAGE>

------------------------------------- ----------------- ----------------------
   Campbell & Company, Inc.                  39%                  54%
------------------------------------- ----------------- ----------------------
   Sunrise Capital Partners, LLC             17%                  23%
------------------------------------- ----------------- ----------------------
   DKR Fusion Management Co., LP             25%                  34%
------------------------------------- ----------------- ----------------------

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

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

     Charges

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

     Total expenses, other than the Trader's performance incentive fees, as a
percentage of the Fund's average month-end net assets for the years ended
December 31, 2005, 2004 and 2003 were 6.7%, 5.9%, and 5.6%, respectively.

     Description of Current Charges.
     -------------------------------

------------------------ ----------------- -----------------------------------
      Recipient             Nature of               Amount of Payment
                             Payment
------------------------ ----------------- -----------------------------------
Steben & Company, Inc.   Management Fee         A monthly management fee of
                         (asset-based)     .1625% per month (1.95% annually)
                                           for Class A units and .1625% (1.95%
                                           annually) for Class B units of Fund
                                           Net Assets at the end of each
                                           month. Steben & Company may pay a
                                           portion of its monthly management
                                           fee on an ongoing basis to selected
                                           agents who have sold the Units, in
                                           return for their provision of
                                           ongoing services to the Limited
                                           Partners.

                                                General Partner will receive
                                           an allocation pro rata from the
                                           other Partners of 1% of any
                                           increase (or decrease) in the
                                           Fund's Net Assets, without regard
                                           to additions and withdrawals.
------------------------ ----------------- -----------------------------------
Trading Advisors         Management Fees        The Trading Advisors will
                         (asset-based)     receive monthly management fees
                                           based upon the assets under their
                                           management as follows:

                                                o    Aspect: .167% monthly (2%
                                                     per year)

                                                o    Campbell: .083% monthly
                                                     (1% per year)

                                                o    Sunrise: .083% monthly
                                                     (1% per year)

                                                o    DKR: .5% quarterly (2%
                                                     per year)

                                                The management fees are
                                           calculated at the end of each
                                           month.
------------------------ ----------------- -----------------------------------


                                       3
<PAGE>

------------------------ ----------------- -----------------------------------
      Recipient             Nature of               Amount of Payment
                             Payment
------------------------ ----------------- -----------------------------------
Trading Advisors         Incentive Fees    The Trading Advisors receive
                                           incentive fees for any "Net New
                                           Trading Profits" generated on the
                                           portion of the Fund the respective
                                           Trading Advisor manages as follows:

                                                o    Aspect: 20%

                                                o    Campbell: 25%

                                                o    Sunrise: 25%

                                                o    DKR 20%

                                           The incentive fees are calculated
                                           quarterly.
------------------------ ----------------- -----------------------------------
Commodity brokerage      Clearing Brokers  The Fund will pay brokerage
commissions and                            commissions on U.S. futures
related fees                               exchanges at the rate of $4.40 to
                                           $10.74 per "round-turn" futures
                                           transaction which includes NFA,
                                           execution, clearing and exchange
                                           fees. Brokerage commissions will be
                                           higher for trades executed on some
                                           foreign exchanges. Steben & Company
                                           estimates that the round-turn
                                           equivalent rate charged to the Fund
                                           during each of the years ended
                                           2005, 2004 and 2003 was
                                           approximately $12.
------------------------ ----------------- -----------------------------------
Calyon Financial         Forward           A portion of the forward
                         Counterparty      counterparty's execution costs are
                         Execution         included in the price of each
                                           forward contract purchased or sold,
                                           and, accordingly, such costs cannot
                                           be determined but are charged.
                                           Prime brokerage fees, combined with
                                           the futures broker's charges,
                                           usually equal approximately 1% of
                                           the Fund's net assets. CIS
                                           Financial Services, Inc., the
                                           Fund's primary forward counterparty
                                           charges a $20 per million per round
                                           turn service charge.
------------------------ ----------------- -----------------------------------
Selling Agents           Selling Agent     A monthly fee of .1667% of the net
                         Fees              asset value of the Class A units
                                           (2% per year) and .0167% of the net
                                           asset value of the Class B units
                                           (0.2% per year) will be charged to
                                           the Fund and paid to the Selling
                                           Agents. To the extent the General
                                           Partner is responsible for the
                                           sale of Units, or in cases where
                                           the Selling Agent does not receive
                                           this fee, the General Partner will
                                           retain these monthly fees.
------------------------ ----------------- -----------------------------------
Steben & Company         Professional Fees The Fund will pay its accounting,
                                           audit, legal, administrative and
                                           offering expenses estimated at
                                           approximately 0.84% of the average
                                           month-end net asset value each
                                           year. However, if and to the extent
                                           these expenses (other than
                                           extraordinary costs, none of which
                                           are anticipated) exceed 1.00% of
                                           the Fund's average month-end net
                                           assets per calendar year, the
                                           General Partner will reimburse the
                                           Fund for such excess after the
                                           close of the applicable year. These
                                           expenses during the years ended
                                           2005, 2004 and 2003 were .84%,
                                           0.89%, and 1.00% of the Fund's
                                           average net assets, respectively.

                                           There may be extraordinary expenses
                                           (including any extraordinary legal
                                           and accounting fees) the Fund may
                                           have although none are anticipated.
------------------------ ----------------- -----------------------------------

     Regulation

     Under the Commodity Exchange Act, commodity exchanges and commodity
futures trading are subject to regulation by the CFTC. The NFA, a registered
futures association under the Commodity Exchange Act, is the only non-exchange
self-regulatory organization for commodity industry professionals. The CFTC
has delegated to the NFA responsibility for the registration of


                                      4
<PAGE>

"commodity trading advisors," "commodity pool operators," "futures commission
merchants," "introducing brokers" and their respective "associated persons"
and "floor brokers." The Commodity Exchange Act requires "commodity pool
operators," and "commodity trading advisors" and "futures brokers" or "futures
commission merchants" such as the Fund's futures broker to be registered and
to comply with various reporting and recordkeeping requirements. Steben &
Company and the Fund's futures broker are members of the NFA. The CFTC may
suspend a commodity pool operator's or trading advisor's registration if it
finds that its trading practices tend to disrupt orderly market conditions, or
as the result of violations of the Commodity Exchange Act or rules and
regulations promulgated there under. In the event the General Partner's
registration as a commodity pool operator were terminated or suspended, the
General Partner would be unable to continue to manage the business of the
Fund. Should the General Partner's registration be suspended, termination of
the Fund might result.

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

          (i) through (xii) - not applicable.

          (xiii) The Fund has no employees.

     (d) Financial Information about Geographic Areas

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

ITEM 1A: Risk Factors

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

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

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


                                      5
<PAGE>

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

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

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

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

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

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

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

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

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

     Changes in Trading Strategies. The trading strategies of the Traders are
continually developing. They are free to make any changes in their trading
strategies, without notice, if they feel that doing so will be in the Fund's
best interest. The General Partner will notify the Limited


                                      6
<PAGE>

Partners of any such changes that the General Partner considers being
material. Changes in commodities or the markets traded shall not be deemed a
change in trading strategy.

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

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

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

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

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

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

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

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

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


                                      7
<PAGE>

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

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

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

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

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

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

ITEM 2: Properties

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

ITEM 3: Legal Proceedings

     Neither the Fund nor Steben & Company has ever been the subject of any
material litigation, nor is the Fund aware of any pending legal proceedings to
which any of its assets are subject.

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

     None.


                                      8
<PAGE>

                                    PART II
                                    -------

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

     (a)  Market information

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

     (b)  Holders

     As of December 31, 2005, there were 4,144 and 1,224 holders of A Units
and B Units, respectively.

     (c)  Dividends

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

     (d)  Securities Authorized for Issuance under Equity Compensation Plans

     None

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

     A and B units are being offered on a continuous basis at subsequent
closing dates at a price equal to the net asset value per unit as of the close
of business on each applicable closing date, which is the last business day of
each month. Sales of the A Units and B Units during the fourth quarter 2005
were as follows:

     UNITS                 OCTOBER       NOVEMBER        DECEMBER
     -----                 -------       --------        --------

     A UNITS
     Units sold           1,406.1005     2,180.2560      1,930.8558
     Net asset value    $  4,716,680   $  7,398,860    $  6,840,725

     B UNITS
     Units sold           1,172.0518     1,173.5273        827.0474
     Net asset value    $  4,780,125   $  4,844,463    $  3,563,762

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


                                      9
<PAGE>

ITEM 6: Selected Financial Data.

<TABLE>
<CAPTION>
---------------------------   ------------   ------------   ------------   ------------   ------------
                              For the Year   For the Year   For the Year   For the Year   For the Year
                              Ended          Ended          Ended          Ended          Ended
                              December 31,   December 31,   December 31,   December 31,   December 31,
                              2005           2004           2003           2002           2001
---------------------------   ------------   ------------   ------------   ------------   ------------
<S>                           <C>            <C>            <C>            <C>            <C>
Income Statement Items:
---------------------------   ------------   ------------   ------------   ------------   ------------
Gain (loss) from Trading      $ 29,400,404   $ 16,756,129   $  9,008,846   $  2,351,040   $    818,056
- Realized and unrealized
---------------------------   ------------   ------------   ------------   ------------   ------------
Brokerage Commissions          -$1,551,942    -$1,346,001      -$246,478       -$55,479       -$68,452
---------------------------   ------------   ------------   ------------   ------------   ------------
         Gain From Trading    $ 27,848,462   $ 15,410,128   $  8,762,368   $  2,295,561   $    749,604
                              ------------   ------------   ------------   ------------   ------------
---------------------------   ------------   ------------   ------------   ------------   ------------

---------------------------   ------------   ------------   ------------   ------------   ------------
Interest income               $ 10,397,655   $  1,863,091   $    339,961   $    132,088   $    274,125
---------------------------   ------------   ------------   ------------   ------------   ------------

---------------------------   ------------   ------------   ------------   ------------   ------------
Expenses:
---------------------------   ------------   ------------   ------------   ------------   ------------

---------------------------   ------------   ------------   ------------   ------------   ------------
General Partner
management fee                $  6,106,364   $  3,397,591   $    655,881   $    114,153   $     93,518
---------------------------   ------------   ------------   ------------   ------------   ------------
General Partner 1%            $    127,493   $     21,822   $     51,412   $     15,670   $      3,913
allocation
---------------------------   ------------   ------------   ------------   ------------   ------------
Trading Advisor
management fees               $  5,730,444   $  2,517,558   $    384,029   $     96,622   $     86,190
---------------------------   ------------   ------------   ------------   ------------   ------------
Trading Advisor
incentive fees                $  6,384,615   $  4,956,093   $  2,101,829   $    494,896   $    339,957
---------------------------   ------------   ------------   ------------   ------------   ------------
Selling Agent fees            $  4,727,082   $  2,733,183   $    480,685   $    106,289   $     86,713
---------------------------   ------------   ------------   ------------   ------------   ------------
Net operating expenses        $  2,548,276   $  1,486,548   $    338,913   $     48,693   $     26,000
---------------------------   ------------   ------------   ------------   ------------   ------------

---------------------------   ------------   ------------   ------------   ------------   ------------
Net Income                    $ 12,621,843   $  2,160,424   $  5,089,580   $  1,551,326   $    387,438
                              ============   ============   ============   ============   ============
---------------------------   ------------   ------------   ------------   ------------   ------------

---------------------------   ------------   ------------   ------------   ------------   ------------
Balance Sheet Items:
---------------------------   ------------   ------------   ------------   ------------   ------------

---------------------------   ------------   ------------   ------------   ------------   ------------
Total assets                  $400,445,406   $263,976,749   $ 88,617,926   $ 10,224,769   $  6,776,473
                              ------------   ------------   ------------   ------------   ------------
---------------------------   ------------   ------------   ------------   ------------   ------------
Total Partners' capital       $376,392,113   $254,801,257   $ 77,765,859   $  9,957,808   $  6,732,365
                              ------------   ------------   ------------   ------------   ------------
---------------------------   ------------   ------------   ------------   ------------   ------------
</TABLE>


                                      10
<PAGE>

Class A Units :

<TABLE>
<CAPTION>
----------------------------------   ---------   ---------   ---------   ---------   ---------
<S>                                  <C>         <C>         <C>         <C>         <C>
Net asset value per Unit             $3,489.13   $3,429.59   $3,418.95   $2,966.76   $2,480.69
----------------------------------   ---------   ---------   ---------   ---------   ---------
Increase in net asset value per      $   59.54   $   10.64   $  452.19   $  486.07   $  113.24
Unit
----------------------------------   ---------   ---------   ---------   ---------   ---------
</TABLE>

Class B Units:

<TABLE>
<CAPTION>
---------------------------------   ---------   ---------   ---------   ---------   ---------
<S>                                 <C>         <C>         <C>         <C>         <C>
Net asset value per Unit            $4,257.03   $4,110.43   $4,022.67   $3,425.61   $2,811.36
---------------------------------   ---------   ---------   ---------   ---------   ---------
Increase in net asset value per     $  146.60   $   87.76   $  597.06   $  614.25   $  177.15
Unit
---------------------------------   ---------   ---------   ---------   ---------   ---------
</TABLE>


                                      11
<PAGE>

Supplementary Financial Information

                    Futures Portfolio Fund (Class A Units)

<TABLE>
<CAPTION>
NAV per Unit                2005              2004         2003         2002         2001
------------                ----              ----         ----         ----         ----

<S>                      <C>               <C>          <C>          <C>          <C>
January                  $3,202.63         $3,486.39    $3,298.81    $2,462.33    $2,405.78
February                 $3,215.17         $3,801.30    $3,566.57    $2,342.03    $2,439.88
March                    $3,256.96         $3,800.61    $3,329.98    $2,370.39    $2,618.23
April                    $3,164.24         $3,477.92    $3,370.95    $2,304.42    $2,386.05
May                      $3,256.47         $3,442.62    $3,493.74    $2,410.70    $2,510.40
June                     $3,359.43         $3,255.89    $3,331.19    $2,725.58    $2,429.67
July                     $3,319.98         $3,206.99    $3,143.56    $2,875.80    $2,383.35
August                   $3,270.90         $3,129.38    $3,204.49    $2,930.74    $2,452.88
September                $3,353.14         $3,131.05    $3,164.24    $3,118.88    $2,618.48
October                  $3,393.57         $3,299.78    $3,281.63    $2,938.30    $2,815.10
November                 $3,543.88         $3,449.68    $3,238.83    $2,790.39    $2,408.71
December                 $3,489.13         $3,429.59    $3,418.95    $2,966.76    $2,480.67
</TABLE>


                    Futures Portfolio Fund (Class B Units)

<TABLE>
<CAPTION>
NAV per Unit                2005              2004         2003         2002         2001
------------                ----              ----         ----         ----         ----

<S>                      <C>               <C>          <C>          <C>          <C>
January                  $3,845.00         $4,108.34    $3,814.99    $2,794.84    $2,680.95
February                 $3,864.82         $4,486.70    $4,131.04    $2,662.37    $2,723.12
March                    $3,920.90         $4,492.74    $3,862.80    $2,698.73    $2,926.66
April                    $3,814.89         $4,117.57    $3,916.34    $2,627.63    $2,671.19
May                      $3,931.95         $4,081.99    $4,065.30    $2,753.03    $2,814.72
June                     $4,062.34         $3,866.47    $3,881.99    $3,117.42    $2,728.37
July                     $4,020.63         $3,814.21    $3,668.83    $3,294.31    $2,680.45
August                   $3,967.04         $3,727.61    $3,747.25    $3,362.41    $2,762.89
September                $4,072.85         $3,735.31    $3,705.83    $3,583.76    $2,953.96
October                  $4,128.12         $3,942.68    $3,849.25    $3,382.35    $3,180.68
November                 $4,317.40         $4,128.13    $3,804.86    $3,216.98    $2,725.60
December                 $4,257.03         $4,110.43    $4,022.67    $3,425.62    $2,811.36
</TABLE>


                                      12
<PAGE>

                  FUTURES PORTFOLIO FUND, L.P.(Class A Units)

---------------   --------   --------   --------   --------   --------
Rate of Return      2005       2004       2003       2002       2001
---------------   --------   --------   --------   --------   --------
January            (6.62)      1.97      11.19      (0.74)      1.62
February            0.39       9.03       8.12      (4.89)      1.42
March               1.30      (0.02)     (6.63)      1.21       7.31
April              (2.85)     (8.49)      1.23      (2.78)     (8.87)
May                 2.91      (1.01)      3.64       4.61       5.21
June                3.16      (5.42)     (4.65)     13.06      (3.22)
July               (1.17)     (1.50)     (5.63)      5.51      (1.91)
August             (1.48)     (2.42)      1.94       1.91       2.92
September           2.51       0.05      (1.26)      6.42       6.75
October             1.21       5.39       3.71      (5.79)      7.51
November            4.43       4.54      (1.30)     (5.03)    (14.44)
December           (1.55)     (0.58)      5.56       6.32       2.99
---------------   --------   --------   --------   --------   --------

Year                1.74       0.31      15.25      19.59       4.77
---------------   --------   --------   --------   --------   --------


                  FUTURES PORTFOLIO FUND, L.P.(Class B Units)

---------------   --------   --------   --------   --------   --------
Rate of Return      2005       2004       2003       2002       2001
---------------   --------   --------   --------   --------   --------
January            (6.48)      2.13      11.37      (0.59)      1.77
February            0.54       9.21       8.28      (4.74)      1.57
March               1.45       0.13      (6.49)      1.37       7.47
April              (2.70)     (8.35)      1.39      (2.63)     (8.73)
May                 3.07      (0.86)      3.80       4.77       5.37
June                3.32      (5.28)     (4.51)     13.24      (3.07)
July               (1.03)     (1.35)     (5.49)      5.67      (1.76)
August             (1.33)     (2.27)      2.14       2.07       3.08
September           2.67       0.21      (1.11)      6.58       6.92
October             1.36       5.55       3.87      (5.62)      7.68
November            4.59       4.70      (1.15)     (4.89)    (14.31)
December           (1.40)     (0.43)      5.72       6.49       3.15
---------------   --------   --------   --------   --------   --------

Year                3.57       2.18      17.43      21.86       6.72
---------------   --------   --------   --------   --------   --------


                                      13
<PAGE>

                            FUTURES PORTFOLIO FUND
                           Summarized Quarterly Data
             For the First and Second Quarters for 2004 and 2005

<TABLE>
<CAPTION>
                                           March 31, 2005                    June 30, 2005
                                      Class A          Class B          Class A         Class B
                                     Interests        Interests        Interests       Interests
                                   -------------    -------------    -------------   -------------
<S>                                <C>              <C>              <C>             <C>
Gain (Loss) from trading           ($  8,095,151)   ($  2,387,108)   $  12,084,866   $   4,230,885

Net Income (Loss)                  ($  9,791,682)   ($  2,663,377)   $   7,167,084   $   2,841,459

Increase (Decrease) in Net Asset
     Value Per Unit                ($     172.63)   ($     189.53)   $      102.47   $      141.44

Net Asset Value Per Unit           $    3,256.96    $    3,920.90    $    3,359.43   $    4,062.34

Ending Net Asset Value             $ 199,106,970    $  69,198,501    $ 226,509,025   $  80,122,307
</TABLE>


<TABLE>
<CAPTION>
                                          March 31, 2004                   June 30, 2004
                                      Class A         Class B         Class A          Class B
                                     Interests       Interests       Interests        Interests
                                   -------------   -------------   -------------    -------------
<S>                                <C>             <C>             <C>              <C>
Gain (Loss) from trading           $  12,568,710   $   4,115,496   ($ 16,042,713)   ($  4,998,133)

Net Income (Loss)                  $   8,233,897   $   2,815,324   ($ 17,297,041)   ($  5,225,782)

Increase (Decrease) in Net Asset
     Value Per Unit                $      381.66   $      470.07   ($     544.72)   ($     626.27)

Net Asset Value Per Unit           $    3,800.61   $    4,492.74   $    3,255.89    $    3,866.47

Ending Net Asset Value             $  84,794,173   $  27,188,259   $ 127,937,152    $  36,162,762
</TABLE>


                                      14
<PAGE>

                            FUTURES PORTFOLIO FUND
                           Summarized Quarterly Data
             For the Third and Fourth Quarters for 2004 and 2005


<TABLE>
<CAPTION>
                                         September 30, 2005               December 31, 2005
                                      Class A          Class B         Class A         Class B
                                     Interests        Interests       Interests       Interests
                                   -------------    -------------   -------------   -------------
<S>                                <C>              <C>             <C>             <C>
Gain from trading                  $   1,973,577    $     900,672   $  13,329,102   $   5,811,621

Net Income (Loss)                  ($    223,935)         439,451   $  10,055,483       4,797,360

Increase (Decrease) in Net Asset
     Value Per Unit                ($       6.29)   $       10.51   $      135.99   $      184.18

Net Asset Value Per Unit           $    3,353.14    $    4,072.85   $    3,489.13   $    4,257.03

Ending Net Asset Value             $ 242,498,545    $  99,134,256   $ 263,005,434   $ 113,386,679
</TABLE>


<TABLE>
<CAPTION>
                                         September 30, 2004                December 31, 2004
                                      Class A          Class B          Class A         Class B
                                     Interests        Interests        Interests       Interests
                                   -------------    -------------    -------------   -------------
<S>                                <C>              <C>              <C>             <C>
Gain (Loss) from trading           ($  4,010,406)   ($  1,193,869)   $  19,402,709   $   5,568,334

Net Income (Loss)                  ($  5,742,051)   ($  1,497,023)   $  16,039,164   $   4,833,936

Increase (Decrease) in Net Asset
     Value Per Unit                ($     124.84)   ($     131.17)   $      298.54   $      375.13

Net Asset Value Per Unit           $    3,131.05    $    3,735.30    $    3,429.59   $    4,110.43

Ending Net Asset Value             $ 159,440,406    $  43,231,921    $ 194,513,666   $  60,287,591
</TABLE>


                                      15
<PAGE>

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

     Introduction

     Gains or losses are realized when contracts are liquidated. Net
unrealized gains or losses on open contracts (the difference between contract
price and market price) are reported in the statement of financial condition
as a net gain or loss, as there exists a right of offset of unrealized gains
or losses in accordance with Financial Accounting Standards Board
Interpretation No. 39 - "Offsetting of Amounts Relating to Certain Contracts".
Any change in net unrealized gain or loss from the preceding period is
reported in the statement of operations. United States government and agency
securities and commercial paper are stated at cost plus accrued interest,
which approximates market value. For purposes of both financial reporting and
calculation of redemption value, net asset value per unit is calculated by
dividing the net asset value of Class A or Class B by the number of
outstanding Class A or Class B units.

     Results of Operations

          The returns for A units for the years ended December 31, 2005, 2004
and 2003 were 1.74%, .31% and 15.24% respectively. The returns for B units for
the years ended December 31, 2005, 2004 and 2003 were 3.57%, 2.18% and 17.43
%, respectively. Further analysis of the trading gains and losses is provided
below.

          2005
          ----

          A Units of the Fund were down 6.62% for the month of January 2005
and B Units were down 6.48%. A strong, abrupt rally in the U.S. dollar along
with a sell-off in metals and equity indices resulted in significant losses
for the Fund in January. The dollar's reversal strengthened after official
minutes from the Federal Reserve Bank's December policy meeting were released
early in the month. The minutes revealed that several key members were far
more concerned about inflationary pressures than was previously known, which
suggested to some that the Fed might become more aggressive with its short
term rate hikes. The currency markets reacted sending the dollar sharply
higher against major foreign currencies, including the euro, yen and British
pound. In the metals sector, aluminum and copper price trends also reversed
sharply as demand for raw materials continued to decline, in part due to
China's softening economy. The Fund did earn some profits this month from its
positions in the interest rate sector, including gains from short-term and
long-term bond instruments.

          A Units of the Fund were up 0.39% for the month of February 2005 and
B Units were up 0.54%. The Fund finished flat this month with profits from
energy, equity indices, agricultural commodities and metals edging out losses
from long term interest rate instruments. Profits in energy resulted from the
Fund's long positions in crude oil, gas and heating oil where renewed trends
pushed crude oil prices past $50/barrel for the first time since November.
Equity prices trended higher across many international exchanges benefiting
the Fund's long positions in indices. Tightening coffee supplies led coffee
prices to a near five year high, which also generated profits. However, while
the Fund's long positions in medium to long term interest rate instruments
have generated steady profits in recent months, yields began reversing this
month, generating losses in several contracts including the 10 year T-Note,
Japanese government bond, long gilt and euro bund.


                                      16
<PAGE>

          A Units of the Fund were up 1.30% for the month of March 2005 and B
Units were up 1.45%. Gains from the energy, interest rate and metals sectors
offset losses from the Fund's positions in foreign currencies and equity
indices. Futures prices in heating oil, unleaded gas and crude oil continued
their upward trends this month, benefiting the Fund's long positions. Analysts
suggested the rally was a continuation of bullish momentum supported by strong
demand and tight supply in gasoline and crude oil ahead of the high-demand
summer season. Concerns that rising energy costs might slow industrial growth
weakened international equity prices and pushed European bond prices higher.
This benefited the Fund's positions in long term interest rate instruments but
hurt the Fund's long positions in equity indices. Renewed concerns over
inflation coupled with an expected short term rate hike by the Federal
Reserve, fueled a rally in the U.S. dollar that hurt some of the Fund's
positions in foreign currencies. Profits from agricultural commodities and
base metals including aluminum and copper, helped to end the month with
positive returns.

          A Units of the Fund were down 2.85% for the month of April 2005 and
B Units were down 2.70%. Losses from the energy, equity indices and metals
sectors offset modest profits from the Fund's positions in foreign currencies
and interest rate instruments. Oil prices fell below $50 per barrel for the
first time since February on reports that crude oil inventories were at their
highest level since mid-2002. Futures prices in heating oil, unleaded gas and
crude oil reversed from record highs hurting the Fund's long positions. Weak
economic data, including the Michigan consumer confidence survey which fell to
its lowest level in 18 months, caused a sell-off in equities. The Fund's long
position in equity indices, including the DAX, NIKKEI and S&P500 experienced
losses. Price reversals in base metals, including aluminum, copper and zinc,
also generated losses for the Fund.

          A Units of the Fund were up 2.91% for the month of May 2005 and B
Units were up 3.07%. Profits from interest rate instruments and foreign
exchange contracts offset small losses from the agricultural, energy, equity
indices and metals markets. Longer term government bond prices in the US, euro
zone and Asia continued to trend higher this month. Although the decline in
long-term yields continued to confound central banking officials, economists
and speculators, the Fund's trend following systems captured significant
profits from long positions in multiple interest rate instruments. France's
decision not to ratify a new European constitution contributed significantly
to a late sell-off in the euro, which also generated significant profits from
the Fund's short positions. Modest losses came from base metals (copper and
zinc), equity indices (NASDAQ, S&P500, DAX), energy (unleaded gas and heating
oil) and some agricultural contracts (cotton and coffee).

          A Units of the Fund were up 3.16% for the month of June 2005 and B
Units were up 3.32%. Profits from foreign exchange, interest rate instruments,
equity indices and energy contracts offset losses from the agricultural and
metals markets. Despite growing trade imbalances, the U.S. dollar continued to
trend higher relative to other major currencies. Speculators saw the cut in
interest rates by the Swedish central bank as further evidence of an economic
slowdown in Europe. At the same time, the U.S. Federal reserve raised
short-term rates by another quarter point. The growing spread between U.S. and
European interest rates added further fuel to the dollar's upward trend, which
benefited the Fund's short positions in the euro, Swiss franc and yen. The
Fund also saw significant profits from its long positions in long-term
interest rate instruments. Crude oil and natural gas prices experienced a
strong rally in June benefiting the Fund's energy positions. The most
significant losses came from long positions in soybeans, soybean meal and
soybean oil.


                                      17
<PAGE>

          A Units of the Fund were down 1.17% for the month of July 2005 and B
Units were down 1.03%. Losses from interest rate instruments offset profits
from the energy, equity indices and metals markets. Long and medium term
interest rate instruments reversed from previous month's highs, hurting the
Fund's long positions. Interest rate instrument prices fell after European
Central Bank officials softened their stance on possible rate cuts in the
Euro-zone, while minutes from June's Federal Reserve committee meeting
suggested further increases in short term U.S. interest rates were likely. The
Chinese government later announced that it would no longer peg its currency to
the US dollar fueling speculation that China might curb its large purchases of
US Treasuries, which further weakened interest rate instrument prices. Long
positions in the energy sector profited as supply uncertainties from the
effects of Hurricane Dennis and two large oil refinery fires in the US caused
crude oil prices to increase. Additional profits came from the Fund's long
positions in several international equity indices including the DAX, S&P500,
FTSE and Hang Seng Indices.

          A Units of the Fund were down 1.48% for the month of August 2005 and
B Units were down 1.33%. Losses from currencies and interest rate instruments
offset significant profits from the energy sector this month. Short and medium
term interest rates fell. This adversely affected the Fund's short positions
in Eurodollars, Japanese government bonds and US treasury bonds. Traders
speculated that higher energy costs might impact U.S. economic growth and
force the Federal Reserve to modify its current rate tightening policy. The
effects of hurricane Katrina late in the month exacerbated that view sending
bond prices even higher. Energy prices however, continued to rise benefiting
the Fund's long positions in light crude oil, natural gas, heating oil and
unleaded gasoline. Oil supply and distribution concerns grew stronger in the
wake of hurricane Katrina. Crude oil breached $70 a barrel before
administration officials announced they would tap strategic oil reserves.

          A Units of the Fund were up 2.51% for the month of September 2005
and B Units were up 2.67%. Profits from equity indices, foreign currencies,
metals and agricultural commodities offset losses from energy and interest
rate instruments. The Fund's long positions in Japanese and German stock
indices generated the strongest profits. The Tokyo Stock Exchange's Nikkei
index increased 23 percent since May and was bolstered this month by upbeat
economic reports as well as Prime Minister Koizumi's election victory in
Japan. The US dollar continued to strengthen, generating profits for the
Fund's short positions in the yen, euro and Australian dollar. Crude oil
prices retreated from August's highs after the impact from Hurricane Rita was
determined to be much less than anticipated. Fortunately, losses in the energy
sector were largely offset by the Fund's long positions in natural gas which
reached all-time highs in September. Fixed income markets also retreated,
hurting some of the Fund's long positions in foreign interest rate
instruments.

          A Units of the Fund were up 1.21% for the month of October 2005 and
B Units were up 1.36%. The Fund posted a profit in October with profits from
currencies, instrument rate instruments and metals offsetting losses from
energy and equity indices. The majority of the Fund's short positions in
foreign currencies profited as the U.S. dollar continued to gain strength and
trend higher. The Fund's most significant profits came from short positions in
the Japanese yen, which hit a 25-month low against the U.S. dollar. Additional
profits resulted from short positions in domestic and international interest
rate instruments, which trended downward on expectations of rising U.S.
inflation and interest rates. Long positions in the energy sector lost some
ground as prices retreated from last month's highs. Base metal prices,
including aluminum, zinc, copper and nickel also profited this month. Overall,
we were pleased with the performance this month in what has been a volatile
and difficult economic environment for trend following systems.


                                      18
<PAGE>

          A Units of the Fund were up 4.43% for the month of November 2005 and
B Units were up 4.59%. The Fund posted significant profits in November. The
Fund's strongest profits came from long positions in the US dollar which
continued to strengthen against other foreign currencies. Positions in the
Japanese yen were particularly profitable. Long positions in the metals
sector, including zinc, aluminum, copper and silver also contributed profits
as increased demand from Asia helped push metals prices higher. The FOMC
released meeting minutes in November that suggested the Federal Reserve might
be nearing the end of its interest rate tightening cycle. That news sparked a
rally in the U.S. financial markets driving U.S. fixed income products higher.
The rally neutralized earlier gains from the Fund's short positions in
interest rate instruments. Long positions in the energy sector lost some
ground as prices retreated from previous highs.

          A Units of the Fund were down 1.55% for the month of December 2005,
ending the year up 1.74%. B Units were down 1.40% for the month and up 3.57%
for the year. Losses from currencies, interest rate instruments and energy
offset profits from the metals, equity indices and agricultural commodities
markets. The Fund's long positions in the U.S. dollar generated the strongest
losses. Foreign currencies rallied against the dollar after the Federal
Reserve's Open Market Committee signaled it might be nearing the end of its
credit tightening cycle. News that the U.S. trade deficit hit record highs
sent the dollar even lower against the yen, which posted its largest
single-day rally against the dollar since March 2002. Short positions in
medium and long-term interest rate instruments also lost ground, as the spread
between short-term and long-term rates narrowed. Metals delivered another
positive month as long positions in aluminum, zinc, copper and gold continued
to trend higher.

          2004

          A Units of the Fund were up 1.97% for the month of January 2004 and
B Units were up 2.13%. Fund performance in January was positive despite some
late price reversals in the U.S. dollar and U.S. interest rate sensitive
markets. The Federal Open Market Committee introduced some minor language
changes to its policy statement, suggesting to some that the Federal Reserve
might be setting the stage to increase short term rates. This caused the U.S.
dollar to rise sharply against major foreign currencies and it caused prices
on long term U.S. interest rate instruments to fall, reflecting a rise in long
term interest rates. Overall, the Fund benefited from net profits in virtually
all market sectors including foreign currencies, equities, agricultural,
energy and metals. Only the Fund's long positions in interest rate sensitive
instruments, including the 30 year Treasury bond and 10 year Treasury note,
experienced a loss.

          A Units of the Fund were up 9.03% for the month of February 2004 and
B Units were up 9.21%. The Fund benefited from gains across all market sectors
in February including interest rates, energy, currencies, agricultural
commodities, metals and equities. The Fund's strongest returns came from long
positions on interest rate instruments as futures prices on several European
and U.S. medium term instruments trended higher in anticipation of possible
rate cuts in the euro zone. In the energy sector, the Fund's long positions in
crude oil continued to profit. The Organization of Petroleum Exporting
Countries (OPEC) maintained tight production controls in spite of strong
demand, which pushed oil prices close to the highs observed before the
invasion of Iraq.

          A Units of the Fund were down 0.02% for the month of March 2004 and
B Units were up .13%. Fund performance was virtually flat for the month with
losses from the energy and foreign currency markets edging out gains from
metals, interest rate instruments and agricultural


                                      19
<PAGE>

commodities. The strongest returns came from long positions in soybean futures
as heavy demand from China continued to push prices higher. Metals were
profitable due to a continuing upward trend in silver. The U.S. dollar was
mixed for the month with small gains against most of the major currencies but
losing ground to the Japanese yen. An overseas bombing in Madrid along with
lackluster U.S. economic data, created additional volatility in the energy
markets that led to modest losses in the Fund's long positions.

          A Units of the Fund were down 8.49% for the month of April 2004 and
B Units were down 8.35%. After showing positive returns for the first quarter,
price trend reversals in the fixed income, metals and currency markets
produced losses for the Fund during the month. The energy market, which
profited from long positions in both light crude and unleaded gas, was the
only positive performing sector in April. Medium and long-term interest rate
instruments fell sharply after the release of U.S. non-farm payroll numbers
which supported growing sentiment that the U.S. economy was on a stronger
footing. Reaction to the Federal Reserve's comments to Congress and growing
anticipation that the Fed will raise short-term interest rates, caused upward
trends in metal prices to reverse. The U.S. dollar rallied against major
currencies energized by stronger U.S. economic reports which created
additional losses for the Fund.

          A Units of the Fund were down 1.01% for the month of May 2004 and B
Units were down 0.86%. During May, many of the world's financial markets
traded in a tight range as market participants wrestled with the outlook for
U.S. interest rates, inflation, corporate earnings and events in the Middle
East. Profits were generated by the fund's long positions in the energy and
agricultural sectors, especially in crude oil (which went to record highs),
unleaded gas, heating oil and soybeans. However, late month production
announcements by the Saudi government led to a brief reversal in oil futures
prices and some pull back in our energy related profits. A mid-month reversal
in the direction of the U.S. dollar resulted in our profits in energy being
overshadowed by losses from foreign exchange positions, including the
Australian dollar and British pound.

          A Units of the Fund were down 5.42% for the month of June 2004 and B
Units were down 5.28%. June was a turbulent month for interest rate and energy
markets. Prices for short-term interest-rate instruments and petroleum
products reversed sharply this month while long-term bonds and the U.S. dollar
continued to vacillate ahead of the FOMC's decision on interest rates. Choppy
market conditions and extended periods of price consolidation, such as those
experienced over the past few months, typically result in losses for trend
following systems and June was no exception. The largest realized losses for
the fund were in light crude oil, the Australian dollar and unleaded gas. The
largest profits were in cotton, the ten-year Japanese government bond and the
Nikkei 225 Index.

          A Units of the Fund were down 1.50% for the month of July 2004 and B
Units were down 1.35%. Interest rates, currencies and global equity indices
drifted without significant trends in July leading to a loss in the Fund for
the month. Although upbeat comments from the Federal Reserve temporarily
pushed interest rates and the U.S. dollar higher, the same markets reversed
following a weaker than expected durable goods report. Precious metals also
experienced intra-month reversals. Energy and agricultural markets were
profitable however, which partially offset the losses from the other sectors.
Oil and gasoline prices continued to rise to historical highs on supply
concerns from Russian based Yukos Oil. The Fund's short positions in cotton
and corn contracts also produced profits.

          A Units of the Fund were down 2.42% for the month of August 2004 and
B Units were down 2.27% for the month. In August, several market sectors
continued to drift without major


                                      20
<PAGE>

trends. The U.S. dollar whipsawed in reaction to news events, including
economic reports that failed to provide any clear direction for the U.S.
economy. Oil prices declined sharply from all time highs late in the month
resulting in losses from the Fund's long positions in crude oil. Profits from
short positions in natural gas however helped to stem the loss in the energy
sector. Sugar and cotton prices reversed this month resulting in losses from
the agricultural sector. The Fund continued to profit from its long positions
in interest rate instruments, partially offsetting the losses in the other
sectors.

          A Units of the Fund were up 0.05% for the month of September 2004
and B Units were up 0.21% for the month. The Fund finished virtually unchanged
for the month despite solid gains in the energy and agricultural commodity
sectors. Prices across the energy sector trended higher as concerns about oil
supply in the wake of hurricane Ivan and possible production disruptions in
Russia, Nigeria and Iraq pushed crude oil prices to record highs. However,
losses from interest rate instruments offset most of the energy profits after
bond prices reversed in reaction to comments and actions by the Federal
Reserve. Losses also came from equity indices on fears that higher fuel costs
might begin to impact corporate earnings and hurt economic growth.

          A Units of the Fund were up 5.39% for the month of October 2004 and
B Units were up 5.55%. The Fund profited from solid trends across multiple
market sectors including energy, foreign currency and fixed income. Worries
over world oil supplies pushed energy prices higher including crude oil, which
posted another record high. Rising energy prices and a report on the growing
U.S. trade deficit indicated to the financial markets a possible slowdown in
the U.S. economy. As a result bond prices moved higher and the U.S. dollar
declined which benefited the Fund's positions in those sectors. The Fund
experienced some losses in metals as copper and nickel prices reversed their
strong upward trend in reaction to speculation that China's economy was
cooling and that Chinese imports were declining.

          A Units of the Fund were up 4.54% for the month of November 2004 and
B Units were up 4.70%. In November the Fund profited from trends in most
market sectors including foreign exchange, metals, interest rate instruments
and equity indices. Long positions in foreign exchange contracts generated the
Fund's strongest gains as the U.S. dollar continued to decline against most
major foreign currencies. The weakness in the dollar also led to higher prices
in precious metals which benefited the Fund's long positions in gold and
silver. Long positions in long term interest rate instruments including the
Euro Bund and British Long Gilt were also profitable. The Fund's losing
positions included natural gas and heating oil.

          A Units of the Fund were down 0.58% for the month of December 2004,
ending the year up 0.31%. B Units were down 0.43% for the month and up 2.18%
for the year. Performance was mixed in December with losses from the metals,
energy and currency sectors edging out profits from equity, interest rate and
agricultural market contracts. Global stock indices and bond markets finished
the month higher, generating profits for the Fund's long positions in those
markets. The Fund lost ground on its long positions in precious metals after
gold and silver contracts fell sharply in response to a rebound in the U.S.
dollar. In addition, the energy sector went through volatile periods after the
release of several inventory announcements, which led to significant
whipsawing in those markets. For the year the Fund's strong fourth quarter
performance offset the mid-year drawdown leaving the Fund positive for 2004.

          2003
          ----


                                      21
<PAGE>

          A Units of the Fund were up 11.19% for the month of January 2003 and
B Units were up 11.37%. The trends that created opportunity for the Fund in
2002 continued into January 2003. Profits were earned in every sector other
than stock indices. However, the environment was one where the prospect of war
with Iraq significantly affected the Fund's whole portfolio.

          A Units of the Fund were up 8.12% for the month of February 2003 and
B Units were up 8.28%. The Fund was positive again in February with metals
being the only negative sector. Strong momentum in energy, fixed income,
currencies and stock indices continued, largely as a result of the troubled
global geopolitical outlook.

          A Units of the Fund were down 6.63% for the month of March 2003 but
up 12.25% for the quarter. B Units were down 6.49% for the month but up 12.77%
for the quarter. A market reversal occurred in March. Initially energy,
precious metals and fixed income markets all sold off sharply, while equities
and the U.S. dollar rallied. Several days into this correction, these markets
all sold off suddenly, as anticipation of a quick resolution in Iraq subsided.
Although the Fund sustained losses, they were relatively modest, giving the
Fund a positive first quarter.

          A Units of the Fund were up 1.23% for the month of April 2003 and B
Units were up 1.39%. In April many markets had calmed significantly at this
time, but uncertainty was still prevalent in global markets due to the many
unresolved geopolitical issues. A strong performance in the currencies sector
was partially offset by negative performances in the metals, stock index and
agricultural sectors.

          A Units of the Fund were up 3.64% for the month of May 2003 and B
Units were up 3.80%. In May, the uncertainty that remained in April dominated
the markets the Fund trades and led to another positive month. While corporate
earnings looked stronger, unemployment, overcapacity and the ongoing threat of
terrorism still loomed large over the global financial markets. The U.S.
dollar weakened further against the other major currencies despite the concern
expressed by the United States' trade partners over the impact this would have
on global trade. Interest rates were the best performing sector for the Fund
particularly at the long end of the yield curve, where higher prices reflected
lower rates. Currency cross rates were also positive, while losses in the
energy, stock index, agricultural and currency sectors offset some of those
gains.

          A Units of the Fund were down 4.65% for the month of June 2003 but
relatively flat at +.04% for the quarter. B Units were down 4.51% for the
month but up .50% for the second quarter. With a negative result for June, the
Fund finished the first half of 2003 with solid returns. Profits for the month
were earned in the currency sector while long-term interest rates lost value
as yield curves steepened, particularly the Japanese government bond.
Short-term interest rates and stock index sectors contributed modest gains for
the month, while the energy, metals, agricultural and currency cross-rates
contributed small losses.

          A Units of the Fund were down 5.63% for the month of July 2003 and B
Units were down 5.49%. July performance was down as the largest positions
suffered significant reversals. Currencies and cross rates were the poorest
performers as the U.S. dollar rallied strongly. The surprisingly sharp
sell-off in long term bonds also resulted in losses, but short term interest
rates were only slightly negative. Equity indices produced the best sector
performance in July, reflecting growing investor confidence in the economic
recovery and the potential for improved growth. Despite July's reversal,
returns remain positive for the year, and have kept pace with the major equity
indices other than the NASDAQ.


                                      22
<PAGE>

          A Units of the Fund were up 1.94% for the month of August 2003 and B
Units were up 2.14% for the month. Performance rebounded in August despite a
tumultuous market environment. Trading volumes are typically thin in August
because of summer vacations in Europe and North America. This loss of
liquidity tends to exaggerate price action and volatility, and often provides
good trading opportunities. Stock indices were the best performer of the month
as the equity markets posted their sixth straight month of gains. Much of this
can be attributed to improving consumer confidence and higher disposable
income arising from the federal tax cuts. Sharply increased defense spending
is also stimulating economic growth. The energy sector contributed solid
positive returns as crude oil remained above the thirty dollar level on
continuing supply concerns. Industrial and precious metals trading results
were relatively flat.

          A Units of the Fund were down 1.26% for the month of September 2003
and down 5.01% for the quarter. B Units were down 1.11% for the month and
4.54% for the third quarter. The currency sector was the star performer again
in September, as short dollar positions benefited from continued weakness in
the U.S. dollar. After showing positive returns for most of the month, sudden
reversals in the fixed income, equity and energy markets put the Fund into
negative territory late in the month. The energy sector rallied sharply as
OPEC surprised the markets with unexpected production cuts. Equity indices
were lower following poor consumer confidence numbers. The safe haven of
government bonds lured investors away from equities and back into the treasury
sector, resulting in a fall in the higher yields seen in August.

          A Units of the Fund were up 3.71% for the month of October 2003 and
B Units were up 3.87%. The continued but orderly decline of the U.S. dollar
against the other major currencies provided good trending opportunities during
October, but an unexpectedly sharp decline in the Yen at the end of the month
took some of the shine off what could have been a really strong month. On the
negative side, currency cross rates, interest rates and energies all resulted
in losses. The energy markets were particularly volatile, with natural gas
prices whipsawing on shifting weather predictions, while crude oil declined
sharply from the high end of its recent trading range. A surprise in third
quarter GDP lent strong upward momentum to U.S. equities, while an improvement
in M&A and IPO activity provided additional positive news for potential
recovery. On the negative side, consumer spending opinions remain mixed, while
concerns persist about a weak labor market ahead of the U.S. employment
numbers in November.

          A Units of the Fund were down 1.30% for the month of November 2003
and B Units were down 1.15%. Although there were good profits in November with
currencies and stock indices they were offset by losses in energy and interest
rates. As global equity prices continued to strengthen, the U.S. dollar
weakened, reaching 10 and 5 year lows against the Canadian dollar and Sterling
respectively, while the Euro made an all time high late in the month. There is
growing concern over Japan and China's stubborn resistance to market pressures
that want their currencies to strengthen, while in the U.S., the combination
of a potentially strong recovery and continuing low short-term interest rates
are raising inflationary concerns. Despite recent strength in U.S. equity
prices, this could ultimately discourage the buying of U.S. equities,
particularly from the Euro-zone.

          A Units of the Fund were up 5.56% for the month of December, 8.05%
for the quarter and 15.24% for 2003. B Units were up 5.72% for the month,
8.55% for the fourth quarter and 17.43% for 2003. There was a strong finish to
an interesting year in which the simultaneous fall in the U.S. dollar and the
rise in U.S. equity prices surprised many traders and analysts. A substantial
portion of the Fund's first quarter gains were generated from the market
response to concerns about the impending war with Iraq, but an initial calming
in the second quarter ended with one of the most dramatic drops in the prices
of U.S. Treasuries in 20 years, wiping out


                                      23
<PAGE>

almost all of our gains in the interest rates sector. In the second half of
2003, profits were derived primarily from short positions in the U.S. dollar
and long positions in global equity indices. These positions were also
responsible for most of the gains for the full year.

     Critical Accounting Policies

     The Fund's financial statements are presented in accordance with
accounting principles generally accepted in the United States of America,
which require the use of certain estimates made by management. Gains or losses
are realized when contracts are liquidated. Unrealized gains or losses on open
contracts (the difference between contract trade price and market price) are
reported in the statement of financial condition as a net gain or loss, as
there exists a right of offset of unrealized gains or losses in accordance
with Financial Accounting Standards Board Interpretation No. 39 -"Offsetting
of Amounts Related to Certain Contracts." The market value of futures
(exchange-traded) contracts is determined by the various futures exchanges,
and reflects the settlement price for each contract as of the close of the
last business day of the reporting period. Any change in net unrealized gain
or loss from the preceding period is reported in the statement of operations.
United States government and agency securities are stated at cost plus accrued
interest, which approximates market value.

     For purposes of both financial reporting and calculation of redemption
value, the Net Asset Value per Class A or Class B Unit is calculated by
dividing the Net Asset Value of A Units by the number of A Units outstanding,
and by dividing the Net Asset Value of B Units by the number of B Units
outstanding.

     Off-Balance Sheet Risk

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

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

     In the case of forward contracts, which are traded on the 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 credit risk. Steben &


                                      24
<PAGE>

Company utilizes only those counterparties that it believes to be creditworthy
for the Fund. All positions of the Fund are valued each day on a
mark-to-market basis. There can be no assurance that any clearing member,
clearinghouse or other counterparty will be able to meet its obligations to
the Fund.

     Contractual Obligations

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

     Liquidity

     Most United States commodity exchanges limit fluctuations in futures
contracts prices during a single day by regulations referred to as "daily
price fluctuation limits" or "daily limits." During a single trading day, no
trades may be executed at prices beyond the daily limit. Once the price of a
futures contract has reached the daily limit for that day, positions in that
contract can neither be taken nor liquidated. Futures prices have occasionally
moved the daily limit for several consecutive days with little or no trading.
Similar occurrences could prevent the Fund from promptly liquidating
unfavorable positions and subject the Fund to substantial losses which could
exceed the margin initially committed to such trades. In addition, even if
futures prices have not moved the daily limit, the Fund may not be able to
execute futures trades at favorable prices if little trading in such contracts
is taking place. Other than these limitations on liquidity, which are inherent
in the Fund's futures trading operations, the Fund's assets are expected to be
highly liquid. Redemptions may be made by a Limited Partner as of the last
trading day of any month at the Net Asset Value of the redeemed Units (or
portion thereof) on that date, on 15 days prior written notice to the General
Partner. Partial redemptions must be for at least $1,000, unless such
requirement is waived by the General Partner. In addition, the Limited
Partner, if making a partial redemption, must maintain at least $10,000 or his
original investment amount, whichever is less, in the Fund unless such
requirement is waived by the General Partner.

     Capital Resources

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

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

     Introduction

     Past Results Not Indicative of Future Performance

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

     Market movements result in frequent changes in the fair market value of
the Fund's open positions and, consequently, in its earnings and cash flow.
The Fund's market risk is influenced by a wide variety of factors, including
the level and volatility of exchange rates, interest rates,


                                      25
<PAGE>

equity price levels, the market value of financial instruments and contracts,
the diversification effects among the Fund's open positions and the liquidity
of the markets in which it trades.

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

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

     Standard of Materiality

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

     Quantifying the Fund's Trading Value at Risk

     Quantitative Forward-Looking Statements

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

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

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


                                      26
<PAGE>

available initial margin, because initial margin includes a credit risk
component which is not relevant to Value at Risk.

     In the case of market sensitive instruments which are not exchange-traded
(which includes currencies and some energy products and metals in the case of
the Fund), the margin requirements for the equivalent futures positions have
been used as Value at Risk. In those cases in which a futures-equivalent
margin is not available, dealers' margins have been used.

     In the case of contracts denominated in foreign currencies, the Value at
Risk figures include foreign margin amounts converted into U.S. dollars with
an incremental adjustment to reflect the exchange rate risk inherent to the
dollar-based Fund in expressing Value at Risk in a functional currency other
than dollars.

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

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

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

     The following tables indicate the trading Value at Risk associated with
the Fund's open positions by market category as of December 31, 2005. All open
position trading risk exposures of the Fund have been included in calculating
the figures set forth below. As of December 31, 2005, the Fund's total
capitalization was $376,392,113.

FISCAL YEAR 2005

                                                                  % of Total
                Market Sector              Value at Risk        Capitalization
          Energy                       $          5,684,748              1.51%
          Stock Indices                $        10,043,843               2.67%
          Agricultural Commodities     $          2,382,279              0.63%
          Metals                       $          2,856,397              0.76%
          Currencies                   $         32,665,977              8.68%
          Interest Rates               $         12,907,227              3.43%
                                       --------------------             ------
          Total                        $         66,540,471             17.68%

     Of the 1.74% return for the year ended December 31, 2005 for A Units,
approximately 7.06% was due to trading gains (after commissions) and
approximately 3.29% was due to interest income, offset by approximately 8.61%
in performance fees, management fees, selling agent fees and operating costs
borne by the Fund. Of the 3.57% return for the year ended December 31, 2005
for B Units, approximately 7.17% was due to trading gains (after commissions)
and approximately 3.40% was due to interest income, offset by approximately
7.00 in performance fees, management fees, selling agent fees and operating
costs borne by the Fund.

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


                                      27
<PAGE>

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

     Non-Trading Risk

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

     Qualitative Disclosures Regarding Primary Trading Risk Exposures.

     The following qualitative disclosures regarding the Fund's market risk
exposures - except for (i) those disclosures that are statements of historical
fact and (ii) the descriptions of how the Fund manages its primary market risk
exposures - constitute forward-looking statements within the meaning of
Section 27A of the Securities Act and Section 21E of the Securities Exchange
Act. The Fund's primary market risk exposures as well as the strategies used
and to be used by the Fund's Trading Advisors for managing such exposures are
subject to numerous uncertainties, contingencies and risks, any one of which
could cause the actual results of the Fund's risk controls to differ
materially from the objectives of such strategies. Government interventions,
defaults and expropriations, illiquid markets, the emergence of dominant
fundamental factors, political upheavals, changes in historical price
relationships, an influx of new market participants, increased regulation and
many other factors could result in material losses as well as in material
changes to the risk exposures and the risk management strategies of the Fund.
There can be no assurance that the Fund's current market exposure and/or risk
management strategies will not change materially or that any such strategies
will be effective in either the short- or long-term. Investors must be
prepared to lose all or substantially all of their investment in the Fund.

     The following were the primary trading risk exposures of the Fund as of
December 31, 2005, by market sector.

     Currencies

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

     Interest Rates


                                      28
<PAGE>

     Interest rate risk is a significant market exposure of the Fund. Interest
rate movements directly affect the price of the sovereign bond futures
positions held by the Fund and indirectly the value of its stock index and
currency positions. Interest rate movements in one country as well as relative
interest rate movements between countries materially impact the Fund's
profitability. The Fund's primary interest rate exposure is to interest rate
fluctuations in the United States and the other G-7 countries. The General
Partner anticipates that G-7 interest rates will remain the primary market
exposure of the Fund for the foreseeable future.

     Stock Indices

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

     Energy

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

     Metals

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

     Agricultural

     During 2005, the Fund's agricultural exposure was to soybeans, wheat,
corn, coffee and cotton.

     Qualitative Disclosures Regarding Non-Trading Risk Exposure.

     The following were the only non-trading risk exposures of the Fund as of
December 31, 2005.

     Foreign Currency Balances

     The Fund's primary foreign currency balances are in Euros, Japanese Yen,
British Pounds, Australian Dollars, Hong Kong dollars and Canadian dollars.
The Fund controls the non-trading risk of these balances by regularly
converting these balances back into dollars (no less frequently than once a
week).

     Treasury Bill and Commercial Paper Positions

     The Fund utilizes UBS Financial Services, Inc. as its cash management
securities broker for the investment of some margin excess amounts into
short-term fixed income instruments including high grade commercial paper
(interest bearing with some credit risk), U.S. Agency


                                      29
<PAGE>

securities and Treasury Bills (interest bearing and credit risk free) with
durations no longer than one year. Violent fluctuations in prevailing interest
rates could cause immaterial mark-to-market losses on the Fund's Treasury
Bills, although substantially all of these short term investments are held to
maturity.

     Qualitative Disclosures Regarding Means of Managing Risk Exposure

     The means by which the Fund and the Fund's Trading Advisors, severally,
attempt to manage the risk of the Fund's open positions is essentially the
same in all market categories traded. The Fund's Advisors apply risk
management policies to their respective trading which generally limit the
total exposure that may be taken. In addition, the Trading Advisors generally
follow proprietary diversification guidelines (often formulated in terms of
the balanced volatility between markets and correlated groups), as well as
imposing "stop-loss" points at which open positions must be closed out.

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

ITEM 8: Financial Statements and Supplementary Data.

     Financial statements meeting the requirements of Regulation S-X appear
beginning in Section 6 of this report. The supplementary financial information
specified by Item 302 of Regulation S-K is included in this report under the
heading "Selected Financial Data" above.

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

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

     The Board of Directors of Steben & Company, Inc., the General Partner for
Futures Portfolio Fund, Limited Partnership ("Fund") has engaged Altschuler,
Melvoin and Glasser LLP ("Altschuler") as the independent registered public
accounting firm for the Fund effective October 28, 2005.

     Arthur F. Bell, Jr. & Associates, L.L.C. audited the financial statements
of Futures Portfolio Fund, Limited Partnership ("Fund"), a Maryland limited
partnership, for the 2 years ended December 31, 2004. On August 18, 2005,
Arthur F. Bell, Jr. & Associates, L.L.C. resigned as the independent
registered public accounting firm for the Fund citing "strategic business
decision based on the future goals and direction of [the] firm's practice." At
this time, Arthur F. Bell, Jr. & Associates, L.L.C. is reducing its
attestation services to public reporting companies.

     The audit reports of Arthur F. Bell, Jr. & Associates, L.L.C. on the
financial statements of Futures Portfolio Fund, Limited Partnership as of and
for the two fiscal years ended December


                                      30
<PAGE>

31, 2004, did not contain any adverse opinion or disclaimer of opinion, nor
were they qualified or modified as to uncertainty, audit scope, or accounting
principles.

ITEM 9A: Controls and Procedures

     Steben & Company, Inc., the General Partner of the Fund, with the
participation of the General Partner's President and Comptroller, has
evaluated the effectiveness of the design and operation of its disclosure
controls and procedures (as defined in the Securities Exchange Act of 1934
Rules 13a-15(e) or 15d-15(e)) with respect to the Fund as of the end of the
period covered by this annual report. Based on their evaluation, the President
and Comptroller have concluded that these disclosure controls and procedures
are effective. There were no changes in the General Partner's internal control
over financial reporting applicable to the Fund identified in connection with
the evaluation required by paragraph (d) of Exchange Act Rules 13a-15 or
15d-15 that occurred during the last fiscal quarter that have materially
affected, or is reasonably likely to materially affect, internal control over
financial reporting applicable to the Fund.

ITEM 9B: Other Information

     None

                                   PART III
                                   --------

ITEM 10: Directors and Executive Officers of the Registrant.

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

     The Fund itself has no directors or officers and has no employees. It is
managed by the General Partner in its capacity as General Partner. The
directors of the general partner are Kenneth Steben, Michael Bulley and
Barbara Rittenhouse.

     Executive Officers

     Kenneth E. Steben is the General Partner's founder, President and sole
shareholder and is registered with the CFTC as an associated person, and with
the NASD as a general securities principal. Mr. Steben, born in 1955, received
his Bachelors Degree in Interdisciplinary Studies, with a concentration in
Accounting in 1979 from Maharishi University of Management. Mr. Steben has
been a licensed stockbroker since 1981 and a licensed commodities broker since
1983. From 1981 - 1983 and 1983 - 1985, Mr. Steben was an account executive
for Moseley Securities and Dean Witter, respectively, two brokerage firms.
From 1985 to March 1989, Mr. Steben was registered with Carey Jamison and
Company, a securities broker-dealer and commodities introducing broker. Mr.
Steben served for various periods as Carey Jamison's Executive Vice President,
Commodities Division President, General Securities Principal, Municipal
Securities Principal, Registered Options Principal and Compliance Officer.
During the period 1985 - 1987, during which Carey Jamison and Company was not
yet licensed as a commodities introducing broker, Mr. Steben was an associated
person and a branch manager of Churchill Commodities Ltd., a commodities
introducing broker. Mr. Steben was a registered representative of H. Beck,
Inc., a broker-dealer, from 1989 until August 2002. Mr. Steben holds his
Series 3, 5, 7, 24, 63 and 65 NASD and NFA licenses. Mr. Steben is a
Principal, an Associated Person and Securities Principal of Steben & Company,
Inc.


                                      31
<PAGE>

     Michael D. Bulley is Vice President of Research and Risk Management,
Corporate Secretary and a Director. Mr. Bulley, born in 1957, received his
Bachelors Degree in Electrical Engineering from the University of Wisconsin -
Madison in 1980 and his Masters in Business Administration with a
concentration in Finance from Johns Hopkins University in 1998. Mr. Bulley is
a staff instructor in financial modeling at Johns Hopkins School of
Professional Studies in Business & Education. Prior to joining Steben &
Company, Mr. Bulley was CEO of Adaptive Digital Technologies, Inc., a
telecommunications digital signal processor software development company from
October 2001 to December 2002. From April 1999 to October 2001, Mr. Bulley was
Vice President, Telecommunications Technology for TriCapital Corporation, a
boutique investment banking and venture capital firm. From January 1981 to
April 1999, Mr. Bulley served in various management positions at
telecommunications and satellite communications companies, including Motorola,
Loral Advanced Technology Laboratory, GTE Spacenet, Comsat RSI and RSI
(Tri-Point Global). Mr. Bulley holds his Series 3, 28 and 30 NASD/NFA licenses
and is a Financial Operations Principal, a Principal and an Associated Person
of Steben & Company, Inc.

     Pierre N. McDonnaugh, J.D., LL.M., is In House Counsel & Chief Compliance
Officer, Corporate Secretary and a Director. In this capacity, he is involved
in all aspects of legal affairs and regulatory oversight, as well as
managerial oversight of compliance, periodic disclosure reporting and
implementation and maintenance of the firms Sarbanes Oxley compliance program.
Mr. McDonnaugh, born in 1964, received his Bachelors Degree in Workforce
Education and Development from Southern Illinois University--Carbondale, and
his Juris Doctor with a concentration in international economic law, finance &
trade from Howard University in 1999. Additionally, Mr. McDonnaugh received an
LL.M. in Law and Government from American University's Washington College of
Law in Washington D.C., with a concentration in regulation of capital markets,
in May 2005. From December 2003 through March 2005 Mr. McDonnaugh was a
Futures Policy Analyst, in the National Association of Securities Dealers
("NASD") Market Regulation Department, where he conducted research and
development into new areas of regulatory oversight of exchange traded
derivatives. Mr. McDonnaugh, as the assistant to the Chief Counsel of Futures,
developed systems to aid in the market surveillance of exchange traded
derivatives on the Chicago Climate Exchange and NQLX Single Security Futures
Exchange. Prior to joining the NASD, Mr. McDonnaugh was a Regional Manager for
ING Aetna Financial Services, Mid-Atlantic region from June 1999 until
February 2002. Mr. McDonnaugh had been responsible for the installment and
implementation of the District of Columbia's 457 Deferred Compensation and
401(a) Defined Contribution Pension Plans. Mr. McDonnaugh has over 17 years of
industry experience offering investment-consulting services to institutional
and retail clients. Mr. McDonnaugh is admitted to the Connecticut Bar, since
September 8, 2003 and holds a Series 3, 24, 66 and 7 NASD/NFA licenses. He is
a member of the American Bar Association and the Association of the Bar of the
City of New York. Additionally Mr. McDonnaugh is a Principal and an Associated
Person of Steben & Company, Inc.

     John P. Scarcella is Vice President of National Marketing. Mr. Scarcella,
born in 1961, received his Bachelors Degree in Finance from Santa Clara
University in 1983 and his Masters in Business Administration with a
concentration in marketing from Santa Clara University in 1992. Prior to
joining Steben & Company in October 2002, Mr. Scarcella was Vice President of
National Accounts for Lincoln Financial Distributors from October 2000 to
October 2002. From September 1992 to October 2000, Mr. Scarcella was Senior
Vice President of ATEL Securities Corporation, an equipment leasing company.
At ATEL, Mr. Scarcella was responsible for all sales, marketing, and due
diligence efforts for ATEL's public and private investment offerings.


                                      32
<PAGE>

Mr. Scarcella holds his Series 3, 6, 22, 30, 39, and 63 NASD/NFA Licenses and
is a Principal, an Associated Person and Branch Manager of Steben & Company,
Inc.

     Brian F. Hull is Vice President of Operations. Prior to joining Steben &
Company in July 1997, Mr. Hull was a registered representative and a general
securities principal of Tiger Investment Group, Inc. from December 1995 to
June 1997. Mr. Hull completed two years at the University of Alaska with a
major in accounting. Mr. Hull holds his Series 3, 7, 24, 28 and 63 NASD/NFA
licenses, is a Securities Principal, Financial Operations Principal, Principal
and an Associated Person of Steben & Company, Inc.

     Barbara Rittenhouse, CPA is Comptroller and a Director. Ms. Rittenhouse
has 18 years of experience in corporate accounting and 7 years in financial
planning. Ms Rittenhouse received her MS in Personal Financial Planning from
Georgia State University in March 1997 and a BBA with a concentration in
Accounting with Distinction from Emory University School of Business in 1979.
Prior to joining Steben & Company in April 2004, Ms. Rittenhouse worked as a
Financial Planner for the following firms: AXA Financial from April 2000 to
March 2004, Consolidated Planning Corporation from April 1999 to January 2000
and Metlife Progressions from July 1997 to April 1999. From August 1984 to
December 1996, Ms Rittenhouse was an accountant with Bellsouth
Telecommunications as a Staff Manager and an internal auditor. From August
1979 to July 1984 Ms Rittenhouse was an accounts payable supervisor and cost
accountant for Scientific Atlanta.

     As of February 29, 2004, Steben & Co. acts as general partner to one
other partnership, Sage Fund LP, whose units of limited partnership interest
are not registered with the SEC. Because Steben & Company serves as the sole
general partner of this fund, the officers and managers of Steben & Company
effectively manage them as officers and directors of this fund.

     (c) Identification of certain significant employees

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

     (d) Family relationships

     None.

     (e) Business experience

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

     (f) Involvement in certain legal proceedings

     None.

     (g) Promoters and control persons

     Not applicable.

     (h) Audit Committee Financial Expert


                                      33
<PAGE>

     The Audit Committee of the Board of Directors of Steben & Company, in its
capacity as the audit committee for the Fund, has determined that Barbara
Rittenhouse qualifies as an "audit committee financial expert" in accordance
with the applicable rules and regulations of the Securities and Exchange
Commission. She is not independent of management.

     Section 16 (A) Beneficial Ownership Reporting Compliance

     Section 16 of the Securities Exchange Act of 1934, as amended, requires
that reports of beneficial ownership of limited partnership units and changes
in such ownership be filed with the Securities and Exchange Commission by
Section 16 "reporting persons." The Fund is required to disclose in this
annual report on Form 10-K each reporting person whom it knows to have failed
to file any required reports under Section 16 on a timely basis during the
fiscal year ended December 31, 2005. The Fund's knowledge, during the fiscal
year ended December 31, 2005, all reporting persons complied with all Section
16(a) filing requirements applicable to them, except that Messrs. Hull and
Scarcella each filed their Form 4 late.

     Code of Ethics

     The General Partner on behalf of the Fund has adopted a code of ethics,
as of the period covered by this report, which applies to the Fund's principal
executive officer and principal financial officer or persons performing
similar functions. A copy of the code of ethics is available upon request by
calling 240-631-9808.

ITEM 11: Executive Compensation

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

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

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

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

     The Fund has no officers or directors. Its affairs are managed by its
General Partner, Steben & Company, Inc. Set forth in the table below is
information regarding the beneficial ownership of the officers of the Fund's
General Partner as of December 31, 2005. There are no securities authorized
for issuance under an equity compensation plan.


                                      34
<PAGE>

     (a) Security ownership of certain beneficial owners.

     As of December 31, 2005, no person or "group" is known to have been the
beneficial owner of more than 5% of the Units.

     (b) Security ownership of management

     As of December 31, 2005, Steben & Company did not own any Units. The
principals of Steben & Company, owned a total of 36.2378 B Units, the value of
which represents .0410% of the total value of the fund.

     As of December 31, 2005, the directors and executive officers of the
General Partner own beneficially Units as follows.

---------------------------------- ---------------- -----------------------
             Name                    Value of Unit    Percentage of Limited
             ----                    -------------    ---------------------
                                                          Partnership
                                                          -----------

---------------------------------- ---------------- -----------------------
Kenneth E. Steben                     $131,676.46           0.0350%

---------------------------------- ---------------- -----------------------
Brian F. Hull                         $  9,431.20           0.0025%

---------------------------------- ---------------- -----------------------
John Scarcella                        $ 13,158.07           0.0035%

---------------------------------- ---------------- -----------------------
Total directors and executive         $154,265.73           0.0410%
officers of the General Partner
as a group

---------------------------------- ---------------- -----------------------

     (c) Changes in Control.

     None.

ITEM 13: Certain Relationships and Related Transactions.

     The Partnership allocated to the General Partner $6,106,364 in monthly
management fees and $4,727,082 in Selling Agent commissions for the year ended
December 31, 2005. The General Partner in turn pays the Selling Agent
commissions to the Selling Agents except for Units for which it served as the
Selling Agent or where there is currently no designated Selling Agent. The
General Partners' general partner interest showed an allocation of income of
$127,493 for the year ended December 31, 2005.

     The Fund pays its accounting, audit, legal, administrative and offering
expenses estimated at approximately 0.84% per year. However, if and to the
extent these expenses (other than extraordinary costs, none of which are
anticipated) exceed 1.0% of the Fund's assets per calendar


                                      35
<PAGE>

year, the General Partner will reimburse the Fund for such excess after the
close of the applicable year. For the years ended December 31, 2005, and 2004,
the Fund paid approximately $1,624,509 and $1,165,493 to the General Partner
for these expenses respectively.

     For the years ended December 31, 2005 and 2004, actual operating expenses
exceeded 1 percent of average month-end net assets of the Partnership by
$1,047,482 and $1,527,551 respectively. Additionally, for the years ended
December 31, 2005 and 2004, the General Partner voluntarily paid $524,646 and
$219,409, respectively, of operating expenses of the Partnership.

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

ITEM 14: Principal Accounting Fees and Services.

     The following table sets forth the fees billed to the Fund for
professional audit services provided by Altschuler, Melvoin and Glasser LLP
(the Firm) and Arthur F. Bell, Jr. & Associates, L.L.C., the Fund's
independent accountants for the audit of the Fund's annual financial
statements for the years ended December 31, 2005 and 2004, respectively, and
fees billed to the Fund for other professional services rendered by
Altschuler, Melvoin and Glasser LLP and Arthur F. Bell, Jr. & Associates,
L.L.C. during those years.

     FEE CATEGORY                                            2005       2004
     ------------                                            ----       ----
     Audit Fees - Altschuler, Melvoin and Glasser LLP      $124,000   $      0
     Audit Fees - Arthur F. Bell, Jr. & Associates, L.L.C.   29,806     86,920
     Tax Fees                                                35,000     17,581

     TOTAL FEES                                            $188,806   $104,501

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

     (2) Audit-Related Fees. None. The Firm has a continuing relationship with
RSM McGladrey, Inc. ("RSM") from which it leases auditing staff who are full
time, permanent employees of RSM and through which its partners provide
non-audit services. As a result of this arrangement, the Firm has no full time
employees and therefore, none of the audit services performed were provided by
permanent full-time employees of the Firm. The Firm manages and supervises the
audit and audit staff, and is exclusively responsible for the opinion rendered
in connection with its examination.

     (3) Tax Fees. For the year ended December 31, 2005, tax compliance
services are to be provided by RSM. See Item 14.(2) above. Tax compliance
services for the year ended December 31, 2004 were provided by Arthur F. Bell,
Jr. & Associates, L.L.C.

     (4) All other Fees. None See Item 14.(2) above.

     (5) Not Applicable.

     (6) See Item 14.(2) above.


                                      36
<PAGE>

     The Board of Directors of Steben & Company, Inc approved all of the
services described above. The Board of Directors has determined that the
payments made to its independent accountants for these services are compatible
with maintaining such auditors' independence. The Board of Directors and the
Audit Committee explicitly pre-approve all audit and non-audit services and
all engagement fees and terms.

                                    PART IV
                                    -------

ITEM 15: Exhibits, Financial Statement Schedules.

     (a)(1) Financial Statements

     Futures Portfolio Fund, Limited Partnership

     The following are included with the 2005 and 2004 Reports of Independent
Registered Public Accounting Firms, copies of which are filed herewith as
Exhibit 13.01.

     Statements of Financial Condition as of December 31, 2005 and 2004

     Condensed Schedules of Investments as of December 31, 2005 and 2004

     Statements of Operations for the Years ended December 31, 2005 and 2004

     Statements of Cash Flows for the Years ended December 31, 2005 and 2004

     Statements of Changes in Partner's Capital for the Years ended December
31, 2005 and 2004

     Notes to Financial Statements


                                      37
<PAGE>

            REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
            -------------------------------------------------------

To the Partners

Futures Portfolio Fund, Limited Partnership

We have audited the accompanying statement of financial condition of Futures
Portfolio Fund, Limited Partnership, including the condensed schedule of
investments, as of December 31, 2005 and the related statements of operations,
cash flows and changes in partners' capital (net asset value) for the year
then ended. These financial statements are the responsibility of the
Partnership's management. Our responsibility is to express an opinion on these
financial statements based on our audit.

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

     In our opinion, the financial statements referred to above present
fairly, in all material respects, the financial position of Futures Portfolio
Fund, Limited Partnership as of December 31, 2005 and the results of its
operations, cash flows and changes in partners' capital (net asset value) for
the year then ended in conformity with U.S. generally accepted accounting
principles .

/s/ Altschuler, Melvoin and Glasser LLP

Chicago, Illinois

March 21, 2006


                                      38
<PAGE>

            REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
            -------------------------------------------------------

To the Partners
Futures Portfolio Fund, Limited Partnership

We have audited the accompanying statement of financial condition of Futures
Portfolio Fund, Limited Partnership, including the condensed schedule of
investments, as of December 31, 2004, and the statements of operations, cash
flows and changes in partners' capital (net asset value) for the years ended
December 31, 2004 and 2003. These financial statements are the responsibility
of the Partnership's management. Our responsibility is to express an opinion
on these financial statements based on our audits.

We conducted our audits in accordance with the standards of the Public Company
Accounting Oversight Board (United States). Those standards require that we
plan and perform the audit to obtain reasonable assurance about whether the
financial statements are free of material misstatement. The Partnership is not
required to have, nor were we engaged to perform, an audit of its internal
control over financial reporting. Our audits included consideration of
internal control over financial reporting as a basis for designing audit
procedures that are appropriate in the circumstances, but not for the purpose
of expressing an opinion on the effectiveness of the Partnership's internal
control over financial reporting. Accordingly, we express no such opinion. An
audit includes examining, on a test basis, evidence supporting the amounts and
disclosures in the financial statements. An audit also includes assessing the
accounting principles used and significant estimates made by management, as
well as evaluating the overall financial statement presentation. We believe
that our audits provide a reasonable basis for our opinion.

In our opinion, the financial statements referred to above present fairly, in
all material respects, the financial position of Futures Portfolio Fund,
Limited Partnership as of December 31, 2004, and the results of its
operations, cash flows and the changes in its net asset values for the years
ended December 31, 2004 and 2003, in conformity with U.S. generally accepted
accounting principles.

/s/ Arthur F. Bell, Jr. & Associates, L.L.C.

Hunt Valley, Maryland
February 11, 2005


                                      39
<PAGE>

                  FUTURES PORTFOLIO FUND, LIMITED PARTNERSHIP
                       STATEMENTS OF FINANCIAL CONDITION
                          December 31, 2005 and 2004

<TABLE>
<CAPTION>
                                                                     December 31,     December 31,
                                                                         2005             2004
                                                                         ----             ----
<S>                                                                 <C>              <C>
ASSETS
Equity in broker trading accounts
Cash                                                                $ 198,497,253    $ 177,902,239
Interest receivable                                                       695,371                0
United States government securities
     (cost, including accrued interest, - $0 and $35,992,200)                   0       35,992,200
Net unrealized gain on open futures contracts                           8,689,576        8,261,541
                                                                    -------------    -------------
Deposits with brokers                                               $ 207,882,200    $ 222,155,980
Cash and cash equivalents                                              54,960,101       33,448,634
Commercial paper
 (cost, including accrued interest, - $124,721,316 and $0)            124,721,316                0
United States government agency securities
 (cost, including accrued interest, - $19,831,111 and $9,944,295)      19,831,111        9,944,295
Net unrealized loss on open forward currency contracts                 (6,949,322)      (1,572,160)
                                                                    -------------    -------------
Total assets                                                        $ 400,445,406    $ 263,976,749
                                                                    =============    =============
LIABILITIES
Accounts payable                                                    $     533,744    $       5,365
Commissions and other trading fees on open contracts                      107,284           90,930
General Partner management fee                                            608,924          425,845
General Partner 1 percent allocation                                      149,316           21,822
Advisor management fees                                                 1,325,463          823,369
Advisor incentive fees                                                  2,795,651          672,681
Selling agents' fees                                                      462,691          336,382
Redemptions payable                                                     2,326,682        1,492,430
Subscriptions received in advance                                      15,743,538        5,306,668
                                                                    -------------    -------------
Total liabilities                                                   $  24,053,293    $   9,175,492
                                                                    -------------    -------------
PARTNERS' CAPITAL (Net Asset Value)
Class A Interests - 75,378.5969 units and 56,716.3746 units
outstanding at December 31, 2005 and December 31, 2004              $ 263,005,434    $ 194,513,666
Class B Interests -  26,635.1317 units and 14,666.9737 units
outstanding at December 31, 2005 and December 31, 2004                113,386,679       60,287,591
                                                                    -------------    -------------
Total partners' capital  (Net Asset Value)                          $ 376,392,113    $ 254,801,257
                                                                    -------------    -------------
                                                                    $ 400,445,406    $ 263,976,749
                                                                    =============    =============
</TABLE>

                            See accompanying notes.


                                      40
<PAGE>

                  FUTURES PORTFOLIO FUND, LIMITED PARTNERSHIP
                       CONDENSED SCHEDULE OF INVESTMENTS
                               December 31, 2005

<TABLE>
<CAPTION>
UNITED STATES GOVERNMENT AGENCY SECURITIES
------------------------------------------
                Maturity                                                                          % of Net
   Face Value     Date      Description                                             Value        Asset Value
   ----------     ----      -----------                                             -----        -----------
<S>             <C>         <C>                                                    <C>           <C>
  $20,000,000   03/22/06    Fannie Mae Discount Note                              $ 19,831,111        5.27%
                                                                                  ------------   ----------
                            Total United States government agency securities
                            (cost, including accrued interest, = $19,831,111)     $ 19,831,111        5.27%
                                                                                  ============   ==========
</TABLE>


<TABLE>
<CAPTION>
COMMERCIAL PAPER
----------------
                Maturity                                                                          % of Net
   Face Value     Date      Description                                             Value        Asset Value
   ----------     ----      -----------                                             -----        -----------
<S>             <C>         <C>                                                    <C>           <C>
  $30,222,000   01/23/06    Daimlerchrysler Na Hldg                                 30,141,845        8.01%
   20,000,000   02/13/06    HSBC Finance Corp                                       19,899,667        5.29%
   10,300,000   02/13/06    ING America Ins Hldgs                                   10,248,082        2.72%
   20,000,000   03/22/06    General Elec Cap Corp                                   19,825,333        5.27%
   25,000,000   03/22/06    Societe Generale N Amer                                 24,781,944        6.58%
   20,000,000   03/22/06    UBS Finance Delaware LLC                                19,824,445        5.27%
                                                                                  ------------   ----------
                            Total commercial paper securities
                            (cost, including accrued interest, = $124,721,316)    $124,721,316       33.14%
                                                                                  ============   ==========
</TABLE>


<TABLE>
<CAPTION>
LONG FUTURES CONTRACTS
----------------------
                                                                                                  % of Net
                            Description                                             Value        Asset Value
                            -----------                                             -----        -----------
<S>                         <C>                                                    <C>           <C>
                            Agricultural                                          $  2,208,810        0.59%
                            Currency                                                   (38,180)      -0.01%
                            Energy                                                  (1,989,422)      -0.53%
                            Interest Rate                                              572,769        0.15%
                            Metal                                                    6,560,479        1.74%
                            Stock Index                                                493,210        0.13%
                                                                                  ------------   ----------
                            Total long futures contracts                          $  7,807,666        2.07%
                                                                                  ------------   ----------
</TABLE>

<TABLE>
<CAPTION>
SHORT FUTURES CONTRACTS
-----------------------
                                                                                                  % of Net
                            Description                                             Value        Asset Value
                            -----------                                             -----        -----------
<S>                         <C>                                                    <C>           <C>
                            Agricultural                                          $   (640,886)      -0.17%
                            Currency                                                   153,910        0.04%
                            Energy                                                    (355,062)      -0.09%
                            Interest Rate                                            3,114,494        0.83%
                            Metal                                                   (1,217,256)      -0.32%
                            Stock Index                                               (173,290)      -0.05%
                                                                                  ------------   ----------
                            Total short futures contracts                            $ 881,910        0.24%
                                                                                  ------------   ----------
                            Total futures contracts                               $  8,689,576        2.31%
                                                                                  ============   ==========
</TABLE>

<TABLE>
<CAPTION>
FORWARD CURRENCY CONTRACTS                                                                        % of Net
--------------------------                                                          Value        Asset Value
                                                                                    -----        -----------
<S>                         <C>                                                    <C>           <C>
                            Description
                            Long forward currency contracts                       $ (8,197,045)      -2.18%
                            Short forward currency contracts                         1,226,183        0.33%
                            Pending Option Premiums                                     21,540        0.01%
                                                                                  ------------   ----------
                            Total forward currency contracts                      $ (6,949,322)      -1.84%
                                                                                  ============   ==========
</TABLE>


                            See accompanying notes.


                                      41
<PAGE>

                  FUTURES PORTFOLIO FUND, LIMITED PARTNERSHIP
                       CONDENSED SCHEDULE OF INVESTMENTS
                               December 31, 2004

<TABLE>
<CAPTION>
UNITED STATES GOVERNMENT SECURITIES
-----------------------------------
              Maturity                                                                                    % of Net
  Face Value    Date    Description                                                           Value       Asset Value
  ----------    ----    -----------                                                           -----       -----------
<S>           <C>       <C>                                                                <C>            <C>
 $36,000,000  01/06/05  U.S. Treasury Bill                                                 $ 35,992,200      14.13%
                                                                                           -------------  ----------
                        Total United States government securities
                        (cost, including accrued interest, = $35,992,200)                  $ 35,992,200      14.13%
                                                                                           =============  ==========
</TABLE>


<TABLE>
<CAPTION>
UNITED STATES GOVERNMENT AGENCY SECURITIES
------------------------------------------
              Maturity                                                                                    % of Net
  Face Value    Date    Description                                                           Value       Asset Value
  ----------    ----    -----------                                                           -----       -----------
<S>           <C>       <C>                                                                <C>            <C>
 $10,000,000  03/22/05  Federal Home Loan Mortgage Corporation Discount Note               $  9,944,295       3.90%
                                                                                           -------------  ----------
                        Total United States government agency securities
                        (cost, including accrued interest, = $9,944,295)                   $  9,944,295       3.90%
                                                                                           =============  ==========

</TABLE>

<TABLE>
<CAPTION>
LONG FUTURES CONTRACTS
----------------------
                                                                                                          % of Net
                        Description                                                           Value       Asset Value
                        -----------                                                           -----       -----------
<S>                                                                                        <C>            <C>
                        Agricultural                                                          $ 961,451       0.38%
                        Currency                                                              1,754,893       0.69%
                        Energy                                                                 (198,627)     -0.08%
                        Interest Rate                                                         1,715,930       0.67%
                        Metal                                                                 2,491,362       0.98%
                        Stock Index                                                           2,189,269       0.86%
                                                                                           -------------  ----------
                        Total long futures contracts                                       $  8,914,278       3.50%
                                                                                           -------------  ----------
</TABLE>

<TABLE>
<CAPTION>
SHORT FUTURES CONTRACTS
-----------------------
                                                                                                          % of Net
                        Description                                                           Value       Asset Value
                        -----------                                                           -----       -----------
<S>                                                                                        <C>            <C>
                        Agricultural                                                          $ (51,895)     -0.02%
                        Energy                                                                  775,428       0.30%
                        Interest Rate                                                           394,937       0.16%
                        Metal                                                                (1,771,207)     -0.70%
                                                                                           -------------  -----------
                        Total short futures contracts                                      $   (652,737)     -0.26%
                                                                                           -------------  -----------
                        Total futures contracts                                            $  8,261,541       3.24%
                                                                                           =============  ===========
</TABLE>

<TABLE>
<CAPTION>
FORWARD CURRENCY CONTRACTS
--------------------------
<S>                                                                                        <C>            <C>
                                                                                                          % of Net
                                                                                              Value       Asset Value
                        Description                                                           -----       -----------
                        Long forward currency contracts                                       8,968,638       3.52%
                        Short forward currency contracts                                    (10,540,798)     -4.14%
                                                                                           -------------  -----------
                        Total forward currency contracts                                   $ (1,572,160)     -0.62%
                                                                                           =============  ===========

</TABLE>

                            See accompanying notes.


                                      42
<PAGE>

                  FUTURES PORTFOLIO FUND, LIMITED PARTNERSHIP
                           STATEMENTS OF OPERATIONS
                For the Years Ended December 31, 2005 and 2004


                                           2005            2004
                                           ----            ----
TRADING GAINS (LOSSES)
Net realized gains                     $ 34,349,531    $ 17,106,196
Change in unrealized losses              (4,949,127)       (350,067)
Brokerage commissions                    (1,551,942)     (1,346,001)
                                       ------------    ------------
Total gains from trading                 27,848,462      15,410,128
                                       ------------    ------------
INVESTMENT LOSS
Income
Interest income                          10,397,655       1,863,091
                                       ------------    ------------
Expenses
General Partner management fee            6,106,364       3,397,591
General Partner 1 percent allocation        127,493          21,822
Advisor management fees                   5,730,444       2,517,558
Advisor incentive fees                    6,384,615       4,956,093
Selling agents fees                       4,727,082       2,733,183
Operating expenses                        4,120,404       3,233,508
                                       ------------    ------------
Total expenses                           27,196,402      16,859,755
Operating expenses waived                (1,572,128)     (1,746,960)
                                       ------------    ------------
Net total expenses                       25,624,274      15,112,795
Net investment loss                     (15,226,619)    (13,249,704)
                                       ------------    ------------

NET INCOME                             $ 12,621,843    $  2,160,424
                                       ============    ============

                                             2005                 2004
                                             ----                 ----
                                      Class A    Class B   Class A    Class B
                                      --------   --------  --------   -------

INCREASE IN NET ASSET VALUE PER UNIT  $  59.54   $ 146.60  $  10.64   $  87.76
                                      ========   ========  ========   ========

                            See accompanying notes.


                                      43
<PAGE>

                   FUTURES PORTFOLIO FUND, LIMITED PARTNERSHIP
                           STATEMENTS OF CASH FLOWS
                 For the Years Ended December 31, 2005 and 2004


<TABLE>
<CAPTION>
                                                        2005              2004
                                                        ----              ----
<S>                                                 <C>              <C>
Cash flows from (for) operating activities
Net income                                          $  12,621,843    $   2,160,424
Adjustments to reconcile net income to net
cash from (for) operating activities:
Change in unrealized losses                             4,949,127          350,067
Increase in interest receivable                          (695,371)               0
Increase in accounts payable and accrued expenses       3,606,679          207,582
Net proceeds of investments in United States
government and government agency securities            26,105,384       10,288,886
Purchases of commercial paper                        (124,721,316)               0
                                                    -------------    -------------
Net cash from (for) operating activities              (78,133,654)      13,006,959
Cash flows from (for) financing activities
Additions of units                                    141,771,582      173,667,380
Subscriptions received in advance                      15,743,538        5,306,668
Redemption of units                                   (37,274,985)      (5,983,231)
                                                    -------------    -------------
Net cash from financing activities                    120,240,135      172,990,817

Net increase in cash and cash equivalents              42,106,481      185,997,776

Cash and cash equivalents
Beginning of year                                     211,350,873       25,353,097
                                                    -------------    -------------
End of year                                         $ 253,457,354    $ 211,350,873
                                                    =============    =============
End of year cash consists of:
Cash in broker trading accounts                     $ 198,497,253    $ 177,902,239
Cash and cash equivalents                              54,960,101       33,448,634
                                                    -------------    -------------
Total end of year cash                              $ 253,457,354    $ 211,350,873
                                                    =============    =============
</TABLE>


                            See accompanying notes.


                                      44
<PAGE>


                  FUTURES PORTFOLIO FUND, LIMITED PARTNERSHIP
         STATEMENTS OF CHANGES IN PARTNERS' CAPITAL (NET ASSET VALUE)
                For the Years Ended December 31, 2005 and 2004


<TABLE>
<CAPTION>
                                       Class A Interests                 Class B Interests
                                       -----------------                 -----------------
                                    Units            Value            Units            Value            Total
                                    -----            -----            -----            -----            -----
<S>                             <C>              <C>              <C>              <C>              <C>
Balances at December 31, 2003     16,350.3885    $  55,901,105       5,435.3839    $  21,864,754    $  77,765,859
Net income for the year
ended December 31, 2004                              1,233,969                           926,455        2,160,424
Additions                         42,634.5145      145,063,460       9,159.2385       37,100,458      182,163,918
Redemptions                       (1,093.8480)      (3,709,181)       (911.8706)      (3,579,763)      (7,288,944)
Transfers                         (1,174.6804)      (3,975,687)        984.2219        3,975,687                0
                                -------------    -------------    -------------    -------------    -------------
Balances at December 31, 2004     56,716.3746    $ 194,513,666      14,666.9737    $  60,287,591    $ 254,801,257

Net income for the year
ended December 31, 2005                              7,206,949                         5,414,894       12,621,843
Additions                         27,524.1876       90,751,374      14,128.3246       56,326,876      147,078,250
Redemptions                       (8,412.2820)     (27,910,430)     (2,536.4068)     (10,198,807)     (38,109,237)
Transfers                           (449.6833)      (1,556,125)        376.2402        1,556,125                0
                                -------------    -------------    -------------    -------------    -------------
Balances at December 31, 2005     75,378.5969    $ 263,005,434      26,635.1317    $ 113,386,679    $ 376,392,113
                                =============    =============    =============    =============    =============
</TABLE>

<TABLE>
<CAPTION>
                               Net Asset Value Per Unit
--------------------------------------------------------------------------------------

        December 31,                     December 31,               December 31,
           2005                             2004                       2003
           ----                             ----                       ----
Class A            Class B         Class A       Class B       Class A       Class B
-------            -------         -------       -------       -------       -------
<C>                <C>             <C>           <C>           <C>           <C>
$3,489.13          $4,257.03       $3,429.59     $4,110.43     $3,418.95     $4,022.67
</TABLE>

                            See accompanying notes.



                                      45
<PAGE>

                  FUTURES PORTFOLIO FUND, LIMITED PARTNERSHIP
                         NOTES TO FINANCIAL STATEMENTS

                                ---------------

Note 1. ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES

     A.   General Description of the Partnership

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

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

     B.   Regulation

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

     C.   Method of Reporting

          The Partnership's financial statements are presented in accordance
          with accounting principles generally accepted in the United States
          of America, which require the use of certain estimates made by the
          Partnership's management. Gains or losses are realized when
          contracts are liquidated. Unrealized gains and losses on open
          contracts (the difference between contract trade price and market
          price) are reported in the statement of financial condition as a net
          gain or loss, as there exists a right of offset of unrealized gains
          or losses in accordance with Financial Accounting Standards Board
          Interpretation No. 39 - "Offsetting of Amounts Related to Certain
          Contracts." Any change in net unrealized gain or loss from the
          preceding period is reported in the statement of operations. United
          States government and agency securities and Commercial Paper are
          stated at cost plus accrued interest, which approximates market
          value.

          For purposes of both financial reporting and calculation of
          redemption value, net asset value per Class A or Class B unit is
          calculated by dividing the net asset value of Class A or Class B by
          the number of outstanding units of Class A or Class B.

     D.   Cash Equivalents

          Cash equivalents are highly liquid investments with original
          maturity of three months or less that are not held for sale in the
          normal course of business.

     E.   Brokerage Commissions

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

     F.   Income Taxes


                                      46
<PAGE>

          The Partnership prepares calendar year U.S. and applicable state
          information tax returns. The Partnership is not subject to federal
          income taxes as each partner is individually liable for his or her
          allocable share of the Partnership's income, expenses and trading
          gains or losses. The Partnership however, may be required to file
          returns and pay tax in various state and local jurisdictions as a
          result of its operations or the residency of its partners.

                  FUTURES PORTFOLIO FUND, LIMITED PARTNERSHIP
                   NOTES TO FINANCIAL STATEMENTS (CONTINUED)

                                ---------------

Note 1. ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES
        (CONTINUED)

     G.   Foreign Currency Transactions

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

     H.   Classes of Interests

          The Partnership has two classes of limited partnership interests
          ("Interests"), Class A and Class B. The General Partner may offer
          additional classes at its discretion. Both Class A and Class B
          Interests are traded pursuant to identical trading programs and
          differ only in respect to the General Partner's management fee and
          selling agent's fee. Class B Interests are issued only at the
          General Partner's discretion and are generally intended for
          investors who are participating in fee based investment advisory
          programs. All items of income or loss, except for the General
          Partner management fee and selling agent's fee, are allocated pro
          rata between Class A and Class B Interests. The General Partner
          management fee and selling agent's fee applicable to each class of
          Interest is then charged to each class. All items of income or loss
          allocated to each class of Interest is then allocated pro rata to
          each Limited Partner within each class.

Note 2. GENERAL PARTNER

          The General Partner of the Partnership is Steben & Company, Inc.,
          which conducts and manages the business of the Partnership. During
          the years ended December 31, 2005 and 2004, the General Partner did
          not maintain a capital balance in the Partnership, however, the sole
          shareholder of the General Partner has an investment in Class B
          Interests of the Partnership.

          During the years ended December 31, 2005 and 2004, the General
          Partner received the following compensation:

          o    Commencing December 1, 2004, Class A Interests paid a monthly
               management fee equal to 1/12 of 1.95 percent (1.95 percent per
               annum) of the net asset value of the Class A Interests as of
               the last day of each month.
          o    For the period January 1, 2004 through November 30, 2004, Class
               A Interests paid a monthly management fee equal to 1/12 of 2
               percent (2 percent per annum) of the net asset value of the
               Class A Interests as of the last day of each month.
          o    Class A Interests paid monthly selling agents' fees equal to
               1/12 of 2 percent (2 percent per annum) of the net asset value
               of the Class A Interests as of the last day of each month. The
               General Partner, in turn, pays the selling agents' fees to the
               respective selling agents. If the selling agents' fees are not
               paid to the selling agent, or the General Partner was the
               selling agent, such portions of the selling agents' fees are
               retained by the General Partner.


                                      47
<PAGE>

                  FUTURES PORTFOLIO FUND, LIMITED PARTNERSHIP
                   NOTES TO FINANCIAL STATEMENTS (CONTINUED)

                                ---------------

Note 2. GENERAL PARTNER (CONTINUED)

          o    Class B Interests paid a monthly management fee equal to 1/12
               of 1.95 percent (1.95 percent per annum) of the net asset value
               of the Class B Interests as of the last day of each month.
          o    Class B Interests paid monthly selling agents' fees equal to
               1/12 of .20 percent (.20 percent per annum) of the net asset
               value of the Class B Interests as of the last day of each
               month. The General Partner, in turn, pays the selling agents'
               fees to the respective selling agents. If the selling agents'
               fees are not paid to the selling agent, or the General Partner
               was the selling agent, such portions of the selling agents'
               fees are retained by the General Partner.

          For the period January 1, 2004 through November 30, 2004, the
          General Partner also received, at the time of subscription, a
          subscription fee equal to 1 percent of the subscription amount. The
          General Partner could reduce or waive this fee in its sole
          discretion. Additions in the statements of changes in partners'
          capital (net asset value) are reflected net of such subscription
          fee. Effective December 1, 2004, the General Partner no longer
          charges a subscription fee.

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

Note 3. COMMODITY TRADING ADVISORS

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

Note 4. DEPOSITS WITH BROKERS

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


                                      48
<PAGE>

                  FUTURES PORTFOLIO FUND, LIMITED PARTNERSHIP
                   NOTES TO FINANCIAL STATEMENTS (CONTINUED)

                                ---------------

Note 5. OPERATING EXPENSES

          The Partnership is responsible for all of its operating expenses
          such as accounting, audit, legal, administrative, marketing and
          offering expenses. Operating expenses also include salary and
          administrative costs incurred by the General Partner relating to
          marketing and administration of the Partnership, such as salaries
          and commissions of General Partner marketing personnel, commissions
          to marketing personnel unaffiliated with the General Partner, and
          administrative employee salaries and related costs. Pursuant to the
          terms of the Limited Partnership Agreement, operating expenses that
          exceed 1 percent of the average month-end net assets of the
          Partnership are the responsibility of the General Partner. For the
          years ended December 31, 2005 and 2004, the Partnership paid
          $1,624,509 and $1,165,493 to the General Partner for operating
          expenses. For the years ended December 31, 2005 and 2004, actual
          operating expenses exceeded 1 percent of average month-end net
          assets of the Partnership by $1,047,482 and $1,527,551,
          respectively, with such amounts included in operating expenses
          waived in the statement of operations. Additionally, for the years
          ended December 31, 2005 and 2004, the General Partner voluntarily
          paid $524,646 and $219,409, respectively, of operating expenses of
          the Partnership, with such amounts also included in operating
          expenses waived in the statement of operations. Operating expenses,
          net of waived operating expenses, were .87 percent of the average
          month-end net assets from January 1, 2004 through August 30, 2005
          and .75 percent from September 1, 2005 through December 31, 2005.

Note 6. SUBSCRIPTIONS, DISTRIBUTIONS AND REDEMPTIONS

          Investments in the Partnership are made by subscription agreement,
          subject to acceptance by the General Partner. Units are sold at the
          net asset value per Class A or Class B unit as of the close of
          business on the last day of the month in which the subscription is
          accepted. Investors whose subscriptions are accepted are admitted as
          Limited Partners as of the beginning of the month following the
          month in which their subscriptions were accepted. At December 31,
          2005 and 2004, the Partnership had received subscriptions of
          $15,743,538 and $5,306,668, respectively, which were additions to
          the Partnership effective January 1, 2006 and January 1, 2005,
          respectively.

          The Partnership is not required to make distributions, but may do so
          at the sole discretion of the General Partner. A Limited Partner may
          request and receive redemption of Class A or Class B units owned at
          the end of any month, subject to 15 days written notice to the
          General Partner and restrictions in the Limited Partnership Agreement.

Note 7. TRADING ACTIVITIES AND RELATED RISKS

          The Partnership engages in the speculative trading of U.S. and
          foreign futures contracts and forward currency contracts
          (collectively, "derivatives"). The Partnership is exposed to both
          market risk, the risk arising from changes in the market value of
          the contracts, and credit risk, the risk of failure by another party
          to perform according to the terms of a contract.

          Purchase and sale of futures contracts requires margin deposits with
          the brokers. Additional deposits may be necessary for any loss on
          contract value. The Commodity Exchange Act requires a broker to
          segregate all customer transactions and assets from such broker's
          proprietary activities. A customer's cash and other property (for
          example, U.S. Treasury bills) deposited with a broker are considered
          commingled with all other customer funds subject to the broker's
          segregation requirements. In the event of a broker's insolvency,
          recovery may be limited to a pro rata share of segregated funds
          available. It is possible that the recovered amount could be less
          than total cash and other property deposited.


                                      49
<PAGE>

                  FUTURES PORTFOLIO FUND, LIMITED PARTNERSHIP
                   NOTES TO FINANCIAL STATEMENTS (CONTINUED)

                                ---------------

Note 7. TRADING ACTIVITIES AND RELATED RISKS (CONTINUED)

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

          The Partnership utilizes UBS Financial Services, Inc. as its cash
          management securities broker for the investment of some margin
          excess amounts into short-term fixed income instruments including
          high grade commercial paper (interest bearing with some credit
          risk), U.S. Agency securities and Treasury Bills (interest bearing
          and credit risk free) with durations no longer than one year.
          Fluctuations in prevailing interest rates could cause immaterial
          mark-to-market losses on the Partnership's Treasury Bills, although
          substantially all of these short-term investments are held to
          maturity.

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

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

<TABLE>
<CAPTION>
                                  Futures Contracts          Forward Currency Contracts
                                  (exchange traded)             (non-exchange traded)

                             December 31,    December 31,    December 31,    December 31,
                                 2005            2004            2005            2004
                                 ----            ----            ----            ----
<S>                          <C>             <C>             <C>             <C>
Gross unrealized gains       $ 16,127,549    $ 11,621,802    $  8,821,813    $ 11,813,827
Gross unrealized losses        (7,437,973)     (3,360,261)    (15,771,135)    (13,385,987)
                             ------------    ------------    ------------    ------------
Net unrealized gain (loss)   $  8,689,576    $  8,261,541    $ (6,949,322)   $ (1,572,160)
                             ============    ============    ============    ============
</TABLE>

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

Note 8. GUARANTEES

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


                                      50
<PAGE>

                  FUTURES PORTFOLIO FUND, LIMITED PARTNERSHIP
                   NOTES TO FINANCIAL STATEMENTS (CONTINUED)

                                ---------------

Note 9. FINANCIAL HIGHLIGHTS

          The following information presents per unit operating performance
          data and other supplemental financial data for the years ended
          December 31, 2005 and 2004. This information has been derived from
          information presented in the financial statements.

<TABLE>
<CAPTION>
                                                           December 31,                December 31,
                                                               2005                        2004
                                                      -----------------------     -----------------------
                                                       Class A       Class B       Class A       Class B
                                                      Interests     Interests     Interests     Interests
                                                      ---------     ---------     ---------     ---------
<S>                                                   <C>           <C>           <C>           <C>
Per Unit Performance
(for a unit outstanding throughout the entire year)
---------------------------------------------------

Net asset value per unit at beginning of year         $3,429.59     $4,110.43     $3,418.95     $4,022.67
                                                      ---------     ---------     ---------     ---------

Income from operations:
     Gains from trading (1)                              242.28        294.60        283.67        346.07
     Net investment loss (1)                            (182.74)      (148.00)      (273.03)      (258.31)
                                                      ---------     ---------     ---------     ---------

               Total income from operations               59.54        146.60         10.64         87.76
                                                      ---------     ---------     ---------     ---------

Net asset value per unit at end of year               $3,489.13     $4,257.03     $3,429.59     $4,110.43
                                                      =========     =========     =========     =========

Total Return                                               1.74%         3.57%         0.31%         2.18%
                                                      =========     =========     =========     =========

Supplemental Data

Ratios to average net asset value:
     Expenses prior to advisor incentive fees(2)(3)        7.29%         5.52%         6.37%         4.52%
     Advisor incentive fees                                2.09%         2.10%         2.86%         3.03%
                                                      ---------     ---------     ---------     ---------

               Total expenses                              9.38%         7.62%         9.23%         7.55%
                                                      =========     =========     =========     =========

     Net investment loss (2), (3)                         -5.48%        -3.66%        -5.28%        -3.43%
                                                      =========     =========     =========     =========
</TABLE>

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

---------

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

     (2)  All of the ratios under the supplemental data are computed net of
          voluntary and involuntary waivers of operating expenses. For 2005
          and 2004, the ratios are net of approximately .16% and .13% relating
          to the voluntary waiver


                                      51
<PAGE>

          of operating expenses, respectively. Both the nature and the amounts
          of the waivers are more fully explained in Note 5.

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


                                      52
<PAGE>

          Also included herewith:

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

          (b) Exhibits.

          The following exhibits are filed herewith.

-----------------   ----------------------------------------------------------
  Exhibit Number    Description of Document
  --------------    -----------------------
-----------------   ----------------------------------------------------------
          1.1       Form of Selling Agreement.*
-----------------   ----------------------------------------------------------
          3.1       Maryland Certificate of Limited Partnership.*
-----------------   ----------------------------------------------------------
          4.1       Limited Partnership Agreement.*
-----------------   ----------------------------------------------------------
          10.1      Form of Subscription Agreement. *
-----------------   ----------------------------------------------------------
          10.2      Advisory Agreement by and among the Fund, the General
                    Partner and Aspect, dated December 12, 2003.*
-----------------   ----------------------------------------------------------
          10.3      Advisory Agreement by and among the Fund, the General
                    Partner and Sunrise, dated June 1, 1998.*
-----------------   ----------------------------------------------------------
          10.4      Advisory Agreement by and among the Fund, the General
                    Partner and Willowbridge, dated December 31, 1997.*
-----------------   ----------------------------------------------------------
          10.5      Advisory Agreement by and among the Fund, the General
                    Partner and Campbell, dated December 1997.*
-----------------   ----------------------------------------------------------
          10.6      Advisory Agreement by and among the Fund, the General
                    Partner and DKR Fusion, dated December 2004.**
-----------------   ----------------------------------------------------------
          16.1      Letter regarding change in certifying accountant.*
-----------------   ----------------------------------------------------------
          31.01     Rule 13a-14(a)/15d-14(a) Certification of Principal
                    Executive Officer
-----------------   ----------------------------------------------------------
          31.02     Rule 13a-14(a)/15d-14(a) Certification of Principal
                    Financial Officer
-----------------   ----------------------------------------------------------
          32.01     Section 1350 Certification of Principal Executive Officer
-----------------   ----------------------------------------------------------
          32.02     Section 1350 Certification of Principal Financial Officer
-----------------   ----------------------------------------------------------

------------------------------------------------------------------------------

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

** Denotes document filed as an exhibit to our Annual Report on Form 10-K
for the period ended December 31, 2004 and incorporated herein by reference.



                                      53
<PAGE>

SIGNATURES

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

----------------------- --------------------------------------- --------------
            Name                        Title                     Date
            ----                        -----                     ----

----------------------- --------------------------------------- --------------
/s/ Kenneth E. Steben
-----------------------
Kenneth E. Steben       President and Director                  March 31, 2006
----------------------- --------------------------------------- --------------
/s/ Michael D. Bulley   Vice President of Research and Risk
----------------------- Management, Corporate Secretary and
Michael D. Bulley       Director                                March 31, 2006
----------------------- --------------------------------------- --------------
/s/ Barbara Rittenhouse
-----------------------
Barbara Rittenhouse     Comptroller and Director                March 31, 2006
----------------------- --------------------------------------- --------------

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

                                       FUTURES PORTFOLIO FUND, LIMITED
          Dated March 31, 2006         PARTNERSHIP

                                       By:    Steben & Company, Inc.
                                              General Partner

                                       By: /s/ Kenneth Steben
                                          ------------------------------------
                                       Name:  Kenneth Steben
                                       Title: President of the General Partner


                                      54