UNITED STATES


SECURITIES AND EXCHANGE COMMISSION


Washington, D.C. 20549






FORM 10-K




ANNUAL REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES


EXCHANGE ACT OF 1934





For the Fiscal Year Ended December 31, 2009





Commission file number:  000-50728







FUTURES PORTFOLIO FUND, LIMITED PARTNERSHIP





Incorporated in Maryland
IRS Employer Identification No.:  52-1627106





c/o Steben & Company, Inc.


2099 Gaither Road, Suite 200


Rockville, Maryland 20850


Telephone:  (240) 631-9808







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 Partner Interests





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





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.  T Yes £ No





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





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





Large accelerated filer £
Accelerated filer £Non-accelerated filer T
Smaller reporting company £(Do not check if smaller reporting company)





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





Aggregate market value of the voting and non-voting common equity held by non-affiliates: the registrant is a limited partnership; N/A.







1


Table of Contents




Part IItem 1.
Business
3Item 1A.
Risk Factors
7Item 1B.
Unresolved Staff Comments
12Item 2.
Properties
12Item 3.
Legal Proceedings
12Item 4.
Reserved
12Part IIItem 5.
Market for Registrant's Common Equity, Related Stockholder Matters and Issuer Purchases of Equity Securities
13Item 6.
Selected Financial Data
14Item 7.
Management's Discussion and Analysis of Financial Condition and Results of Operations
15Item 7A.
Quantitative and Qualitative Disclosures About Market Risk
24Item 8.
Financial Statements and Supplementary Data
28Item 9.
Changes in and Disagreements with Accountants on Accounting and Financial Disclosure..
28Item 9A(T).
Controls and Procedures
28Item 9B.
Other Information
29Part IIIItem 10.
Directors, Executive Officers, and Corporate Governance
29Item 11.
Executive Compensation
31Item 12.
Security Ownership of Certain Beneficial Owners and Management
31Item 13.
Certain Relationships and Related Transactions
31Item 14.
Principal Accounting Fees and Services
32Part IVItem 15.
Exhibits, Financial Statement Schedules
33Signatures
34


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PART I





Item 1.
Business





Futures Portfolio Fund, Limited Partnership (“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 actively managed, with speculative trading profits as its objective.





Under the Third Amended and Restated Limited Partnership Agreement (“Partnership Agreement”), exclusive management of all aspects of the Fund’s business and administration is carried out by Steben & Company, Inc. (“General Partner”), a Maryland corporation organized in February 1989.  The General Partner is registered with the Commodity Futures Trading Commission (“CFTC”) as a commodity pool operator and an introducing broker, and is a member of the National Futures Association (“NFA”) in such capacities.  The General Partner is registered with the U.S. Securities and Exchange Commission (“SEC”) as a broker dealer and is a member of FINRA in such capacity.  The General Partner is also registered with the SEC as an investment adviser.  The Fund is not a registered investment company.





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





The Fund’s assets are allocated among professional commodity trading advisors (“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, 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, 2009, the aggregate capitalization of the Fund was $1,057,734,905, consisting of Class A interest of $688,434,529 and Class B interest of $369,300,376.  The net asset value per limited partner interests (“Units”) of the Class A Units was $4,668.87 and Class B Units was $6,118.04 as of December 31, 2009.




The Fund’s business constitutes only one segment for financial reporting purposes, i.e., a speculative commodity pool.




General




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




The Fund trades speculatively in United States (“U.S.”) and international futures contracts, including those relating to energy products, agricultural products, precious and base metals, stock market indices, interest rates (short-term and long-term), single stock futures and foreign currencies (majors, minors and cross rates).  The Fund also trades forward currency contracts, and may trade options and swaps, and other forwards in the future.




The Fund trades on a variety of U.S. and international futures exchanges.  Approximately 97% of the Fund’s trading is currently in the form of exchange traded futures, and the balance is in off-exchange forward currency contracts.  All of the Fund’s off-exchange trading takes place in highly liquid, institutionally-based forward currency 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 is 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 processing subscriptions and redemptions. The Gen­eral Partner maintains office facil­i­ties for and furnishes administrative and clerical ser­vices to the Fund.  The General Partner is 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.




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Trading Advisors and Trading Levels




As of December 31, 2009, the Trading Advisors of the Fund and the allocation of the Fund’s trading level are reflected as follows:




% of Total AllocationsAltis Partners (Jersey), Ltd
14%Aspect Capital, Ltd
10%BlueCrest Capital Management LLP
23%Quantitative Investment Management, LLC
16%Sunrise Capital Partners, LLC
10%Transtrend BV
15%Winton Capital Management, Ltd.
12%





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 Trading Advisors who have demonstrated ability during their trading history.  Consideration is given to the consistency of past returns.  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 are also considered.  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.




The Futures Broker and Forward Currency Counterparties





The Fund utilizes Newedge USA, LLC as its futures broker (“futures broker”) and Newedge Group (U.K. Branch) as its forward currency counterparty (“forward currency counterparty”) (collectively “NUSA”).  The Fund also utilizes UBS A.G. as its forward currency counterparty (“forward currency counterparty”).  The General Partner may, in its discretion, have the Fund utilize other futures brokers, swap or forward currency counterparties if it deems it to be in the best interest of the Fund.





Newedge Group was formed on January 2, 2008 as a joint venture by Société Générale and Calyon to combine the brokerage activities previously carried by their respective subsidiaries which comprised the Fimat Group and the Calyon Financial Group of affiliated entities.  Newedge Group (U.K. Branch) is a branch of Newedge Group and is regulated in France as a bank by the CECEI (Banque de France) and supervised by Commission Bancaire and the Autorité des Marchés Financiers for the conduct of investment services, and regulated by the Financial Services Authority for the conduct of business in the U.K.





Newedge USA, LLC is a subsidiary of Newedge Group, which was formed through a merger with Newedge Financial Inc. (“NFI”) – formerly known as Calyon Financial Inc. on September 1, 2008.  In March 2008, NFI settled, without admitting or denying the allegations, a disciplinary action brought by the New York Mercantile Exchange (“NYMEX”) alleging that NFI violated NYMEX rules related to: numbering and time stamping orders by failing properly to record a floor order ticket; wash trading; failure to adequately supervise employees; and violation of a prior NYMEX cease and desist order, effective as of December 5, 2006, related to numbering and time stamping orders and block trades.  NFI paid a $100,000 fine to NYMEX in connection with this settlement.




Other than the foregoing proceeding, which did not have a material adverse effect upon the financial condition of NUSA, there have been no material administrative, civil or criminal actions brought, pending or concluded against NUSA, or its principals in the past five years.





Affiliates of NUSA may execute transactions opposite the Fund as principal.


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Cash Management Securities Brokers





The Fund utilizes UBS Financial Services, Inc. and Banc of America Securities as its cash management securities brokers (“cash management securities brokers”).  The General Partner may, in its discretion, have the Fund utilize other cash management securities brokers if it deems it to be in the best interest of the Fund.





The Fund maintains accounts with the cash management securities brokers for the purpose of investing margin excess balances typically in short-term fixed and similar interest-bearing instruments, which may include money market funds.





Limited Role of the Futures Broker, Forward Currency Counterparties and Cash Management Securities Brokers





The services of NUSA, UBS A.G. and UBS Financial Services, Inc. (collectively “UBS”), and Banc of America Securities in their capacities as futures broker, forward currency counterparties and cash management securities brokers, are limited to transaction execution and clearance, record-keeping, transmittal of confirmations and statements to the General Partner, calculating the equity balances and margin requirements for the Fund’s account and similar administrative functions. The opening and maintenance of the Fund’s accounts with NUSA, UBS or Banc of America Securities does not constitute an endorsement or recommendation of the Fund, the General Partner or the Trading Advisor.




NUSA, UBS and Banc of America Securities have not assisted in the preparation of this annual report, except to the extent they have provided general information about their operations and legal proceedings against them.  NUSA, UBS and Banc of America Securities are not connected in any way with the Fund, the General Partner or the Trading Advisor other than in their capacity as futures broker, forward currency counterparties and cash management securities brokers, respectively, on behalf of the Fund.  The General Partner may elect to have the Fund use other futures brokers, cash management securities brokers, options brokers, forwards or swaps counterparties in the future when it deems, in its discretion, that it would be in the Fund’s best interest to do so.





Description of Current Charges





Charges
AmountGeneral Partner Management Fee
Class A and B Units incur a monthly General Partner management fee equal to 1/12th of 1.95% of Class A and Class B Units of Fund net asset value at the end of each month, payable in arrears.  The General Partner may pay a portion of its monthly management fee on an ongoing basis to selected agents who have sold Units, in return for their provision of ongoing services to limited partners.General Partner 1 percent allocation
The General Partner receives an annual allocation of 1% of any increase (or decrease) in the Fund’s net asset value, without regard to contributions and redemptions.Advisor Management Fees
Each Class of Units incur monthly Advisor management fees, payable monthly or quarterly in arrears, to the Trading Advisors (based upon the assets under their management), equal to:·
Altis Partners (Jersey), Ltd: 1/12th of 1%·
Aspect Capital, Ltd: 1/12th of 2%·
BlueCrest Capital Management, LLP: 1/12th of 2%·
Quantitative Investment Management, LLC: 0%·
Sunrise Capital Partners, LLC: 1/12th of 1%·
Transtrend BV: 1/12th of 1%·
Winton Capital Management, Ltd:  1/12th of 1.5%


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Charges
AmountAdvisor Incentive Fees
Each Class of Units incur quarterly Advisor incentive fees, payable in arrears to the Trading Advisors,  for any “Net New Trading Profits” generated on the portion of the Fund the respective Trading Advisor manages, equal to:·
Altis Partners (Jersey), Ltd
25%·
Aspect Capital, Ltd
20%·
BlueCrest Capital Management, LLP
20%·
Quantitative Investment Management, LLC
30%·
Sunrise Capital Partners, LLC
25%·
Transtrend BV
25%·
Winton Capital Management Ltd
20%Brokerage Commissions
The Fund incurs brokerage commissions on U.S. futures exchanges at the approximate rate of $0.10 to $29.52, with an average of $5.01 per “round-turn” futures transaction (includes NFA, execution, clearing and exchange fees).  Brokerage commissions may be higher for trades executed on certain foreign exchanges.Selling Agent Commissions and Broker Dealer Servicing Fees
The General Partner charges monthly selling agent commissions equal to 1/12th of 2% of the month-end net asset value for Class A Units and monthly broker dealer servicing fees equal to 1/12th of 0.2% of the month-end net asset value for Class B Units, payable in arrears. The General Partner, in turn, pays selling agent commissions and broker dealer servicing fees to the respective selling agents.  If selling agent fees are not paid to the selling agents, or the General Partner was the selling agent, such portions of the selling agent fees are retained by the General Partner.Administrative Expenses
The Fund reimburses the General Partner for actual monthly administrative expenses up to 1/12th of 0.65% of the Fund’s month-end net asset value, payable quarterly in arrears.  However, if and to the extent these expenses (other than extraordinary costs) exceed 1.00% of the Fund’s average month-end net assets value 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 2009, 2008, and 2007 were 0.65%, 0.65%, and 0.67% of the Fund’s average net asset value, respectively.



The administrative expenses include all accounting, audit, legal, administrative, marketing and offering expenses, and other back office expenses related to the administration of the Fund.



The Fund may incur extraordinary expenses (including extraordinary legal and accounting fees), although none are anticipated.





Regulation




Under the Commodity Exchange Act (“CEAct”), commodity exchanges and commodity futures trading are subject to regulation by the CFTC. The NFA, a registered futures association under the CEAct, is the only non-exchange self-regulatory organization for commodity industry professionals. The CFTC has delegated to the NFA responsibility for the registration of “commodity trading advisors,” “commodity pool operators,” “futures commission merchants,” “introducing brokers” and their respective “associated persons” and “floor brokers.” The CEAct requires “commodity pool operators,” “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 record keeping requirements. The General Partner 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 CEAct or rules and regulations promulgated thereunder. In the event the General Partner’s registration as a commodity pool operator is 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 international commodity exchanges, which are not subject to regulation by any U.S. Government agency or related entity.




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The Fund has no employees.




Competition





The Fund operates in a competitive environment in which it faces several forms of competition, including, without limitation, the following:





·
The Fund competes with other commodity pools and other investment vehicles for investors.




·
The Trading Advisors may compete with other traders in the markets in establishing or liquidating positions on behalf of the Fund.




Financial Information about Geographic Areas





The Fund does not engage in material operations in foreign countries (although it does trade in forward currency contracts and on international futures markets), nor is a material portion of its funds derived from foreign investors.





Available Information





The Fund files Forms 10-Q, 10-K, 8-K, 3 and 4, as required, with the SEC. The public may read and copy any materials filed with the SEC at the SEC’s Public Reference Room at 100 F Street, N.E., Washington, D.C. 20549.  Additional information about the Reference Room may be obtained by calling the SEC at (800) SEC-0330. Additional reports, proxy and information statements, and other reports filed electronically with the SEC may be found at http://www.sec.gov.





Reports to Security Holders





None.





Enforceability of Civil Liabilities Against Foreign Persons





None.





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 Trading Advisor by the use of notional funds.  Notional funds are utilized when a Trading Advisor 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 Trading Advisors 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 Trading Advisors and the level of notional funding utilized by the General Partner in its allocations to the Trading Advisors.





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.


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Complex Fee Structure





Allocation to more than one Trading Advisor 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 is obli­gated to pay brokerage commis­sions, management fees to the General Partner and various Trading Advisors and other administrative 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 depends significantly on the General Partner’s ability to select Trading Advisors.





Dependence on Key Personnel





The General Partner is depen­dent on the services of Mr. Kenneth E. 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 Trading Advisors





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





Reliance on Futures Broker’s Financial Condition





If the futures 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 futures broker.  There is no govern­ment insurance for commodity broker­age accounts.  Such a loss could occur if the futures broker un­lawfully failed to segregate its customers’ funds or if a custo­mer failed to pay a deficiency in its account.





Use of Money Market Instruments





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





Investment in Other Investment Pools





The Fund may invest in other pools.  The Fund expects to be liable to those pools (e.g., limited partners), 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.





Investment in pools (or similar investment vehicles), as distinguished from direct participation in the markets, 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.  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 trading advisors 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.


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Use of Electronic Trading





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





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





Changes in Trading Strategies





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





Disadvantages of Periodic Incentive Fees





The Trading Advisor in­cen­tive fees (if any) are paid on a quarterly basis, therefore they could receive incentive fees for a period even though their trading for the year was unprofitable.  Once an incen­tive fee is paid, the Trading Advisors retain the fee regardless of their subsequent performance, but no new incentive fees will be paid until after any previous losses have been recovered.





Disadvantages of Multi-Trader Structure





The Fund’s use of multiple Trading Advisors to conduct its trading has several potential disadvantages.





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





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





Under certain unusual circumstances, the Fund might have to direct a Trading Advisor 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 Trading Advisor.  Such liquidations could disrupt the Trading Advisor’s trading system or method.





Disadvantages of Replacing Trading Advisors





The General Partner has the authority to reallocate the Fund’s assets among the Trading Advisors, terminate Trading Advisors and allocate assets to new Trading Advisor(s), or invest the Fund’s assets in other investment funds or commodity pools.





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


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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 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, limited partners may redeem all or (subject to certain limitations) any portion of their Units at the end of any month, on five business days written notice to the General Partner.





Possible Adverse Effect of Large Redemptions





The Trading Advisors’ trading strategies could be disrupted by large redemptions by limited part­ners. For example, such redemptions could require the Trading Advisors to prematurely li­quidate fu­tures positions they had established for the Fund.





Mandatory Redemptions





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





Indemnification





The Fund is required to indemnify the Gen­eral Partner, the Trading Advisors 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 on 60 days prior written notice, and such a 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 SEC or any state.





Conflicts of Interest





The General Partner and its principals have organized and are involved in other business ventures, and may have incentives to favor certain of these ventures over the Fund.  The Fund will not share in the risks or rewards of such other ventures.  However, such other ventures will compete for the General Partner’s and its principals’ time and attention, which might create other conflicts of interest.  The Partnership Agreement does not require the General Partner to devote any particular amount of time to the Fund.


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The General Partner or any of its affiliates or any person connected with it may invest in, directly or indirectly, or manage or advise other investment funds or accounts which invest in assets which may also be purchased or sold by the Fund.  Neither the General Partner nor any of its affiliates nor any person connected with it is under any obligation to offer investment opportunities of which any of them becomes aware to the Fund or to account to the Fund in respect of (or share with the Fund or inform the Fund of) any such transaction or any benefit received by any of them from any such transaction, but will allocate such opportunities on an equitable basis between the Fund and other clients.





Incentive Fee to the Trading Advisors





The Trading Advisors are entitled to an incentive fee, therefore the Trading Advisors may have an incentive to cause the Fund to make riskier or more speculative investments than it otherwise would.





Personal Trading





The Trading Advisors, the futures broker, the General Partner and the principals and affiliates thereof, may trade commod­ity interests for their own account. In such trading, positions might be taken which are opposite those of the Fund, or that compete with the Fund’s trades.





Trades by the Trading Advisors and their Principals





The Trading Advisors and their principals may trade for their own accounts in addition to directing trading for client accounts.  Therefore, the Trading Advisors and their principals may be deemed to have a conflict of interest concerning the sequence in which orders for transactions will be transmitted for execution.  Additionally, a potential conflict may occur when the Trading Advisors and their principals, as a result of a neutral allocation system, testing a new trading system, trading their own proprietary account(s) more aggressively, or any other actions that would not constitute a violation of fiduciary duties, take positions in their own proprietary account(s) which are opposite, or ahead of, the position(s) taken for a client.  Proprietary accounts, in trading a new or experimental system, may enter the same markets earlier than (either days before or on the same day) client accounts traded at the same or other futures commission merchants.   Since the principals of the Trading Advisors trade futures and foreign exchange for their own accounts, there is potentially a conflict of interest between these principals and the Trading Advisors’ clients when allocating prices on trades that are executed by a futures commission merchant at multiple prices.  In such instances, the Trading Advisors use a non-preferential method of fill allocation.  The clients of the Trading Advisors will not be permitted to inspect the personal trading records of the Trading Advisors or NUSA, or their respective principals, or the written policies relating to such trading.  Client records are not available for inspection due to their confidential nature.





Effects of Speculative Position Limits





The CFTC and domestic exchanges have established speculative position limits on the maximum net long or net short futures position which any person, or group of persons, or group of persons acting in concert, may hold or control in particular futures contracts or options on futures traded on U.S. commodity exchanges.  All commodity accounts owned or controlled by the Trading Advisors and their principals are combined for speculative position limits.  Because speculative position limits allow the Trading Advisors and their principals to control only a limited number of contracts in any one commodity, the Trading Advisors and their principals are potentially subject to a conflict among the interests of all accounts the Trading Advisors and their principals control, which are competing for shares of that limited number of contracts.  There exists a conflict between the Trading Advisors’ interest in maintaining a smaller position in an individual client’s account in order to also provide positions in the specific commodity to other accounts under management and the personal accounts of the Trading Advisors and their principals.  The General Partner does not believe, however, that the position limits are likely to impair the Trading Advisors’ trading for the Fund, although it is possible the issue could arise in the future.





To the extent that position limits restrict the total number of commodity positions which may be held by the Fund and those other accounts, the Trading Advisors will allocate the orders equitably between the Fund and such other accounts. Similarly, where orders for the same commodity given on behalf of both the Fund and other accounts managed by the Trading Advisors cannot be executed in full, the Trading Advisors will equitably allocate between the Fund and such other accounts that portion of the total quantity able to be executed.





Other Activities of the Principals of the Advisors





Certain principals of the Trading Advisors are currently engaged, and expect in the future to be engaged, in other activities, some of which may involve other business activities in the futures industry.  In addition, each principal of the Trading Advisors may be engaged in trading for his own personal account.  The principals will have a conflict of interest between their obligations to devote all of their attention to client accounts and their interests in engaging in other activities. However, the principals of the Trading Advisors intend to devote substantial attention to the operation and activities of the Trading Advisors consistent with the division of responsibilities among them as is described herein.


11
 Table of Contents


Operation of Other Commodity Pools





The General Partner currently operates two other commodity pools and might have an incentive to favor those pools over the Fund.





Fiduciary Responsibility of the General Partner





The General Partner has a fiduciary duty to the Fund to exercise good faith and fairness in all dealings affecting the Fund.  If a limited partner believes this duty has been violated, he/she may seek legal relief under applicable law, for himself/herself and other similarly situated partners, or on behalf of the Fund. However, it may be difficult for limited partners to obtain relief because of the changing nature of the law in this area, the vagueness of standards defining required conduct and the broad discretion given the General Partner in the Partnership Agreement and the exculpatory provisions therein.





Selling Agents





The receipt by the selling agents and their registered representatives of continued sales commissions and/or servicing fees for outstanding Units may give them an incentive to advise limited partners to remain investors in the Fund.  These payments cease to the extent the limited partners withdraw from the Fund.





The General Partner Serving as Selling Agent





The General Partner also serves as a selling agent for the Fund.  As a result, the fees and other compensation received by the General Partner as a selling agent have not been independently negotiated.





Futures Broker





The futures broker affects transactions for customers (including public and private commodity pools), including the Fund, who may compete with the Fund’s transactions including with respect to priorities or order entry.  Since the identities of the purchaser and seller are not disclosed until after the trade, it is possible that the futures broker could effect transactions for the Fund in which the other parties to the transactions are the futures broker’s officers, directors, employees, customers or affiliates.  Such persons might also compete with the Fund in making purchases or sales of commodities without knowing that the Fund is also bidding on such commodities.  Since orders are filled in the order in which they are received by a particular floor broker, transactions for any of such persons might be executed when similar trades for the Fund are not executed or are executed at less favorable prices.  However, in entering orders for the Fund and other customer accounts, including with respect to priorities of order entry and allocations of executed trades, CFTC regulations prohibit a futures commission merchant from utilizing its knowledge of one customer’s trades for its own or its other customer’s benefit.





Item 1B.
Unresolved Staff Comments





Not Applicable.





Item 2.
Properties





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





The General Partner’s principal business office is in Rockville, Maryland.





Item 3.
Legal Proceedings





None.





Item 4.
Reserved


12
 Table of Contents


PART II





Item 5.
Market for Registrant’s Common Equity, Related Stockholder Matters and Issuer Purchases of Equity Securities





Market Information





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





A and B Units are being offered continuously to the public by selling agents on a best-efforts basis at subsequent closing dates at a price equal to the net asset value per unit as of the close of business on each applicable closing date, which is the first business day of each month.  The minimum investment is $10,000.





Holders





As of February 28, 2010, there were 9,948 and 5,352 holders of A and B Units of the Fund, respectively.





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 of this filing.





Securities Authorized for Issuance under Equity Compensation Plans





No Units were authorized for issuance under equity compensation plans.





Recent Sales of Unregistered Securities and Use of Proceeds from Registered Securities





There were no sales of unregistered securities of the Fund during the year ended December 31, 2009.





A and B Units issued during the fourth quarter 2009 were as follows:





October


November


December


TotalA UnitsUnits issued


4,142.1760



3,825.1165



3,662.1953



11,629.4878Average net asset value per unit

$
4,840.68


$
4,684.65


$
4,911.08


$
4,811.53B UnitsUnits issued


1,523.6617



1,718.3496



1,572.0898



4,814.1011Average net asset value per unit

$
6,314.37


$
6,119.94


$
6,425.32


$
6,281.20





The proceeds of the offering are deposited in the Fund’s bank accounts and brokerage accounts for the purpose of engaging in trading activities in accordance with the Fund’s trading policies and the Trading Advisors’ trading programs.





Issuer Purchases of Equity Securities.





A and B Units are eligible for redemption 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.





Redemptions of A and B Units during the fourth quarter 2009 were as follows:





October


November


December


TotalA UnitsUnits redeemed


985.3776



647.4925



863.1945



2,496.0646Average net asset value per unit

$
4,684.65


$
4,911.08


$
4,668.87


$
4,737.93B UnitsUnits redeemed


200.2697



1,465.8150



298.7195



1,964.8042Average net asset value per unit

$
6,119.94


$
6,425.32


$
6,118.04


$
6,347.48


13
 Table of Contents


Item 6.
Selected Financial Data





For the Year Ended December  31,2009


2008


2007


2006


2005Income Statement ItemsNet gain (loss) from trading

$
(1,321,770
)

$
261,554,585


$
45,735,396


$
44,784,929


$
27,848,462Interest income


4,484,279



19,068,236



26,770,478



22,657,865



10,397,655Net total expenses


66,508,237



94,568,427



47,724,348



33,011,274



25,624,274Net income (loss)

$
(63,345,728
)

$
186,054,394


$
24,781,526


$
34,431,520


$
12,621,843Balance Sheet ItemsTotal assets

$
1,109,264,003


$
899,233,549


$
562,253,689


$
25,148,484


$
400,445,406Total partners’ capital (net asset value)

$
1,057,734,905


$
832,985,264


$
545,106,985


$
504,060,093


$
376,392,113Class A UnitsNet asset value per unit

$
4,668.87


$
5,018.96


$
3,867.65


$
3,725.59


$
3,489.13Increase (decrease) in net asset value per unit

$
(350.09
)

$
1,151.31


$
142.06


$
236.46


$
59.54Total return


(6.98
%)


29.77
%


3.81
%


6.78
%


1.74
%Class B UnitsNet asset value per unit

$
6,118.04


$
6,460.05


$
4,891.11


$
4,627.81


$
4,257.03Increase (decrease) in net asset value per unit

$
(342.01
)

$
1,568.94


$
263.30


$
370.78


$
146.60Total return


(5.29
%)


32.08
%


5.69
%


8.71
%


3.57
%





Results from past periods are not necessarily indicative of results that may be expected for any future period.





The following supplementary summarized quarterly data are presented for the three-month periods ended March 31, June 30, September 30 and December 31, 2009 and 2008.





March, 2009


June, 2009Class A


Class B


Class A


Class BNet loss

$
(15,602,409
)

$
(6,950,973
)

$
(22,118,696
)

$
(10,449,541
)Decrease in net asset value per unit

$
(130.85
)

$
(140.40
)

$
(173.46
)

$
(197.21
)Net asset value per unit

$
4,888.11


$
6,319.65


$
4,714.65


$
6,122.44Ending net asset value

$
570,404,626


$
305,743,507


$
608,950,555


$
330,947,199






March, 2008


June, 2008Class A


Class B


Class A


Class BNet income

$
41,459,968


$
21,717,270


$
36,570,794


$
20,340,366Increase in net asset value per unit

$
436.97


$
576.74


$
365.06


$
488.78Net asset value per unit

$
4,304.62


$
5,467.85


$
4,669.68


$
5,956.63Ending net asset value

$
403,378,844


$
204,458,548


$
448,482,374


$
246,401,160


14
 Table of Contents





September, 2009


December, 2009Class A


Class B


Class A


Class BNet income (loss)

$
17,583,790


$
11,071,443


$
(25,248,765
)

$
(11,630,577
)Increase (decrease) in net asset value per unit

$
126.03


$
191.93


$
(171.81
)

$
(196.33
)Net asset value per unit

$
4,840.68


$
6,314.37


$
4,668.87


$
6,118.04Ending net asset value

$
670,137,654


$
362,580,346


$
688,434,529


$
369,300,376






September, 2008


December, 2008Class A


Class B


Class A


Class BNet income (loss)

$
(38,453,391
)

$
(20,132,125
)

$
80,571,632


$
43,979,880Increase (decrease) in net asset value per unit

$
(394.66
)

$
(478.97
)

$
743.94


$
982.39Net asset value per unit

$
4,275.02


$
5,477.66


$
5,018.96


$
6,460.05Ending net asset value

$
454,282,796


$
242,470,228


$
547,011,351


$
285,973,913





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





Introduction




Utilizing Trading Advisors, the Fund invests the proceeds from its offering of Units in the speculative trading of futures, swaps, options and over-the-counter contracts, including forward currency contracts traded in the U.S. and internationally.  The Fund is actively managed, with speculative trading profits as its objective. The Fund issues two different types of Units, Class A and Class B, which represent Units of fractional undivided beneficial interest in and ownership of the Fund.




Liquidity




Most U.S. commodity exchanges limit fluctuations in futures contracts prices during a single day by regulations referred to as “daily price fluctuation limits” or “daily limits.” During a single trading day, no trades may be executed at prices beyond the daily limit. Once the price of a futures contract has reached the daily limit for that day, positions in that contract can neither be taken nor liquidated. Futures prices have occasionally moved the daily limit for several consecutive days with little or no trading. Similar occurrences could prevent the Fund from promptly liquidating unfavorable positions and subject the Fund to substantial losses which could exceed the margin initially committed to such trades. In addition, even if futures prices have not moved the daily limit, the Fund may not be able to execute futures trades at favorable prices if little trading in such contracts is taking place.




Other than these limitations on liquidity, which are inherent in the Fund’s futures trading operations, the Fund’s assets are expected to be highly liquid. Redemptions may be made by a limited partner as of the last business day of any month at the net asset value on such redemption date of the redeemed Units (or portion thereof) on that date, on five business 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, if making a partial redemption, the limited partner 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.




As of December 31, 2009, illiquidity has not materially affected the Fund’s assets. There are no known material trends, demands, commitments, events, or uncertainties at the present time that are reasonably likely to result in the Fund’s liquidity increasing or decreasing in any material way.





Capital Resources





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


15
 Table of Contents


Contractual Obligations





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





Off-Balance Sheet Risk





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





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





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


The Fund invests monies in excess of its margin requirements in U.S. Government securities, investment grade commercial paper, U.S. Government-sponsored enterprise notes and corporate notes, with maturities of less than one year.  Investment grade commercial paper is an unsecured, short-term debt instrument issued by a corporation with maturities rarely longer than 270 days.  Commercial paper is not usually backed by any form of collateral, so only commercial paper issued by firms with high-quality debt ratings will be used.  As commercial paper is not backed by the full faith and credit of the U.S. Government, if the issuing corporation defaults on its obligations to the Fund, the Fund bears the risk of loss of the amount expected to be received.





Results of Operations





Of the (6.98%) return for the year ended December 31, 2009 for A Units, approximately 0.46% was due to interest income, offset by approximately (0.10%) in trading losses (after commissions) and approximately 7.34% in performance fees, management fees, selling agent fees and administrative expenses borne by the Fund.  Of the (5.29%) return for the year ended December 31, 2009 for B Units, approximately 0.46% was due to interest income, offset by approximately (0.10%) in trading losses (after commissions) and approximately 5.65% in performance fees, management fees, selling agent fees and administrative expenses borne by the Fund.





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





Of the 3.81% return for the year ended December 31, 2007 for A Units, approximately 8.45% was due to trading gains (after commissions) and approximately 5.17% was due to interest income, offset by approximately 9.81% in performance fees, management fees, selling agent fees and administrative expenses borne by the Fund. Of the 5.69% return for the year ended December 31, 2007 for B Units, approximately 8.53% was due to trading gains (after commissions) and approximately 5.21% was due to interest income, offset by approximately 8.06% in performance fees, management fees, selling agent fees and administrative expenses borne by the Fund.


16
 Table of Contents


Past performance is not indicative of expected future financial condition or results of operations.





Further analysis of the trading gain and loss is provided below.





2009




January




A Units of the Fund were up 0.61% for the month of January 2009 and B Units were up 0.76%.  January ended with the Fund realizing profits in five out of nine market sectors. In contrast to the trends of the last few months, many of the markets traded by the Fund were directionless. General optimism after the Obama transition along with government intervention into the world’s financial markets seemed to dampen the steady declines in equity prices experienced in recent quarters. The energy sector was profitable, driven by gains from crude oil and natural gas, whose prices continued to decline on slowing demand and rising inventory levels. Similarly, industrial metals such as aluminum, nickel and zinc also declined due to inventory build-ups, benefiting the Fund’s short positions. In foreign currencies, the U.S. dollar strengthened as risk adverse investors continued to seek the perceived safety of the U.S. currency. Interest rate instruments edged lower during the month which went against the Fund’s long bond positions.




February




A Units of the Fund were down 0.11% for the month of February 2009 and B Units were up 0.04%.The Fund ended the month essentially flat as most markets continued to trade within relatively narrow price ranges. Global equity markets continued to decline amid further weak economic data and a deepening recession. This decline benefited the Fund’s short positions in equity indices. The energy sector finished with modest profits from short positions in natural gas and heating oil. Agricultural commodities were profitable, despite some losses from a sharp reversal in cocoa markets. Foreign currencies experienced losses this month due to the weakening of the Japanese yen relative to the U.S. dollar. The yen rose about 30% between August 2008 and the start of February, then switched direction against the U.S. dollar and other major currencies.




March




A Units of the Fund were down 3.09% for the month of March 2009 and B Units were down 2.95%.  During March prices moved against established trends and the Fund’s positions. After equity markets reached a new 12 year low, markets reversed and showed some signs of recovery. The rising equity indices, including the S&P 500, DAX and Nikkei 225 Index, moved against the Fund’s short positions, resulting in losses for the Fund. The U.S. dollar fell sharply following the U.S. Treasury Department’s announcement that it planned to repurchase toxic assets, in an effort to help stimulate bank lending. Most foreign currencies strengthened against the U.S. dollar moving against the Fund’s short foreign currency positions. In the interest rate instrument markets, prices settled higher adding some profit to the Fund’s long positions in that sector.




April




A Units of the Fund were down 1.94% for the month of April 2009 and B Units were down 1.79%.  The Fund finished lower in April as most markets continued to move within narrow trading ranges without exhibiting any significant trends. One exception was in the energy sector where natural gas prices continued in a downward trend generating profits for the Fund’s short positions. A rally in global equities that began in March continued through April. The rising equity prices generated profits for the Fund’s long positions in this sector which helped to offset losses from other sectors. The Fund’s biggest losses came from interest rate instruments, where prices in medium to long term bonds fell, which went against the Fund’s long positions. Industrial metals prices rose toward the end of the month, with aluminum and nickel moving against the Fund’s short positions creating some losses. Agricultural commodities ended flat for the month.




May




A Units of the Fund were up 1.41% for the month of May 2009 and B Units were up 1.56%.  The Fund finished higher this month as profits realized from equity indices, foreign currencies, interest rate instruments, metals and agricultural commodities offset losses incurred in the energy sector. The Fund’s largest profits came from long positions in equity indices which continued to trend higher during the month. The most significant losses derived from the energy sector, which saw sharp price movements in natural gas that went against the Fund’s short positions. The Fund’s long positions in crude oil generated profits that helped reduce losses experienced from natural gas contracts. Interest rate instruments were mixed as rising prices on short term interest rate instruments were profitable, while a sell-off in longer term fixed income markets went against the Fund’s long positions. Profits in foreign currencies came from the Fund’s long positions in the Australian dollar, Swiss franc and South African rand.




17
 Table of Contents


June




A Units of the Fund were down 3.01% for the month of June 2009 and B Units were down 2.87%.  The Fund finished lower in June as gains in equity indices, energies, foreign currencies and agricultural commodities were offset by losses from interest rate instruments and metals. The most significant losses occurred in the Fund’s short-term interest rate positions, where prices reversed from previous longer term trends. A sharp sell-off in Eurodollar, short sterling and euribor contracts was fueled by speculation that global central banks may begin to increase short-term inter­est rates to counteract potential inflationary pressures. The sudden drop in interest rate instrument prices went against the Fund’s long positions. Also in interest rates, weaker than expected forecasts for Japan’s economy sent Japanese gov­ernment bond (JGB) prices higher, which was a reversal from the price trend in that market. The higher prices generated losses in the Fund’s short JGB positions. Commodity markets rallied during the month which benefited the Fund’s long positions in agricultural commodities, but resulted in losses for short positions in the metals sector. Long positions in the energies were profitable as oil prices made new highs for the year.




July




A Units of the Fund were down 0.72% for the month of July 2009 and B Units were down 0.57%.   Profits from equity indices, metals and foreign currencies were not sufficient to offset losses from energy and agricultural commodities. Equity markets were volatile as they initially fell early in the month in response to poor economic data in the U.S. By mid-month increased op­timism about the global economy pushed equity markets to eight month highs. The rising global equity prices generated profits for the Fund’s long positions. The Fund’s long positions in base metals, including aluminum, nickel and copper, benefited from upward trends in those markets that also generated profits. In energy markets heating oil and gasoline prices continued to move sideways and generated losses for the Fund’s positions in this sector.




August




A Units of the Fund were up 1.41% for the month of August 2009 and B Unit’s were up 1.56%. It was a positive month for the Fund as all major sectors posted a profit with the exception of currencies. Performance was led by the Fund’s long positions in equity indices as further signs of economic recovery pushed equity prices higher. Globally, central banks indicated that near-term interest rate hikes were unlikely. In response, prices of short term inter­est rate instruments increased which benefited the Fund’s long positions. Price increases in sugar, wheat and corn con­tracts generated profits for the Fund’s long positions in agricultural commodities. Due to a drop in global supply, sugar prices hit a 28-year high as heavy rains in India and Brazil dampened inventory. Weak demand and increased production continued to send natural gas prices lower. Natural gas prices have fallen 84% in the last 13 months, which generated profits for the Fund’s short positions. Long positions in gasoline and crude oil were also profitable.





September




A Units of the Fund were up 1.98% for the month of September 2009 and B Unit’s were up 2.13%.  It was a positive month for the Fund as profits from interest rate instruments, foreign currencies and metals offset losses in the energy sector. Performance was led by the Fund’s long positions in interest rate instruments. Prices in both short-term instruments and long-term bonds have been trending higher since mid-August as central banks continue to signal that interest rates will remain low. The foreign currency sector generated profits as long positions in foreign currencies and short positions in the U.S. dollar were profitable. The USD declined to a twelve-month low versus the euro and an eight-month low versus the yen. In the energy sector, natural gas rallied over 30% from a seven year low despite strong inventory data. The sudden increase in gas prices went against the Fund’s short positions, generating losses for the Fund.




October




A Units of the Fund were down 3.22% for the month of October 2009 and B Units were down 3.08%.  It was a negative month for the Fund as losses from equity indices, interest rates, currencies and agricultural sectors offset modest profits realized from positive performance in metals and energies. The early weeks of the month were character­ized by rising global equity and commodity prices and a declining US dollar, which generated profits for the Fund posi­tions in their respective sectors. However, in the final week of October, uncertainty over global economic growth and central bank policies led to sharp price reversals in several market sectors. Falling prices in global indices went against the Fund’s long positions, while the sudden rise in the US dollar generated losses for the Fund’s long positions in several foreign currencies, including the Canadian dollar, British pound and Japanese yen. Agricultural commodity prices also reversed course, including sugar, corn, soybeans and wheat, which generated losses. Rising metals prices were the most profitable trades for the Fund, led by gold, zinc and copper. Rising crude oil prices benefited the Fund’s long positions.




18
 Table of Contents


November




A Units of the Fund were up 4.83% for the month of November 2009 and B Units were up 4.99%.  It was a positive month as profits were realized from all six market sectors. The largest profits came from the interest rate sector. Here, the Fund’s long positions in long- and short-term interest rate instruments benefited from upward price trends.  Within the sector, the Fund’s long positions in eurodollars were most profitable. In metals, long positions in gold and silver generated the most significant profits as a weaker dollar pushed precious and base metal prices higher, including gold, which hit an all-time high. Global equity prices trended higher, which generated profits for long positions in that sector, including the S&P 500, NASDAQ, FTSE and Japanese Topix indices.





December




A Units of the Fund were down 4.93% for the month of December 2009 and B Units were down 4.78%.  The Fund finished lower this month as losses from interest rate instruments, energy, foreign currencies and metals offset profits from equity indices and agricultural commodities. The Fund’s most significant losses came from its long positions in interest rate instruments. Early in the month, short-term interest rates rose suddenly on speculation that the Federal Reserve might speed up its timetable for increasing its target rate.  In the energy sector, a long downward trend in natural gas prices unexpectedly reversed. Natural gas prices hit an 11-month high as government data showed lower than expected U.S. inventories. This sharp price increase went against the Fund’s short natural gas positions, which resulted in a loss. In equity indices, the Fund generated profits from its long positions as the stock market rally that began in early March continued through December.





2008




January




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





February




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





March




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


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April




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





May




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





June




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





July




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





August




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


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September




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





October




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





November




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





December




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





2007




January




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


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February




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





March




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





April




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





May




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





June




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


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July




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




August




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





September




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





October




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


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November




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





December




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





Significant Accounting Estimates





Management believes that the application of the following accounting policy, which is significant to the Fund’s financial position and results of operations, requires judgments and estimates on the part of management.  A summary of all of the Fund’s significant accounting policies, including the accounting policy discussed below, are included in Note 1 to the Financial Statements.





Fair Value of Financial Instruments





The Fund’s investments in money market funds and investments in U.S. Government securities are valued based on published closing prices for identical instruments.  Similarly, the fair value of exchange-traded futures contracts are based on exchange settlement prices.





In the absence of an active market closing price, estimates are involved in determining fair value.  The Fund’s cash management securities brokers, futures broker and forward currency counterparties utilize third-party pricing services to value investments that do not trade on active markets.  These third-party pricing services utilize a market approach which uses prices and other relevant information generated by market transactions involving identical or comparable assets or liabilities.  At December 31, 2009, the Fund’s investments in notes of U.S. Government-sponsored enterprises and forward currency contracts were actively traded, however, the pricing services were only able to obtain bid and ask quotes for similar, but not identical, assets.  Had the pricing services been able to value the assets based on quoted prices for identical assets, the fair value may have been different, although in management’s judgment, such difference would not have been material.





Item 7A.
Quantitative and Qualitative Disclosures about Market Risk





Introduction





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





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


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





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.





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





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





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





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





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





The following table indicates the trading Value at Risk associated with the Fund's open positions by market sector as of December 31, 2009 and 2008.  All open position trading risk exposures of the Fund have been included in calculating the figures set forth below. As of December 31, 2009 and 2008, the Fund's total capitalization was $1,057,734,905 and $832,985,264, respectively.


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December 31,2009


2008Market Sector

Value at Risk


% of Total Capitalization


Value at Risk


% of Total CapitalizationAgricultural

$
9,643,002



0.91
%

$
6,846,953



0.82
%Currency


31,050,237



2.94



10,756,469



1.29Energy


12,344,514



1.17



6,615,912



0.79Single stock futures


47,348



0.00



-



-Interest rate


33,136,438



3.13



25,543,322



3.07Metal


14,626,587



1.38



5,366,203



0.64Stock index


47,762,176



4.52



7,907,758



0.95Total

$
148,610,302



14.05
%

$
63,036,617



7.56
%





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





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





Non-Trading Risk





The Fund has non-trading market risk on its foreign cash balances not needed for margin.  However, these balances (as well as the market risk they represent) are immaterial.  The Fund also has non-trading market risk as a result of investing a substantial portion of its available assets in Government-sponsored enterprise notes 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 those disclosures that are statements of historical fact and the descriptions of how the Fund manages its primary market risk exposures - constitute forward-looking statements within the meaning of Section 27A of the Securities Act of 1933, (“1933 Act”) and Section 21E of the Securities Exchange Act of 1934, (“1934 Act”). The Fund's primary market risk exposures as well as the strategies used and to be used by the Fund’s Trading Advisors for managing such exposures are subject to numerous uncertainties, contingencies and risks, any one of which could cause the actual results of the Fund's risk controls to differ materially from the objectives of such strategies. Government interventions, defaults and expropriations, illiquid markets, the emergence of dominant fundamental factors, political upheavals, changes in historical price relationships, an influx of new market participants, increased regulation and many other factors could result in material losses as well as in material changes to the risk exposures and the risk management strategies of the Fund. There can be no assurance that the Fund's current market exposure and/or risk management strategies will not change materially or that any such strategies will be effective in either the short- or long-term. Investors must be prepared to lose all or substantially all of their investment in the Fund.





The following were the primary trading risk exposures of the Fund as of December 31, 2009, by market sector.





Agricultural





The Fund’s primary agricultural exposure is due to price movements in agricultural commodities, which are often directly affected by severe or unexpected weather conditions as well as other factors.   The Fund's agricultural exposure is primarily to cotton, coffee, cocoa, rubber, corn, soybeans and wheat.





Currency





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


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Energy





The Fund's primary energy market exposure is due to gas and oil price movements, often resulting from political developments, ongoing conflicts or production disruptions in the Middle East and other oil producing nations.  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.





Single Stock Futures





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





Interest Rate





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 U.S., Japan, Great Britain, the European Economic Union, Sweden, Canada, Australia and New Zealand.  The General Partner anticipates that interest rates fluctuations will remain the primary market exposure of the Fund for the foreseeable future.





Metal





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





Stock Index





The Fund's primary equity exposure is due to equity price risk in many countries other than the U.S.  Additionally, the Fund bears the risk that static markets would not cause major market changes but would make it difficult for the Fund to avoid being "whipsawed" into numerous small losses.  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, Hong Kong and Japanese indices.





Qualitative Disclosures Regarding Non-Trading Risk Exposure





The following were the only non-trading risk exposures of the Fund as of December 31, 2009.





Foreign Currency Balances





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





U.S. Government Securities, Government-Sponsored Enterprise Notes, Commercial Paper and Corporate Notes





Monies in excess of margin requirements are invested in short-term fixed income instruments, including high-quality commercial paper (interest bearing with some credit risk), Government-sponsored enterprise notes and corporate notes with durations of less than one year.  Violent fluctuations in prevailing interest rates could cause immaterial mark-to-market losses on the Fund's short term investments; although substantially all of these short term investments are held to maturity.





Qualitative Disclosures Regarding Means of Managing Risk Exposure





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


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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.  Since the Fund generally 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 in Part IV of this report. The supplementary financial information specified by Item 302 of Regulation S-K is included in this report under the heading "Item 6. Selected Financial Data" above.





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





None.





Item 9A(T).
Controls and Procedures





Evaluation of Disclosure Controls and Procedures





Under the supervision and with the participation of the management of the General Partner, including its Chief Executive Officer and Chief Financial Officer, the Fund evaluated the effectiveness of the design and operation of the Fund’s disclosure controls and procedures (as defined in Rule 13a-15(e) under the 1934 Act) as of December 31, 2009 (“Evaluation Date”). Any control system, no matter how well designed and operated, can provide only reasonable (not absolute) assurance that its objectives will be met. Furthermore, no evaluation of controls can provide absolute assurance that all control issues and instances of fraud, if any, have been detected. Based upon that evaluation, the Chief Executive Officer and Chief Financial Officer of the General Partner concluded that, as of the Evaluation Date, the Fund’s disclosure controls and procedures were effective in providing reasonable assurance that they are timely alerted to material information relating to the Fund required to be disclosed in the Fund’s periodic SEC filings.





Management’s Annual Report on Internal Control over Financial Reporting





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





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




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




Management assessed the effectiveness of the Fund’s internal control over financial reporting as of December 31, 2009, based on the framework set forth by the Committee of Sponsoring Organizations of the Treadway Commission (COSO) in Internal Control-Integrated Framework. Based on that assessment, management concluded that, as of December 31, 2009, the Fund’s internal control over financial reporting is effective based on the criteria established in Internal Control-Integrated Framework.





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


28
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Changes in Internal Control Over Financial Reporting





There has been no change in internal control over financial reporting (as defined in the Rules 13a-15(f) and 15d-15(f) of the 1934 Act) that occurred during the Fund’s last fiscal quarter that has materially affected or is reasonably likely to materially affect, the Fund’s internal control over financial reporting.





Item 9B.
Other Information





None.





PART III





Item 10.
Directors, Executive Officers and Corporate Governance





Directors and Executive Officers





The Fund itself has no directors or officers and has no employees.  It is managed by the General Partner in its capacity as General Partner.  The Kenneth E. Steben Revocable Trust, dated January 29, 2008, (“Trust”) is the sole shareholder of the General Partner and Mr. Kenneth E. Steben is the sole trustee and beneficiary of the Trust.  The directors and executive officers of the General Partner are Kenneth E. Steben, Michael D. Bulley, Carl A. Serger, John H. Grady and Neil D. Menard.  Their respective biographies are set forth below.




Kenneth E. Steben is the General Partner’s founder, President and Chief Executive Officer.  Mr. Steben, along with Michael D. Bulley, is responsible for deciding on the Fund’s allocation to the Trading Advisors, or other trading advisors in the future should they deem it in the best interest of the Fund.  Mr. Steben, born in January 1955, received his Bachelors Degree in Interdisciplinary Studies, with a concentration in Accounting in 1979 from Maharishi University of Management.  Mr. Steben has been a licensed stockbroker since 1981 and a licensed commodities broker since 1983. Mr. Steben holds his Series 3, 5, 7, 24, 63 and 65 FINRA and NFA licenses.  Mr. Steben has been a CFTC listed Principal, and registered as an Associated Person since March 15, 1989 and has been registered with FINRA as a general securities principal since September 18, 1986.




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




Carl A. Serger is Chief Financial Officer and a Director.  Mr. Serger joined Steben & Company, Inc. in December of 2009 and has been listed as a CFTC Principal of Steben & Company, Inc. since February 2, 2010.  Mr. Serger, born in March of 1960, graduated cum laude from Old Dominion University with a BS in Business Administration, and has a Technology Management Certification from the California Institute of Technology.  Mr. Serger has over 20 years of accounting experience, including 10 years of audit experience. Prior to joining Steben & Company, Inc., Mr. Serger was the CFO, Senior VP and Treasurer of Finetre Corporation, a financial technology platform company providing services to major brokerage firms, banks and insurance companies from December 1999 until its acquisition by Ebix, Inc. in October 2006. Mr. Serger remained with Ebix, a software company serving the insurance industry, as Senior VP and CFO until July 2007.  From July 2007 to November 2007, he acted as an independent consultant.  From November 2007 until November 2009, Mr. Serger was the Senior VP, CFO and COO for Peracon, Inc., a leading electronic transactions platform for institutional commercial real estate transactions.  Mr. Serger  holds a Series 28 FINRA and NFA licenses.




John H. Grady is General Counsel and Chief Operating Officer, and a Director.  Mr. Grady joined Steben & Company, Inc. in December of 2009 and has been listed as a CFTC registered Principal and registered as an associated person of Steben & Company, Inc. since February 2010.  Mr. Grady, born June 1961, received his JD from The University of Pennsylvania Law School in 1985 and received his Bachelor of Arts, magna cum laude, from Colgate University in 1982.  Prior to joining Steben & Company, Inc., Mr. Grady was President of Arcady Investment Consulting LLP, a consulting firm based in Philadelphia that served funds, advisers and brokerage firms from January 2009 to December 2009.  Before that, Mr. Grady was a Senior Advisor to Coil Investment Group, a Norway-based investment firm from April 2008 to December 2008, and Chief Executive Officer of the Nationwide Funds Group from October 2006 to January 2008.  From April 2004 to June 2006, Mr. Grady served as Chief Executive Officer of the Constellation Funds Group; prior to that, he was the Chief Operating Officer of Turner Investment Partners from February 2001 to March 2004.  During the periods of June 2006 to October 2006 and February 2008 to April 2008, Mr. Grady was a consultant in a sole proprietorship.  After graduating from law school, Mr. Grady was an attorney in private practice for over 15 years, and was a partner with Morgan, Lewis & Bockius LLP in the firm’s D.C. and Philadelphia offices from July 1993 to January 2001. Mr. Grady holds Series 3, 7, 24 and 63 FINRA and NFA licenses.




29
 Table of Contents


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




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





Since February 29, 2004, Steben & Company, Inc. has acted as general partner to another Maryland limited partnership, Sage Fund Limited Partnership, an SEC registrant under the 1934 Act whose shares are privately offered.  Since March 27, 2007, Steben & Company, Inc. has acted as general partner of a Delaware limited partnership, Aspect Global Diversified Fund LP, whose units of limited partner interests are registered with the SEC pursuant to a public offering that was effective August 12, 2008. Because Steben & Company, Inc. serves as the sole general partner of these funds, the officers and directors of Steben & Company, Inc. effectively manage the respective funds.





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.




Family Relationships




None.





Business Experience




See “Item 10. Directors, Executive Officers and Corporate Governance” above.




Involvement in Certain Legal Proceedings




None.




Promoters and Control Persons




Not applicable.




Section 16 (A) Beneficial Ownership Reporting Compliance





Section 16(a) of the 1934 Act requires that reports of beneficial ownership of limited partner interests and changes in such ownership be filed with the SEC by Section 16 “reporting persons.”  The Fund is required to disclose in this Annual Report on Form 10K each reporting person whom it knows to have failed to file any required reports under Section 16(a) on a timely basis during the year ended December 31, 2009.  During the year ended December 31, 2009, all reporting persons complied with all Section 16(a) filing requirements applicable to them.


30
 Table of Contents


Code of Ethics





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





Item 11.
Executive Compensation





The Fund does not itself have any officers, directors or employees.  As compensation for its services in managing the Fund, the General Partner charges a monthly General Partner management fee of 1/12th of 1.95% of the Fund’s month-end net asset value, payable in arrears.  The General Partner charges Series A Units and Series B Units monthly selling agent commissions and broker dealer servicing fees equal to 1/12th of 2% and 1/12th of 0.02%, respectively, of the outstanding month-end net asset value, payable in arrears.  The General Partner pays the selling agent fees to the respective selling agents.  To the extent the General Partner is responsible for the sale of Units, or where there is no designated selling agent, the General Partner retains these monthly fees.




In addition, the General Partner receives an allocation of 1% of any increase (or decrease) in the Fund’s net asset value, without regard to contributions and redemptions.




The managing officers of the General Partner are remunerated by the General Partner in their respective positions.  The directors and managing officers of the General Partner 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 the General Partner.





Item 12.
Security Ownership of Certain Beneficial Owners and Management and Related Stockholder Matters





The Fund has no officers or directors.  Its affairs are managed by the General Partner. Set forth in the table below is information regarding the beneficial ownership of the officers of the Fund’s General Partner as of February 28, 2010.  There are no securities authorized for issuance under an equity compensation plan.





As of February 28, 2010, no person or group is known to have been the beneficial owner of more than 5% of the Units.




As of February 28, 2010, the General Partner did not own any Units.  As of February 28, 2010, the directors, executive officers and principals of the General Partner beneficially owned Units as follows:




Name

Title of Class

Units Owned


Value of Units


Percentage of Limited PartnershipKenneth E. Steben

Class B


30.9315


$
184,097



0.0171
%Michael D. Bulley

Class B


0.2233



1,329



0.0001
%Neil D. Menard

Class B


4.3721



26,022



0.0024
%Total directors and executive officers of the General Partner as a group




35.5269


$
211,448



0.0196
%





The address of each director and officer is c/o Steben & Company, Inc., 2099 Gaither Road Suite 200, Rockville, Maryland 20850.





There has been no change in control of the Fund.




Item 13.
Certain Relationships and Related Transactions, and Director Independence





The Fund allocated to the General Partner monthly management fees of $18,920,212, $13,379,664 and $10,186,030 and selling agent fees of $13,294,827, $9,479,794 and $7,375,387 for the years ended December 31, 2009, 2008 and 2007, respectively.  The General Partner in turn pays the selling agent fees 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 Partner’s 1 percent allocation of income (loss) amounted to $(639,856), $1,879,337 and $250,318 for the years ended December 31, 2009, 2008 and 2007, respectively.




The Fund reimburses administrative expenses to the General Partner at an amount up to 1/12th of 0.65% of the Fund’s month-end net asset value, payable quarterly in arrears.  However, if and to the extent these expenses (other than extraordinary costs, none of which are anticipated) exceed 1.00% of the Fund’s assets per calendar year, the General Partner will reimburse the Fund for such excess after the close of the applicable year.  For the years ended December 31, 2009, 2008 and 2007, the Fund paid $6,296,224, $4,429,151, and $3,420,036, respectively, to the General Partner for these expenses, which is net of voluntary waivers of $2,410,018, $1,894,004 and $1,383,324, respectively.




31
 Table of Contents


For the years ended December 31, 2009, 2008 and 2007, actual administrative expenses were below 1.00% of average month-end net asset value of the Fund by $988,455, $475,275, and $335,443, respectively.




The Fund did not and will not make any loans to the General Partner, its affiliates, or their respective officers, directors or employees.  See “Item 11. Executive Compensation” and “Item 12. Security Ownership of Certain Beneficial Owners and Management and Related Stockholder Matters.”




Item 14.
Principal Accounting Fees and Services





The following table sets forth the fees billed to the Fund for professional audit services provided by McGladrey & Pullen, LLP, the Fund’s independent registered public accountant, for the audit of the Fund’s annual financial statements for the years ended December 31, 2009 and 2008, and fees billed for other professional services rendered by McGladrey & Pullen, LLP and RSM McGladrey, Inc. (an associated entity of McGladrey & Pullen, LLP) during those years.





Fee Category

2009


2008Audit fees(1)

$
60,500


$
183,750Audit-related fees


--



--Tax fees(2)


46,000



41,500All other fees


--



--Total fees

$
106,500


$
225,250





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





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





The General Partner’s Board of Directors pre-approves all audit and permitted non-audit services of the Fund’s independent accountants, including all engagement fees and terms. The General Partner’s Board of Directors approved all the services provided by McGladrey & Pullen, LLP and RSM McGladrey, Inc. (collectively “McGladrey”) during 2009 and 2008 to the Fund described above. The General Partner’s Board of Directors has determined that the payments made to McGladrey for these services during 2009 and 2008 are compatible with maintaining that firm’s independence.


32
 Table of Contents


PART IV





Item 15.
Exhibits and Financial Statement Schedules





Financial Statements




Futures Portfolio Fund, Limited Partnership


Report of Independent Registered Public Accounting Firm


Statements of Financial Condition as of December 31, 2009 and 2008


Condensed Schedule of Investments as of December 31, 2009


Condensed Schedule of Investments as of December 31, 2008


Statements of Operations for the Years Ended December 31, 2009, 2008 and 2007


Statements of Cash Flows for the Years Ended December 31, 2009, 2008 and 2007


Statements of Changes in Partners’ Capital (Net Asset Value) for the Years Ended December 31, 2009, 2008 and 2007


Notes to Financial Statements




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




Exhibits.




The following exhibits are filed herewith or incorporated by reference.




Exhibit Number

Description of Document1.1*

Form of Selling Agreement.3.1*

Maryland Certificate of Limited Partnership.4.1*

Limited Partnership Agreement.10.1*

Form of Subscription Agreement.16.1*

Letter regarding change in certifying accountant.31.01

Rule 13a-14(a)/15d-14(a) Certification of Principal Executive Officer31.02

Rule 13a-14(a)/15d-14(a) Certification of Principal Financial Officer32.01

Section 1350 Certification of Principal Executive Officer32.02

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 1934 Act, as amended.




33
 Table of Contents


SIGNATURES




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





Name
Title
Date/s/ Kenneth E. Steben

Kenneth E. Steben
President, Chief Executive Officer and Director of the General Partner
March 26, 2010/s/ Carl A. Serger

Carl A. Serger
Chief Financial Officer and Director of the General Partner
March 26, 2010/s/ Michael Bulley

Michael D. Bulley
Senior Vice President, Research & Risk Management and Director of the General Partner
March 26, 2010







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







Dated March 26, 2010
Futures Portfolio Fund, Limited PartnershipBy:
Steben & Company, Inc.General PartnerBy:
/s/ Kenneth E. StebenName:
Kenneth E. StebenTitle:
President, Chief Executive Officer and Director of the General Partner


34
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Report of Independent Registered Public Accounting Firm





To the Partners of


Futures Portfolio Fund, Limited Partnership




We have audited the accompanying statements of financial condition, including the condensed schedules of investments, of Futures Portfolio Fund, Limited Partnership (the Fund), as of December 31, 2009 and 2008, and the related statements of operations, cash flows, and changes in partners’ capital (net asset value) for each of the three years in the period ended December 31, 2009. These financial statements are the responsibility of the Fund's management. Our responsibility is to express an opinion on these financial statements based on our audits.




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




In our opinion, the financial statements referred to above present fairly, in all material respects, the financial position of Futures Portfolio Fund, Limited Partnership as of December 31, 2009 and 2008, and the results of its operations and its cash flows for each of the three years in the period ended December 31, 2009, in conformity with U.S. generally accepted accounting principles.





We were not engaged to examine management’s assessment of the effectiveness of Futures Portfolio Fund, Limited Partnership’s internal control over financial reporting as of December 31, 2009 included in the accompanying Management’s Annual Report on Internal Control over Financial Reporting and, accordingly, we do not express an opinion thereon.








/s/ McGladrey & Pullen, LLP








Chicago, Illinois


March 26, 2010


F-1
 Table of Contents


FUTURES PORTFOLIO FUND, LIMITED PARTNERSHIP


STATEMENTS OF FINANCIAL CONDITION


December 31, 2009 and 2008





2009


2008ASSETSEquity in broker trading accountsCash

$
318,300,203


$
218,445,964U.S. Government securities, at fair value


--



66,972,902Net unrealized gain on open futures contracts


14,004,035



34,492,682Net unrealized loss on open forward currency contracts


(2,429,014
)


(1,202,959
)Interest receivable


13,642



28,073Deposits with brokers


329,888,866



318,736,662Cash and cash equivalents


671,220,632



286,560,159Commercial paper, at fair value


--



140,590,377Government-sponsored enterprise notes, at fair value


107,514,649



75,198,945Corporate notes, at fair value


--



78,147,406General Partner 1 percent allocation receivable


639,856



--Total assets

$
1,109,264,003


$
899,233,549LIABILITIES AND PARTNERS’ CAPITAL (NET ASSET VALUE)LIABILITIESAdministrative expenses payable - General Partner

$
1,736,156


$
1,313,479Commissions and other trading fees payable on open contracts


117,427



60,314General Partner management fee payable


1,732,238



1,374,743General Partner 1 percent allocation payable


--



1,879,337Advisor management fees payable


2,363,509



1,492,038Advisor incentive fees payable


1,444,958



18,771,604Selling agent fees payable


1,219,130



971,084Redemptions payable


5,857,719



10,448,411Subscriptions received in advance


37,057,961



29,937,275Total liabilities


51,529,098



66,248,285PARTNERS' CAPITAL (NET ASSET VALUE)Class A Interests - 147,452.0886 and 108,989.0639 unitsoutstanding at December 31, 2009 and 2008, respectively


688,434,529



547,011,351Class B Interests - 60,362.5545 and 44,268.0740 unitsoutstanding at December 31, 2009 and 2008, respectively


369,300,376



285,973,913Total partners' capital (net asset value)


1,057,734,905



832,985,264Total liabilities and partners' capital (net asset value)

$
1,109,264,003


$
899,233,549








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


F-2
 Table of Contents


FUTURES PORTFOLIO FUND, LIMITED PARTNERSHIP


CONDENSED SCHEDULE OF INVESTMENTS


December 31, 2009





Fair Value


% of Partners’ Capital (Net Asset Value)GOVERNMENT-SPONSORED ENTERPRISE NOTESFace Value

MaturityDate

Description$46,750,000

01/28/10

Fed Home Ln Bank Discount Nt (not callable), 0.960%

$
46,951,148



4.44
%60,000,000

03/30/10

Fed Home Ln Bank Discount Nt (not callable), 1.100%


60,563,501



5.73
%Total Government-sponsored enterprise notes (cost - $107,153,196)

$
107,514,649



10.17
%LONG U.S. FUTURES CONTRACTSDescriptionAgricultural

$
3,874,697



0.37
%Currency


(1,096,530
)


(0.10
%)Energy


2,282,440



0.22
%Single stock futures


(7,756
)


0.00
%*Interest rate


(4,285,126
)


(0.41
%)Metal


7,959,480



0.75
%Stock index


2,911,194



0.28
%Net unrealized gain on open long U.S. futures contracts


11,638,399



1.11
%SHORT U.S. FUTURES CONTRACTSDescriptionAgricultural

$
(135,790
)


(0.01
%)Currency


1,736,191



0.16
%Energy


(988,288
)


(0.09
%)Interest rate


2,012,021



0.19
%Metal


(4,574,662
)


(0.43
%)Stock index


23,900



0.00
%*Net unrealized loss on open short U.S. futures contracts


(1,926,628
)


(0.18
%)Net unrealized gain on open U.S. futures contracts


9,711,771



0.93
%LONG FOREIGN FUTURES CONTRACTSDescriptionAgricultural

$
585,309



0.06
%Currency


(50,076
)


0.00
%*Energy


107,204



0.01
%Interest rate


(3,745,572
)


(0.35
%)Metal


565,795



0.05
%Stock index


6,313,742



0.60
%Net unrealized gain on open long foreign futures contracts


3,776,402



0.37
%








*Represents less than 0.01% of partners’ capital (net asset value).








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


F-3
 Table of Contents


FUTURES PORTFOLIO FUND, LIMITED PARTNERSHIP


CONDENSED SCHEDULE OF INVESTMENTS (continued)


December 31, 2009





Fair Value


% of Partners’ Capital (Net Asset Value)SHORT FOREIGN FUTURES CONTRACTSDescriptionAgricultural

$
(6,346
)


0.00
%*Currency


345,604



0.03
%Energy


(58,775
)


(0.01
%)Interest rate


804,314



0.08
%Stock index


(568,935
)


(0.05
%)Net unrealized gain on open short foreign futures contracts


515,862



0.05
%Net unrealized gain on open foreign futures contracts


4,292,264



0.42
%Net unrealized gain on open futures contracts

$
14,004,035



1.35
%LONG/SHORT U.S. FORWARD CURRENCY CONTRACTSDescriptionLong U.S. forward currency contracts

$
(2,056,023
)


(0.19
%)Short U.S. forward currency contracts


351,945



0.03
%Net unrealized loss on open U.S. forward currency contracts


(1,704,078
)


(0.16
%)LONG/SHORT FOREIGN FORWARD CURRENCY CONTRACTSDescriptionLong foreign forward currency contracts

$
(224,594
)


(0.02
%)Short foreign forward currency contracts


(500,342
)


(0.05
%)Net unrealized loss on open foreign forward currency contracts


(724,936
)


(0.07
%)Net unrealized loss on open forward currency contracts

$
(2,429,014
)


(0.23
%)








*Represents less than 0.01% of partners’ capital (net asset value).








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


F-4
 Table of Contents


FUTURES PORTFOLIO FUND, LIMITED PARTNERSHIP


CONDENSED SCHEDULE OF INVESTMENTS


December 31, 2008





Fair Value


% of Partners’ Capital (Net

Asset Value)U.S. GOVERNMENT SECURITIES**Face Value

MaturityDate

Description$67,000,000

01/08/09

U.S. Treasury Bill, 1.820%

$
66,972,902



8.04
%Total U.S. Government securities (cost - $66,403,849)

$
66,972,902



8.04
%GOVERNMENT-SPONSORED ENTERPRISE NOTESFace Value

MaturityDate

Description$75,204,000

01/02/09

Fed Home Ln Bank Discount Nt, 2.42%

$
75,198,945



9.03
%Total Government-sponsored enterprise notes (cost - $74,304,142)

$
75,198,945



9.03
%COMMERCIAL PAPERFace Value

MaturityDate

Description$47,000,000

03/06/09

Royal Bk Of Scotland Grp, 2.65%

$
46,778,578



5.62
%41,670,000

03/10/09

Citigroup Funding Inc, 3.05%


41,429,934



4.97
%5,000,000

03/10/09

Citigroup Funding Inc, 2.43%


4,977,050



0.60
%19,800,000

05/04/09

Shell Intl Finance Bv, 2.08%


19,659,288



2.36
%28,000,000

05/04/09

Societe Generale N Amer, 2.66%


27,745,527



3.33
%Total commercial paper securities (cost - $139,797,933)

$
140,590,377



16.88
%CORPORATE NOTESFace Value

MaturityDate

Description$50,461,000

03/25/09

Bear Stearns Co. (JP Morgan Chase & Co.), 3.25%

$
50,631,503



6.08
%27,500,000

08/19/09

Proc & Gamb Intl F, 2.49%


27,515,903



3.30
%Total corporate notes (cost - $77,628,692)

$
78,147,406



9.38
%LONG U.S. FUTURES CONTRACTSDescriptionAgricultural

$
209,623



0.03
%Currency


583,235



0.07
%Energy


36,851



0.00
%*Interest rate


7,568,968



0.91
%Metal


(5,458,382
)


(0.66
%)Stock index


283,733



0.03
%Net unrealized gain on open long U.S. futures contracts


3,224,028



0.38
%








*Represents less than 0.01% of partners’ capital (net asset value).





**Pledged as collateral for the trading of futures contracts.








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


F-5
 Table of Contents


FUTURES PORTFOLIO FUND, LIMITED PARTNERSHIP


CONDENSED SCHEDULE OF INVESTMENTS (continued)


December 31, 2008





Fair Value


% of Partners’ Capital (Net Asset Value)SHORT U.S. FUTURES CONTRACTSDescriptionAgricultural

$
203,129



0.02
%Currency


(536,035
)


(0.06
%)Energy


1,136,871



0.14
%Interest rate


(34,304
)


0.00
%*Metal***


12,050,348



1.45
%Stock index


(100,242
)


(0.01
%)Net unrealized gain on open short U.S. futures contracts


12,719,767



1.54
%Net unrealized gain on open U.S. futures contracts


15,943,795



1.92
%LONG FOREIGN FUTURES CONTRACTSDescriptionAgricultural

$
526,077



0.06
%Currency


386,518



0.05
%Interest rate***


13,673,497



1.64
%Metal


132



0.00
%*Stock index


353,887



0.04
%Net unrealized gain on open long foreign futures contracts


14,940,111



1.79
%SHORT FOREIGN FUTURES CONTRACTSDescriptionAgricultural

$
1,586,457



0.19
%Currency


768,035



0.09
%Energy


761,334



0.09
%Interest rate


(443,162
)


(0.05
%)Metal


1,194,857



0.14
%Stock index


(258,745
)


(0.03
%)Net unrealized gain on open short foreign futures contracts


3,608,776



0.43
%Net unrealized gain on open foreign futures contracts


18,548,887



2.22
%Net unrealized gain on open futures contracts

$
34,492,682



4.14
%








*Represents less than 0.01% of partners’ capital (net asset value).





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








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


F-6
 Table of Contents


FUTURES PORTFOLIO FUND, LIMITED PARTNERSHIP


CONDENSED SCHEDULE OF INVESTMENTS (continued)


December 31, 2008





Fair Value


% of Partners’ Capital (Net Asset Value)LONG/SHORT U.S. FORWARD CURRENCY CONTRACTSDescriptionLong U.S. forward currency

$
495,615



0.06
%Short U.S. forward currency


(1,697,447
)


(0.20
%)Net unrealized loss on open U.S. forward currency contracts


(1,201,832
)


(0.14
%)LONG/SHORT FOREIGN FORWARD CURRENCY CONTRACTSDescriptionLong foreign forward currency

$
217,280



0.03
%Short foreign forward currency


(218,407
)


(0.03
%)Net unrealized loss on open foreign forward currency contracts


(1,127
)


0.00
%*Net unrealized loss on open forward currency contracts

$
(1,202,959
)


(0.14
%)








*Represents less than 0.01% of partners’ capital (net asset value).








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


F-7
 Table of Contents


FUTURES PORTFOLIO FUND, LIMITED PARTNERSHIP


STATEMENTS OF OPERATIONS


Years Ended December 31, 2009, 2008 and 2007





2009


2008


2007TRADING GAIN (LOSS)Net realized gain

$
23,148,928


$
260,418,189


$
47,377,804Net change in unrealized gain (loss)


(21,714,702
)


3,002,404



641,048Brokerage commissions


(2,755,996
)


(1,866,008
)


(2,283,456
)Net gain (loss) from trading


(1,321,770
)


261,554,585



45,735,396NET INVESTMENT LOSSIncomeInterest income


4,484,279



19,068,236



26,770,478ExpensesGeneral Partner management fee


18,920,212



13,379,664



10,186,030General Partner 1 percent allocation


(639,856
)


1,879,337



250,318Advisor management fees


14,548,153



11,318,439



9,712,368Advisor incentive fees


14,005,308



53,999,585



16,604,111Selling agent fees


13,294,827



9,479,794



7,375,387Administrative expenses – General Partner


8,789,611



6,405,612



4,979,458Total expenses


68,918,255



96,462,431



49,107,672Administrative expenses waived


(2,410,018
)


(1,894,004
)


(1,383,324
)Net total expenses


66,508,237



94,568,427



47,724,348Net investment loss


(62,023,958
)


(75,500,191
)


(20,953,870
)NET INCOME (LOSS)

$
(63,345,728
)

$
186,054,394


$
24,781,526








2009


2008


2007Class A


Class B


Class A


Class B


Class A


Class BINCREASE (DECREASE) IN NET ASSET VALUEPER UNIT

$
(350.09
)

$
(342.01
)

$
1,151.31


$
1,568.94


$
142.06


$
263.30NET INCOME (LOSS)PER UNIT(based on weighted average number of units outstanding)

$
(354.49
)

$
(339.13
)

$
1,205.31


$
1,615.84


$
154.85


$
284.12WEIGHTED AVERAGE NUMBER OF UNITS OUTSTANDING


128,033.3107



52,957.8978



99,683.2291



40,785.6909



93,519.2039



36,251.4781








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


F-8
 Table of Contents


FUTURES PORTFOLIO FUND, LIMITED PARTNERSHIP


STATEMENTS OF CASH FLOWS


Years Ended December 31,2009, 2008and 2007





2009


2008


2007Cash flows from operating activitiesNet income (loss)

$
(63,345,728
)

$
186,054,394


$
24,781,526Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activitiesNet change in unrealized (gain) loss


21,714,702



(3,002,404
)


(641,048
)Changes inU.S. Government securities


66,972,902



(17,134,902
)


(49,838,000
)Interest receivable


14,431



211,082



429,291Commercial paper


140,590,377



255,761,026



(206,718,438
)Government-sponsored enterprise notes


(32,315,704
)


(75,198,945
)


135,581,067Corporate notes


78,147,406



(78,147,406
)


--General Partner 1 percent allocation receivable/payable


(2,519,193
)


1,629,019



(97,475
)Administrative expenses payable– General Partner


422,677



425,010



163,303Commissions and other trading fees payable on open contracts


57,113



(39,658
)


(33,248
)General Partner management fee payable


357,495



478,496



68,777Advisor management fees payable


871,471



138,068



(455,631
)Advisor incentive fees payable


(17,326,646
)


14,469,976



2,649,162Selling agent fees payable


248,046



325,050



38,969Net cash provided by (used in) operating activities


193,889,349



285,968,806



(94,071,745
)Cash flows from financing activitiesContributions


348,606,260



186,069,173



86,364,306Subscriptions received in advance


37,057,961



29,937,275



3,956,128Redemptions


(95,038,858
)


(82,506,943
)


(80,330,612
)Net cash provided by financing activities


290,625,363



133,499,505



9,989,822Net increase (decrease) in cash and cash equivalents


484,514,712



419,468,311



(84,081,923
)Cash and cash equivalentsBeginning of year


505,006,123



85,537,812



169,619,735End of year

$
989,520,835


$
505,006,123


$
85,537,812End of year cash and cash equivalents consists ofCash in broker trading accounts

$
318,300,203


$
218,445,964


$
80,795,179Cash and cash equivalents


671,220,632



286,560,159



4,742,633Total end of year cash and cash equivalents

$
989,520,835


$
505,006,123


$
85,537,812Supplemental disclosure of cash flow informationPrior year redemptions paid

$
10,448,411


$
4,753,938


$
8,411,042Prior year subscriptions received in advance

$
29,937,275


$
3,956,128


$
6,574,568Supplemental schedule of non-cash financing activitiesRedemptions payable

$
5,857,719


$
10,448,411


$
4,753,938








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


F-9
 Table of Contents


FUTURES PORTFOLIO FUND, LIMITED PARTNERSHIP


STATEMENTS OF CHANGES IN PARTNERS’ CAPITAL (NET ASSET VALUE)


Years Ended December 31, 2009, 2008and 2007





Class A Interests


Class B InterestsUnits


Amount


Units


Amount


TotalBalance at December 31, 2006


91,632.3257


$
341,384,123



35,151.8276


$
162,675,970


$
504,060,093Net income






14,481,809







10,299,717



24,781,526Contributions


16,692.1516



61,337,528



6,911.4374



31,601.346



92,938,874Redemptions


(13,602.7165
)


(50,952,284
)


(5,520.7112
)


(25,721,224
)


(76,673,508
)Transfers


(533.0530
)


(1,961,862
)


426.0633



1,961,862



--Balance at December 31, 2007


94,188.7078



364,289,314



36,968.6171



180,817,671



545,106,985Net income






120,149,003







65,905,391



186,054,394Contributions


27,723.6530



120,571,420



12,536.8009



69,453,881



190,025,301Redemptions


(12,681.8275
)


(56,920,876
)


(5,427.0141
)


(31,280,540
)


(88,201,416
)Transfers


(241.4694
)


(1,077,510
)


189.6701



1,077,510



--Balance at December 31, 2008


108,989.0639



547,011,351



44,268.0740



285,973,913



832,985,264Net loss






(45,386,080
)






(17,959,648
)


(63,345,728
)Contributions


49,772.8589



241,416,577



21,781.4765



137,126,958



378,543,535Redemptions


(9,863.1044
)


(47,570,031
)


(6,803.8627
)


(42,878,135
)


(90,448,166
)Transfers


(1,446.7298
)


(7,037,288
)


1,116.8667



7,037,288



--Balance at December 31, 2009


147,452.0886


$
688,434,529



60,362.5545


$
369,300,376


$
1,057,734,905








Net Asset Value Per UnitClass A


Class BDecember 31, 2009

$
4,668.87


$
6,118.04December 31, 2008

$
5,018.96


$
6,460.05December 31, 2007

$
3,867.65


$
4,891.11December 31, 2006

$
3,725.59


$
4,627.81








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


F-10
 Table of Contents


FUTURES PORTFOLIO FUND, LIMITED PARTNERSHIP


NOTES TO FINANCIAL STATEMENTS




Note 1.  Organization and Summary of Significant Accounting Policies





Description of the Fund





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





The Fund utilizes commodity trading advisors to engage in the trading of futures and forward currency contracts, and other financial instruments traded in the United States and internationally.





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





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





Classes of Interests





There are two classes of interests held by the limited partners, Class A and Class B Units. The General Partner may offer additional classes at its discretion. Both Class A and Class B Units are traded pursuant to identical trading programs and differ only in respect to the selling agent fees, which consists of selling agent commissions and broker dealer servicing fees. Class B Units are issued only at the General Partner’s discretion and are generally intended for investors who are participating in fee-based investment advisory programs. All items of income or loss, except for the selling agent fees, are allocated pro-rata between Class A and Class B Units. The selling agent fees applicable to each class of Units are then charged to each class. All items of income or loss allocated to each class of Units are then allocated pro-rata to each limited partner within each class. For purposes of both financial reporting and calculation of redemption value, net asset value per Class A or Class B Unit is calculated by dividing the net asset value of Class A or Class B interests by the number or outstanding Units of Class A or Class B.





Significant Accounting Policies





Accounting Policies





The Fund follows accounting standards established by the Financial Accounting Standards Board (“FASB”) to ensure consistent reporting of financial condition, results of operation and cash flows. Any reference to U.S. Generally Accepted Accounting Principles (“GAAP”) in these footnotes are to the FASB Accounting Standards CodificationTM, sometimes referred to as the Codification or ASC. The Codification is effective for periods ending on or after September 15, 2009.





Use of Estimates





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


F-11
 Table of Contents


Revenue Recognition





Futures, options on futures, forward currency and swap contracts are recorded on a trade date basis, and gains or losses are realized when contracts are liquidated. Unrealized gains and losses on open contracts (the difference between contract trade price and fair value) are reported in the statements of financial condition as net unrealized gain or loss, as there exists a right of offset of any unrealized gains or losses.  Any change in net unrealized gain or loss from the preceding period is reported in the statements of operations.  Interest income earned on investments in commercial paper, corporate notes, U.S. Government securities, Government-sponsored enterprise notes and other cash and cash equivalent balances is recorded on the accrual basis.





Cash and Cash Equivalent





Cash and cash equivalents include highly liquid investments with original maturities of three months or less at the date of acquisition that are not held for sale in the normal course of business.  The Fund maintains cash and cash equivalents balances at Newedge USA, LLC and Newedge Group (U.K. Branch) (collectively “NUSA”), UBS Financial Services, Inc. and UBS A.G. (collectively “UBS”) and Bank of America and Banc of America Securities (collectively “Bank of America”). As of December 31, 2009, significant cash and cash equivalents balances held at NUSA, UBS and Bank of America were $298,065,047, $328,082,300 and $363,373,488, respectively.  As of December 31, 2008, significant cash and cash equivalents balances held at NUSA, UBS and Bank of America were $209,660,354, $213,671,965 and $81,663,804, respectively.  The significant cash equivalents balances held at Bank of America and UBS consist of money market funds.  The Fund is at risk to the extent that it maintains balances with financial institutions in excess of insured limits; however, the Fund does not believe it is exposed to any significant credit risk.





Fair Value of Financial Instruments





See Note 2 for the accounting policy for fair value of financial instruments.





Brokerage Commissions





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





Redemptions Payable





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





Income Taxes





The Fund prepares calendar year U.S. and applicable state and local tax returns.  The Fund is not subject to federal income taxes as each partner is individually liable for his or her allocable share of the Fund’s income, expenses and trading gains or losses.  The Fund evaluates the tax positions taken or expected to be taken in the course of preparing the Fund’s tax returns to determine whether the tax positions are more-likely-than-not to be sustained when examined by the applicable tax authority.  Tax positions not deemed to meet the more-likely-than-not threshold would be recorded as a tax benefit or expense and liability in the current year.   Management has determined there are no material uncertain income tax positions through December 31, 2009.  With few exceptions, the Fund is no longer subject to U.S. federal, or state and local income tax examinations by tax authorities for years before 2006.




Foreign Currency Transactions




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





Reclassification





Certain amounts in the 2008 and 2007 financial statements have been reclassified to conform to the 2009 presentation without affecting previously reported partners’ capital (net asset value).


F-12
 Table of Contents


Subsequent Events





The Fund has evaluated subsequent events for potential recognition and/or disclosure through the date the financial statements were issued.





Note 2.  Fair Value of Financial Instruments





Financial instruments are carried at fair value, the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants.  Assets and liabilities carried at fair value are classified and disclosed in the following three categories:





Level 1.
Unadjusted quoted prices in active markets for identical instruments.





Level 2.
Quoted prices in active markets for similar instruments, or quoted prices for identical or similar instruments in markets that are not active.





Level 3.
Valuations derived from valuation techniques in which one or more significant inputs are unobservable.





The Fund’s investments in U.S. Government securities, commercial paper, Government-sponsored enterprise notes and corporate notes are short-term in nature with a duration of less than one year, and typically, the Fund holds these investments through maturity. As such, interest income generated from these investments is recorded on the accrual basis in the statements of operations.





U.S. Government securities are recorded at amortized cost plus accrued interest, which approximates fair value based on bid and ask quotes for identical instruments.  Commercial paper, Government-sponsored enterprise notes and corporate notes are recorded at amortized cost plus accrued interest, which approximates fair value based on bid and ask quotes for similar, but not identical, instruments.  As such, U.S. Government securities are classified within Level 1 and commercial paper, Government-sponsored enterprise notes and corporate notes are classified within Level 2.





The investments in money market funds, included in cash and cash equivalents in the statements of financial condition, and futures contracts, all of which are exchange-traded, are valued using quoted market prices for identical assets and are classified within Level 1.





The fair values of forward currency contracts are based on third party quoted dealer values on the Interbank market and are classified within Level 2.





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





December 31, 2009Level 1


Level 2


TotalEquity in broker trading accounts:Net unrealized gain on open futures contracts

$
14,004,035


$
-


$
14,004,035Net unrealized loss on open forward currency contracts


-



(2,429,014
)


(2,429,014
)Cash and cash equivalents:Money market funds


633,081,225



-



633,081,225Government-sponsored enterprise notes


-



107,514,649



107,514,649Total

$
647,085,260


$
105,085,635


$
752,170,895


F-13
 Table of Contents





December 31, 2008Level 1


Level 2


TotalEquity in broker trading accounts:U.S. Government securities

$
66,972,902


$
-


$
66,972,902Net unrealized gain on open futures contracts


34,492,682



-



34,492,682Net unrealized loss on open forward currency contracts


-



(1,202,959
)


(1,202,959
)Cash and cash equivalents:Money market funds


255,737,336



-



255,737,336Commercial paper


-



140,590,377



140,590,377Government-sponsored enterprise notes


-



75,198,945



75,198,945Corporate notes


-



78,147,406



78,147,406Total

$
357,202,920


$
292,733,769


$
649,936,689





There were no Level 3 holdings as of December 31, 2009 and 2008, respectively, or during the years then ended.





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





Note 3.  Derivative Instruments





Effective January 1, 2009, the Fund adopted new guidance issued by the FASB regarding derivatives and hedging.  As required, the Fund presents qualitative disclosures about objectives and strategies for using derivatives, quantitative disclosures about fair value amounts of the gains and losses on agreements.





The Fund’s derivative contracts are comprised of futures and forward currency contracts. These derivative contracts are recorded in the statements of financial condition as assets measured at fair value and the related realized and change in unrealized gain (loss) associated with these derivatives is recorded in the statements of operations. The Fund has considered the counterparty credit risk related to all its futures and forward currency contracts, and does not deem any counterparty credit risk material at this time. The Fund does not designate any derivative instruments as hedging instruments.





As of December 31, 2009 and for the year ended December 31, 2009, the Fund’s derivative contracts had the following impact on the statements of financial condition and the statements of operations:





Derivative Assets and Liabilities, at fair valueStatements of Financial Condition Location

Assets


Liabilities


Net


Number of open contractsNet unrealized gain on open futures contractsTypes of exposureAgricultural

$
5,392,510


$
(1,074,640
)

$
4,317,870



5,380Currency


4,398,977



(3,463,788
)


935,189



5,484Energy


3,830,525



(2,487,944
)


1,342,581



3,153Single stock futures


--



(7,756
)


(7,756
)


28Interest rate


8,760,428



(13,974,791
)


(5,214,363
)


29,799Metal


13,545,225



(9,594,612
)


3,950,613



4,458Stock index


9,898,985



(1,219,084
)


8,679,901



10,034Net unrealized gain on open futures contracts

$
45,826,650


$
(31,822,615
)

$
14,004,035



58,336Net unrealized loss on open forward currency contracts

$
3,001,447


$
(5,430,461
)

$
(2,429,014
)


1,237


F-14
 Table of Contents





Location of gain (loss) in statements of operationsTypes of Exposure

Net realized gain (loss)


Number of realized contracts


Net change in unrealized gain (loss)Futures contractsAgricultural

$
(3,268,855
)


53,527


$
1,792,584Currency


(8,204,223
)


53,924



(266,564
)Energy


(43,882,399
)


50,340



(592,475
)Single stock futures


(91,179
)


1,107



(7,756
)Interest rate


6,159,982



307,580



(25,979,362
)Metal


19,636,364



20,447



(3,836,342
)Stock index


60,210,817



104,168



8,401,26830,560,507



591,093



(20,488,647
)Forward currency contracts


(7,450,916
)






(1,226,055
)Net realized gain

$
23,109,591Net change in unrealized gain (loss)









$
(21,714,702
)





Note 4.  General Partner





The General Partner conducts and manages the business of the Fund.  During the years ended December 31, 2009, 2008 and 2007, the General Partner did not maintain a capital balance in the Fund; however, the beneficiary of the sole shareholder of the General Partner had an investment in Class B Units of 30.9315 Units valued at $151,289, $199,819 and $189,240, respectively.




During the years ended December 31, 2009, 2008 and 2007, the General Partner earned the following compensation:




·
A monthly General Partner management fee on Class A Units equal to 1/12th of 1.95% of the net asset value of the Class A Units as of the last day of each month.


·
Monthly selling agent commissions equal to 1/12th of 2% of the net asset value of the Class A Units as of the last day of each month and such amounts are included in selling agent fees in the statements of operations. The General Partner, in turn, pays the selling agent commissions to the respective selling agents. If there is no designated selling agent or the General Partner was the selling agent, such portions of the selling agent commissions are retained by the General Partner.


·
A monthly General Partner management fee on Class B Units equal to 1/12th of 1.95% of the net asset value of the Class B Units as of the last day of each month.


·
Monthly broker dealer servicing fees equal to 1/12th of 0.20% of the net asset value of the Class B Units as of the last day of each month and such amounts are included in selling agent fees in the statements of operations.  The General Partner, in turn, pays the broker dealer servicing fees to the respective selling agent.  If there is no designated selling agent or the General Partner was the selling agent, such portions of the broker dealer servicing fees are retained by the General Partner.





Pursuant to the terms of the Partnership Agreement, the General Partner receives/pays 1% of any increase/decrease in the Fund’s net asset value.  Such amount is reflected as the General Partner 1 percent allocation receivable or payable in the statements of financial condition and as the General Partner 1 percent allocation in the statements of operations.





Note 5.  Trading Advisors





The Fund has advisory agreements with various commodity trading advisors, pursuant to which the Fund incurs a monthly advisor management fee that ranges from 0% to 1/12th of 2% of allocated net assets (as separately defined in each respective advisory agreement), paid monthly or quarterly in arrears.  Additionally, the Fund incurs advisor incentive fees, paid quarterly in arrears, ranging from 20% to 30% of net new trading profits (as defined in each respective advisory agreement).





Note 6.  Deposits with Brokers





The Fund deposits funds with brokers, subject to CFTC regulations and various exchange and broker requirements. Margin requirements are satisfied by the deposit of U.S. Government securities and cash with such brokers.  The Fund earns interest income on its assets deposited with the brokers.  The Fund’s excess margin monies are managed by the General Partner. As of December 31, 2009 and 2008, the Fund had margin requirements of $132,093,486 and $53,127,061, respectively.


F-15
 Table of Contents


Note 7.  Administrative Expenses





The Fund reimburses the General Partner for actual monthly administrative expenses, such as accounting, audit, legal, administrative, marketing and offering expenses, up to 1/12th of 0.65% of the Fund’s month-end net asset value, payable quarterly in arrears.  Administrative expenses also include salary and administrative costs incurred by the General Partner relating to marketing and administration of the Fund, such as salaries and commissions of General Partner marketing personnel, and administrative employee salaries and related costs.  Pursuant to the terms of the Partnership Agreement, administrative expenses that exceed 1% of the average month-end net asset value of the Fund are the responsibility of the General Partner.  For the years ended December 31, 2009, 2008 and 2007, actual administrative expenses were $8,789,611, $6,405,612 and $4,979,458, respectively, which were below the 1% (pro-rated administrative expense limitation) of average month-end net asset value of the Fund by $988,455, $475,275 and $335,443, respectively.





Additionally, during the years ended December 31, 2009, 2008, and 2007, the General Partner voluntarily waived $2,410,018, $1,894,004 and $1,383,324, respectively, of administrative expenses of the Fund, and such amounts are included in administrative expenses waived in the statements of operations.  As of December 31, 2009 and 2008, $1,736,156 and $1,313,479, respectively, were payable to the General Partner for administrative expenses incurred on behalf of the Fund and not waived by the General Partner.  Such amounts are presented as administrative expenses payable – General Partner in the statements of financial condition.





Note 8.  Subscriptions, Distributions and Redemptions





Investments in the Fund are made by subscription agreement and must be received within five business days of the end of the month, subject to acceptance by the General Partner. The minimum investment is $10,000. 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, 2009, 2008 and 2007, the Fund received advance subscriptions of $37,057,961, $29,937,275 and $3,956,128 respectively, which were recognized as contributions to the Fund or returned, if applicable, subsequent to year-end.





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




The General Partner may require a limited partner to redeem from the Fund if the General Partner deems the redemption (a) necessary to prevent or correct the occurrence of a nonexempt prohibited transaction (see SA-4, “Investment by Employee Benefit Plans”) under the Employee Retirement Income Security Act of 1974, as amended, or the Internal Revenue Code of 1986, as amended or (b) beneficial to the Fund or (c) necessary to comply with state, federal, or other self-regulatory organization regulations.





Note 9.  Trading Activities and Related Risks





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




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




The Fund trades forward currency contracts in unregulated markets between principals and assumes the risk of loss from counterparty nonperformance. Accordingly, the risks associated with forward 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.


F-16
 Table of Contents




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




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




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




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




In the case of forward currency contracts, over-the-counter options contracts or swap contracts, which are traded on the Interbank or other institutional market rather than on exchanges, the counterparty is generally a single bank or other financial institution, rather than a clearinghouse backed by a group of financial institutions; thus there likely will be greater counterparty credit risk. The Fund trades only with those counterparties that it believes to be creditworthy. All positions of the Fund are valued each day on a mark-to-market basis. There can be no assurance that any clearing member, clearinghouse or other counterparty will be able to meet its obligations to the Fund.





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





Futures Contracts


Forward Currency Contracts(exchange traded)


(non-exchange traded)December 31, 2009


December 31, 2008


December 31, 2009


December 31, 2008Gross unrealized gains

$
45,826,650


$
45,886,155


$
3,001,447


$
2,924,001Gross unrealized losses


(31,822,615
)


(11,393,473
)


(5,430,461
)


(4,126,960
)Net unrealized gain (loss)

$
14,004,035


$
34,492,682


$
(2,429,014
)

$
(1,202,959
)





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





Note 10.  Indemnifications





The Fund is required to indemnify the General Partner, the Trading Advisors, the selling agents, the futures broker, any other of the Fund’s service providers 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 and reduce the net assets of the Fund, and ultimately, the net asset value of the limited partner interests.  However, the Fund believes that it is unlikely it will have to make material payments under these arrangements and has not recorded any contingent liability in the financial statements for such indemnifications.


F-17
 Table of Contents


Note 11.  Financial Highlights





The following information presents per Unit operating performance data and other ratios for the years ended December 31, 2009, 2008 and 2007.





2009


2008


2007Class A


Class B


Class A


Class B


Class A


Class BPer Unit Performance(for a Unit outstanding throughout the entire year)Net asset value per unit at beginning of year

$
5,018.96


$
6,460.05


$
3,867.65


$
4,891.11


$
3,725.59


$
4,627.81Income from operations:Gain (loss) from trading (1)


(4.56
)


(6.19
)


1,676.14



2,137.36



314.98



395.22Net investment loss (1)


(345.53
)


(335.82
)


(524.83
)


(568.42
)


(172.92
)


(131.92
)Total income (loss) from operations


(350.09
)


(342.01
)


1,151.31



1,568.94



142.06



263.30Net asset value per unit at end of year

$
4,668.87


$
6,118.04


$
5,018.96


$
6,460.05


$
3,867.65


$
4,891.11Total return


(6.98
%)


(5.29
%)


29.77
%


32.08
%


3.81
%


5.69
%Supplemental dataRatios to average net asset valueExpenses prior to advisor incentive fees and General Partner 1 percent allocation (2), (3)


6.23
%


4.40
%


6.44
%


4.59
%


6.61
%


4.77
%General Partner 1 percent allocation


(0.07
%)


(0.05
%)


0.27
%


0.29
%


0.04
%


0.06
%Advisor incentive fees


1.47
%


1.48
%


8.10
%


8.10
%


3.24
%


3.22
%Total expenses


7.63
%


5.83
%


14.81
%


12.98
%


9.89
%


8.05
%Net investment loss (2), (3)


(7.16
%)


(5.35
%)


(11.95
%)


(10.13
%)


(4.68
%)


(2.85
%)





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




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




(2)  All of the ratios under the supplemental data are computed net of voluntary and involuntary waivers of administrative expenses.  For the years ended December 31, 2009, 2008 and 2007 the ratios are net of 0.25%, 0.28% and 0.27%, respectively, of average net asset value relating to the waivers of administrative expenses. Both the nature and the amounts of the waivers are more fully explained in Note 7.




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


F-18