UNITED
STATES


SECURITIES
AND EXCHANGE COMMISSION




Washington,
D.C. 20549


________________________________




FORM
10-K




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




For
the Fiscal Year Ended December 31, 2007


OR


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





For
the transition period from ________ to _______




Commission
file number:  000-50728





FUTURES
PORTFOLIO FUND, LIMITED PARTNERSHIP


(Exact
name of registrant as specified in its charter)


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





c/o
Steben & Company, Inc.


2099
Gaither Road, Suite 200


Rockville,
Maryland20850


(Address
of Principal Executive Office)(zip code)





(240)
631-9808


Registrant’s
telephone number, including area code:


________________________________





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





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


Large
      accelerated filer £
            Accelerated
      filer £
            Non-accelerated
      filer T





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; as of December 31, 2007, 94,188.7078
Class A units and 36,968.6171 Class B units with an aggregate value of
$364,289,314 and $180,817,671 respectively, were outstanding.





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


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







Documents
Incorporated by Reference





Registrant's
Financial Statements for the year ended December 31, 2007 with Report of
Independent Registered Public Accounting Firm and the annual report to
security holders for the fiscal year ended December 31, 2007, is incorporated by
reference into Part II Item 8 and Part IV hereof and filed as an exhibit
herewith.










Table of Contents





Part
      IItem
      1:
            Business
            3Item
      1A:
            Risk Factors
            8Item
      1B:
            Unresolved Staff Comments
            11Item
      2:
            Properties
            11Item
      3:
            Legal Proceedings
            12Item
      4:
            Submission of Matters to a Vote of Security
      Holders
            12Part
      IIItem
      5:
            Markets for Registrant's Common Equity, Related Stockholder
      Matters and Issuer Purchases of Equity Securities
            12Item
      6:
            Selected Financial Data
            13Item
      7:
            Management's Discussion and Analysis of Financial Condition and
      Results of Operations
            18Item
      7A:
            Quantitative and Qualitative Disclosures About Market
      Risk
            29Item
      8:
            Financial Statements and Supplementary Data
            34Item
      9:
            Changes in and Disagreements with Accountants on Accounting and
      Financial Disclosure..
            34Item
      9A:
            Controls and Procedures
            35Item
      9B:
            Other Information
            36Part
      IIIItem
      10:
            Directors, Executive Officers, and Corporate
      Governance
            36Item
      11:
            Executive Compensation
            39Item
      12:
            Security Ownership of Certain Beneficial Owners and
      Management
            39Item
      13:
            Certain Relationships and Related
    Transactions
            40Item
      14:
            Principal Accounting Fees and Services
            40Part
      IVItem
      15:
            Exhibits, Financial Statement Schedules
            41


Table of Contents




ITEM
1:  Business





(a)
            General
      development of business.




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





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





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





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





As of
December 31, 2007, the aggregate capitalization of the Fund was
$545,106,985.  The net asset value per limited partnership interest
(“Unit”) of the Class A Units was $3,867.65, and the net asset value of the
Class B Units was $4,891.11.





(b)
            Financial
      information about segments.





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





(c)
            Narrative
      description of business.





General





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


3
 Table of Contents




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





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





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




General
Partner





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





Trading
Advisors and Allocations of the Fund





As of
December 31, 2007 the Trading Advisors of the Fund and the allocation of the
Fund’s assets are reflected as follows:





As
      a % of Total Allocations
            
            
            As
      a % of Total Fund EquityAltis
      Partners (Jersey), Ltd.
            
            
            17
            %
            
            
            22
            %Aspect
      Capital, Ltd.
            
            
            25
            %
            
            
            32
            %Campbell
      & Company, Inc.
            
            
            1
            %
            
            
            1
            %Quantitative
      Investment Management, LLC
            
            
            18
            %
            
            
            23
            %Sunrise
      Capital Partners, LLC
            
            
            16
            %
            
            
            20
            %Winton
      Capital Management, Ltd.
            
            
            23
            %
            
            
            30
            %





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





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


4
 Table of Contents




Charges





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





Total
expenses, other than the Trader’s performance incentive fees, as a percentage of
the Fund's average month-end net assets for the years ended December 31, 2007,
2006 and 2005 were 6.06%, 6.37%, and 6.7%, respectively.





Recipient
              Nature
      of Payment
              Amount
      of PaymentSteben
      & Company, Inc.
              Management
      Fee (asset-based)
              A
      monthly management fee of 0.1625% per month (1.95% annually) for Class A
      units & 0.1625% (1.95% annually) for Class B units of Fund Net Assets
      at the end of each month.  Steben & Company may pay a
      portion of its monthly management fee on an ongoing basis to selected
      agents who have sold the Units, in return for their provision of ongoing
      services to the Limited Partners.
                
                The
      General Partner will receive an allocation pro rata from the other
      Partners of 1% of any increase (or decrease) in the Fund’s Net Assets,
      without regard to additions and withdrawals.Trading
      Advisors
              Management
      Fees (asset-based)
              The
      Trading Advisors will receive monthly management fees based upon the
      assets under their management as follows:
                ·       Altis
      Partners (Jersey), Ltd: 0.083%  monthly (1% per
      year)
                ·Aspect:                                     
      0.167%  monthly (2% per year)
                ·Campbell*:                                 0.083%
      monthly (1% per year)
                ·Quantitative
      Investment:             0 
      %  monthly (0% per year)
                ·Sunrise:                                      
      0.083% monthly (1% per year)
                ·Winton Capital Management, Ltd:  0.167% monthly (2% per
      year)
                *As
      of January 1, 2008, Campbell & Company, Inc. is no longer a Trading
      Advisor for the Fund.  As of January 2, 2008, BlueCrest Capital
      Management, L.P. has been added as a Trading Advisor of the Fund with
      0.167% monthly (2% per year) management
fees.
  5
  Recipient
              Nature
      of Payment
              Amount
      of PaymentTrading
      Advisors
              Incentive
      Fees
              The
      Trading Advisors receive incentive fees for any “Net New Trading Profits”
      generated on the portion of the Fund the respective Trading Advisor
      manages as follows:
                ·         Altis  Partners
      (Jersey),
      Ltd                   
        25%
                ·         Aspect:                                                        20%
                ·         Campbell*:                                                  25%
                ·         Quantitative
      Investment:                          30%
                ·         Sunrise:                                                        25%
                ·        Winton
      Capital Management
      Ltd.:          
      20%
                *As
      of January 1, 2008, Campbell & Company, Inc. is no longer a Trading
      Advisor for the Fund.  As of January 2, 2008, BlueCrest Capital
      Management, L.P. has been added as a Trading Advisor of the Fund with 20%
      incentive fee.Commodity
      brokerage commissions and related fees
              Clearing
      Brokers
              Effective
      January 1, 2007, the Fund paid brokerage commissions on U.S. futures
      exchanges at the rate of $2.44 to $11.04 per “round-turn” futures
      transaction which includes NFA, execution, clearing and exchange
      fees.  Brokerage commissions will be higher for trades executed
      on some foreign exchanges.  Effective December 1, 2007, the Fund
      pays commissions at the rate of $1.00 to $10.32 per “round-turn”
      transaction.Newedge
      Financial, Inc.
              Forward
      Counterparty Execution
              A
      portion of the forward counterparty’s execution costs are included in the
      price of each forward contract purchased or sold, and, accordingly, such
      costs cannot be determined but are charged. Prime brokerage fees, combined
      with the futures broker’s charges, usually equal approximately 1% of the
      Fund’s net assets.  Newedge Financial Services, Inc., the Fund’s
      primary forward counterparty charges a $20 per million per round turn
      service charge.Selling
      Agents
              Selling
      Agent Fees
              A
      monthly fee of 0.1667% (2% per year) of the net asset value for A units
      and 0.0167% (0.2% per year) of the net asset value for B units will be
      charged to the Fund and paid to the Selling Agents.  To the
      extent the General Partner is responsible for the sale of Units, or in
      cases where the Selling Agent does not receive this fee, the General
      Partner will retain these monthly fees.Steben
      & Company
              Professional
      Fees
              The
      Fund paid its accounting, audit, legal, administrative and offering
      expenses estimated at approximately 0.75% of the average month-end net
      asset value during January and February 2007 and at 0.65% of the average
      month-end net asset value effective March 2007. However, if and to the
      extent these expenses (other than extraordinary costs, none of which are
      anticipated) exceed 1.00% of the Fund’s average month-end net assets per
      calendar year, the General Partner will reimburse the Fund for such excess
      after the close of the applicable year.  These expenses during
      the years ended 2007, 2006 and 2005 were 0.67%,   0.75%,
      and 0.84% of the Fund’s average net asset value,
respectively.
                
                There
      may be extraordinary expenses (including any extraordinary legal and
      accounting fees) the Fund may have, although none are
      anticipated.


6
 Table of Contents




Regulation





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





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





(i)
through (xii) – not applicable.





(xiii)  The
Fund has no employees.





(d)  Financial Information about
Geographic Areas





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





(e) Available
Information





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


7
 Table of Contents




(f) Reports to Security
Holders





None.





(g) Enforceability of Civil Liabilities
Against Foreign Persons





None.





ITEM
1A: RiskFactors





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





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





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





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





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





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





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





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





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





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


8
 Table of Contents




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





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





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





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





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


9
 Table of Contents




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





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





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





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





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





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





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





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





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


10
 Table of Contents




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





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





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





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





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





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





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





ITEM
1B: Unresolved Staff Comments





Not
Applicable.





ITEM
2: Properties





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


11
 Table of Contents




ITEM
3:LegalProceedings





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





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





None.








PART
II





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





(a)
            Market
      information





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





(b)
            Holders





As of
December 31, 2007, there were 4,958 and 1,961 holders of A Units and B Units,
respectively.





(c)
            Dividends





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





(d)
            Securities Authorized for
      Issuance under Equity Compensation
Plans





None





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





A and B
units are being offered on a continuous basis at subsequent closing dates at a
price equal to the net asset value per unit as of the close of business on each
applicable closing date, which is the last business day of each month. Sales of
the A Units and B Units during the fourth quarter 2007 were as
follows:


12
 Table of Contents





OCTOBER
            
            
            NOVEMBER
            
            
            DECEMBERA
      UNITSUnits
      Sold
            
            
            948.8223
            
            
            
            1,515.5398
            
            
            
            866.7780Net
      Asset Value / Unit
            
            $
            3,553.16575
            
            
            $
            3,851.67952
            
            
            $
            3,776.43408B
      UNITSUnits
      Sold
            
            
            255.4590
            
            
            
            314.4430
            
            
            
            338.6421Net
      Asset Value / Unit
            
            $
            4,473.32091
            
            
            $
            4,856.37714
            
            
            $
            4,768.60428








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





ITEM
6: Selected Financial Data.








For
      the Year
              Ended
              December
      31,
              2007
            
            
            For
      the Year
              Ended
              December
      31,
              2006
            
            
            For
      the Year
              Ended
              December
      31,
              2005
            
            
            For
      the Year
              Ended
              December
      31,
              2004
            
            
            For
      the Year
              Ended
              December
      31,
              2003Income
      Statement Items:Gain(loss)
      from Trading – Realized and unrealized
            
            $
            48,018,852
            
            
            $
            46,500,317
            
            
            $
            29,400,404
            
            
            $
            16,756,129
            
            
            $
            9,008,846Brokerage
      commissions
            
            
            (2,283,456
            )
            
            
            (1,715,388
            )
            
            
            (1,551,942
            )
            
            
            (1,346,001
            )
            
            
            (246,478
            )Gain
      from trading
            
            
            45,735,396
            
            
            
            44,784,929
            
            
            
            27,848,462
            
            
            
            15,410,128
            
            
            
            8,762,368Interest
      income
            
            
            26,770,478
            
            
            
            22,657,865
            
            
            
            10,397,655
            
            
            
            1,863,091
            
            
            
            339,961Expenses:General
      Partner management fee
            
            
            10,186,030
            
            
            
            8,822,422
            
            
            
            6,106,364
            
            
            
            3,397,591
            
            
            
            655,881General
      Partner 1 percent allocation
            
            
            250,318
            
            
            
            347,793
            
            
            
            127,493
            
            
            
            21,822
            
            
            
            51,412Trading
      Advisor management fees
            
            
            9,712,368
            
            
            
            8,858,211
            
            
            
            5,730,444
            
            
            
            2,517,558
            
            
            
            384,029Advisor
      incentive fee
            
            
            16,604,111
            
            
            
            4,989,571
            
            
            
            6,384,615
            
            
            
            4,956,093
            
            
            
            2,101,829Selling
      agents’ fee
            
            
            7,375,387
            
            
            
            6,385,159
            
            
            
            4,727,082
            
            
            
            2,733,183
            
            
            
            480,685Net
      Operating expenses
            
            
            3,596,134
            
            
            
            3,608,118
            
            
            
            2,548,276
            
            
            
            1,486,548
            
            
            
            338,913Net
      Income  (loss)
            
            $
            24,781,526
            
            
            $
            34,431,520
            
            
            $
            12,621,843
            
            
            $
            2,160,424
            
            
            $
            5,089,580Balance
      Sheet Items:Total
      assets
            
            $
            562,253,689
            
            
            $
            525,148,484
            
            
            $
            400,445,406
            
            
            $
            263,976,749
            
            
            $
            88,617,926Total
      Partners’ capital
            
            $
            545,106,985
            
            
            $
            504,060,093
            
            
            $
            376,392,113
            
            
            $
            254,801,257
            
            
            $
            77,765,859Class
      A Units:Net
      asset value per Unit
            
            $
            3,867.65
            
            
            $
            3,725.59
            
            
            $
            3,489.13
            
            
            $
            3,429.59
            
            
            $
            3,418.95Increase
      in net asset value per Unit
            
            $
            142.06
            
            
            $
            236.46
            
            
            $
            59.54
            
            
            $
            10.64
            
            
            $
            452.19Class
      B Units:Net
      asset value per Unit
            
            $
            4,891.11
            
            
            $
            4,627.81
            
            
            $
            4,257.03
            
            
            $
            4,110.43
            
            
            $
            4,022.67Increase
      in net asset value per Unit
            
            $
            263.30
            
            
            $
            370.78
            
            
            $
            146.60
            
            
            $
            87.76
            
            
            $
            597.05


13
 Table of Contents




FUTURES
PORTFOLIO FUND


Supplementary
Summarized Quarterly Data


For
the First and Second Quarters for 2007 and 2006





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








March
      31, 2006
            
            
            June
      30, 2006Class A
              Interests
            
            
            Class B
              Interests
            
            
            Class A
              Interests
            
            
            Class B
              InterestsNet
      Income (Loss)
            
            $
            8,853,281
            
            
            $
            4,801,852
            
            
            $
            (7,305,227
            )
            
            $
            (2,883,650
            )Increase
      (Decrease) in Net Asset Value Per Unit
            
            $
            111.05
            
            
            $
            155.19
            
            
            $
            (83.54
            )
            
            $
            (82.99
            )Net
      Asset Value Per Unit
            
            $
            3,600.18
            
            
            $
            4,412.22
            
            
            $
            3,516.64
            
            
            $
            4,329.23Ending
      Net Asset Value
            
            $
            281,239,646
            
            
            $
            135,640,168
            
            
            $
            304,374,244
            
            
            $
            149,438,511


14
 Table of Contents




FUTURES
PORTFOLIO FUND


Supplementary
Summarized Quarterly Data


For
the Third and Fourth Quarters for 2007 and 2006





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








September,
      2006
            
            
            December,
      2006Class A
              Interests
            
            
            Class B
              Interests
            
            
            Class A
              Interests
            
            
            Class B
              InterestsNet
      Income (Loss)
            
            $
            (13,889,200
            )
            
            $
            (6,212,830
            )
            
            $
            33,783,249
            
            
            $
            17,284,045Increase
      (Decrease) in Net Asset Value Per Unit
            
            $
            (156.20
            )
            
            $
            (173.76
            )
            
            $
            365.15
            
            
            $
            472.34Net
      Asset Value Per Unit
            
            $
            3,360.44
            
            
            $
            4,155.47
            
            
            $
            3,725.59
            
            
            $
            4,627.81Ending
      Net Asset Value
            
            $
            302,370,665
            
            
            $
            153,473,905
            
            
            $
            341,384,123
            
            
            $
            162,675,970


15
 Table of Contents





Supplementary
Financial Information





Futures
      Portfolio Fund (Class A Units)NAV per
      Unit
            
            2007
            
            
            2006
            
            
            2005
            
            
            2004
            
            
            2003January
            
            $
            3,827.77
            
            
            $
            3,530.23
            
            
            $
            3,202.63
            
            
            $
            3,486.39
            
            
            $
            3,298.81February
            
            $
            3,594.35
            
            
            $
            3,467.04
            
            
            $
            3,215.17
            
            
            $
            3,801.30
            
            
            $
            3,566.57March
            
            $
            3,438.74
            
            
            $
            3,600.18
            
            
            $
            3,256.96
            
            
            $
            3,800.61
            
            
            $
            3,329.98April
            
            $
            3,625.90
            
            
            $
            3,659.24
            
            
            $
            3,164.24
            
            
            $
            3,477.92
            
            
            $
            3,370.95May
            
            $
            3,838.15
            
            
            $
            3,567.64
            
            
            $
            3,256.47
            
            
            $
            3,442.62
            
            
            $
            3,493.74June
            
            $
            3,997.44
            
            
            $
            3,516.64
            
            
            $
            3,359.43
            
            
            $
            3,255.89
            
            
            $
            3,331.19July
            
            $
            3,651.43
            
            
            $
            3,398.67
            
            
            $
            3,319.98
            
            
            $
            3,206.99
            
            
            $
            3,143.59August
            
            $
            3,322.12
            
            
            $
            3,400.31
            
            
            $
            3,270.90
            
            
            $
            3,129.38
            
            
            $
            3,204.49September
            
            $
            3,553.17
            
            
            $
            3,360.44
            
            
            $
            3,353.14
            
            
            $
            3,131.05
            
            
            $
            3,164.24October
            
            $
            3,851.68
            
            
            $
            3,474.10
            
            
            $
            3,393.57
            
            
            $
            3,299.78
            
            
            $
            3,281.63November
            
            $
            3,776.43
            
            
            $
            3,498.74
            
            
            $
            3,543.88
            
            
            $
            3,449.68
            
            
            $
            3,238.83December
            
            $
            3,867.65
            
            
            $
            3,725.59
            
            
            $
            3,489.13
            
            
            $
            3,429.59
            
            
            $
            3,418.95








Futures
      Portfolio Fund (Class B Units)NAV per
      Unit
            
            2007
            
            
            2006
            
            
            2005
            
            
            2004
            
            
            2003January
            
            $
            4,761.78
            
            
            $
            4,313.61
            
            
            $
            3,845.00
            
            
            $
            4,108.34
            
            
            $
            3,814.99February
            
            $
            4,477.84
            
            
            $
            4,242.72
            
            
            $
            3,864.82
            
            
            $
            4,486.70
            
            
            $
            4,131.04March
            
            $
            4,290.37
            
            
            $
            4,412.22
            
            
            $
            3,920.90
            
            
            $
            4,492.74
            
            
            $
            3,862.80April
            
            $
            4,530.63
            
            
            $
            4,491.29
            
            
            $
            3,814.89
            
            
            $
            4,117.57
            
            
            $
            3,916.34May
            
            $
            4,803.19
            
            
            $
            4,385.40
            
            
            $
            3,931.95
            
            
            $
            4,081.99
            
            
            $
            4,065.30June
            
            $
            5,010.21
            
            
            $
            4,329.23
            
            
            $
            4,062.34
            
            
            $
            3,866.47
            
            
            $
            3,881.99July
            
            $
            4,583.36
            
            
            $
            4,190.24
            
            
            $
            4,020.63
            
            
            $
            3,814.21
            
            
            $
            3,668.83August
            
            $
            4,176.22
            
            
            $
            4,198.52
            
            
            $
            3,967.04
            
            
            $
            3,727.61
            
            
            $
            3,747.25September
            
            $
            4,473.32
            
            
            $
            4,155.47
            
            
            $
            4,072.85
            
            
            $
            3,735.31
            
            
            $
            3,705.83October
            
            $
            4,856.38
            
            
            $
            4,302.46
            
            
            $
            4,128.12
            
            
            $
            3,942.68
            
            
            $
            3,849.25November
            
            $
            4,768.60
            
            
            $
            4,339.43
            
            
            $
            4,317.40
            
            
            $
            4,128.13
            
            
            $
            3,804.86December
            
            $
            4,891.11
            
            
            $
            4,627.81
            
            
            $
            4,257.03
            
            
            $
            4,110.43
            
            
            $
            4,022.67


16
 Table of Contents




FUTURES
PORTFOLIO FUND, L.P. (CLASS A UNITS)





Rate of
      Return
            
            2007
            
            
            2006
            
            
            2005
            
            
            2004
            
            
            2003January
            
            
            2.74
            
            
            
            1.18
            
            
            
            (6.62
            )
            
            
            1.97
            
            
            
            11.19February
            
            
            (6.10
            )
            
            
            (1.79
            )
            
            
            0.39
            
            
            
            9.03
            
            
            
            8.12March
            
            
            (4.33
            )
            
            
            3.84
            
            
            
            1.30
            
            
            
            (0.02
            )
            
            
            (6.63
            )April
            
            
            5.44
            
            
            
            1.64
            
            
            
            (2.85
            )
            
            
            (8.49
            )
            
            
            1.23May
            
            
            5.85
            
            
            
            (2.50
            )
            
            
            2.91
            
            
            
            (1.01
            )
            
            
            3.64June
            
            
            4.15
            
            
            
            (1.43
            )
            
            
            3.16
            
            
            
            (5.42
            )
            
            
            (4.65
            )July
            
            
            (8.66
            )
            
            
            (3.35
            )
            
            
            (1.17
            )
            
            
            (1.50
            )
            
            
            (5.63
            )August
            
            
            (9.02
            )
            
            
            0.05
            
            
            
            (1.48
            )
            
            
            (2.42
            )
            
            
            1.94September
            
            
            6.95
            
            
            
            (1.17
            )
            
            
            2.51
            
            
            
            0.05
            
            
            
            (1.26
            )October
            
            
            8.40
            
            
            
            3.38
            
            
            
            1.21
            
            
            
            5.39
            
            
            
            3.71November
            
            
            (1.95
            )
            
            
            0.71
            
            
            
            4.43
            
            
            
            4.54
            
            
            
            (1.30
            )December
            
            
            2.42
            
            
            
            6.48
            
            
            
            (1.55
            )
            
            
            (0.58
            )
            
            
            5.56Year
            
            
            3.81
            
            
            
            6.78
            
            
            
            1.74
            
            
            
            0.31
            
            
            
            15.25








FUTURES
PORTFOLIO FUND, L.P. (CLASS B UNITS)





Rate of
      Return
            
            2007
            
            
            2006
            
            
            2005
            
            
            2004
            
            
            2003January
            
            
            2.89
            
            
            
            1.33
            
            
            
            (6.48
            )
            
            
            2.13
            
            
            
            11.37February
            
            
            (5.96
            )
            
            
            (1.64
            )
            
            
            0.54
            
            
            
            9.21
            
            
            
            8.28March
            
            
            (4.19
            )
            
            
            4.00
            
            
            
            1.45
            
            
            
            0.13
            
            
            
            (6.49
            )April
            
            
            5.60
            
            
            
            1.79
            
            
            
            (2.70
            )
            
            
            (8.35
            )
            
            
            1.39May
            
            
            6.02
            
            
            
            (2.36
            )
            
            
            3.07
            
            
            
            (0.86
            )
            
            
            3.80June
            
            
            4.31
            
            
            
            (1.28
            )
            
            
            3.32
            
            
            
            (5.28
            )
            
            
            (4.51
            )July
            
            
            (8.52
            )
            
            
            (3.21
            )
            
            
            (1.03
            )
            
            
            (1.35
            )
            
            
            (5.49
            )August
            
            
            (8.88
            )
            
            
            0.20
            
            
            
            (1.33
            )
            
            
            (2.27
            )
            
            
            2.14September
            
            
            7.11
            
            
            
            (1.03
            )
            
            
            2.67
            
            
            
            0.21
            
            
            
            (1.11
            )October
            
            
            8.56
            
            
            
            3.54
            
            
            
            1.36
            
            
            
            5.55
            
            
            
            3.87November
            
            
            (1.81
            )
            
            
            0.86
            
            
            
            4.59
            
            
            
            4.70
            
            
            
            (1.15
            )December
            
            
            2.57
            
            
            
            6.65
            
            
            
            (1.40
            )
            
            
            (0.43
            )
            
            
            5.72Year
            
            
            5.69
            
            
            
            8.71
            
            
            
            3.57
            
            
            
            2.18
            
            
            
            17.43


17
 Table of Contents





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





Introduction





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





Results
of Operations





The
returns for A units for the years ended December 31, 2007, 2006 and 2005 were
3.81%, 6.78%, and 1.74%, respectively. The returns for B units for the years
ended December 31, 2007, 2006 and 2005 were 5.69%, 8.71%, and 3.57%,
respectively. Further analysis of the trading gains and losses is provided
below.





2007





A Units of the Fund were
up 2.74% for the month of January 2007 and B Units were up
2.89%.In January the Fund generated profits in four out of
the six market sectors. The Fund’s strongest gains came from short positions in
interest rate instruments. Domestic housing, manufacturing and employment data
pointed to unexpected strength in the US 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 US 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.





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.


18
 Table of Contents




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





A Units of the Fund were
up 5.44% for the month of April 2007 and B Units were up
5.60%.Favorable trends in five out of the Fund’s six market
sectors yielded profits for the Fund in April. The strongest profits came from
foreign currencies, where the U.S. dollar weakened against most foreign
currencies. Long positions in the euro, British pound, Australian dollar and New
Zealand dollar profited as the US 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.





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. US
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 US and international stock indices. Many of the broad
equity indices hit new highs, including the S&P 500 which hit its highest
level since March 2000. The Fund’s long positions in metals lost ground this
month as prices were generally down on concerns over the strength of future
Chinese imports. In agricultural commodities, the Fund’s long positions in
soybean and bean oil were the sector’s most profitable contracts, although these
gains were offset by losses from short positions in coffee.





A Units of the Fund were
up 4.15% for the month of June 2007 and B Units were up
4.31%.The Fund was profitable in June with gains from five of
the six major market sectors. Interest rate instruments and foreign currencies
generated the Fund’s strongest profits. A downward price trend in interest rate
instruments continued from prior months benefiting the Fund's short positions.
Stronger than expected US retail sales and hawkish comments from the US Federal
Reserve pushed US 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.


19
 Table of Contents




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





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





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





A Units of the Fund were
up 8.40% for the month of October 2007 and B Units were up 8.56%.Significant profits in four out of six market sectors led to another
strong month for the Fund. The biggest profits came from long positions in the
energy and foreign currency sectors. Tensions in the Middle East and a falling
US 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 US 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.


20
 Table of Contents




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





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








2006





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





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


21
 Table of Contents




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





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





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





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


22
 Table of Contents




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





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





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


23
 Table of Contents




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





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





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








2005





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


24
 Table of Contents




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





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





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





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


25
 Table of Contents




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





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





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





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


26
 Table of Contents




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





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





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




Critical
Accounting Policies





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





Futures,
options on futures and forward contracts are recorded on a trade date basis and
gains or losses are realized when contracts are liquidated. Unrealized gains or
losses on open contracts (the difference between contract trade price and market
price) are reported in the statement of financial condition as a net gain or
loss, as there exists a right of offset of unrealized gains or losses in
accordance with Financial Accounting Standards Board Interpretation No. 39
-"Offsetting of Amounts Related to Certain Contracts." The market value of
futures (exchange-traded) contracts is determined by the various futures
exchanges, and reflects the settlement price for each contract as of the close
of the last business day of the reporting period.  Any change in net
unrealized gain or loss from the preceding period is reported in the statement
of operations.  United States government and government sponsored
agency securities, and commercial paper are stated at cost plus accrued
interest, which approximates market value.


27
 Table of Contents




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





Off-Balance
Sheet Risk





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





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





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





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


28
 Table of Contents




Contractual
Obligations





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





Liquidity





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





Capital
Resources





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





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





Introduction





Past
Results Are Not Indicative of Future Performance





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





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


29
 Table of Contents




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





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





Standard
of Materiality





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





Quantifying
the Fund’s Trading Value at Risk





Quantitative
Forward-Looking Statements





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





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





Exchange
maintenance margin requirements have been used by the Fund as the measure of its
Value at Risk. Maintenance margin requirements are set by exchanges to equal or
exceed the maximum losses reasonably expected to be incurred in the fair value
of any given contract in 95% - 99% of any one-day interval. The maintenance
margin levels are established by dealers and exchanges using historical price
studies as well as an assessment of current market volatility and economic
fundamentals to provide a probabilistic estimate of the maximum expected
near-term one-day price fluctuation. Maintenance margin has been used rather
than initial margin, because initial margin includes a credit risk component
which is not relevant to Value at Risk.


30
 Table of Contents




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





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





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




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





The
following tables indicate the trading Value at Risk associated with the Fund's
open positions by market category as of December 31, 2007 and December 31,
2006.  All open position trading risk exposures of the Fund have been
included in calculating the figures set forth below. As of December 31, 2007,
the Fund's total capitalization was $545,106,985.  As of December 31,
2006, the Fund’s total capitalization was $504,060,093.




FISCAL
YEAR 2007





2007
            
            
            2007
            
            
            2006
            
            
            2006Market
      Sector
            
            Value
      at Risk
            
            
            %
      of Total
              Capitalization
            
            
            Value
      at Risk
            
            
            %
      of Total CapitalizationAgricultural
      Commodities
            
            $
            9,269,647
            
            
            
            1.70
            %
            
            $
            3,360,108
            
            
            
            0.67
            %Currencies
            
            $
            20,235,368
            
            
            
            3.71
            %
            
            $
            41,858,070
            
            
            
            8.30
            %Energy
            
            $
            14,281,139
            
            
            
            2.62
            %
            
            $
            8,864,330
            
            
            
            1.76
            %Interest
      Rates
            
            $
            16,934,317
            
            
            
            3.11
            %
            
            $
            14,401,557
            
            
            
            2.86
            %Metals
            
            $
            10,337,905
            
            
            
            1.90
            %
            
            $
            5,009,708
            
            
            
            0.99
            %Stock
      Indices
            
            $
            11,788,343
            
            
            
            2.16
            %
            
            $
            27,654,490
            
            
            
            5.49
            %Total
            
            $
            82,846,719
            
            
            
            15.20
            %
            
            $
            101,148,263
            
            
            
            20.07
            %




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 operating costs 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 operating costs borne
by the Fund.


31
 Table of Contents




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





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





Non-Trading
Risk





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





Qualitative
Disclosures Regarding Primary Trading Risk Exposures.





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





The
following were the primary trading risk exposures of the Fund as of December 31,
2007, by market sector.





Agricultural





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





Currencies





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


32
 Table of Contents




Energy





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





Interest
Rates





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





Metals





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





Stock
Indices





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




Qualitative
Disclosures Regarding Non-Trading Risk Exposure.





The
following were the only non-trading risk exposures of the Fund as of December
31, 2007.





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).


33
 Table of Contents




U.S.
Government and Government Sponsored Agency Securities and Commercial Paper
Positions





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




Qualitative
Disclosures Regarding Means of Managing Risk Exposure





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





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





ITEM
8: Financial Statements and Supplementary Data.





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





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





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





The Board
of Directors of Steben & Company, Inc., the General Partner for Futures
Portfolio Fund, LP (“Fund”) has engaged McGladrey & Pullen, LLP as the
independent registered public accounting firm for the fund for the years ended
December 31, 2007 and 2006.  The auditor of the Fund for 2005 was
Altschuler, Melvoin and Glasser LLP.  On January 17, 2007, the General
Partner was notified that a majority of the partners of Altschuler, Melvoin and
Glasser LLP (AM&G) had become partners of McGladrey & Pullen, LLP and,
as a consequence, that AM&G had resigned and would no longer be the auditor
for the Fund.  McGladrey & Pullen, LLP was appointed as the Fund’s
new auditor.





34
 Table of Contents




ITEM
9A: Controls and Procedures





Evaluation
of Disclosure Controls and Procedures





Under the
supervision and with the participation of the management of the General Partner,
including its Chief Executive Officer and Chief Financial Officer, the Fund
evaluated the effectiveness of the design and operation of the Fund’s disclosure
controls and procedures (as defined in Rule 13(a)-15(e) under the Securities
Exchange Act of 1934, as amended) as of December 31, 2007 (the “Evaluation
Date”). Any control system, no matter how well designed and operated, can
provide only reasonable (not absolute) assurance that its objectives will be
met. Furthermore, no evaluation of controls can provide absolute assurance that
all control issues and instances of fraud, if any, have been detected. Based
upon our evaluation, the Chief Executive Officer and Chief Financial Officer of
the General Partner concluded that, as of the Evaluation Date, our disclosure
controls and procedures were effective to provide reasonable assurance that they
are timely alerted to the material information relating to the Fund required to
be included in the Fund’s periodic SEC filings.





Management’s
Annual Report on Internal Control over Financial Reporting





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





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





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, 2007, 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, 2007, the Fund’s internal control over
financial reporting is effective based on the criteria established in Internal
Control-Integrated Framework.





Management’s
annual report was not subject to attestation by the Fund’s
registered  public accounting firm pursuant to temporary rules of the
SEC that permit the Fund to provide only management’s report in this annual
report.


35
 Table of Contents




Changes
in Internal Control Over Financial Reporting





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





ITEM
9B: Other Information





None








PART
III





ITEM
10: Directors, Executive Officers, and Corporate
Governance





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





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





Executive
Officers





Kenneth E. Stebenis the General Partner’s founder, President, Chief Executive Officer and
a Director. Mr. Steben is registered with the CFTC as an associated person and
with FINRA as a general securities principal.  Mr. Steben, born in
1955, received his Bachelors Degree in Interdisciplinary Studies, with a
concentration in Accounting in 1979 from Maharishi University of
Management.  Mr. Steben has been a licensed stockbroker since 1981 and
a licensed commodities broker since 1983. From 1981 to 1989, Mr. Steben was,
sequentially, a registered representative and associated person of Moseley
Securities and Dean Witter, and a General Securities, Commodities, Municipal and
Options Principal for Carey Jamison & Company.  Mr. Steben founded
Steben & Company, Inc. in 1989. He was a registered representative of H.
Beck, Inc., a broker-dealer, until August 2002, at which time Steben &
Company, Inc. became registered as a broker dealer. Mr. Steben holds his Series
3, 5, 7, 24, 63 and 65 FINRA and NFA licenses.  Mr. Steben is a Member
of the CPO/CTA Advisory Committee to the NFA.   Mr. Steben has
been a Principal, and an Associated Person since March 15, 1989 and is a General
Securities Principal of Steben & Company, Inc.





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


36
 Table of Contents




Michael D.
Bulley is Senior Vice President of Research and Risk Management, and a
Director.  Mr. Bulley, born in 1957, received his Bachelors Degree in
Electrical Engineering from the University of Wisconsin – Madison in 1980 and
his Masters in Business Administration with a concentration in Finance from
Johns Hopkins University in 1998.  Prior to joining Steben &
Company in November 2002, Mr. Bulley was CEO of Adaptive Digital Technologies,
Inc., a telecommunications digital signal processor software development company
from October 2001 to December 2002.  From April 1999 to October 2001,
Mr. Bulley was Vice President, Telecommunications Technology for TriCapital
Corporation, a boutique investment banking and venture capital
firm.  From January 1981 to April 1999, Mr. Bulley served in various
management positions at telecommunications and satellite communications
companies, including Motorola, Loral Advanced Technology Laboratory, GTE
Spacenet, Comsat RSI and RSI (Tri-Point Global).  Mr. Bulley was a
staff instructor in financial modeling at Johns Hopkins School of Professional
Studies in Business & Education on a part time basis from January 2000 until
December 2005.  Mr. Bulley holds his Series 3, 28 and 30 FINRA and NFA
licenses.  Mr. Bulley has been a Principal and an Associated Person of
Steben & Company, Inc. since February 11, 2003 and January 18, 2003,
respectively.





Barry R.
Gainsburg is the General Partner’s General Counsel and Chief Compliance
Officer.  Mr. Gainsburg, born in 1968, received his Bachelor of Arts in
Political Science from Johns Hopkins University in 1990 and his Juris Doctorate
from Hofstra Law School in 1993. Mr. Gainsburg joined Steben & Company, Inc.
in November 2007 and became a registered Principal and Associated Person of the
firm in December 2007.  Prior to joining Steben & Company, Mr.
Gainsburg was Director of Compliance at John W. Henry & Company, Inc., a
commodity trading advisor and commodity pool operator, from March 2001 to
November 2007, as well as its affiliates Westport Capital Management
Corporation, Global Capital Management Limited and JWH Securities, Inc. 
From October 2000 through January 2001, Mr. Gainsburg was Director of Compliance
for Sterling Financial Investment Group, Inc. From March 2000 to September 2000,
Mr. Gainsburg was General Counsel and Director of Compliance at Colonial Direct
Financial Group, Inc.  From April 1999 to March 2000, Mr. Gainsburg was an
attorney at Stein, Rosenberg & Winikoff, P.A., primarily engaged in
securities related matters. From June 1996 to January 1999, Mr. Gainsburg was
Corporate Counsel and Compliance Officer at Adams, Viner & Mosler Ltd./III
Offshore Advisors. Mr. Gainsburg is admitted to practice law in the states of
New York and Florida. Mr. Gainsburg holds his Series 3, 7, 24 and 63 NFA and
FINRA licenses.





Neil D.
Menard is Director of Sales and Marketing.  Mr. Menard, born in
1967, graduated from Colby College in 1989 with a BA in political
science.  Prior to joining Steben & Company in July of 2006, Mr.
Menard was the Director of Sales for Engagement Systems, LLC, a strategic
outsource solution for independent financial advisors from October 2004 to June
of 2006.  From July 1997 to October 2004, Mr. Menard served in a
number of key positions for SEI Investments.  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. Previously, he served as an SEI
regional director with responsibility for sales and marketing activities within
the Registered Investment Advisor (“RIA”) market. He also collaborated with
clients to develop business and marketing plans, consulted with RIAs on business
issues, and worked extensively with individual and institutional
investors.  Mr. Menard holds his Series 3, 7, 24 and 63 FINRA and NFA
licenses and is a General Securities Principal.  Mr. Menard has been
an Associated Person and a Principal of Steben & Company, Inc. since August
7, 2006 and July 6, 2007, respectively.


37
 Table of Contents




Since
February 29, 2004, Steben & Company acts as general partner to another
Maryland limited partnership. Sage Fund, L.P., whose units of limited
partnership interest are not registered with the SEC.  As of March 27,
2007, Steben & Company acts as the general partner of a Delaware limited
partnership, Aspect Global Diversified Fund LP, whose units of limited
partnership interest are pending registration with the SEC pursuant to a public
offering which is anticipated to occur in the second quarter 2008. Because
Steben & Company serves as the sole general partner of both of these funds,
the officers and directors of Steben & Company effectively manage them as
officers and directors of the respective funds.





(c)  Identification
of certain significant employees





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





(d)  Family
relationships





None.





(e)  Business
experience





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





(f)  Involvement
in certain legal proceedings





None.





(g)  Promoters
and control persons





Not
applicable.




Section
16 (A) Beneficial Ownership Reporting Compliance





Section
16 of the Securities Exchange Act of 1934, as amended, requires that reports of
beneficial ownership of limited partnership units and changes in such ownership
be filed with the Securities and Exchange Commission by Section 16 “reporting
persons.”  The Fund is required to disclose in this Annual Report on
Form 10K each reporting person whom it knows to have failed to file any required
reports under Section 16 on a timely basis during the fiscal year ended December
31, 2007.  During the fiscal year ended December 31, 2007, all
reporting persons compiled with all Section 16(a) filing requirements applicable
to them.


38
 Table of Contents




Code
of Ethics





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





ITEM
11: Executive Compensation





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





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





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




ITEM
12: Security Ownership of CertainBeneficial Owners and
Management.





The Fund
has no officers or directors.  Its affairs are managed by its General
Partner, Steben & Company, Inc. Set forth in the table below is information
regarding the beneficial ownership of the officers of the Fund’s General Partner
as of December 31, 2007.  There are no securities authorized for
issuance under an equity compensation plan.





(a)           Security
ownership of certain beneficial owners.





As of
December 31, 2007, no person or “group” is known to have been the beneficial
owner of more than 5% of the Units.





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





(b)           Security
ownership of management





As of
December 31, 2007, Steben & Company did not own any Units.  The
principals of Steben & Company, owned a total of 34.50465 B Units, the value
of which represents 0.0310% of the total value of the fund.


39
 Table of Contents




As of
December 31, 2007, the directors, executive officers, and principals of the
General Partner own beneficially Units as follows.





Name
            
            Value of
      Unit
            
            
            Percentage of
      Limited PartnershipKenneth
      E. Steben
            
            $
            151,289
            
            
            
            0.0278
            %Michael
      D. Bulley
            
            
            1,092
            
            
            
            0.0002
            %Neil
      D. Menard
            
            
            16,384
            
            
            
            0.0030
            %Total
      directors and executive officers of the General Partner as a
      group
            
            $
            168,765
            
            
            
            0.0310
            %





(c)           Changes
in Control.





None.




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





The Fund
allocated to the General Partner $10,186,030 in monthly management fees and
$7,375,387 in Selling Agent commissions for the year ended December 31,
2007.  The General Partner in turn pays the Selling Agent commissions
to the Selling Agents except for units for which it served as the Selling Agent
or where there is currently no designated Selling Agent.  The General
Partners 1 percent allocation of income amounted to $250,318 for the year ended
December 31, 2007.





The Fund
will pay its accounting, audit, legal, administrative and offering expenses
estimated at approximately .67% per year.  However, if and to the
extent these expenses (other than extraordinary costs, none of which are
anticipated) exceed 1.0% of the Fund’s assets per calendar year, the General
Partner will reimburse the Fund for such excess after the close of the
applicable year.  For the years ended December 31, 2007, and 2006, the
Fund paid approximately $3,420,036 and $3,030,593 to the General Partner for
these expenses.





For the
years ended December 31, 2007 and 2006, actual operating expenses exceeded
(under) 1.0% of average month-end net assets of the Partnership by ($335,443)
and $148,806, respectively. Additionally, for the years ended December 31, 2007
and 2006, the General Partner voluntarily paid $ 1,718,767 and $1,112,845,
respectively, of operating expenses of the Partnership.





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




ITEM 14.
PRINCIPAL ACCOUNTING FEES AND SERVICES





The
following table sets forth the fees billed to the Fund for professional audit
services provided by 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, 2007 and 2006, 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.


40
 Table of Contents




FEE
      CATEGORY
            
            2007
            
            
            2006Audit
      Fees(1)
            
            $
            172,000
            
            
            $
            75,000Audit-Related
      Fees
            
            
            -
            
            
            
            -Tax
      Fees(2)
            
            
            41,000
            
            
            
            40,000All
      Other Fees
            
            
            -
            
            
            
            -TOTAL
      FEES
            
            $
            213,000
            
            
            $
            115,000







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


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




The Audit
Committee of the Fund’s general partner, Steben & Company pre-approves all
audit and permitted non-audit services of the Fund’s independent accountants,
including all engagement fees and terms. The Audit Committee of Steben &
Company approved all the services provided by McGladrey & Pullen, LLP
and RSM McGladrey, Inc. (collectively “McGladrey”) during 2007 and 2006 to the
Fund described above. The Audit Committee has determined that the payments made
to McGladrey for these services during 2007 and 2006 are compatible with
maintaining that firm’s independence.




PART
IV





ITEM
15: Exhibits, Financial StatementSchedules.





(a)(1)          Financial
Statements





Futures
Portfolio Fund, Limited Partnership





The
following are included with the 2007, 2006, and 2005 Reports of Independent
Registered Public Accounting Firms, a copy of which is filed herewith as Exhibit
13.01.





Statements
of Financial Condition as of December 31, 2007 and 2006


Condensed
Schedules of Investments as of December 31, 2007 and 2006


Statements
of Operations for the Years Ended December 31, 2007, 2006, and 2005


Statements
of Cash Flows for the Years Ended December 31, 2007, 2006, and 2005


Statements
of Changes in Partner’s Capital for the Years Ended December 31, 2007, 2006, and
2005


Notes to
Financial Statements


41
 Table of Contents




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 “Partnership”), as of December 31, 2007 and 2006, and the
related statements of operations, cash flows, and changes in partners’ capital
(net asset value) for each of the two years in the period ended December 31,
2007. These financial statements are the responsibility of the Partnership's
management. Our responsibility is to express an opinion on these financial
statements based on our audits.





We
conducted our audits in accordance with the standards of the Public Company
Accounting Oversight Board (United States).  Those standards require
that we plan and perform the audit to obtain reasonable assurance about whether
the financial statements are free of material misstatement. 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, 2007 and 2006, and the results of its operations,
cash flows, and changes in partners’ capital (net asset value) for each of the
two years in the period ended December 31, 2007, in conformity with U.S.
generally accepted accounting principles.





We were
not engaged to examine management’s assertion about the effectiveness of Futures
Portfolio Fund, Limited Partnership’s internal control over financial reporting
as of December 31, 2007 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
20, 2008


42
 Table of Contents


REPORT
OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM








To the
Partners of


Futures
Portfolio Fund, Limited Partnership





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





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





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








/s/
Altschuler, Melvoin and Glasser LLP








Chicago,
Illinois


March 21,
2006


43
 Table of Contents


Futures
Portfolio Fund, Limited Partnership


Statements
of Financial Condition


December
      31, 2007 and 2006








2007
            
            
            2006AssetsEquity
      in broker trading accountsCash
            
            $
            61,033,411
            
            
            $
            114,555,783Interest
      receivable
            
            
            239,155
            
            
            
            668,446Net
      unrealized gain on open futures contracts
            
            
            31,261,259
            
            
            
            16,301,679Deposits
      with brokers
            
            
            92,533,825
            
            
            
            131,525,908Cash
      and cash equivalents
            
            
            24,504,401
            
            
            
            55,063,952Commercial
      paper
              (cost
      - $ 392,780,866 and $186,966,935)
            
            
            396,351,403
            
            
            
            189,632,965United
      States government and government sponsored agency securities
              (cost
      - $ 48,771,500 and $132,721,765)
            
            
            49,838,000
            
            
            
            135,581,067Net
      unrealized gain (loss) on open forward currency contracts
            
            
            (973,940
            )
            
            
            13,344,592Total
      assets
            
            $
            562,253,689
            
            
            $
            525,148,484LiabilitiesAccounts
      payable — General Partner
            
            $
            888,469
            
            
            $
            725,166Commissions
      and other trading fees on open contracts
            
            
            99,972
            
            
            
            133,220General
      Partner management fee
            
            
            896,247
            
            
            
            827,470General
      Partner 1 percent allocation
            
            
            250,318
            
            
            
            347,793Advisor
      management fees
            
            
            1,353,970
            
            
            
            1,809,601Advisor
      incentive fees
            
            
            4,301,628
            
            
            
            1,652,466Selling
      agents’ fee
            
            
            646,034
            
            
            
            607,065Redemptions
      payable
            
            
            4,753,938
            
            
            
            8,411,042Subscriptions
      received in advance
            
            
            3,956,128
            
            
            
            6,574,568Total
      liabilities
            
            
            17,146,704
            
            
            
            21,088,391Partners'
      Capital (Net Asset Value)Class
      A Interests - 94,188.7078 and 91,632.3257 units outstanding at December
      31, 2007 and 2006
            
            
            364,289,314
            
            
            
            341,384,123Class
      B Interests - 36,968.6171 and 35,151.8276 units outstanding at December
      31, 2007 and 2006
            
            
            180,817,671
            
            
            
            162,675,970Total
      partners' capital (net asset value)
            
            
            545,106,985
            
            
            
            504,060,093Total
      liabilities and partners' capital
            
            $
            562,253,689
            
            
            $
            525,148,484





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


44
 Table of Contents


Futures
Portfolio Fund, Limited Partnership


Condensed
Schedule of Investments


December
      31, 2007





United StatesGovernmentSecurities








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




Commercial
Paper




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




Long Futures
Contracts**





Description
            
            Unrealized
      gain (loss) on
              open
      longcontracts
            
            
            %
      of Net
              Asset
      ValueAgricultural
            
            $
            12,384,858
            
            
            
            2.27
            %Currency
            
            
            (509,514
            )
            
            
            (0.09
            %)Energy
            
            
            9,308,530
            
            
            
            1.71
            %Interest
      Rate
            
            
            5,952,412
            
            
            
            1.09
            %Metal
            
            
            1,156,795
            
            
            
            0.21
            %Stock
      Index
            
            
            183,977
            
            
            
            0.03
            %Total
      long futures contracts
            
            $
            28,477,058
            
            
            
            5.22
            %





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


45
 Table of Contents




Futures
Portfolio Fund, Limited Partnership


Condensed
Schedule of Investments


December
      31, 2007








Short Futures
Contracts**





Description
            
            Unrealized
      gain(loss) on
              openshort
      contracts
            
            
            %
      of Net
              Asset
      ValueAgricultural
            
            $
            (92,135
            )
            
            
            (0.02
            %)Currency
            
            
            (888,121
            )
            
            
            (0.16
            %)Energy
            
            
            (1,899,737
            )
            
            
            (0.35
            %)Interest
      Rate
            
            
            699,401
            
            
            
            0.13
            %Metal
            
            
            4,059,755
            
            
            
            0.74
            %Stock
      Index
            
            
            905,038
            
            
            
            0.17
            %Total
      short futures contracts
            
            $
            2,784,201
            
            
            
            0.51
            %Total
      futures contracts
            
            $
            31,261,259
            
            
            
            5.73
            %





Forward Currency
Contracts**





Description
            
            Unrealized gain (loss)
      on
              open long/short
      contracts
            
            
            %
      of Net
              Asset
      ValueLong
      forward currency contracts
            
            $
            (1,814,218
            )
            
            
            (0.33
            %)Short
      forward currency contracts
            
            
            840,278
            
            
            
            0.15
            %Total
      forward currency contracts
            
            $
            (973,940
            )
            
            
            (0.18
            %)




* Pledged
as collateral for the trading of futures and options on futures
contracts.


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








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


46
 Table of Contents


Futures
Portfolio Fund, Limited Partnership


Condensed
Schedule of Investments


December
      31, 2006






United StatesGovernment Sponsored Agency
Securities








FaceValue
            
            MaturityDate
            Description
            
            Value
            
            
            %
      of Net
              Asset
      Value$
            40,000,000
            
            01/10/07
            Fannie
      Mae Discount Note, zero coupon
            
            $
            39,941,833
            
            
            
            7.92
            %40,000,000
            
            01/23/07
            Freddie
      Mac Discount Note, zero coupon
            
            
            39,866,345
            
            
            
            7.91
            %35,116,000
            
            02/07/07
            Fannie
      Mae Discount Note, zero coupon
            
            
            34,923,623
            
            
            
            6.93
            %21,025,000
            
            02/28/07
            Fannie
      Mae Discount Note, zero coupon
            
            
            20,849,266
            
            
            
            4.14
            %Total
      United States government sponsored agency securities (cost -
      $132,721,765)
            
            $
            135,581,067
            
            
            
            26.90
            %




Commercial
Paper




FaceValue
            
            MaturityDate
            Description
            
            Value
            
            
            %
      of Net
              Asset
      Value$
            33,363,000
            
            01/11/07
            UBS
      Finance Delaware LLC, 5.29%
            
            $
            33,309,123
            
            
            
            6.61
            %15,000,000
            
            01/16/07
            Societe
      Generale N Amer, 5.28%
            
            
            14,964,800
            
            
            
            2.97
            %35,000,000
            
            01/25/07
            Credit
      Suisse Fb USA Inc, 5.32%
            
            
            34,870,694
            
            
            
            6.92
            %40,645,000
            
            02/07/07
            Daimlerchrysler
      Na Hldg, 5.34%
            
            
            40,415,898
            
            
            
            8.02
            %26,208,000
            
            02/22/07
            Societe
      Generale N Amer, 5.17%
            
            
            26,008,521
            
            
            
            5.16
            %20,446,000
            
            05/21/07
            General
      Elec Cap Corp, 5.17%
            
            
            20,031,986
            
            
            
            3.97
            %20,488,000
            
            06/04/07
            Bank
      of America Corp, 5.17%
            
            
            20,031,943
            
            
            
            3.97
            %Total
      commercial paper(cost
      - $186,966,935)
            
            $
            189,632,965
            
            
            
            37.62
            %





Long Futures
Contracts




Description
            
            Unrealized gain (loss) on
              open long
      contracts
            
            
            %
      of Net
              Asset
      ValueAgricultural
            
            $
            929,873
            
            
            
            0.18
            %Currency
            
            
            (3,973
            )
            
            
            0.00
            %Energy
            
            
            (2,281,709
            )
            
            
            (0.45
            %)Interest
      Rate
            
            
            (1,322,155
            )
            
            
            (0.26
            %)Metal
            
            
            1,983,883
            
            
            
            0.39
            %Stock
      Index
            
            
            5,984,921
            
            
            
            1.19
            %Total
      long futures contracts
            
            $
            5,290,840
            
            
            
            1.05
            %








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


47
 Table of Contents


Futures
Portfolio Fund, Limited Partnership


Condensed
Schedule of Investments


December
      31, 2006








Short Futures
Contracts




Description
            
            Unrealized gain (loss) on
              open short
      contracts
            
            
            %
      of Net
              Asset
      ValueAgricultural
            
            $
            71,994
            
            
            
            0.01
            %Currency
            
            
            94,425
            
            
            
            0.02
            %Energy
            
            
            3,624,770
            
            
            
            0.72
            %Interest
      Rate
            
            
            7,782,306
            
            
            
            1.54
            %Metal
            
            
            (560,509
            )
            
            
            (0.11
            %)Stock
      Index
            
            
            (2,147
            )
            
            
            0.00
            %Total
      short futures contracts
            
            $
            11,010,839
            
            
            
            2.18
            %Total
      futures contracts
            
            $
            16,301,679
            
            
            
            3.23
            %




Forward Currency
Contracts




Description
            
            Unrealized gain (loss) on
              open long/short
      contracts
            
            
            %
      of Net
              Asset
      ValueLong
      forward currency contracts
            
            $
            (1,270,471
            )
            
            
            (0.25
            %)Short
      forward currency contractsUnited
      States Dollar – 03/21/07
            
            
            6,310,208
            
            
            
            1.25
            %United
      States Dollar – 03/22/07
            
            
            5,506,273
            
            
            
            1.09
            %Other
            
            
            2,817,481
            
            
            
            0.56
            %Total
      short forward currency contracts
            
            
            14,633,962
            
            
            
            2.90
            %Pending
      option premiums
            
            
            (18,899
            )
            
            
            0.00
            %Total
      forward currency contracts
            
            $
            13,344,592
            
            
            
            2.65
            %








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


48
 Table of Contents


Futures
Portfolio Fund, Limited Partnership


Statements
of Operations


Years
      Ended December 31, 2007, 2006 and
2005








2007
            
            
            2006
            
            
            2005Trading
      GainsNet
      realized gains
            
            $
            47,377,804
            
            
            $
            18,594,300
            
            
            $
            34,349,531Change
      in unrealized gains
            
            
            641,048
            
            
            
            27,906,017
            
            
            
            (4,949,127
            )Brokerage
      commissions
            
            
            (2,283,456
            )
            
            
            (1,715,388
            )
            
            
            (1,551,942
            )Net
      gains from trading
            
            
            45,735,396
            
            
            
            44,784,929
            
            
            
            27,848,462Net
      Investment LossIncomeInterest
      income
            
            
            26,770,478
            
            
            
            22,657,865
            
            
            
            10,397,655ExpensesGeneral
      Partner management fee
            
            
            10,186,030
            
            
            
            8,822,422
            
            
            
            6,106,364General
      Partner 1 percent allocation
            
            
            250,318
            
            
            
            347,793
            
            
            
            127,493Advisor
      management fees
            
            
            9,712,368
            
            
            
            8,858,211
            
            
            
            5,730,444Advisor
      incentive fee
            
            
            16,604,111
            
            
            
            4,989,571
            
            
            
            6,384,615Selling
      agents’ fee
            
            
            7,375,387
            
            
            
            6,385,159
            
            
            
            4,727,082Operating
      expenses
            
            
            4,979,458
            
            
            
            4,869,769
            
            
            
            4,120,404Total
      expenses
            
            
            49,107,672
            
            
            
            34,272,925
            
            
            
            27,196,402Operating
      expenses waived
            
            
            (1,383,324
            )
            
            
            (1,261,651
            )
            
            
            (1,572,128
            )Net
      total expenses
            
            
            47,724,348
            
            
            
            33,011,274
            
            
            
            25,624,274Net
      investment loss
            
            
            (20,953,870
            )
            
            
            (10,353,409
            )
            
            
            (15,226,619
            )Net
      Income
            
            $
            24,781,526
            
            
            $
            34,431,520
            
            
            $
            12,621,843





2007
              
              
              2006
              
              
              2005Class A
              
              
              Class B
              
              
              Class A
              
              
              Class B
              
              
              Class A
              
              
              Class BIncrease
      in Net Asset Value Per Unit
              
              $
              142.06
              
              
              $
              263.30
              
              
              $
              236.46
              
              
              $
              370.78
              
              
              $
              59.54
              
              
              $
              146.60







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


49
 Table of Contents


Futures
Portfolio Fund, Limited Partnership


Statements
of Cash Flows


Years
      Ended December 31, 2007, 2006 and
2005








2007
            
            
            2006
            
            
            2005Cash
      flows from (for) operating activitiesNet
      income
            
            $
            24,781,526
            
            
            $
            34,431,520
            
            
            $
            12,621,843Adjustments
      to reconcile net income to net cash for operating
    activitiesNet
      change in unrealized gains
            
            
            (641,048
            )
            
            
            (27,906,017
            )
            
            
            4,949,127Decrease
      in interest receivable
            
            
            429,291
            
            
            
            26,925
            
            
            
            (695,371
            )Increase
      (decrease) in accounts payable and accrued expenses
            
            
            2,431,332
            
            
            
            (78,769
            )
            
            
            3,479,185Increase
      in General Partner 1 percent allocation
            
            
            (97,475
            )
            
            
            198,477
            
            
            
            127,494Net
      purchases of commercial paper
            
            
            (206,718,438
            )
            
            
            (64,911,649
            )
            
            
            (124,721,316
            )Net
      proceeds (purchases) of investments in United States government and
      government sponsored agency securities
            
            
            85,743,067
            
            
            
            (115,749,956
            )
            
            
            26,105,384Net
      cash for operating activities
            
            
            (94,071,745
            )
            
            
            (173,989,469
            )
            
            
            (78,133,654
            )Cash
      flows from (for) financing activitiesAdditions
      of units
            
            
            86,364,306
            
            
            
            152,284,070
            
            
            
            141,771,582Subscriptions
      received in advance
            
            
            3,956,128
            
            
            
            6,574,568
            
            
            
            15,743,538Redemption
      of units
            
            
            (80,330,612
            )
            
            
            (68,706,788
            )
            
            
            (37,274,985
            )Net
      cash from financing activities
            
            
            9,989,822
            
            
            
            90,151,850
            
            
            
            120,240,135Net
      decrease in cash and cash equivalents
            
            
            (84,081,923
            )
            
            
            (83,837,619
            )
            
            
            42,106,481Cash
      and cash equivalentsBeginning
      of year
            
            
            169,619,735
            
            
            
            253,457,354
            
            
            
            211,350,873End
      of year
            
            $
            85,537,812
            
            
            $
            169,619,735
            
            
            $
            253,457,354End
      of year cash and cash equivalents consists of:Cash
      in broker trading accounts
            
            $
            61,033,411
            
            
            $
            114,555,783
            
            
            $
            198,497,253Cash
      and cash equivalents
            
            
            24,504,401
            
            
            
            55,063,952
            
            
            
            54,960,101Total
      end of year cash and cash equivalents
            
            $
            85,537,812
            
            
            $
            169,619,735
            
            
            $
            253,457,354








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


50
 Table of Contents


Futures
Portfolio Fund, Limited Partnership


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


Years
      Ended December 31, 2007, 2006 and
2005








Class A Interests
            
            
            Class B InterestsUnits
            
            
            Value
            
            
            Units
            
            
            Value
            
            
            TotalBalance
      at December 31, 2004
            
            
            56,716.3746
            
            
            $
            194,513,666
            
            
            
            14,666.9737
            
            
            $
            60,287,591
            
            
            $
            254,801,257Net
      income
            
            
            
            
            
            
            7,206,949
            
            
            
            
            
            
            
            5,414,894
            
            
            
            12,621,843Additions
            
            
            27,524.1876
            
            
            
            90,751,374
            
            
            
            14,128.3246
            
            
            
            56,326,876
            
            
            
            147,078,250Redemptions
            
            
            (8,412.2820
            )
            
            
            (27,910,430
            )
            
            
            (2,536.4068
            )
            
            
            (10,198,807
            )
            
            
            (38,109,237
            )Transfers
            
            
            (449.6833
            )
            
            
            (1,556,125
            )
            
            
            376.2402
            
            
            
            1,556,125
            
            
            
            -Balance
      at December 31, 2005
            
            
            75,378.5969
            
            
            $
            263,005,434
            
            
            
            26,635.1317
            
            
            $
            113,386,679
            
            
            $
            376,392,113Net
      income
            
            
            
            
            
            
            21,442,103
            
            
            
            
            
            
            
            12,989,417
            
            
            
            34,431,520Additions
            
            
            30,279.5071
            
            
            
            106,165,077
            
            
            
            14,353.8625
            
            
            
            61,862,531
            
            
            
            168,027,608Redemptions
            
            
            (13,508.4970
            )
            
            
            (47,448,810
            )
            
            
            (6,255.2669
            )
            
            
            (27,342,338
            )
            
            
            (74,791,148
            )Transfers
            
            
            (517.2813
            )
            
            
            (1,779,681
            )
            
            
            418.1003
            
            
            
            1,779,681
            
            
            
            -Balance
      at December 31, 2006
            
            
            91,632.3257
            
            
            $
            341,384,123
            
            
            
            35,151.8276
            
            
            $
            162,675,970
            
            
            $
            504,060,093Net
      income
            
            
            
            
            
            
            14,481,809
            
            
            
            
            
            
            
            10,299,717
            
            
            
            24,781,526Additions
            
            
            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
            
            
            $
            545,106,985








Net
      Asset Value Per UnitDecember 31, 2007
            
            
            December 31, 2006
            
            
            December 31, 2005
            
            
            December 31, 2004Class A
            
            
            Class B
            
            
            Class A
            
            
            Class
      B
            
            
            Class A
            
            
            Class B
            
            
            Class A
            
            
            Class B$
            3,867.65
            
            
            $
            4,891.11
            
            
            $
            3,725.59
            
            
            $
            4,627.81
            
            
            $
            3,489.13
            
            
            $
            4,257.03
            
            
            $
            3,429.59
            
            
            $
            4,110.43








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


51
 Table of Contents


Futures
Portfolio Fund, Limited Partnership


Notes
to the Financial Statements


Years
      Ended December 31, 2007, 2006 and
2005








Note
      1:
            ORGANIZATION AND
      SUMMARY OF SIGNIFICANT ACCOUNTING
  POLICIES





General Description of the
Partnership:





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




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





Regulation:





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





Classes of
Interests:





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





Significant
accounting policies are as follows:





Use of
Estimates:





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


52
 Table of Contents


Futures
Portfolio Fund, Limited Partnership


Notes
to the Financial Statements


Years
      Ended December 31, 2007, 2006 and
2005








Revenue
Recognition:





Futures
options on futures and forward 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 market
price) are reported in the statement of financial condition as a net gain or
loss, as there exists a right of offset of unrealized gains or losses in
accordance with Financial Accounting Standards Board Interpretation No. 39 –
Offsetting of Amounts Related
to Certain Contracts.  Any change in net unrealized gain or
loss from the preceding period is reported in the statement of
operations.  The market value of non-exchange traded contracts is
based on third-party quoted dealer values on the inter-bank
market.  United States government and government sponsored agency
securities and commercial paper are stated at cost plus accrued interest, which
approximates fair value.





Cash and Cash
Equivalents:





Cash
equivalents are highly liquid investments with an original maturity of three
months or less at the date of acquisition that are not held for sale in the
normal course of business. The Partnership is at risk to the extent that it
maintains balances with such institutions in excess of insured
limits.





Brokerage
Commissions:





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




Redemption
Payable:





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





Income
Taxes:





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





Fair Value of Financial
Instruments:





The fair
value of the Partnership’s assets and liabilities, which qualify as financial
instruments under Statement of Financial Accounting Standards No. 107, Disclosures About Fair Value of
Financial Instruments, approximates the carrying amounts presented in the
statements of financial condition.




Foreign Currency
Transactions:





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


53
 Table of Contents


Futures
Portfolio Fund, Limited Partnership


Notes
to the Financial Statements


Years
      Ended December 31, 2007, 2006 and
2005








Recent Accounting
Pronouncements:





In
September 2006, the Financial Accounting Standards Board issued Statement of
Financial Accounting Standards No. 157, Fair Value Measurements
(“SFAS No. 157”). SFAS No. 157 defines fair value, establishes a framework for
measuring fair value, and expands disclosures about fair value
measurement.  SFAS No. 157 also emphasizes that fair value is a
market-based measurement, not an entity-specific measurement, and sets out a
fair value hierarchy with the highest priority being quoted prices in active
markets.  Under SFAS No. 157, fair value measurements are disclosed by
level within that hierarchy.  This Statement is effective for fiscal
years beginning after November 15, 2007.  Subsequent to December 31,
2007, the Partnership adopted SFAS No. 157 and concluded that SFAS No. 157 will
not have a material impact on the Partnership’s financial position, results of
operations or cash flows.





Recently Adopted Accounting
Pronouncements:





In
January 2007, the Partnership adopted the Financial Accounting Standards Board
Interpretation No. 48, Accounting for Uncertainty in Income
Taxes – An Interpretation of FASB Statement No. 109 (“Fin 48”).
 This Interpretation clarifies the accounting for uncertainty in income
taxes recognized in a company’s financial statements.  FIN 48 requires
companies to determine whether it is “more likely than not” that a tax position
will be sustained upon examination by the appropriate taxing authorities before
any part of the benefit can be recorded in the financial statements.  It
also provides guidance on the recognition, measurement and classification of
income tax uncertainties, along with any related interest and penalties.
 Adoption of FIN 48 did not have a material effect on the Partnership’s
financial position or results of operations.





Note
      2:
            GENERAL
      PARTNER





The
General Partner of the Partnership is Steben & Company, Inc., which conducts
and manages the business of the Partnership.  During the years ended
December 31, 2007, 2006 and 2005, the General Partner did not maintain a capital
balance in the Partnership; however, the sole shareholder of the General Partner
has an investment in Class B Interests of the Partnership.





During
the years ended December 31, 2007, 2006 and 2005, the General Partner received
the following compensation:





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


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


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


54
 Table of Contents


Futures
Portfolio Fund, Limited Partnership


Notes
to the Financial Statements


Years
      Ended December 31, 2007, 2006 and
2005








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





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





Note
      3:
            COMMODITY TRADING
      ADVISORS





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





Note
      4:
            DEPOSITS WITH
      BROKERS





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





Note
      5:
            OPERATING
      EXPENSES





The
Partnership is responsible for all of its operating expenses such as accounting,
audit, legal, administrative, marketing and offering
expenses.  Operating expenses also include salary and administrative
costs incurred by the General Partner relating to marketing and administration
of the Partnership, such as salaries and commissions of General Partner
marketing personnel, and administrative employee salaries and related
costs.  Pursuant to the terms of the Limited Partnership Agreement,
operating expenses that exceed 1 percent of the average month-end net assets of
the Partnership are the responsibility of the General Partner.  For
the years ended December 31, 2007, 2006 and 2005, actual operating expenses
exceeded (were below) 1 percent (pro rated operating expense limitation) of
average month-end net assets of the Partnership by ($335,443), $148,806, and
$1,047,482, respectively, with such amounts included in operating expenses
waived in the statement of operations.  Additionally, during the years
ended December 31, 2007, 2006 and 2005, the General Partner voluntarily paid
$1,718,767, $1,112,845, and $524,646, respectively, of operating expenses of the
Partnership, with such amounts also included in operating expenses waived in the
statement of operations.  As of December 31, 2007, 2006 and 2005,
$888,469, $725,166, and $533,744, respectively, were payable to the General
Partner for such operating expenses not waived by the General Partner incurred
on behalf on the Partnership.  Such amounts are presented as accounts
payable in the statements of financial condition.


55
 Table of Contents


Futures
Portfolio Fund, Limited Partnership


Notes
to the Financial Statements


Years
      Ended December 31, 2007, 2006 and
2005








Note
      6:
            SUBSCRIPTIONS,
      DISTRIBUTIONS, AND
REDEMPTIONS





Investments
in the Partnership are made by subscription agreement, subject to acceptance by
the General Partner. Units are sold at the net asset value per Class A or Class
B unit as of the close of business on the last day of the month in which the
subscription is accepted. Investors whose subscriptions are accepted are
admitted as Limited Partners as of the beginning of the month following the
month in which their subscriptions were accepted.  At December 31,
2007, 2006 and 2005, the Partnership had received subscriptions of $3,956,128,
$6,574,568 and $15,743,538, respectively, which were additions to the
Partnership effective January 1, 2008, January 1, 2007 and January 1, 2006,
respectively.





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





The
General Partner may require a limited partner to redeem from the Partnership 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 Partnership or (c) necessary to comply state, federal, or
other self-regulatory organization regulations.





Note
      7:
            TRADING ACTIVITIES AND
      RELATED RISKS





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





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





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





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


56
 Table of Contents


Futures
Portfolio Fund, Limited Partnership


Notes
to the Financial Statements


Years
      Ended December 31, 2007, 2006 and
2005








The
Partnership utilizes UBS Financial Services, Inc. as its cash management
securities broker for the investment of some margin excess amounts into
short-term fixed income instruments including high grade commercial paper
(interest bearing with some credit risk), U.S. government and government
sponsored agency securities (interest bearing and credit risk free) with
durations no longer than one year. In addition, U.S. government securities are
held with Newedge Financial, Inc. The Partnership 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
Partnership’s Treasury Bills, although substantially all of the short-term
investments are held to maturity.





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





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




Futures
      Contracts
              (exchange
      traded)
            
            
            Forward
      Currency Contracts
              (non-exchange
      traded)December
      31,
              2007
            
            
            December
      31,
              2006
            
            
            December
      31,
              2005
            
            
            December
      31,
              2007
            
            
            December
      31,
              2006
            
            
            December
      31,
              2005Gross
      unrealized gains
            
            $
            41,301,339
            
            
            $
            24,068,514
            
            
            $
            16,127,549
            
            
            $
            1,944,903
            
            
            $
            21,807,092
            
            
            $
            8,821,813Gross
      unrealized losses
            
            
            (10,040,080
            )
            
            
            (7,766,835
            )
            
            
            (7,437,973
            )
            
            
            (2,918,843
            )
            
            
            (8,462,500
            )
            
            
            (15,771,135
            )Net
      unrealized gain (loss)
            
            $
            31,261,259
            
            
            $
            16,301,679
            
            
            $
            8,689,576
            
            
            $
            (973,940
            )
            
            $
            13,344,592
            
            
            $
            (6,949,322
            )





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





Note
      8:
            INDEMNIFICATIONS





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


57
 Table of Contents


Futures
Portfolio Fund, Limited Partnership


Notes
to the Financial Statements


Years
      Ended December 31, 2007, 2006 and
2005








Note
      9:
            FINANCIAL
      HIGHLIGHTS




The
following information presents per unit operating performance data and other
supplemental financial data for the years ended December 31, 2007, 2006 and
2005.  This information has been derived from information presented in
the financial statements.








2007
            
            
            2006
            
            
            2005Class
      A
            
            
            Class
      B
            
            
            Class
      A
            
            
            Class
      B
            
            
            Class
      A
            
            
            Class
      BInterests
            
            
            Interests
            
            
            Interests
            
            
            Interests
            
            
            Interests
            
            
            InterestsPer
      Unit Performance
              (for a unit
      outstanding throughout the entire year)Net
      asset value per unit at beginning of year
            
            $
            3,725.59
            
            
            $
            4,627.81
            
            
            $
            3,489.13
            
            
            $
            4,257.03
            
            
            $
            3,429.59
            
            
            $
            4,110.43Income
      from operations:Gain
      from trading (1)
            
            
            314.98
            
            
            
            395.22
            
            
            
            340.44
            
            
            
            418.38
            
            
            
            242.28
            
            
            
            294.60Net
      investment loss (1)
            
            
            (172.92
            )
            
            
            (131.92
            )
            
            
            (103.98
            )
            
            
            (47.60
            )
            
            
            (182.74
            )
            
            
            (148.00
            )Total
      income from operations
            
            
            142.06
            
            
            
            263.30
            
            
            
            236.46
            
            
            
            370.78
            
            
            
            59.54
            
            
            
            146.60Net
      asset value per unit at end of year
            
            $
            3,867.65
            
            
            $
            4,891.11
            
            
            $
            3,725.59
            
            
            $
            4,627.81
            
            
            $
            3,489.13
            
            
            $
            4,257.03Total
      Return
            
            
            3.81
            %
            
            
            5.69
            %
            
            
            6.78
            %
            
            
            8.71
            %
            
            
            1.74
            %
            
            
            3.57
            %Supplemental
      dataRatios
      to average net asset value:Expenses
      prior to advisor incentive fees (2),
      (3)
            
            
            6.65
            %
            
            
            4.83
            %
            
            
            6.96
            %
            
            
            5.16
            %
            
            
            6.78
            %
            
            
            5.02
            %Advisor
      incentive fees
            
            
            3.24
            %
            
            
            3.22
            %
            
            
            1.14
            %
            
            
            1.12
            %
            
            
            2.09
            %
            
            
            2.10
            %Total
      expenses
            
            
            9.89
            %
            
            
            8.05
            %
            
            
            8.10
            %
            
            
            6.28
            %
            
            
            8.87
            %
            
            
            7.12
            %Net
      investment loss (2),
      (3)
            
            
            (4.68
            %)
            
            
            (2.85
            %)
            
            
            (2.96
            %)
            
            
            (1.10
            %)
            
            
            (5.48
            %)
            
            
            (3.66
            %)








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


58
 Table of Contents


Futures
Portfolio Fund, Limited Partnership


Notes
to the Financial Statements


Years
      Ended December 31, 2007, 2006 and
2005








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





(2)   
 All of the ratios under the supplemental data are computed net of
voluntary and involuntary waivers of operating expenses.  For 2007,
2006 and 2005, the ratios are net of approximately 0.33%, 0.25% and 0.16%
respectively, of average net asset value relating to the voluntary waiver of
operating expenses. Both the nature and the amounts of the waivers are more
fully explained in Note 5.





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




Also
included herewith:




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





(b)      
Exhibits.





The
following exhibits are filed herewith.





Exhibit
      Number
            Description of
      Document1.1
            Form
      of Selling Agreement.*3.1
            Maryland
      Certificate of Limited Partnership.*4.1
            Limited
      Partnership Agreement.*10.1
            Form
      of Subscription Agreement. *13.01
            Annual
      Report to Security Holders16.1
            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 Securities Exchange Act of 1934 as amended.


59
 Table of Contents


SIGNATURES





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





Name
            Title
            Date/s/ Kenneth E. Steben
              Kenneth
      E. Steben
            President,
      Chief Executive Officer and Director
            March
      28, 2008/s/ Ahmed S. Hassanein
              Ahmed
      S. Hassanein
            Chief
      Operating Officer, Chief Financial Officer and Director
            March
      28, 2008/s/ Michael Bulley
              Michael
      D. Bulley
            Senior
      Vice President, Research & Risk Management and
Director
            March
      28, 2008








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 28, 2008
            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





60