SECURITIES AND EXCHANGE COMMISSION
                            Washington, D.C. 20549

                                  FORM 10-K/A
                               (Amendment No. 1)

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

                 For the fiscal year ended December 31, 2006

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

                        Commission File number 0-16898

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

                       ProFutures Diversified Fund, L.P.

              ---------------------------------------------------
              (Exact name of Partnership as specified in charter)


       Delaware                                         75-2197831
--------------------------               --------------------------------------
(State of organization)                   (I.R.S. Employer Identification No.)

                               ProFutures, Inc.
                              11719 Bee Cave Road
                                   Suite 200
                              Austin, Texas 78738

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

                   (Address of principal executive offices)
                        Partnership's telephone number
                                (800) 348-3601

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

Securities registered pursuant
 to Section 12(b) of the Act

    Title of each class.            Name of each exchange on which registered.

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

          Securities registered pursuant to Section 12(g) of the Act

                     Units of Limited Partnership Interest
                     -------------------------------------
                               (Title of Class)

Indicate by check mark whether the Partnership (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
Partnership was required to file such reports), and (2) has been subject to
such filing requirements for the past 90 days.

Yes |X| No |_|

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

|X|

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

Large accelerated filer |_| Accelerated Filer |_| Non-accelerated filer |X|

State the aggregate market value of the voting and non-voting stock held by
non-affiliates computed by reference to the price at which the stock was last
sold, or the average bid and asked prices of such stock, as of the last
business day of the registrant's most recently completed second fiscal
quarter. (See definition of affiliate in Rule 405, 17 CFR 230.405.)


                                    Page 1
<PAGE>

Not applicable

                      DOCUMENTS INCORPORATED BY REFERENCE

Registrant's Financial Statements for the Years ended December 31, 2006, 2005
and 2004 with Reports of Independent Registered Public Accounting Firms, the
annual report to securities holders for the fiscal year ended December 31,
2006, is incorporated by reference into Part IV hereof and filed as an exhibit
herewith. Portions of the Registrant's Prospectus dated July 31, 1994 and
Supplement dated January 31, 1995 Post-Effective Amendment No. 3 dated June 23,
1995 also are incorporated by reference in Part IV of this Form 10-K/A.


                                    Page 2
<PAGE>

                               EXPLANATORY NOTE

There was an inadvertent omission of a portion of the Partnership's Condensed
Schedule of Investments included as part of Exhibit 13.1 of the Partnership's
Form 10-K for the year ended December 31, 2006 that was originally filed with
the Securities and Exchange Commission on April 2, 2007. The portion omitted
has been included in the Condensed Schedule of Investments attached hereto as
Exhibit 13.1 to this Form 10-K/A.

Except as required to reflect the item described above, no attempt has been
made in this Form 10-K/A to modify or update disclosures in the original
report on Form 10-K (the "Original Form 10-K"). This Form 10-K/A does not
reflect events occurring after the filing of the Original Form 10-K or modify
or update any related disclosures. Information not affected by the amendment
is unchanged and reflects the disclosure made at the time of the filing of the
Original Form 10-K with the Securities and Exchange Commission on April 2,
2007. Accordingly, this form 10-K/A should be read in conjunction with the
Original Form 10-K and the Fund's filings made with the Securities and
Exchange Commission subsequent to the filing of the Original 10-K.


                                    Page 3
<PAGE>

                                    PART IV

Item 15.        Exhibits and Financial Statement Schedules.

      (a)(1) Financial Statements.

            The following are included with the 2006 Report of Independent
            Registered Public Accounting Firm, a copy of which is filed
            herewith as Exhibit 13.1

            Affirmation of ProFutures, Inc.
            Report of Independent Registered Public Accounting Firm
            Statements of Financial Condition
            Condensed Schedules of Investments
            Statements of Operations
            Statements of Changes in Partners' Capital
            Notes to Financial Statements


      (a)(2) Schedules are omitted for the reason that all required
             information is contained in the financial statements included in
             (a)(1) above or are not applicable.

      (a)(3) Exhibits as required by Item 601 of Regulation S-K.

            *1.1  Form of Selling Agreement between the Partnership and
                  ProFutures Financial Group, Inc.
            *1.2  Form of Additional Selling Agents Agreement between
                  ProFutures Financial Group, Inc. and certain Additional
                  Selling Agents.
            *3.1  Agreement of Limited Partnership (attached to the Prospectus
                  as Exhibit A).
            *3.2  Subscription Agreement and Power of Attorney (attached to
                  the Prospectus as Exhibit B).
            *3.3  Request for Redemption Form (attached to the Prospectus as
                  Exhibit C).
            *5.1  Opinion of Counsel as to the legality of the Units.
            *8.1  Tax Opinion of Counsel.
            *10.4 Form of Consulting Agreement between the Registrant and
                  Kenmar Global Strategies Inc.
            *10.6 Form of Amended and Restated Stock Subscription Agreement by
                  and between ABN AMRO Incorporated and ProFutures, Inc.

      (b)   Exhibits.

            13.1  2006 Report of Independent Registered Public Accounting
                  Firm.

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

*     The foregoing forms of exhibits were filed in the April 6, 1987
      Registration Statement No. 33-13008 and/or Post-Effective Amendment No.
      1 thereto filed March 11, 1988, and/or the June 5, 1991 Registration
      Statement No. 33-41073, and/or Pre-Effective Amendment No. 1 thereto
      filed August 8, 1991, and/or Post-Effective Amendment No. 1 thereto
      filed March 26, 1992; and/or the October 14, 1992 Registration Statement
      No. 33-53324, and/or the November 17, 1992 Pre-effective Amendment No. 1
      thereto and/or the July 2, 1993 Registration Statement No. 33-65596,
      and/or the Pre-Effective Amendment No. 1 thereto filed August 16, 1993,
      and Supplement dated December 3, 1993, Post-Effective Amendment No. 2
      thereto filed June 30, 1994 and Supplement dated January 31, 1995,
      and/or Post-Effective Amendment No. 3 dated June 23 1995; and/or Form
      10-K for the year ended 2001; and/or Form 10-Q for the quarter ended
      June 30, 2002. Accordingly, such exhibits are incorporated herein by
      reference and notified herewith.


                                    Page 4
<PAGE>

            31.01 Certification of Gary D. Halbert, President, pursuant to
                  Rules 13a-14 and 15d-14 of the Securities Exchange Act of
                  1934.

            31.02 Certification of Debi B. Halbert, Chief Financial Officer,
                  pursuant to Rules 13a-14 and 15d-14 of the Securities
                  Exchange Act of 1934.

            32.01 Certification of Gary D. Halbert, President, pursuant to 18
                  U.S.C. Section 1350 as enacted by Section 906 of The
                  Sarbanes-Oxley Act of 2002.

            32.02 Certification of Debi B. Halbert, Chief Financial Officer,
                  pursuant to 18 U.S.C. Section 1350 as enacted by Section 906
                  of The Sarbanes-Oxley Act of 2002.

      (c)   Financial Statement Schedules.

            Not Applicable or information included in the financial
            statements.


                                    Page 5
<PAGE>

                                  SIGNATURES






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



                            PROFUTURES DIVERSIFIED FUND, L.P.
                            (Partnership)



April 26, 2007              By /s/ GARY D. HALBERT
--------------------           ---------------------------------------------
Date                              Gary D. Halbert, President and Director
                                  ProFutures, Inc.
                                  General Partner



April 26, 2007              By /s/ DEBI B. HALBERT
--------------------           ---------------------------------------------
Date                              Debi B. Halbert, Chief Financial Officer,
                                      Treasurer and Director
                                  ProFutures, Inc.
                                  General Partner


                                    Page 6
<PAGE>

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
registrant in the capacities and on the dates indicated.



April 26, 2007               By /s/ GARY D. HALBERT
---------------------           ---------------------------------------------
Date                               Gary D. Halbert, President and Director
                                   ProFutures, Inc.
                                   General Partner



April 26, 2007               By /s/ DEBI B. HALBERT
---------------------           ---------------------------------------------
Date                               Debi B. Halbert, Chief Financial Officer,
                                       Treasurer and Director
                                   ProFutures, Inc.
                                   General Partner


                                    Page 7
<PAGE>

                       PROFUTURES DIVERSIFIED FUND, L.P.

                                 ANNUAL REPORT

                               December 31, 2006

<PAGE>

                       PROFUTURES DIVERSIFIED FUND, L.P.



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

                               TABLE OF CONTENTS
                            ----------------------


                                                                          PAGES
                                                                          -----


Affirmation of the Commodity Pool Operator                                    1

Report of Independent Registered Public Accounting Firm                       2

Report of Independent Registered Public Accounting Firm                       3

Financial Statements

    Statements of Financial Condition                                         4

    Condensed Schedules of Investments                                        5

    Statements of Operations                                                  7

    Statements of Changes in Partners' Capital (Net Asset Value)              8

    Notes to Financial Statements                                        9 - 16

<PAGE>

                       PROFUTURES DIVERSIFIED FUND, L.P.
                  AFFIRMATION OF THE COMMODITY POOL OPERATOR

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













To the best of the knowledge and belief of the undersigned, the information
contained in the Annual Report for the year ended December 31, 2006 is
accurate and complete.







                                           /s/ Gary D. Halbert
                                           -----------------------------------
                                           Gary D. Halbert, President
                                           ProFutures, Inc.
                                           PROFUTURES DIVERSIFIED FUND, L.P.


                                    - 1 -
<PAGE>

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


To the Partners
ProFutures Diversified Fund, L.P.

We have audited the accompanying statements of financial condition of
ProFutures Diversified Fund, L.P., including the condensed schedules of
investments, as of December 31, 2006 and 2005, and the related statements of
operations and changes in partners' capital (net asset value) for the years
ended December 31, 2006 and 2005. 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. The
Partnership has an investment in Winton Futures Fund at December 31, 2006. The
value of the investment at December 31, 2006 of $9,338,122 is derived from
financial statements audited by other auditors whose reports haven been
furnished to us, and our opinion, insofar as it relates to the investment, is
based primarily on the reports of such other auditors.

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 audits to obtain reasonable assurance about whether the
financial statements are free of material misstatement. The Partnership is not
required to have, nor were we engaged to perform, an audit of its internal
control over financial reporting. Our audits included consideration of
internal control over financial reporting as a basis for designing audit
procedures that are appropriate in the circumstances, but not for the purpose
of expressing an opinion on the effectiveness of the Partnership's internal
control over financial reporting. Accordingly, we express no such opinion. An
audit also includes examining, on a test basis, evidence supporting the
amounts and disclosures in the financial statements, 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 ProFutures Diversified Fund,
L.P. as of December 31, 2006 and 2005, and the results of its operations and
the changes in its net asset values for the years ended December 31, 2006 and
2005, in conformity with accounting principles generally accepted in the
United States of America.




/s/ KBA Group LLP
Dallas, Texas
April 2, 2007


                                    - 2 -
<PAGE>

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


To the Partners
ProFutures Diversified Fund, L.P.


We have audited the accompanying statement of operations and changes in
partners' capital (net asset value) of ProFutures Diversified Fund, L.P. for
the year ended December 31, 2004. 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. The Partnership is not
required to have, nor were we engaged to perform, an audit of its internal
control over financial reporting. Our audit included consideration of internal
control over financial reporting as a basis for designing audit procedures
that are appropriate in the circumstances, but not for the purpose of
expressing an opinion on the effectiveness of the Partnership's internal
control over financial reporting. Accordingly, we express no such opinion. An
audit includes examining, on a test basis, evidence supporting the amounts and
disclosures in the financial statements. An audit also includes assessing the
accounting principles used and significant estimates made by management, as
well as evaluating the overall financial statement presentation. We believe
that our 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 and the changes in net asset
value of ProFutures Diversified Fund, L.P. for the year ended December 31,
2004, in conformity with U.S. generally accepted accounting principles.


                 /s/ ARTHUR F. BELL, JR. & ASSOCIATES, L.L.C.


Hunt Valley, Maryland
March 24, 2005


                                    - 3 -
<PAGE>

                       PROFUTURES DIVERSIFIED FUND, L.P.
                       STATEMENTS OF FINANCIAL CONDITION
                          December 31, 2006 and 2005
                             --------------------


<TABLE>
<CAPTION>
                                                                    2006           2005
                                                               ------------   ------------
<S>                                                            <C>            <C>
ASSETS
    Equity in broker trading accounts
        Cash                                                   $ 13,325,595   $ 22,398,315
        Option premiums (received) paid                             (63,125)        23,550
        Unrealized gain (loss) on open contracts                    483,877       (761,849)
                                                               ------------   ------------

                Deposits with broker                             13,746,347     21,660,016

    Cash                                                              3,204          2,648
    Cash deposits in forward trading collateral accounts          5,412,319     10,674,912
    Net premiums paid on options
        on forward currency contracts                                 3,294              -
    Unrealized gain (loss) on open forward currency contracts       371,164       (326,881)
    Investment in Winton Futures Fund, L.P. (US)                  9,338,122              -
                                                               ------------   ------------

                Total assets                                   $ 28,874,450   $ 32,010,695
                                                               ============   ============

LIABILITIES
    Accounts payable                                           $     54,006   $     51,071
    Commissions and other trading fees
        on open contracts                                             5,951         40,880
    Incentive fees payable                                           62,651        296,921
    Management fees payable (includes $89,607 and $98,289
        payable to the General Partner at December 31, 2006
        and 2005, respectively)                                     238,977        280,502
    Redemptions payable                                             338,753        400,683
                                                               ------------   ------------

                Total liabilities                                   700,338      1,070,057
                                                               ------------   ------------

PARTNERS' CAPITAL (Net Asset Value)
    General Partner - 187 units outstanding
        at December 31, 2006 and 2005                               592,117        560,244
    Limited Partners - 8,716 and 10,147 units
        outstanding at December 31, 2006 and 2005                27,581,995     30,380,394
                                                               ------------   ------------

                Total partners' capital
                    (Net Asset Value)                            28,174,112     30,940,638
                                                               ------------   ------------

                                                               $ 28,874,450   $ 32,010,695
                                                               ============   ============
</TABLE>

                            See Accompanying Notes.


                                    - 4 -
<PAGE>

                       PROFUTURES DIVERSIFIED FUND, L.P.
                       CONDENSED SCHEDULE OF INVESTMENTS
                          December 31, 2006 and 2005

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

<TABLE>
<CAPTION>
LONG FUTURES CONTRACTS                                                 2006                           2005
----------------------                                      ---------------------------    ---------------------------
    Description                                                              % of Net                       % of Net
    -----------                                                 Value       Asset Value       Value        Asset Value
                                                            ------------   ------------    ------------   ------------

<S>                                                         <C>                   <C>      <C>                    <C>
    Agricultural                                            $       (480)         (0.00)%  $    119,327           0.38%
    Currency                                                          38           0.00%        (35,303)         (0.11)%
    Energy                                                       (99,060)         (0.35)%       (93,005)         (0.30)%
    Interest rate                                                (50,146)         (0.18)%       293,053           0.95%
    Metal (1)                                                    (18,666)         (0.07)%    15,167,433          49.01%
    Stock index                                                  193,440           0.69%        (26,086)         (0.08)%
                                                            ------------   ------------    ------------   ------------

    Total long futures contracts                            $     25,126           0.09%   $ 15,425,419          49.85%
                                                            ------------   ------------    ------------   ------------

SHORT FUTURES CONTRACTS
-----------------------
    Description
    Agricultural                                            $        213           0.00%   $    (89,987)         (0.29)%
    Currency                                                      62,245           0.22%        (30,428)         (0.10)%
    Energy                                                        18,760           0.07%        (33,372)         (0.11)%
    Interest rate                                                333,242           1.18%        185,871           0.60%
    Metal (2)                                                     33,416           0.12%    (16,231,246)        (52.45)%
    Stock index                                                        -           0.00%         16,694           0.05%
                                                            ------------   ------------    ------------   ------------

    Total short futures contracts                           $    447,876           1.59%    (16,182,468)        (52.30)%
                                                            ------------   ------------    ------------   ------------
    Total futures contracts                                 $    473,002           1.68%   $   (757,049)         (2.45)%
                                                            ============   ============    ============   ============

PURCHASED OPTIONS ON FUTURES CONTRACTS
--------------------------------------
    Agricultural options                                    $          -           0.00%   $      5,550           0.02%
    Energy options                                                     -           0.00%         13,200           0.04%
                                                            ------------   ------------    ------------   ------------

    Total purchased options on futures contracts (premiums
    paid - $0 and $23,550, respectively)                    $          -           0.00%   $     18,750           0.06%
                                                            ============   ============    ============   ============

WRITTEN OPTIONS ON FUTURES CONTRACTS
------------------------------------
    Stock index                                             $    (52,250)         (0.19)%  $          -           0.00%
                                                            ------------   ------------    ------------   ------------

    Total written options on futures contracts (premiums
    received - $63,125 and $0, respectively)                $    (52,250)         (0.19)%  $          -           0.00%
                                                            ============   ============    ============   ============
</TABLE>

(1)   As of December 31, 2005, there were certain long metal futures contracts
      with an aggregate value above 5% of Net Asset Value, consisting of 903
      LME aluminum futures contracts, expiration dates 1/06 - 12/09, at a
      value of $4,729,465 (15.28% of Net Asset Value) and 715 LME copper
      futures contracts, expiration dates 1/06 - 12/08, at a value of
      $9,524,486 (30.78% of Net Asset Value).

(2)   As of December 31, 2005, there were certain short metal futures
      contracts with an aggregate value above 5% of Net Asset Value,
      consisting of 883 LME aluminum futures contracts, expiration dates 1/06
      - 12/09, at a value of $(5,296,278) (17.12% of Net Asset Value) and 708
      LME copper futures contracts, expiration dates 1/06 - 12/08, at a value
      of $(10,252,843) (33.14% of Net Asset Value).


                                    - 5 -
<PAGE>

                       PROFUTURES DIVERSIFIED FUND, L.P.
                 CONDENSED SCHEDULE OF INVESTMENTS (CONTINUED)
                          December 31, 2006 and 2005
                             --------------------

<TABLE>
<CAPTION>
FORWARD CURRENCY CONTRACTS                                                  2006                          2005
--------------------------                                      ---------------------------    ---------------------------
                                                                                 % of Net                       % of Net
     Description                                                    Value       Asset Value       Value        Asset Value
     -----------                                                ------------   ------------    ------------   ------------
<S>                                                             <C>                   <C>      <C>                   <C>
     Long forward currency contracts                            $   (255,674)         (0.91)%  $   (333,740)         (1.08)%

     Short forward currency contracts                                625,493           2.22%          6,859           0.02%
                                                                ------------   ------------    ------------   ------------
     Total forward currency contracts                           $    369,819           1.31%   $   (326,881)         (1.06)%
                                                                ============   ============    ============   ============

PURCHASED OPTIONS ON FORWARD CURRENCY CONTRACTS
-----------------------------------------------
     Purchased options on forward currency contracts (premiums
     paid - $7,747 and $0, respectively)                        $      8,911           0.03%   $          0              0%
                                                                ------------   ------------    ------------   ------------

WRITTEN OPTIONS ON FORWARD CURRENCY CONTRACTS
---------------------------------------------
     Written options on forward currency contracts (premiums
     received - $4,453 and
     $0, respectively)                                          $     (4,272)         (0.02)%  $          0              0%
                                                                ------------   ------------    ------------   ------------

INVESTMENT IN WINTON FUTURES FUND, L.P. (US)
--------------------------------------------

     Description
     -----------

     Winton Futures Fund, L.P. (US) - Class B Interests
          Investment Objective
              To achieve capital appreciation by
     trading U.S. and Non U.S. futures contracts
          Redemption Provisions
              Monthly, with 15 days notice                      $  9,338,122          33.14%   $          0              0%
                                                                ------------   ------------    ------------   ------------
</TABLE>


                                    - 6 -
<PAGE>

                       PROFUTURES DIVERSIFIED FUND, L.P.
                           STATEMENTS OF OPERATIONS
             For the Years Ended December 31, 2006, 2005 and 2004

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


<TABLE>
<CAPTION>
                                                                   2006           2005           2004
                                                               ------------   ------------   ------------
<S>                                                            <C>            <C>            <C>
TRADING GAINS (LOSSES)
    Gain (loss) from futures and options on futures trading
        Realized                                               $  2,245,198   $  6,184,059   $  6,744,693
        Change in unrealized                                      1,245,726     (1,275,765)    (1,502,106)
        Brokerage commissions                                      (778,830)    (1,141,416)      (856,269)
                                                               ------------   ------------   ------------

        Gain from futures and options on futures trading          2,712,094      3,766,878      4,386,318
                                                               ------------   ------------   ------------

        Realized gain from investment in physical commodities             -        580,729              -
                                                               ------------   ------------   ------------

    Gain (loss) from trading of forward currency contracts
         and options on forward currency contracts
        Realized                                                   (691,720)     1,320,214        805,336
        Change in unrealized                                        698,045        (47,561)      (882,202)
                                                               ------------   ------------   ------------

       Gain (loss) from forward currency contracts
        and options on forward currency contracts                     6,325      1,272,653        (76,866)
                                                               ------------   ------------   ------------
    Change in unrealized gain from investment
    in Winton Futures Fund, L.P. (US)                               398,122              -              -
                                                               ------------   ------------   ------------

                Total trading gains                               3,116,541      5,620,260      4,309,452
                                                               ------------   ------------   ------------

NET INVESTMENT INCOME (LOSS)
    Income
        Interest income                                           1,292,259        882,295        442,893
                                                               ------------   ------------   ------------

    Expenses
        Incentive fees                                              530,112        849,102      1,138,118
        Management fees  (includes $1,128,704,
            $1,201,191, $1,050,783 charged by the
            General Partner for the years ended December 31,
            2006, 2005, and 2004, respectively)                   1,944,002      2,118,910      2,160,170
        Operating expenses                                          325,870        268,468        202,142
                                                               ------------   ------------   ------------

                Total expenses                                    2,799,984      3,236,480      3,500,430
                                                               ------------   ------------   ------------

                Net investment (loss)                            (1,507,725)    (2,354,185)    (3,057,537)
                                                               ------------   ------------   ------------

                NET INCOME                                     $  1,608,816   $  3,266,075   $  1,251,915
                                                               ============   ============   ============

NET INCOME PER GENERAL
    AND LIMITED PARTNER UNIT
        (based on weighted average number of
        units outstanding during the year of
        9,746, 11,174 and 12,454, respectively)                $     165.07   $     292.29   $     100.52
                                                               ============   ============   ============

INCREASE IN NET ASSET VALUE
    PER GENERAL AND LIMITED
    PARTNER UNIT                                               $     170.33   $     294.10   $     101.44
                                                               ============   ============   ============
</TABLE>

                            See accompanying notes.


                                    - 7 -
<PAGE>

                       PROFUTURES DIVERSIFIED FUND, L.P.
         STATEMENTS OF CHANGES IN PARTNERS' CAPITAL (NET ASSET VALUE)
             For the Years Ended December 31, 2006, 2005 and 2004

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

<TABLE>
<CAPTION>
                                   Total                 Partners' Capital
                                 Number of    ------------------------------------------
                                   Units         General       Limited          Total
                               ------------   ------------   ------------   ------------

<S>                            <C>            <C>            <C>            <C>
Balances at December 31, 2003        12,941   $    584,564   $ 33,041,117   $ 33,625,681

Net income for the year
    ended December 31, 2004                         22,820      1,229,095      1,251,915

Redemptions                          (1,059)             -     (2,795,943)    (2,795,943)
                               ------------   ------------   ------------   ------------

Balances at December 31, 2004        11,882        607,384     31,474,269     32,081,653
Net income for the year
    ended December 31, 2005                         52,860      3,213,215      3,266,075

Redemptions                          (1,548)      (100,000)    (4,307,090)    (4,407,090)
                               ------------   ------------   ------------   ------------

Balances at December 31, 2005        10,334        560,244     30,380,394     30,940,638
Net income for the year
    ended December 31, 2006                         31,873      1,576,943      1,608,816

Redemptions                          (1,431)             -     (4,375,342)    (4,375,342)
                               ------------   ------------   ------------   ------------

Balances at December 31, 2006         8,903   $    592,117   $ 27,581,995   $ 28,174,112
                               ============   ============   ============   ============

                                            Net Asset Value Per Unit
                               ---------------------------------------------------------

                                             December 31,

                                   2006           2005           2004
                               ------------   ------------   ------------
                               $   3,164.35   $   2,994.02   $   2,699.92
                               ============   ============   ============
</TABLE>


                            See accompanying notes.


                                    - 8 -
<PAGE>

                       PROFUTURES DIVERSIFIED FUND, L.P.
                   NOTES TO FINANCIAL STATEMENTS (CONTINUED)

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

Note 1.     ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES

            A.    General Description of the Partnership

                  ProFutures Diversified Fund, L.P. (the Partnership) is a
                  Delaware limited partnership, which operates as a commodity
                  investment pool. The Partnership engages in the speculative
                  trading of futures contracts, options on futures contracts,
                  physical commodities, interbank forward currency contracts
                  and options on interbank forward currency contracts. The
                  Partnership closed to investors in 1995 and will terminate
                  at the end of December 2012, at which time the remaining
                  assets will be distributed.

            B.    Regulation

                  As a registrant with the Securities and Exchange Commission,
                  the Partnership is subject to the regulatory requirements
                  under the Securities Act of 1933 and the Securities Exchange
                  Act of 1934. As a commodity investment 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, Futures Commission
                  Merchants (brokers), and interbank market makers through
                  which the Partnership trades.

            C.    Method of Reporting

                  The Partnership's financial statements are presented in
                  accordance with accounting principles generally accepted in
                  the United States of America, which require the use of
                  certain estimates made by the Partnership's management.

                  For purposes of both financial reporting and calculation of
                  redemption value, Net Asset Value per Unit is calculated by
                  dividing Net Asset Value by the total number of units
                  outstanding.

            D.    Use of Estimates

                  The preparation of financial statements in conformity with
                  accounting principles generally accepted in the United
                  States of America 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 revenues and expenses during the
                  reporting periods. Actual results could differ from the
                  estimates and assumptions utilized.

            E.    Cash and Cash Equivalents

                  Cash and cash equivalents includes cash and investments in
                  money market mutual funds.


                                    - 9 -
<PAGE>

                       PROFUTURES DIVERSIFIED FUND, L.P.
                   NOTES TO FINANCIAL STATEMENTS (CONTINUED)

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

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

            F.    Futures and Forward Currency Contracts

                  Transactions are accounted for on the trade date. 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 reflected
                  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.

            G.    Physical Commodities

                  Physical commodities are stated at the market price on the
                  valuation date. Transactions are recorded on the trade date.
                  Realized gains and losses from physical commodity
                  transactions are determined using the identified cost
                  method. Any change in net unrealized gain or loss from the
                  preceding period is reported in the statement of operations.
                  Storage fees, sales commissions and delivery charges are
                  reflected as an adjustment to cost or proceeds at the time
                  of the transaction.

            H.    Income Taxes

                  The Partnership prepares calendar year U.S. and applicable
                  state information tax returns and reports to the partners
                  their allocable shares of the Partnership's income, expenses
                  and trading gains or losses.

            I.    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.

           J.     Investment in Winton Futures Fund, L.P. (US)

                  The Partnership's investment in Winton Futures Fund, L.P.
                  (US) is reported in the statement of financial condition at
                  fair value. Fair value ordinarily is the value determined by
                  Winton Futures Fund, L.P. (US) in accordance with its
                  valuation policies and as reported by their management at
                  the time of the Partnership's valuation. Generally, the fair
                  value of the Partnership's investment in Winton Futures
                  Fund, L.P. (US) represents the amount that the Partnership
                  could reasonably expect to receive from Winton Futures Fund,
                  L.P. (US) if the Partnership's investment was redeemed at
                  the time of valuation, based on information reasonably
                  available at the time the valuation is made and that the
                  Partnership believes to be reliable.


                                    - 10 -
<PAGE>

                       PROFUTURES DIVERSIFIED FUND, L.P.
                   NOTES TO FINANCIAL STATEMENTS (CONTINUED)

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

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

            K.    Redemptions of Units

                  Redemptions payable at December 31, 2006 represents
                  redemptions approved by the General Partner prior to January
                  1, 2007, which are not effective until January 2, 2007.

            L.    Brokerage Commissions

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

            M.    Statements of Cash Flows

                  The Partnership has elected not to provide statements of
                  cash flows as permitted by Statement of Financial Accounting
                  Standards No. 102 - "Statement of Cash Flows - Exemption of
                  Certain Enterprises and Classification of Cash Flows from
                  Certain Securities Acquired for Resale."

            N.    Recently Issued Accounting Pronouncements

                  In July 2006, the Financial Accounting Standards Board
                  (FASB) issued Interpretation No. 48 (FIN 48) entitled
                  "Accounting For Uncertainty in Income Taxes - an
                  interpretation of FASB Statement No. 109." FIN 48 prescribes
                  the minimum recognition threshold a tax position must meet
                  in connection with accounting for uncertainties in income
                  tax positions taken or expected to be taken by an entity
                  before being measured and recognized in the financial
                  statements. Adoption of FIN 48 is required for fiscal years
                  beginning after December 15, 2006. The implementation of FIN
                  48 is not expected to have a material impact on the
                  Partnership's financial statements.

                  In September 2006, FASB issued Statement of Financial
                  Accounting Standards No. 157, "Fair Value Measurements" (FAS
                  157). FAS 157 defines fair value, establishes a framework
                  for measuring fair value in accounting principles generally
                  accepted in the United States of America, and expands
                  disclosures about fair value measurements. While FAS 157
                  does not require any new fair value measurements, for some
                  entities, the application of FAS 157 may change current
                  practice. FAS 157 is effective for financial statements
                  issued for fiscal years beginning after November 15, 2007,
                  and interim periods within those fiscal years. The
                  implementation of FAS 157 is not expected to have a material
                  impact on the Partnership's financial statements.


                                    - 11 -
<PAGE>
                       PROFUTURES DIVERSIFIED FUND, L.P.
                   NOTES TO FINANCIAL STATEMENTS (CONTINUED)

                                ---------------
Note 2.     GENERAL PARTNER

            The General Partner of the Partnership is ProFutures, Inc., which
            conducts and manages the business of the Partnership. The
            Agreement of Limited Partnership requires the General Partner to
            contribute to the Partnership an amount in the aggregate equal to
            at least the greater of (i) 3% of the aggregate initial capital
            contributions of all partners or $100,000, whichever is less, or
            (ii) 1% of the aggregate initial capital contributions of all
            partners.

            The Agreement of Limited Partnership also requires that the
            General Partner maintain in the aggregate a net worth at least
            equal to (i) the lesser of $250,000 or 15% of the aggregate
            initial capital contributions of any limited partnerships for
            which it acts as general partner and which are capitalized at less
            than $2,500,000; and (ii) 10% of the aggregate initial capital
            contributions of any limited partnerships for which it acts as
            general partner and which are capitalized at greater than
            $2,500,000.

            Effective October 22, 2004, ProFutures, Inc. has a callable stock
            subscription agreement with Man Financial Inc. (MFI), the
            Partnership's broker, whereby MFI has subscribed to purchase (up
            to $7,000,000, subject to conditions set forth in the stock
            subscription agreement dated October 22, 2004) the number of
            shares of common stock of ProFutures, Inc. necessary to maintain
            the General Partner's net worth requirements. Prior to October 22,
            2004, ProFutures, Inc. had a callable stock subscription agreement
            with ABN AMRO Incorporated (ABN), the Partnership's prior broker,
            whereby ABN had subscribed to purchase (up to $7,000,000, subject
            to the conditions set forth in the stock subscription agreement as
            amended effective May 20, 2002) the number of shares of common
            stock of ProFutures, Inc. necessary to maintain the General
            Partner's net worth requirements.

            The Partnership pays the General Partner a monthly management fee
            of 1/4 of 1% (3% annually) of month-end Net Asset Value. The
            General Partner receives an additional monthly management fee of
            .0625% (.75% annually) of the Partnership's month-end Net Asset
            Value for consulting services rendered to the Partnership.

            Total management fees earned by ProFutures, Inc. for the years
            ended December 31, 2006, 2005 and 2004 were $1,128,704, $1,201,191
            and $1,050,783, respectively. Management fees payable to
            ProFutures, Inc. as of December 31, 2006 and 2005 were $89,607 and
            $98,289, respectively.

Note 3.     CONSULTANTS

            On October 25, 2004, the Partnership entered into a consulting
            agreement effective November 1, 2004, with Altegris Investments,
            Inc. (Altegris), whereby Altegris will recommend the selection and
            termination of the Partnership's trading advisors and the
            allocation and reallocation of the Partnership's assets. Pursuant
            to the consulting agreement, Altegris receives a monthly
            consulting fee equal to .0208% (.25% annually) of the
            Partnership's month-end Net Asset Value. The consulting fee
            (included in management fees in the statement of operations)
            earned by Altegris for the years ended December 31, 2006, 2005 and
            2004 were $75,247, $80,079 and $13,651, respectively.


                                    - 12 -
<PAGE>
                       PROFUTURES DIVERSIFIED FUND, L.P.
                   NOTES TO FINANCIAL STATEMENTS (CONTINUED)

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

Note 3.     CONSULTANTS (CONTINUED)

            Prior to October 15, 2004, Kenmar Global Strategies Inc. (Kenmar)
            assisted the General Partner in making decisions about which
            commodity trading advisors to hire, the allocations among the
            advisors and the day-to-day monitoring and risk management of the
            Partnership's trading activities. Kenmar received a monthly
            management fee of 1/12 of 1% (1% annually) of month-end Net Asset
            Value. Effective October 15, 2004, ProFutures, Inc. terminated the
            consulting agreement between Kenmar and the Partnership.
            Accordingly, Kenmar was paid a pro rated monthly management fee
            for the period October 1, 2004 through October 15, 2004.
            Management fees earned by Kenmar totaled $266,317 for the year
            ended December 31, 2004.

Note 4.     COMMODITY TRADING ADVISORS

            The Partnership has trading advisory contracts with several
            commodity trading advisors to furnish investment management
            services to the Partnership. The trading advisors receive
            management fees ranging from 1% to 2% annually of Allocated Net
            Asset Value (as defined in each respective trading advisory
            contract). In addition, the trading advisors receive quarterly
            incentive fees ranging from 20% to 25% of Trading Profits (as
            defined). Total management fees earned by the trading advisors
            amounted to $740,051, $837,640 and $829,419 for the years ended
            December 31, 2006, 2005 and 2004, respectively. Total incentive
            fees earned by the trading advisors amounted to $530,112, $849,102
            and $1,138,118 for the years ended December 31, 2006, 2005 and
            2004, respectively.

Note 5.     DEPOSITS WITH BROKER

            The Partnership deposits funds with MFI (ABN prior to October
            2004) to act as broker, subject to Commodity Futures Trading
            Commission regulations and various exchange and broker
            requirements. Margin requirements are satisfied by the deposit of
            cash with such broker. Accordingly, assets used to meet margin and
            other broker or regulatory requirements are partially restricted.
            The Partnership earns interest income on its assets deposited with
            the broker.

Note 6.     INVESTMENT IN WINTON FUTURES FUND, L.P. (US)

            On November 1, 2006, the Partnership invested in Class B Interests
            of Winton Futures Fund, L.P. (US) (the "Winton Fund"). This
            investment is subject to the terms of the Agreement of Limited
            Partnership of the Winton Fund. The General Partner of the Winton
            Fund is Altegris Portfolio Management, Inc., an affiliate of
            Altegris Investments, Inc.

            Summarized information for this investment for the period ended
            December 31, 2006 is as follows:

                           Net Asset Value
                                 December 31, 2005          $            0
                           Additions                             9,000,000
                           Income                                  398,122
                           Redemptions                             (60,000)
                                                            --------------
                           Net Asset Value
                                 December 31, 2006          $    9,338,122
                                                            ==============


                                    - 13 -
<PAGE>
                       PROFUTURES DIVERSIFIED FUND, L.P.
                   NOTES TO FINANCIAL STATEMENTS (CONTINUED)

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

Note 6.     INVESTMENT IN WINTON FUTURES FUND, L.P. (US) (CONTINUED)

            Class B Interests of the Winton Fund are charged management fees
            of 1.75% annually and incentive fees of 20% of trading profits.
            For 2006, the Partnership's proportionate share of management fees
            and incentive fees charged by the Winton Fund were approximately
            $27,000 and $91,000, respectively.

            As of December 31, 2006, the Partnership's investment in the
            Winton Fund represents 16.34% of the total net asset value of the
            Winton Fund.

            The Partnership may redeem any or all of its investment in the
            Winton Fund at the end of any calendar month on 15 days prior
            written notice.

Note 7.     SUBSCRIPTIONS, DISTRIBUTIONS AND REDEMPTIONS

            Investments in the Partnership were made by subscription
            agreement, subject to acceptance by the General Partner. The
            Partnership's most recent offering of Units of Limited Partnership
            Interest terminated on April 30, 1995.

            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 units owned, subject
            to restrictions in the Agreement of Limited Partnership.

Note 8.     TRADING ACTIVITIES AND RELATED RISKS

            The Partnership engages in the speculative trading of U.S. and
            foreign futures contracts, options on U.S. and foreign futures
            contracts, physical commodities, forward currency contracts and
            options on 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 and options on futures contracts and
            physical commodities requires margin deposits with the broker.
            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.

            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. As both a buyer and seller of options,
            the Partnership pays or receives a premium at the outset and then
            bears the risk of unfavorable changes in the price of the contract
            underlying the option. Written options expose the Partnership to
            potentially unlimited liability, and purchased options expose the
            Partnership to a risk of loss limited to the premiums paid. The
            Partnership is also exposed to market risk on physical commodities
            equal to the market value of physical commodities owned.


                                    - 14 -
<PAGE>

                       PROFUTURES DIVERSIFIED FUND, L.P.
                   NOTES TO FINANCIAL STATEMENTS (CONTINUED)

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

Note 8.     TRADING ACTIVITIES AND RELATED RISKS (CONTINUED)

            The Partnership has a portion of its assets on deposit with a
            financial institution in connection with its trading of forward
            currency contracts and its cash management activities. Cash
            deposited with brokers and dealers in securities and other
            financial institutions in connection with the Partnership's
            trading of forward currency and other derivative contracts are
            partially restricted due to deposit or margin requirements. In the
            event of a financial institution's insolvency, recovery of
            Partnership assets on deposit may be limited to account insurance
            or other protection afforded such deposits. Since forward currency
            contracts are traded in unregulated markets between principals,
            the Partnership also assumes the risk of loss from counterparty
            nonperformance.

            The Partnership's investment in Winton Futures Fund, L.P. (US) is
            subject to the market and credit risks of futures contracts held
            or sold short by Winton Futures Fund, L.P. (US). The Partnership
            bears the risk of loss only to the extent of the market value of
            its respective investment and, in certain specific circumstances,
            distributions and redemptions received.

            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 General
            Partner's basic market risk control procedures consist of
            continuously monitoring the trading activity of the various
            commodity trading advisors, with the actual market risk controls
            being applied by Altegris (Kenmar prior to October 15, 2004), as a
            consultant, and the advisors themselves. The General Partner seeks
            to minimize credit risk primarily by depositing and maintaining
            the Partnership's assets at financial institutions and brokers,
            which the General Partner believes to be creditworthy. 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 9.     INDEMNIFICATIONS

            In the normal course of business, the Partnership enters 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 is
            unknown, as this would involve future claims that may be made
            against the Partnership that have not yet occurred. The
            Partnership expects the risk of any future obligation under these
            indemnifications to be remote.


                                    - 15 -
<PAGE>

                       PROFUTURES DIVERSIFIED FUND, L.P.
                   NOTES TO FINANCIAL STATEMENTS (CONTINUED)

                                ---------------
Note 10.    FINANCIAL HIGHLIGHTS

                  The following information presents per unit operating
performance data and other supplemental financial data for the years ended
December 31, 2006, 2005 and 2004. This information has been derived from
information presented in the financial statements.


<TABLE>
<CAPTION>
                                                         2006            2005            2004
                                                     ------------    ------------    ------------
<S>                                                  <C>             <C>             <C>
Per Unit Performance
(for a unit outstanding throughout the entire year)
Net asset value per unit at beginning of year        $   2,994.02    $   2,699.92    $   2,598.48
                                                     ------------    ------------    ------------
Income (loss) from operations:
     Total trading gains (1)                               325.03          504.78          346.95
     Net investment (loss) (1)                            (154.70)        (210.68)        (245.51)
                                                     ------------    ------------    ------------
           Total income from operations                    170.33          294.10          101.44
                                                     ------------    ------------    ------------
Net asset value per unit at end of year              $   3,164.35    $   2,994.02    $   2,699.92
                                                     ============    ============    ============
Total Return                                                 5.69 %         10.89 %          3.90 %
                                                     ============    ============    ============
Supplemental Data
Ratios to average net asset value: (2)
     Expenses prior to incentive fees                        7.63 %          7.60 %          7.19 %
     Incentive fees                                          1.78 %          2.70 %          3.47 %
                                                     ------------    ------------    ------------
           Total expenses                                    9.41 %         10.30 %         10.66 %
                                                     ============    ============    ============
     Net investment (loss) (3)                              (3.29)%         (4.79)%         (5.85)%
                                                     ============    ============    ============
</TABLE>

Total returns are calculated based on the change in value of a 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 redemptions.


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

(1)   The net investment (loss) per unit is calculated by dividing the net
      investment (loss) by the average number of units outstanding during the
      year. Total trading gains 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
      total trading gains per unit due to the timing of trading gains and
      losses during the year relative to the number of units outstanding.

(2)   Excludes the Partnership's proportionate share of expenses and net
      investment income (loss) from Winton Futures Fund, L.P. (US).

(3)   Excludes incentive fee


                                    - 16 -