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

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

| DELAWARE(State      or other jurisdiction ofincorporation      or organization) |   | 75-2197831(I.R.S.      EmployerIdentification      No.) |
|---------------------------------------------------------------------------------|--------|---------------------------------------------------------|

----

o No

o No

No

yamendment to this Form 10-K. x

| Large      accelerated filer  o | Accelerated      filer  o |
|-------------------------------------------|-------------------------------------|
|                                      |                                |
| Non-accelerated      filer  o   | Smaller      reporting company x    |

o  No

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| Item      1B. | Unresolved      Staff Comments. |
|---------------|---------------------------------|

| Item      2. | Properties. |
|--------------|-------------|

| Item      3. | Legal      Proceedings. |
|--------------|-------------------------|

----

| Item      4. | Submission      of Matters to a Vote of SecurityHolders. |
|--------------|----------------------------------------------------------|

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

----

|                                                     |   | 2007   |       |
|----------------------------------------------------------|--------|--------|------------|
|                                                     |   |   |       |
|                                                     |   |   |       |
| Realized      Gains (Losses)                             |   | $      | (128,572   | ) |
| Change      in Unrealized                                |   |   |       |   |
| Gains      (Losses) on                                   |   |   |       |   |
| Open      Contracts                                      |   |   | (849,306   | ) |
| Income      from Investment inother commodity      pools |   |   | 492,472    |   |
| Interest      Income                                     |   |   | 182,150    |   |
| Management      Fees                                     |   |   | 1,112,227  |   |
| General      Partner Management fees waived              |   |   | (114,074   | ) |
| Incentive      Fees                                      |   |   | 69,916     |   |
| Net      Income (loss)                                   |   |   | (2,082,419 | ) |
| General      Partner Capital                             |   |   | 545,791    |   |
| Limited      Partner Capital                             |   |   | 20,878,036 |   |
| Partnership      Capital                                 |   |   | 21,423,827 |   |
| Net      Asset Value per General                         |   |   |       |   |
| and      Limited Partner Unit                            |   |   |       |   |
| at      End of Year                                      |   |   | 2,916.78   |   |
| Net      Income (loss) per Unit*                         |   |   | (248.97    | ) |
|                                                     |   |   |       |   |
|                                                     |   |   |       |   |
|                                                     |   | 2006   |       |
|                                                     |   |   |       |   |
|                                                     |   |   |       |   |
| Realized      Gains (Losses)                             |   | $      | 1,553,478  |   |
| Change      in Unrealized                                |   |   |       |   |
| Gains      (Losses) on                                   |   |   |       |   |
| Open      Contracts                                      |   |   | 1,943,771  |   |
| Income      from Investment inWinton Futures    Fund     |   |   | 398,122    |   |
| Interest      Income                                     |   |   | 1,292,259  |   |
| Management      Fees                                     |   |   | 1,944,002  |   |
| Incentive      Fees                                      |   |   | 530,112    |   |
| Net      Income (loss)                                   |   |   | 1,608,816  |   |
| General      Partner Capital                             |   |   | 592,117    |   |
| Limited      Partner Capital                             |   |   | 27,581,995 |   |
| Partnership      Capital                                 |   |   | 28,174,112 |   |
| Net      Asset Value per General                         |   |   |       |   |
| and      Limited Partner Unit                            |   |   |       |   |
| at      End of Year                                      |   |   | 3,164.35   |   |
| Net      Income (loss) per Unit*                         |   |   | 165.07     |   |
|                                                     |   |   |       |   |

----

|                             |   |   |       |   |
|----------------------------------|--------|--------|------------|--------|
|                             |   | 2005   |       |
|                             |   |   |       |   |
|                             |   |   |       |   |
| Realized      Gains (Losses)     |   | $      | 8,085,002  |   |
| Change      in Unrealized        |   |   |       |   |
| Gains      (Losses) on           |   |   |       |   |
| Open      Contracts              |   |   | (1,323,326 | )      |
| Interest      Income             |   |   | 882,295    |   |
| Management      Fees             |   |   | 2,118,910  |   |
| Incentive      Fees              |   |   | 849,102    |   |
| Net      Income (loss)           |   |   | 3,266,075  |   |
| General      Partner Capital     |   |   | 560,244    |   |
| Limited      Partner Capital     |   |   | 30,380,394 |   |
| Partnership      Capital         |   |   | 30,940,638 |   |
| Net      Asset Value per General |   |   |       |   |
| and      Limited Partner Unit    |   |   |       |   |
| at      End of Year              |   |   | 2,994.02   |   |
| Net      Income (loss) per Unit* |   |   | 292.29     |   |
|                             |   |   |       |   |
|                             |   | 2004   |       |
|                             |   |   |       |   |
|                             |   |   |       |   |
| Realized      Gains (Losses)     |   | $      | 7,550,029  |   |
| Change      in Unrealized        |   |   |       |   |
| Gains      (Losses) on           |   |   |       |   |
| Open      Contracts              |   |   | (2,384,308 | )      |
| Interest      Income             |   |   | 442,893    |   |
| Management      Fees             |   |   | 2,160,170  |   |
| Incentive      Fees              |   |   | 1,138,118  |   |
| Net      Income (loss)           |   |   | 1,251,915  |   |
| General      Partner Capital     |   |   | 607,384    |   |
| Limited      Partner Capital     |   |   | 31,474,269 |   |
| Partnership      Capital         |   |   | 32,081,653 |   |
| Net      Asset Value per General |   |   |       |   |
| and      Limited Partner Unit    |   |   |       |   |
| at      End of Year              |   |   | 2,699.92   |   |
| Net      Income (loss) per Unit* |   |   | 100.52     |   |
|                             |   |   |       |   |

|                                                                               |   | 2003   |       |
|------------------------------------------------------------------------------------|--------|--------|------------|
|                                                                               |   |   |       |
|                                                                               |   |   |       |
| Realized      Gains (Losses)                                                       |   | $      | 8,453,501  |   |
| Change      in Unrealized                                                          |   |   |       |   |
| Gains      (Losses) on                                                             |   |   |       |   |
| Open      Contracts                                                                |   |   | 285,932    |   |
| Interest      Income                                                               |   |   | 352,209    |   |
| Management      Fees                                                               |   |   | 2,130,952  |   |
| Incentive      Fees                                                                |   |   | 1,456,891  |   |
| Net      Income (loss)                                                             |   |   | 4,462,334  |   |
| General      Partner Capital                                                       |   |   | 584,564    |   |
| Limited      Partner Capital                                                       |   |   | 33,041,117 |   |
| Partnership      Capital                                                           |   |   | 33,625,681 |   |
| Net      Asset Value per General                                                   |   |   |       |   |
| and      Limited Partner Unit                                                      |   |   |       |   |
| at      End of Year                                                                |   |   | 2,598.48   |   |
| Net      Income (loss) per Unit*                                                   |   |   | 326.46     |   |
|                                                                               |   |   |       |   |
|                                                                               |   |   |       |   |
| *      Based on weighted average number of units outstanding during the      year. |   |

----

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| Item      7A. | Quantitative      and Qualitative Disclosures About MarketRisk |
|---------------|----------------------------------------------------------------|

| Item      8.  | Financial      Statements and Supplementary Data. |
|--------------------|---------------------------------------------------|

| Item      9. | Changes      in and Disagreements with Accountants on Accounting and Financial      Disclosure. |
|--------------|-------------------------------------------------------------------------------------------------|

| Item      9A. | Controls      and Procedures. |
|---------------|-------------------------------|

| Item    9A(T). |  Controls and      Procedures. |
|----------------|-------------------------------------|

----

| Item      9B. | Other      Information. |
|---------------|-------------------------|

| Item      10. | Directors,      Executive Officers and CorporateGovernance. |
|---------------|-------------------------------------------------------------|

----

| Item      11. | Executive      Compensation. |
|---------------|------------------------------|

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

|   | (a) | As      of December 31, 2007, a total of 7,377 Units are issued and outstanding,      of which 32 Units are to be redeemed in January 2008, representing 1      General Partner and 546 Limited Partners.  As of February 29,      2008, a total of 7,204 Units are issued and outstanding, representing 1      General Partner and 534 Limited Partners of which 22 Units are to be      redeemed in March 2008.  The Partnership knows of no one person      who owns beneficially more than 5% of the Units of Limited Partnership      Interest. |
|--------|-----|--------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|

|   | (b) | The      General Partner and its principals owned 187 Units as of December 31,      2007, having an aggregate value of $545,791, which is approximately 2.5%      of the Net Asset Value of the Partnership.  The General Partner      and its principals owned 187 units as of February 29, 2008, having an      aggregate value of $560,770, which is approximately 2.6% of the Net Asset      Value of the Partnership.  |
|--------|-----|--------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|

|   | (c) | Changes      in control.  None have occurred and none are      expected. |
|--------|-----|------------------------------------------------------------------------------------|

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

| Item      14. | Principal      Accounting Fees and Services. |
|---------------|----------------------------------------------|

|                                   |   | 2007   |   |   | 2006   |   |
|----------------------------------------|--------|--------|--------|--------|--------|--------|
|                                   |   |   |   |   |   |   |
| KBA      Audit Fees                    |   | $      | 48,662 |   |   | $      | 58,010 |   |
| McGladrey      & Pullen Audit Fees |   | $      | 10,775 |   |   | $      | -- |   |

----

| Item      15. | Exhibits,      Financial Statement Schedules. |
|---------------|-----------------------------------------------|

|   | (a)(1) | Financial      Statements. |
|--------|--------|----------------------------|

|   | (a)(2) | The      following financial statements for ProFutures Strategic Allocation Trust      and Winton Futures Fund, L.P. (US) are included with the 2007 and 2006      Reports of Independent Registered Public Accounting Firms, copies of which      are filed herewith as Exhibits 13.3 and 13.4,  respectively. |
|--------|--------|-----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|

|   | (a)(3) | Exhibits      as required by Item 601 of RegulationS-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 for the      Partnership. |
|--------|------|---------------------------------------------------------------------------------------------|

|   | 13.2 | 2007      Report of Independent Registered Public Accounting Firm for the      Partnership. |
|--------|------|---------------------------------------------------------------------------------------------|

|   | 13.3 | 2007      Report of Independent Registered Public Accounting Firm for ProFutures      Strategic Allocation Trust. |
|--------|------|-------------------------------------------------------------------------------------------------------------------|

|   | 13.4 | 2007      Report of Independent Registered Public Accounting Firm for Winton Futures      Fund, L.P. (US). |
|--------|------|------------------------------------------------------------------------------------------------------------|

|   | 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 of1934. |
|--------|-------|-------------------------------------------------------------------------------------------------------------------------------------------------|

|   | 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. |
|--------|-------------------------------------------------------------------------------|

----

  
| * | 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. |
|---|------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|

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|                                                                                                                                                                         |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |
|------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|--------|----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|                                                                                                                                                                         |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |
|                                                                                                                                                                         |   | PROFUTURES      DIVERSIFIED FUND, L.P.                                                                                                                                                                                                                                                                                                                                                                                                                                                             |
|                                                                                                                                                                         |   | (Partnership)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |
|                                                                                                                                                                         |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |
|                                                                                                                                                                         |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |
|                                                                                                                                                                         |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |
| May 15,      2008                               |   | By      /s/ GARY D.      HALBERT                                                                            |
| Date                                                                                                                                                                         |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               | Gary      D. Halbert, President and Director |
|                                                                                                                                                                         |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               | ProFutures,      Inc. |
|                                                                                                                                                                         |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               | General      Partner |
|                                                                                                                                                                         |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |   |
|                                                                                                                                                                         |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |   |
|                                                                                                                                                                         |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |   |
| May 15,      2008                          |   | By      /s/ DEBI B.      HALBERT                                                                            |
| Date                                                                                                                                                                         |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               | Debi      B. Halbert, Chief Financial Officer, |
|                                                                                                                                                                         |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |     Treasurer      and Director |
|                                                                                                                                                                         |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               | ProFutures,      Inc. |
|                                                                                                                                                                         |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               | General      Partner |
|                                                                                                                                                                         |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |   |
|                                                                                                                                                                         |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |   |
|                                                                                                                                                                         |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |   |

----

|                                                                                                                                                                         |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |
|------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|--------|----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|                                                                                                                                                                         |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |
| May 15, 2008                          |   | By      /s/ GARY D.      HALBERT                                                                            |
| Date                                                                                                                                                                         |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               | Gary      D. Halbert, President and Director |
|                                                                                                                                                                         |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               | ProFutures,      Inc. |
|                                                                                                                                                                         |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               | General      Partner |
|                                                                                                                                                                         |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |   |
|                                                                                                                                                                         |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |   |
|                                                                                                                                                                         |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |   |
| May 15,      2008                          |   | By      /s/ DEBI B.      HALBERT                                                                            |
| Date                                                                                                                                                                         |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               | Debi      B. Halbert, Chief Financial Officer, |
|                                                                                                                                                                         |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |     Treasurer and Director |
|                                                                                                                                                                         |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               | ProFutures,      Inc. |
|                                                                                                                                                                         |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               | General      Partner |
|                                                                                                                                                                         |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |   |
|                                                                                                                                                                         |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |   |
|                                                                                                                                                                         |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |   |

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|                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           | PAGES                       |
|----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|-----------------------------|
|                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |                        |
|                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |                        |
| Affirmation      of the Commodity Pool Operator                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                | F-1                         |
|                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |                        |
| Reports      of Independent Registered Public Accounting Firm                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  | F-2      – F-3        |
|                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |                        |
| Financial      Statements                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |                        |
|                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |                        |
| Statements      of Financial Condition                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         | F-4                         |
|                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |                        |
| Condensed      Schedules of      Investments                                                                                    |        F-5 – F-7 |
|                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |                        |
| Statements      of Operations                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  | F-8                         |
|                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |                        |
| Statements      of Changes in Partners’ Capital (Net Asset Value)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        | F-9                         |
|                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |                        |
| Statements      of Cash Flows                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  | F-10                        |
|                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |                        |
| Notes      to Financial Statements                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             | F-11      – F-24      |

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

----

|   |   |   |  /s/ McGladrey      & Pullen, LLP |
|--------|--------|--------|--------------------------------------------|

----

----

| PROFUTURES      DIVERSIFIED FUND, L.P.STATEMENTS      OF FINANCIAL CONDITIONDecember      31, 2007 and 2006____________________                                                                                                                                                  |
|----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|                                                                                                                                                                                                                                                                             |   | 2007 |   |   | 2006 |   |
| ASSETS                                                                                                                                                                                                                                                                           |   |   |   |   |   |   |
|     Equity      in broker trading accounts                                                                                                                                                                                                                   |   |   |   |   |   |   |
|         Cash                                                                                                                                                                                                                             |   | $ | 1,433,626 |   |   | $ | 13,325,595 |   |
|         Option      premiums (received) paid                                                                                                                                                                                             |   |   | (34,500 | ) |   |   | (63,125 | ) |
|         Unrealized      gain (loss) on open contracts                                                                                                                                                                                    |   |   | 5,735 |   |   |   | 483,877 |   |
|                                                                                                                                                                                                                                                                             |   |   |   |   |   |   |   |   |
|                 Deposits      with broker                                                                                                                                                        |   |   | 1,404,861 |   |   |   | 13,746,347 |   |
|                                                                                                                                                                                                                                                                             |   |   |   |   |   |   |   |   |
|     Cash                                                                                                                                                                                                                                                     |   |   | 3,387 |   |   |   | 3,204 |   |
|     Cash      deposits in forward trading collateral accounts                                                                                                                                                                                                |   |   | 0 |   |   |   | 5,412,319 |   |
|     Net      premiums paid on options        on      forward currency contracts                                                                                                                                      |   |   | 0 |   |   |   | 3,294 |   |
|     Unrealized      gain on open forward currency contracts        and      options on forward currency contracts                                                                                                    |   |   | 0 |   |   |   | 371,164 |   |
|     Investments      in other commodity pools                                                                                                                                                                                                                |   |   | 16,889,459 |   |   |   | 9,338,122 |   |
|     Redemption      receivable from other commodity pool                                                                                                                                                                                                     |   |   | 4,500,000 |   |   |   | 0 |   |
|                                                                                                                                                                                                                                                                             |   |   |   |   |   |   |   |   |
|                 Total      assets                                                                                                                                                                |   | $ | 22,797,707 |   |   | $ | 28,874,450 |   |
|                                                                                                                                                                                                                                                                             |   |   |   |   |   |   |   |   |
| LIABILITIES                                                                                                                                                                                                                                                                      |   |   |   |   |   |   |   |   |
|     Accounts      payable                                                                                                                                                                                                                                    |   | $ | 97,542 |   |   | $ | 54,006 |   |
|     Commissions      and other trading fees        on      open contracts                                                                                                                                            |   |   | 266 |   |   |   | 5,951 |   |
|     Incentive      fees payable                                                                                                                                                                                                                              |   |   | 0 |   |   |   | 62,651 |   |
|     Management      fees payable (includes $61,761 and $89,607        payable      to the General Partner at December 31, 2007        and      2006, respectively)           |   |   | 70,758 |   |   |   | 238,977 |   |
|     Redemptions      payable                                                                                                                                                                                                                                 |   |   | 1,205,314 |   |   |   | 338,753 |   |
|                                                                                                                                                                                                                                                                             |   |   |   |   |   |   |   |   |
|                 Total      liabilities                                                                                                                                                           |   |   | 1,373,880 |   |   |   | 700,338 |   |
|                                                                                                                                                                                                                                                                             |   |   |   |   |   |   |   |   |
| PARTNERS’      CAPITAL (Net Asset Value)                                                                                                                                                                                                                                   |   |   |   |   |   |   |   |   |
|     General      Partner – 187.1211 units outstanding        at      December 31, 2007 and 2006                                                                                                                |   |   | 545,791 |   |   |   | 592,117 |   |
|     Limited      Partners – 7,157.9111 and 8,716.4828 units        outstanding      at December 31, 2007 and 2006                                                                                              |   |   | 20,878,036 |   |   |   | 27,581,995 |   |
|                                                                                                                                                                                                                                                                             |   |   |   |   |   |   |   |   |
|                 Total      partners’ capital                    (Net      Asset Value) |   |   | 21,423,827 |   |   |   | 28,174,112 |   |
|                                                                                                                                                                                                                                                                             |   |   |   |   |   |   |   |   |
|                                                                                                                                                                                                                                                                             |   | $ | 22,797,707 |   |   | $ | 28,874,450 |   |
| See accompanyingnotes.                                                                                                                                                                                                                                                           |

----

----

| LONG FUTURES      CONTRACTS                                                                                  |   | 2007   |    |   | 2006                     |   |
|--------------------------------------------------------------------------------------------------------------|--------|--------|---------|--------|--------------------------|--------|
| Description                                                                                                  |   | Value  |    |   | %      of NetAsset Value |   |   | Value |   |   | %      of NetAsset Value |   |
|                                                                                                         |   |   |    |   |                     |   |   |   |   |   |   |   |
| Agricultural                                                                                                 |   | $      | 0       |   |                     |   | 0.00 | % |   | $ | (480 | ) |   |   | (0.00 | )% |
| Currency                                                                                                     |   |   | 0       |   |                     |   | 0.00 | % |   |   | 38 |   |   |   | 0.00 | % |
| Energy                                                                                                       |   |   | 0       |   |                     |   | 0.00 | % |   |   | (99,060 | ) |   |   | (0.35 | )% |
| Interest      rate                                                                                           |   |   | 0       |   |                     |   | 0.00 | % |   |   | (50,146 | ) |   |   | (0.18 | )% |
| Metal      (1)                                                                                               |   |   | 0       |   |                     |   | 0.00 | % |   |   | (18,666 | ) |   |   | (0.07 | )% |
| Stock      index                                                                                             |   |   | 0       |   |                     |   | 0.00 | % |   |   | 193,440 |   |   |   | 0.69 | % |
|                                                                                                         |   |   |    |   |                     |   |   |   |   |   |   |   |   |   |   |   |
| Total      long futures contracts                                                                            |   | $      | 0       |   |                     |   | 0.00 | % |   | $ | 25,126 |   |   |   | 0.09 | % |
|                                                                                                         |   |   |    |   |                     |   |   |   |   |   |   |   |   |   |   |   |
| SHORT FUTURES      CONTRACTS                                                                                 |   |   |    |   |                     |   |   |   |   |   |   |   |   |   |   |   |
| Description                                                                                                  |   |   |    |   |                     |   |   |   |   |   |   |   |   |   |   |   |
|                                                                                                         |   |   |    |   |                     |   |   |   |   |   |   |   |   |   |   |   |
| Agricultural                                                                                                 |   | $      | 0       |   |                     |   | 0.00 | % |   | $ | 213 |   |   |   | 0.00 | % |
| Currency                                                                                                     |   |   | 0       |   |                     |   | 0.00 | % |   |   | 62,245 |   |   |   | 0.22 | % |
| Energy                                                                                                       |   |   | 0       |   |                     |   | 0.00 | % |   |   | 18,760 |   |   |   | 0.07 | % |
| Interest      rate                                                                                           |   |   | 0       |   |                     |   | 0.00 | % |   |   | 333,242 |   |   |   | 1.18 | % |
| Metal      (2)                                                                                               |   |   | 0       |   |                     |   | 0.00 | % |   |   | 33,416 |   |   |   | 0.12 | % |
| Stock      index                                                                                             |   |   | 4,010   |   |                     |   | 0.02 | % |   |   | - |   |   |   | 0.00 | % |
|                                                                                                         |   |   |    |   |                     |   |   |   |   |   |   |   |   |   |   |   |
| Total      short futures contracts                                                                           |   | $      | 4,010   |   |                     |   | 0.02 | % |   | $ | 447,876 |   |   |   | 1.59 | % |
| Total      futures contracts                                                                                 |   | $      | 4,010   |   |                     |   | 0.02 | % |   | $ | 473,002 |   |   |   | 1.68 | % |
|                                                                                                         |   |   |    |   |                     |   |   |   |   |   |   |   |   |   |   |   |
| WRITTEN OPTIONS ON      FUTURES CONTRACTS                                                                    |   |   |    |   |                     |   |   |   |   |   |   |   |   |   |   |   |
| Stock      index                                                                                             |   | $      | (32,275 | )      |                     |   | (0.15 | )% |   | $ | (52,250 | ) |   |   | (0.19 | )% |
|                                                                                                         |   |   |    |   |                     |   |   |   |   |   |   |   |   |   |   |   |
| Total      written options on futures contracts (premiums received - $34,500 and      $63,125, respectively) |   | $      | (32,275 | )      |                     |   | (0.15 | )% |   | $ | (52,250 | ) |   |   | (0.19 | )% |
|                                                                                                         |   |   |    |   |                     |   |   |   |   |   |   |   |   |   |   |   |
| FORWARD CURRENCY      CONTRACTS                                                                              |   |   |    |   |                     |   |   |   |   |   |   |   |   |   |   |   |
| Long      forward currency contracts                                                                         |   | $      | 0       |   |                     |   | 0.00 | % |   | $ | (255,674 | ) |   |   | (0.91 | )% |
| Short      forward currency contracts                                                                        |   |   | 0       |   |                     |   | 0.00 | % |   |   | 625,493 |   |   |   | 2.22 | % |
|                                                                                                         |   |   |    |   |                     |   |   |   |   |   |   |   |   |   |   |   |
| Total      forward currency contracts                                                                        |   | $      | 0       |   |                     |   | 0.00 | % |   | $ | 369,819 |   |   |   | 1.31 | % |

----

| PROFUTURES      DIVERSIFIED FUND, L.P.CONDENSED      SCHEDULE OF INVESTMENTS (CONTINUED)December      31, 2007 and 2006____________________                                                                                                                      |   |
|------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|--------|
|                                                                                                                                                                                                                                                             |   |
| PURCHASED OPTIONS ON      FORWARD CURRENCY CONTRACTS                                                                                                                                                                                                             |   | 2007 |   |   | 2006 |   |
| Description                                                                                                                                                                                                                                                      |   | Value |   |   | %      of NetAsset Value |   |   | Value |   |   | %      of NetAsset Value |   |
|                                                                                                                                                                                                                                                             |   |   |   |   |   |   |   |   |   |   |   |   |
| Purchased      options on forward currency contracts (premiums paid - $0 and $7,747,      respectively)                                                                                                                                                          |   | $ | 0 |   |   |   | 0.00 | % |   | $ | 8,911 |   |   |   | 0.03 | % |
|                                                                                                                                                                                                                                                             |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| WRITTEN OPTIONS ON      FORWARD CURRENCY CONTRACTS                                                                                                                                                                                                               |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
|                                                                                                                                                                                                                                                             |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Written      options on forward currency contracts (premiums received - $0 and $4,453,      respectively)                                                                                                                                                        |   | $ | 0 |   |   |   | 0.00 | % |   | $ | (4,272 | ) |   |   | (0.02 | )% |
|                                                                                                                                                                                                                                                             |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| INVESTMENTS IN OTHER      COMMODITY POOLS                                                                                                                                                                                                                        |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
|                                                                                                                                                                                                                                                             |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| ProFutures      Strategic Allocation Trust (1)                                                                                                                                                                                                                   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
|      Investment      Objective                                                                                                                                                                                                          |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
|         To      achieve capital appreciation by trading        U.S.      and Non U.S. futures and forward        currency      contracts |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
|      Redemption      Provisions                                                                                                                                                                                                         |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
|         Monthly,      with 10 days notice                                                                                                                                                                                |   | $ | 5,495,004 |   |   |   | 25.65 | % |   | $ | 0 |   |   |   | 0.00 | % |
|                                                                                                                                                                                                                                                             |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| SHK      Diversified LLC (2)                                                                                                                                                                                                                                     |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
|      Investment      Objective                                                                                                                                                                                                          |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
|         To      achieve capital appreciation by trading        U.S.      and Non U.S. futures and forward        currency      contracts |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
|      Redemption      Provisions                                                                                                                                                                                                         |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
|         Monthly,      with 14 days notice                                                                                                                                                                                |   |   | 3,117,286 |   |   |   | 14.55 | % |   |   | 0 |   |   |   | 0.00 | % |
|                                                                                                                                                                                                                                                             |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Valhalla      Synergy Fund LLC                                                                                                                                                                                                                                   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
|      Investment      Objective                                                                                                                                                                                                          |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
|         To      achieve capital appreciation by trading        U.S.      and Non U.S. futures and forward        currency      contracts |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
|      Redemption      Provisions                                                                                                                                                                                                         |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
|         Quarterly,      with 30 days notice                                                                                                                                                                              |   |   | 4,419,668 |   |   |   | 20.63 | % |   |   | 0 |   |   |   | 0.00 | % |
|                                                                                                                                                                                                                                                             |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Winton      Futures Fund, L.P. (US) – Class B Interests (3)                                                                                                                                                                                                |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
|      Investment      Objective                                                                                                                                                                                                          |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
|         To      achieve capital appreciation by trading        U.S.      and Non U.S. futures contracts                                                                          |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
|      Redemption      Provisions                                                                                                                                                                                                         |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
|         Monthly,      with 15 days notice                                                                                                                                                                                |   |   |  3,857,501 |   |   |   |  18.01 | % |   |   | 9,338,122 |   |   |   | 33.14 | % |
|                                                                                                                                                                                                                                                             |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Total      Investments in other commodity pools                                                                                                                                                                                                                  |   | $ | 16,889,459 |   |   |   | 78.84 | % |   | $ | 9,338,122 |   |   |   | 33.14 | % |

| (1)  | The      Managing Owner of ProFutures Strategic Allocation Trust is ProFutures,      Inc., the Partnership’s GeneralPartner. |
|-----------|------------------------------------------------------------------------------------------------------------------------------------|

| (2)  | As      of January 31, 2008, the managing member of SHK Diversified LLC      temporarily suspended future redemptions from this      fund. This  action      was taken by the managing member due to a decline in the liquidity of the      markets traded by this fund combined with a significant  number      of requests for redemptions from this fund. At this time, it cannot      be estimated, with any reasonable certainty, when this      temporary  suspension      will be removed by this fund. |
|-----------|--------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|

| (3)  | The      General Partner of Winton Futures Fund, L.P. (US) is Altegris Portfolio      Management, Inc., an affiliate of Altegris Investments,    Inc. |
|-----------|-------------------------------------------------------------------------------------------------------------------------------------------------------|

----

| PROFUTURES      DIVERSIFIED FUND, L.P.CONDENSED      SCHEDULE OF INVESTMENTS (CONTINUED)December      31, 2007 and 2006____________________ |
|---------------------------------------------------------------------------------------------------------------------------------------------|
|                                                                                                                                        |   |   |   |
|                                                                                                                                        |   |   |   |
| Proportional Share of      Investments of Other Commodity Pools as of December 31, 2007      (1)                                            |   |   |   |
|                                                                                                                                        |   |   |   |   |   |   |   |   |   |   |   |   |
| Money Market Mutual      Fund Investments                                                                                                   |   |   |   |   |   |   |   |   |
|                                                                                                                                        |   |   |   |   |   |   |   |   |   |   |   |   |
|                                                                                                                                        |   |   |   |   |   |   |   |   |   |   |   | %      of Net |
|                                                                                                                                        |   | Shares |   | Description |   | Cost |   |   | Value |   |   | Asset Value |
|                                                                                                                                        |   |   |   |   |   |   |   |   |   |   |   |   |
|                                                                                                                                        |   | 2,603,841 |   | UBS      Select Prime Institutional Fund |   | $ | 2,603,841 |   |   | $ | 2,603,841 |   |   |   | 12.15 | % |   |
|                                                                                                                                        |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
|                                                                                                                                        |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Open Long and Short      Futures Contracts                                                                                                  |   |   |   |   |   |   |   |   |   |   |   |   |   |
|                                                                                                                                        |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
|                                                                                                                                        |   | No.      of |   |   | Range      of |   |   |   |   |   |   | %      of Net |
|                                                                                                                                        |   | Contracts |   | Description | Expiration Dates |   |   | Value |   |   | Asset Value |
|                                                                                                                                        |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
|                                                                                                                                        |   |   |   |   | Long Futures Contracts |   |   |   |   |   |   |   |   |   |   |   |   |   |
|                                                                                                                                        |   |   |   |   | Metals |   |   |   |   |   |   |   |   |   |   |   |   |   |
|                                                                                                                                        |   |   | 2,939 |   | Gold | 4/2008      to 12/2010 |   |   | $ | 15,781,819 |   |   |   | 73.66 | % |   |
|                                                                                                                                        |   |   | 661 |   | Silver | 5/2008      to 7/2010 |   |   | $ | 2,095,969 |   |   |   | 9.78 | % |   |
|                                                                                                                                        |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
|                                                                                                                                        |   |   |   |   | Short Futures Contracts |   |   |   |   |   |   |   |   |   |   |   |   |   |
|                                                                                                                                        |   |   |   |   | Metals |   |   |   |   |   |   |   |   |   |   |   |   |   |
|                                                                                                                                        |   |   | 2,964 |   | Gold | 2/2008      to 6/2012 |   |   | $ | (10,928,866 | ) |   |   | (51.01 | )% |   |
|                                                                                                                                        |   |   | 668 |   | Silver | 3/2008      to 12/2010 |   |   | $ | (950,826 | ) |   |   | (4.44 | )% |   |
|                                                                                                                                        |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
|                                                                                                                                        |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Open Long and Short      Forward Contracts                                                                                                  |   |   |   |   |   |   |   |   |   |   |   |   |   |
|                                                                                                                                        |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
|                                                                                                                                        |   | No.      of |   |   | Range      of |   |   |   |   |   |   | %      of Net |
|                                                                                                                                        |   | Contracts |   | Description | Expiration Dates |   |   | Value |   |   | Asset Value |
|                                                                                                                                        |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
|                                                                                                                                        |   |   |   |   | Long Forward Contracts |   |   |   |   |   |   |   |   |   |   |   |   |   |
|                                                                                                                                        |   |   |   |   | Metals |   |   |   |   |   |   |   |   |   |   |   |   |   |
|                                                                                                                                        |   |   | 313 |   | Copper | 1/2008      to 12/2011 |   |   | $ | 9,141,316 |   |   |   | 42.67 | % |   |
|                                                                                                                                        |   |   | 336 |   | Aluminum | 1/2008      to 12/2011 |   |   | $ | 2,107,432 |   |   |   | 9.84 | % |   |
|                                                                                                                                        |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
|                                                                                                                                        |   |   |   |   | Short Forward Contracts |   |   |   |   |   |   |   |   |   |   |   |   |   |
|                                                                                                                                        |   |   |   |   | Metals |   |   |   |   |   |   |   |   |   |   |   |   |   |
|                                                                                                                                        |   |   | 314 |   | Copper | 1/2008      to 12/2011 |   |   | $ | (8,743,537 | ) |   |   | (40.81 | )% |   |
|                                                                                                                                        |   |   | 341 |   | Aluminum | 1/2008      to 12/2011 |   |   | $ | (2,249,393 | ) |   |   | (10.50 | )% |   |
|                                                                                                                                        |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
|                                                                                                                                        |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
|                                                                                                                                        |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| (1)                                                                                                                                         |   | Represents      the Partnership's proportional share of other commodity pool's individual      underlying investments and open |
|                                                                                                                                        |   | futures      contracts which exceed 5% of the Partnership's Net Asset Value at December      31, 2007. |   |   |

----

| PROFUTURES      DIVERSIFIED FUND, L.P.STATEMENTS      OF OPERATIONSFor      the Years Ended December 31, 2007, 2006 and 2005_______________                                                                                                                                                                                                                                                                                                                           |   |
|-----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|--------|
|                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |   |
|                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |   | 2007 |   |   | 2006 |   |   | 2005 |   |
| TRADING      AND INVESTING GAINS AND (LOSSES)                                                                                                                                                                                                                                                                                                                                                                                                                         |   |   |   |   |   |   |   |   |   |
|     Gain      (loss) from futures and options on futures trading                                                                                                                                                                                                                                                                                                                                                                                  |   |   |   |   |   |   |   |   |   |
|         Realized                                                                                                                                                                                                                                                                                                                                                                                                              |   | $ | (596,059 | ) |   | $ | 2,245,198 |   |   | $ | 6,184,059 |   |
|         Change      in unrealized                                                                                                                                                                                                                                                                                                                                                                                             |   |   | (478,142 | ) |   |   | 1,245,726 |   |   |   | (1,275,765 | ) |
|         Brokerage      commissions                                                                                                                                                                                                                                                                                                                                                                                            |   |   | (281,061 | ) |   |   | (778,830 | ) |   |   | (1,141,416 | ) |
|                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |   |   |   |   |   |   |   |   |   |   |   |   |
|         Gain      (loss) from futures and options on futures trading                                                                                                                                                                                                                                                                                                                                                          |   |   | (1,355,262 | ) |   |   | 2,712,094 |   |   |   | 3,766,878 |   |
|                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |   |   |   |   |   |   |   |   |   |   |   |   |
|         Realized      gain from investment in physical commodities                                                                                                                                                                                                                                                                                                                                                            |   |   | 0 |   |   |   | 0 |   |   |   | 580,729 |   |
|                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |   |   |   |   |   |   |   |   |   |   |   |   |
|     Gain      (loss) from trading of forward currency contracts         and      options on forward currency contracts                                                                                                                                                                                                                                                                               |   |   |   |   |   |   |   |   |   |   |   |   |
|         Realized                                                                                                                                                                                                                                                                                                                                                                                                              |   |   | 467,487 |   |   |   | (691,720 | ) |   |   | 1,320,214 |   |
|         Change      in unrealized                                                                                                                                                                                                                                                                                                                                                                                             |   |   | (371,164 | ) |   |   | 698,045 |   |   |   | (47,561 | ) |
|                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |   |   |   |   |   |   |   |   |   |   |   |   |
|        Gain      from forward currency contracts         and      options on forward currency contracts                                                                                                                                                                                                                                                                               |   |   | 96,323 |   |   |   | 6,325 |   |   |   | 1,272,653 |   |
|        Gain      from investment         in      other commodity pools, net                                                                                                                                                                                                                                                                                                           |   |   | 492,472 |   |   |   | 398,122 |   |   |   | - |   |
|                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |   |   |   |   |   |   |   |   |   |   |   |   |
|                 Total      trading gains (losses)                                                                                                                                                                                                                                                                                                                                     |   |   | (766,467 | ) |   |   | 3,116,541 |   |   |   | 5,620,260 |   |
|                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |   |   |   |   |   |   |   |   |   |   |   |   |
| NET      INVESTMENT INCOME (LOSS)                                                                                                                                                                                                                                                                                                                                                                                                                                     |   |   |   |   |   |   |   |   |   |   |   |   |
|     Income                                                                                                                                                                                                                                                                                                                                                                                                                                        |   |   |   |   |   |   |   |   |   |   |   |   |
|         Interest      income                                                                                                                                                                                                                                                                                                                                                                                                  |   |   | 182,150 |   |   |   | 1,292,259 |   |   |   | 882,295 |   |
|                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |   |   |   |   |   |   |   |   |   |   |   |   |
|     Expenses                                                                                                                                                                                                                                                                                                                                                                                                                                      |   |   |   |   |   |   |   |   |   |   |   |   |
|         Incentive      fees                                                                                                                                                                                                                                                                                                                                                                                                   |   |   | 69,916 |   |   |   | 530,112 |   |   |   | 849,102 |   |
|         Management      fees  (includes $951,279, $1,128,704            and      $1,201,191 charged by the            General      Partner for the years ended December 31,            2007,      2006, and 2005, respectively) |   |   | 1,112,227 |   |   |   | 1,944,002 |   |   |   | 2,118,910 |   |
|         Operating      expenses                                                                                                                                                                                                                                                                                                                                                                                               |   |   | 430,033 |   |   |   | 325,870 |   |   |   | 268,468 |   |
|                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |   |   |   |   |   |   |   |   |   |   |   |   |
|                 Total      expenses                                                                                                                                                                                                                                                                                                                                                   |   |   | 1,612,176 |   |   |   | 2,799,984 |   |   |   | 3,236,480 |   |
|                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |   |   |   |   |   |   |   |   |   |   |   |   |
|                 General      Partner management fees waived                                                                                                                                                                                                                                                                                                                           |   |   | (114,074 | ) |   |   | 0 |   |   |   | 0 |   |
|                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |   |   |   |   |   |   |   |   |   |   |   |   |
|                 Net      expenses                                                                                                                                                                                                                                                                                                                                                     |   |   | 1,498,102 |   |   |   | 2,799,984 |   |   |   | 3,236,480 |   |
|                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |   |   |   |   |   |   |   |   |   |   |   |   |
|                 Net      investment income (loss)                                                                                                                                                                                                                                                                                                                                     |   |   | (1,315,952 | ) |   |   | (1,507,725 | ) |   |   | (2,354,185 | ) |
|                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |   |   |   |   |   |   |   |   |   |   |   |   |
|                 NET      INCOME (LOSS)                                                                                                                                                                                                                                                                                                                                                |   | $ | (2,082,419 | ) |   | $ | 1,608,816 |   |   | $ | 3,266,075 |   |
|                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |   |   |   |   |   |   |   |   |   |   |   |   |
| NET      INCOME (LOSS) PER GENERAL    AND      LIMITED PARTNER UNIT                                                                                                                                                                                                                                                                                                                                                                               |   |   |   |   |   |   |   |   |   |   |   |   |
|         (based      on weighted average number of        units      outstanding during the year of        8,364,      9,746 and 11,174, respectively)                                                                                                                                                                                         |   | $ | (248.97 | ) |   | $ | 165.07 |   |   | $ | 292.29 |   |
|                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |   |   |   |   |   |   |   |   |   |   |   |   |
| INCREASE      (DECREASE) IN NET ASSET VALUE    PER      GENERAL AND LIMITED PARTNER UNIT                                                                                                                                                                                                                                                                                                                                                          |   | $ | (247.57 | ) |   | $ | 170.33 |   |   | $ | 294.10 |   |
|                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |   |
| See      accompanying notes.                                                                                                                                                                                                                                                                                                                                                                                                                                          |   |

----

| PROFUTURES      DIVERSIFIED FUND, L.P.STATEMENTS      OF CHANGES IN PARTNERS’ CAPITAL (NET ASSET VALUE)For      the Years Ended December 31, 2007, 2006 and 2005_______________ |
|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|                                                                                                                                                                                  |
|                                                                                                                                                                                  |   | Total |   |   |   |   |   |   |   |   |   |   |
|                                                                                                                                                                                  |   | Number      of |   |   | Partners'      Capital |   |
|                                                                                                                                                                                  |   | Units |   |   | General |   |   | Limited |   |   | Total |   |
|                                                                                                                                                                                  |   |   |   |   |   |   |   |   |   |   |   |   |
| 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 | ) |   |   | 0 |   |   |   | (4,375,342 | ) |   |   | (4,375,342 | ) |
|                                                                                                                                                                                  |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Balances      at    December      31, 2006                                                                                                                        |   |   | 8,903 |   |   |   | 592,117 |   |   |   | 27,581,995 |   |   |   | 28,174,112 |   |
|                                                                                                                                                                                  |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Net      (loss) for the year    ended      December 31, 2007                                                                                                      |   |   |   |   |   |   | (46,326 | ) |   |   | (2,036,093 | ) |   |   | (2,082,419 | ) |
|                                                                                                                                                                                  |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Redemptions                                                                                                                                                                           |   |   | (1,558 | ) |   |   | 0 |   |   |   | (4,667,866 | ) |   |   | (4,667,866 | ) |
|                                                                                                                                                                                  |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Balances      at    December      31, 2007                                                                                                                        |   |   | 7,345 |   |   | $ | 545,791 |   |   | $ | 20,878,036 |   |   | $ | 21,423,827 |   |
|                                                                                                                                                                                  |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
|                                                                                                                                                                                  |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
|                                                                                                                                                                                  |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
|                                                                                                                                                                                  |   | Net      Asset Value Per Unit |   |   |   |   |   |
|                                                                                                                                                                                  |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
|                                                                                                                                                                                  |   |   |   |   |   | December      31, |   |   |   |   |   |   |   |   |   |
|                                                                                                                                                                                  |   | 2007 |   |   | 2006 |   |   | 2005 |   |   |   |   |   |
|                                                                                                                                                                                  |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
|                                                                                                                                                                                  |   | $ | 2,916.78 |   |   | $ | 3,164.35 |   |   | $ | 2,994.02 |   |   |   |   |   |

----

----

|                                                          |   | 2007   |        |   | 2006        |   |       | 2005        |   |
|---------------------------------------------------------------|--------|--------|-------------|--------|-------------|--------|------------|-------------|--------|
| OPERATING      ACTIVITIES                                     |   |   |        |   | (unaudited) |   |       | (unaudited) |   |
| Net      income (loss)                                        |   | $      | (2,082,419  | )      |        | $      | 1,608,816  |        |   | $ | 3,266,075 |   |
|                                                          |   |   |        |   |        |   |       |        |   |   |   |   |
| Adjustment      to reconcile net income (loss) to             |   |   |        |   |        |   |       |        |   |   |   |   |
| net      cash provided by operating activities                |   |   |        |   |        |   |       |        |   |   |   |   |
| (Gain)      loss from other commodity pools, net              |   |   | (492,472    | )      |        |   | (398,122   | )           |   |   | 0 |   |
| Change      in operating assets and liabilities               |   |   |        |   |        |   |       |        |   |   |   |   |
| (Increase)      decrease in cash at broker                    |   |   | 11,891,969  |   |        |   | 9,072,720  |        |   |   | 1,048,653 |   |
| (Increase)      decrease in options premiums paid             |   |   | (28,625     | )      |        |   | 86,675     |        |   |   | (23,550 | ) |
| (Increase)      decrease in unrealized gain on open contracts |   |   | 478,142     |   |        |   | (1,245,726 | )           |   |   | 1,275,765 |   |
| (Increase)      decrease in cash deposits                     |   |   |        |   |        |   |       |        |   |   |   |   |
| in      forward trading collateral accounts                   |   |   | 5,412,319   |   |        |   | 5,262,593  |        |   |   | (1,590,185 | ) |
| (Increase)      decrease in net premiums paid on              |   |   |        |   |        |   |       |        |   |   |   |   |
| options      on forward currency contracts                    |   |   | 3,294       |   |        |   | (3,294     | )           |   |   | 0 |   |
| (Increase)      decrease in unrealized gain on open           |   |   |        |   |        |   |       |        |   |   |   |   |
| forward      currency contracts and options on                |   |   |        |   |        |   |       |        |   |   |   |   |
| forward      currency contracts                               |   |   | 371,164     |   |        |   | (698,045   | )           |   |   | 47,561 |   |
| Additions      to other commodity pools                       |   |   | (15,803,865 | )      |        |   | (9,000,000 | )           |   |   | 0 |   |
| Redemptions      from other commodity pools                   |   |   | 4,245,000   |   |        |   | 60,000     |        |   |   | 0 |   |
| (Decrease)      increase in accounts payable                  |   |   | 43,536      |   |        |   | 2,935      |        |   |   | 18,895 |   |
| (Decrease)      increase in commissions and                   |   |   |        |   |        |   |       |        |   |   |   |   |
| other      trading fees on open contracts                     |   |   | (5,685      | )      |        |   | (34,929    | )           |   |   | 22,586 |   |
| (Decrease)      increase in incentive fees payable            |   |   | (62,651     | )      |        |   | (234,270   | )           |   |   | 182,663 |   |
| (Decrease)      increase in management fees payable           |   |   | (168,219    | )      |        |   | (41,525    | )           |   |   | (5,158 | ) |
|                                                          |   |   |        |   |        |   |       |        |   |   |   |   |
| Net      Cash Provided By (Used In) Operating Activities      |   |   | 3,801,488   |   |        |   | 4,437,828  |        |   |   | 4,243,305 |   |
|                                                          |   |   |        |   |        |   |       |        |   |   |   |   |
| FINANCING      ACTIVITIES                                     |   |   |        |   |        |   |       |        |   |   |   |   |
| Redemptions      paid                                         |   |   | (3,801,305  | )      |        |   | (4,437,272 | )           |   |   | (4,253,664 | ) |
|                                                          |   |   |        |   |        |   |       |        |   |   |   |   |
| Net      Cash Provided By (Used In) Financing Activities      |   |   | (3,801,305  | )      |        |   | (4,437,272 | )           |   |   | (4,253,664 | ) |
|                                                          |   |   |        |   |        |   |       |        |   |   |   |   |
| Net      Cash increase (decrease) for the year                |   |   | 183         |   |        |   | 556        |        |   |   | (10,359 | ) |
|                                                          |   |   |        |   |        |   |       |        |   |   |   |   |
| Cash      at Beginning of the year                            |   |   | 3,204       |   |        |   | 2,648      |        |   |   | 13,007 |   |
|                                                          |   |   |        |   |        |   |       |        |   |   |   |   |
| Cash      at End of the year                                  |   | $      | 3,387       |   |        | $      | 3,204      |        |   | $ | 2,648 |   |
|                                                          |   |   |        |   |        |   |       |        |   |   |   |   |
|                                                          |   |   |        |   |        |   |       |        |   |   |   |   |
|                                                          |   |   |        |   |        |   |       |        |   |   |   |   |
| See      accompanying notes.                                  |   |

----

----

| Note      1. | ORGANIZATION      AND SUMMARY OF SIGNIFICANT ACCOUNTINGPOLICIES |
|--------------|-----------------------------------------------------------------|

|   | 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,      directly and through its investments in other commodity      pools.  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. |
|--------|------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|

|   | 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, and interbank market makers through which      the Partnership trades. |
|--------|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|

|   | 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. |
|--------|-----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|

|   | 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. |
|--------|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|

----

----

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

|   | Physical      commodities are stated at the fair value on the valuation date using the      closing cash market price.  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. |
|--------|----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|

|   | The      Partnership is not subject to federal 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. |
|--------|--------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|

|   | 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. |
|--------|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|

----

----

| Note      1. | ORGANIZATION      AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES  (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. |
|--------|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|

----

----

| Note      2.  | GENERAL      PARTNER (CONTINUED) |
|--------------------|----------------------------------|

|   | ProFutures,      Inc. has a callable stock subscription agreement with MF Global Ltd. (MFG)      (formerly Man Financial Inc.), the Partnership’s broker, whereby MFG 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 worthrequirements. |
|--------|-----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|

|   | 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, 2007, 2006 and 2005 were $951,279, $1,128,704 and $1,201,191,      respectively.  Management fees payable to ProFutures, Inc. as of      December 31, 2007 and 2006 were $61,761 and $89,607,      respectively.  During the years ended December 31, 2007, 2006      and 2005, the General Partner waived $114,074, $0 and $0, respectively, of      its monthly management fee related to the value of the Partnership's net      assets invested in ProFutures Strategic Allocation Trust, an affiliated      fund also managed by ProFutures, Inc.  The General Partner      considers this waiver of management fees necessary given ProFutures, Inc.      receives a 2% per annum administration fee from ProFutures Strategic      Allocation Trust. |
|--------|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|

| Note      3.  | CONSULTANT |
|--------------------|------------|

|   | The      Partnership has entered into a consulting agreement 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.  Effective April 1,      2007, certain net assets of the Partnership invested  with      Altegris affiliated managers are excluded from the month-end Net Asset      Value when computing the consulting fees due to      Altegris.   The consulting fee (included in management fees      in the statement of operations) earned by Altegris for the years ended      December 31, 2007, 2006, and 2005 were $21,603, $75,247, and $80,079,      respectively.  In addition to the monthly consulting fee,      Altegris earns commissions for introducing the Partnership to certain      commodity trading advisors and other commodity pools based on the number      of trades entered on behalf of thePartnership. |
|--------|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|

| Note      4. | COMMODITY      TRADING ADVISORS |
|--------------|---------------------------------|

|   | As      of December 31, 2007, the Partnership has one trading advisory contract      with a commodity trading advisor to furnish investment management services      to the Partnership, but may, from time to time, have several such trading      advisory contracts.  These trading advisors typically 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 commodity trading advisors      typically receive quarterly incentive fees of 20% of Trading Profits (as      defined).  Total management fees earned by the trading advisors      amounted to $139,345, $740,051 and $837,640 for the years ended December      31, 2007, 2006, and 2005, respectively.  Total incentive fees      earned by the trading advisors amounted to $69,916, $530,112 and $849,102      for the years ended December 31, 2007, 2006, and 2005,      respectively. |
|--------|--------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|

----

----

| Note      5.  | DEPOSITS      WITH BROKER |
|--------------------|---------------------------|

|   | The      Partnership deposits funds with MFG 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. | INVESTMENTS      IN OTHER COMMODITY POOLS |
|--------------|-------------------------------------------|

|                               |   | ProFutures      Strategic Allocation      Trust |      |   | SHK Diversified LLC |   |           | Valhalla Synergy Fund LLC |   |   | Winton      Futures Fund,L.P.(US) |   |   | Totals |       |
|------------------------------------|--------|-------------------------------------------------|-----------|--------|---------------------|--------|----------------|-------------------------------------|--------|--------|-----------------------------------|--------|--------|--------|------------|
|                               |   |                                            |      |   |                |   |           |                                |   |   |                              |   |   |   |       |
| Net      Asset Value               |   |                                            |      |   |                |   |           |                                |   |   |                              |   |   |   |       |
|   December      31, 2005 |   | $                                               | 0         |   |                | $      | 0              |                                |   | $      | 0                                 |   |   | $      | 0          |   |   | $ | 0 |   |
|                               |   |                                            |      |   |                |   |           |                                |   |   |                              |   |   |   |       |   |   |   |   |   |
| Additions                          |   |                                            | 0         |   |                |   | 0              |                                |   |   | 0                                 |   |   |   | 9,000,000  |   |   |   | 9,000,000 |   |
|                               |   |                                            |      |   |                |   |           |                                |   |   |                              |   |   |   |       |   |   |   |   |   |
| Income      (loss)                 |   |                                            | 0         |   |                |   | 0              |                                |   |   | 0                                 |   |   |   | 398,122    |   |   |   | 398,122 |   |
|                               |   |                                            |      |   |                |   |           |                                |   |   |                              |   |   |   |       |   |   |   |   |   |
| Redemptions                        |   |                                            | 0         |   |                |   |  0        |                                |   |   | 0                                 |   |   |   | (60,000    | ) |   |   | (60,000 | ) |
|                               |   |                                            |      |   |                |   |           |                                |   |   |                              |   |   |   |       |   |   |   |   |   |
| Net      Asset Value               |   |                                            |      |   |                |   |           |                                |   |   |                              |   |   |   |       |   |   |   |   |   |
|   December      31, 2006 |   |                                            | 0         |   |                |   | 0              |                                |   |   | 0                                 |   |   |   | 9,338,122  |   |   |   | 9,338,122 |   |
|                               |   |                                            |      |   |                |   |           |                                |   |   |                              |   |   |   |       |   |   |   |   |   |
| Additions                          |   |                                            | 7,364,000 |   |                |   | 3,500,000      |                                |   |   | 4,439,865                         |   |   |   | 500,000    |   |   |   | 15,803,865 |   |
|                               |   |                                            |      |   |                |   |           |                                |   |   |                              |   |   |   |       |   |   |   |   |   |
| Income      (loss)                 |   |                                            | (886,996  | )      |                |   | (102,714       | )                                   |   |   | 229,803                           |   |   |   | 1,252,379  |   |   |   | 492,472 |   |
|                               |   |                                            |      |   |                |   |           |                                |   |   |                              |   |   |   |       |   |   |   |   |   |
| Redemptions                        |   |                                            | (982,000  | )      |                |   |  (280,000 | )                                   |   |   |  (250,000                    | )      |   |   | (7,233,000 | ) |   |   | (8,745,000 | ) |
|                               |   |                                            |      |   |                |   |           |                                |   |   |                              |   |   |   |       |   |   |   |   |   |
| Net      Asset Value               |   |                                            |      |   |                |   |           |                                |   |   |                              |   |   |   |       |   |   |   |   |   |
|   December      31, 2007 |   | $                                               | 5,495,004 |   |                | $      | 3,117,286      |                                |   | $      | 4,419,668                         |   |   | $      | 3,857,501  |   |   | $ | 16,889,459 |   |

----

----

| Note      6. | INVESTMENTS      IN OTHER COMMODITY POOLS(CONTINUED) |
|--------------|------------------------------------------------------|

| Statement      of Financial Condition                     |   | December      31, 2007 |       |
|-----------------------------------------------------------|--------|------------------------|------------|
| Assets                                                    |   |                   |       |
|  Equity      in broker trading accounts              |   |                   |       |
|    Cash                                    |   | $                      | 3,876,110  |   |
|    Unrealized      gain on open contracts  |   |                   | 66,075     |   |
|      Deposits      with broker   |   |                   | 3,942,185  |   |
|                                                      |   |                   |       |   |
|  Cash      and cash equivalents                      |   |                   | 2,493,158  |   |
|  Subscription      in commodity pool paid in advance |   |                   | 7,000,000  |   |
|  Net      premiums paid on options on                |   |                   |       |   |
|   forward      currency contracts               |   |                   | 11,338     |   |
|  Unrealized      (loss) on open forward and          |   |                   |       |   |
|   options      on forward currency contracts    |   |                   | (251,518   | ) |
|  Other      assets                                   |   |                   | 1,250      |   |
|     Total      assets                 |   | $                      | 13,196,413 |   |
|                                                      |   |                   |       |   |
| Liabilities                                               |   |                   |       |   |
|   Accounts      payable                         |   | $                      | 25,665     |   |
|   Commissions      payable                      |   |                   | 1,982      |   |
|   Management      fee payable                   |   |                   | 69,326     |   |
|   Incentive      fee payable                    |   |                   | 0          |   |
|   Other      payables                           |   |                   | 21,869     |   |
|   Redemptions      payable                      |   |                   | 340,686    |   |
|     Total      liabilities            |   |                   | 459,528    |   |
|                                                      |   |                   |       |   |
| Total      Capital (Net Asset Value)                      |   |                   | 12,736,885 |   |
|                                                      |   |                   |       |   |
|                                                      |   | $                      | 13,196,413 |   |

----

----

| Note      6.  | INVESTMENTS      IN OTHER COMMODITY POOLS(CONTINUED) |
|--------------------|------------------------------------------------------|

|    Statement      of Operations      |   | For      the YearEndedDecember      31, 2007 |       |
|-----------------------------------------------------|--------|----------------------------------------------|------------|
| Trading      gains (losses)                         |   |                                         |       |
|   Realized                                |   | $                                            | (983,178   | ) |
|   Change      in unrealized               |   |                                         | (814,024   | ) |
|   Brokerage      commissions              |   |                                         | (77,794    | ) |
|     Total      trading (losses) |   |                                         | (1,874,996 | ) |
|                                                |   |                                         |       |   |
| Net      investment income (loss)                   |   |                                         |       |   |
| Interest      income                                |   |                                         | 583,254    |   |
| Expenses                                            |   |                                         |       |   |
|   Incentive      fees                     |   |                                         | 73,475     |   |
|   Management      and other fees          |   |                                         | 583,881    |   |
|   Operating      expenses                 |   |                                         | 116,273    |   |
|     Total      expenses         |   |                                         | 773,629    |   |
|     Net      investment (loss)  |   |                                         | (190,375   | ) |
|     Net    (loss)               |   | $                                            | (2,065,371 | ) |
|                                                |   |                                         |       |   |
|                                                |   |                                         |       |   |

----

----

| Note      6. | INVESTMENTS      IN OTHER COMMODITY POOLS(CONTINUED) |
|--------------|------------------------------------------------------|

| Statement      of Financial Condition                    |   | December      31, 2007 |         |
|----------------------------------------------------------|--------|------------------------|--------------|
|                                                     |   |                   |         |
| Assets                                                   |   |                   |         |
|  Money      market fund                             |   | $                      | 57,268,220   |   |
|  Equity      in broker trading accounts             |   |                   |         |   |
|    Cash      (due to broker)              |   | $                      | (114,907,191 | ) |
|    Unrealized      gain on open contracts |   |                   | 128,343,818  |   |
|      Deposits      with broker  |   |                   | 13,436,627   |   |
|                                                     |   |                   |         |   |
|  Other      assets                                  |   |                   | 28,495       |   |
|     Total      assets                |   | $                      | 70,733,342   |   |
|                                                     |   |                   |         |   |
| Liabilities                                              |   |                   |         |   |
|   Accounts      payable                        |   | $                      | 133,065      |   |
|   Commissions      payable                     |   |                   | 161,822      |   |
|   Management      fee payable                  |   |                   | 303,133      |   |
|   Incentive      fee payable                   |   |                   | 4,686        |   |
|   Subscription      received in advance        |   |                   | 75,000       |   |
|   Redemptions      payable                     |   |                   | 3,757,503    |   |
|     Total      liabilities           |   |                   | 4,435,209    |   |
|                                                     |   |                   |         |   |
| Total      Capital (Net Asset Value)                     |   |                   | 66,298,133   |   |
|                                                     |   |                   |         |   |
|                                                     |   | $                      | 70,733,342   |   |

|   Statement      of Operations            |   | For      the YearEndedDecember      31,2007 |         |
|-----------------------------------------------------|--------|---------------------------------------------|--------------|
| Trading      gains (losses)                         |   |                                        |         |
|   Realized                                |   | $                                           | (112,834,755 | ) |
|   Change      in unrealized               |   |                                        | 113,795,613  |   |
|   Brokerage      commissions              |   |                                        | (1,935,994   | ) |
|     Total      trading (losses) |   |                                        | (975,136     | ) |
|                                                |   |                                        |         |   |
| Net      investment income (loss)                   |   |                                        |         |   |
| Interest      and dividend income                   |   |                                        | 3,809,087    |   |
| Expenses                                            |   |                                        |         |   |
|   Incentive      fees                     |   |                                        | 29,702       |   |
|   Management      and other fees          |   |                                        | 3,951,943    |   |
|   Operating      expenses                 |   |                                        | 256,804      |   |
|     Total      expenses         |   |                                        | 4,238,449    |   |
|     Net      investment (loss)  |   |                                        | (429,362     | ) |
|     Net    (loss)               |   | $                                           | (1,404,498   | ) |

----

----

| Note      6. | INVESTMENTS      IN OTHER COMMODITY POOLS(CONTINUED) |
|--------------|------------------------------------------------------|

----

----

| Note      6. | INVESTMENTS      IN OTHER COMMODITY POOLS(CONTINUED) |
|--------------|------------------------------------------------------|

| Statements      of Financial Condition                   |   | December      31, 2007 |        |   | December      31, 2006 |   |
|----------------------------------------------------------|--------|------------------------|-------------|--------|------------------------|--------|
|                                                     |   | (audited)              |        |   |  (unaudited)      |   |
|                                                     |   |                   |        |   |                   |   |
| Assets                                                   |   |                   |        |   |                   |   |
|  Equity      in broker trading accounts             |   |                   |        |   |                   |   |
|    Cash                                   |   | $                      | 25,952,767  |   |                   | $      | 20,786,496 |   |
|    Unrealized      gain on open contracts |   |                   | 1,354,533   |   |                   |   | 2,094,290 |   |
|      Deposits      with broker  |   |                   | 27,307,300  |   |                   |   | 22,880,786 |   |
|  Cash      and cash equivalents                     |   |                   | 84,729,844  |   |                   |   | 44,437,784 |   |
|  Other      assets                                  |   |                   | 54,628      |   |                   |   | 56,373 |   |
|     Total      assets                |   | $                      | 112,091,772 |   |                   | $      | 67,374,943 |   |
|                                                     |   |                   |        |   |                   |   |   |   |
| Liabilities                                              |   |                   |        |   |                   |   |   |   |
|   Accounts      payable                        |   | $                      | 43,748      |   |                   | $      | 24,127 |   |
|   Commissions      payable                     |   |                   | 31,362      |   |                   |   | 35,826 |   |
|   Management      fee payable                  |   |                   | 115,550     |   |                   |   | 68,970 |   |
|   Service      fee payable                     |   |                   | 59,483      |   |                   |   | 28,148 |   |
|   Incentive      fee payable                   |   |                   | 988,849     |   |                   |   | 657,802 |   |
|   Redemptions      payable                     |   |                   | 4,725,873   |   |                   |   | 1,469,975 |   |
|   Subscriptions      received in advance       |   |                   | 10,612,046  |   |                   |   | 7,929,000 |   |
|     Total      liabilities           |   |                   | 16,576,911  |   |                   |   | 10,213,848 |   |
|                                                     |   |                   |        |   |                   |   |   |   |
| Total      Capital (Net Asset Value)                     |   |                   | 95,514,861  |   |                   |   | 57,161,095 |   |
|                                                     |   |                   |        |   |                   |   |   |   |
|                                                     |   | $                      | 112,091,772 |   |                   | $      | 67,374,943 |   |

----

----

| Note      6.  | INVESTMENTS      IN OTHER COMMODITY POOLS(CONTINUED) |
|--------------------|------------------------------------------------------|

|   Statements      of Operations     |   | For      the YearEndedDecember      31,2007 |       |   | For      the YearEndedDecember      31,2006 |   |
|----------------------------------------------------|--------|---------------------------------------------|------------|--------|---------------------------------------------|--------|
| Trading      gains (losses)                        |   |                                        |       |   |                                        |   |
|   Realized                               |   | $                                           | 15,150,335 |   |                                        | $      | 4,746,506 |   |
|   Change      in unrealized              |   |                                        | (739,757   | )      |                                        |   | 1,396,014 |   |
|   Brokerage      commissions             |   |                                        | (673,160   | )      |                                        |   | (676,866 | ) |
|     Total      trading gains   |   |                                        | 13,737,418 |   |                                        |   | 5,465,654 |   |
|                                               |   |                                        |       |   |                                        |   |   |   |
| Net      investment income (loss)                  |   |                                        |       |   |                                        |   |   |   |
| Interest      income                               |   |                                        | 3,810,719  |   |                                        |   | 1,783,498 |   |
| Expenses                                           |   |                                        |       |   |                                        |   |   |   |
|   Incentive      fees                    |   |                                        | 2,765,665  |   |                                        |   | 925,800 |   |
|   Management      and other fees         |   |                                        | 1,706,634  |   |                                        |   | 828,508 |   |
|   Operating      expenses                |   |                                        | 230,551    |   |                                        |   | 94,939 |   |
|     Total      expenses        |   |                                        | 4,702,850  |   |                                        |   | 1,849,247 |   |
|     Net      investment (loss) |   |                                        | (892,131   | )      |                                        |   | (65,749 | ) |
|     Net    income              |   | $                                           | 12,845,287 |   |                                        | $      | 5,399,905 |   |
|                                               |   |                                        |       |   |                                        |   |   |   |
|                                               |   |                                        |       |   |                                        |   |   |   |

| Note      7. | SUBSCRIPTIONS,      DISTRIBUTIONS AND REDEMPTIONS |
|--------------|---------------------------------------------------|

----

----

| Note      8. | TRADING      ACTIVITIES AND RELATED RISKS |
|--------------|-------------------------------------------|

|   | The      Partnership, directly and through its investment in other commodity pools,      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 acontract. |
|--------|----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|

|   | 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 commoditiesowned. |
|--------|-------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|

|   | 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 counterpartynonperformance. |
|--------|------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|

|   | The      Partnership’s investments in other commodity pools are subject to the      market and credit risks of futures contracts, forward currency contracts      and other derivative contracts held or sold short by these commodity      pools.  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 risk management procedures to monitor      investments in other commodity pools and seeks to minimize risk primarily      by investing in commodity pools, which the General Partner believes are      reliable and creditworthy.  However, there can be no assurance      that any commodity pool invested in will be able to meet its obligations      to the Partnership. |
|--------|----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|

|   | 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, as a consultant,      and the advisors themselves.  The General  Partner |
|--------|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|

----

----

| Note      8. | TRADING      ACTIVITIES AND RELATED RISKS(CONTINUED) |
|--------------|------------------------------------------------------|

| Note      9. | INDEMNIFICATIONS |
|--------------|------------------|

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

|                                                     |   | 2007   |     |   | 2006   |   |     | 2005   |   |
|----------------------------------------------------------|--------|--------|----------|--------|--------|--------|----------|--------|--------|
| Per      Unit Performance                                |   |   |     |   |   |   |     |   |   |
| (for a unit outstanding throughout the entire      year) |   |   |     |   |   |   |     |   |   |
| Net      asset value per unit at beginning of year       |   | $      | 3,164.35 |   |   | $      | 2,994.02 |   |   | $ | 2,699.92 |   |
| Income      (loss) from operations:                      |   |   |     |   |   |   |     |   |   |   |   |   |
| Total      trading and investing gains (losses) (1)      |   |   | (90.23   | )      |   |   | 325.03   |   |   |   | 504.78 |   |
| Net      investment income (loss) (1)                    |   |   | (157.34  | )      |   |   | (154.70  | )      |   |   | (210.68 | ) |
| Total      income (loss) from operations                 |   |   | (247.57  | )      |   |   | 170.33   |   |   |   | 294.10 |   |
| Net      Asset Value per unit at end of year             |   | $      | 2,916.78 |   |   | $      | 3,164.35 |   |   | $ | 2,994.02 |   |
| Total      Return                                        |   |   | (7.82    | )%     |   |   | 5.69     | %      |   |   | 10.89 | % |
| Supplemental      Data                                   |   |   |     |   |   |   |     |   |   |   |   |   |
| Ratios to average net asset      value: (2)      (3)     |   |   |     |   |   |   |     |   |   |   |   |   |
| Expenses      prior to incentive fees                    |   |   | 5.62     | %      |   |   | 7.63     | %      |   |   | 7.60 | % |
| Incentive      fees                                      |   |   | 0.27     | %      |   |   | 1.78     | %      |   |   | 2.70 | % |
| Total      expenses                                      |   |   | 5.89     | %      |   |   | 9.41     | %      |   |   | 10.30 | % |
| Net      investment (loss) (4)                           |   |   | (4.90    | )%     |   |   | (3.29    | )%     |   |   | (4.79 | )% |

|   | 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 income (loss) per unit is calculated by dividing the net      investment income (loss) by the average number of units outstanding during      the year.  Total trading and investing gains (losses) 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 and investing gains      (losses) per unit due to the timing of trading and investing 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 investments in other commodity  pools. |
|--------|-----|---------------------------------------------------------------------------------------------------------------------------------------------------------|

|   | (3) | Ratios      for the year ended December 31, 2007, are after the waiver of management      fees by the General Partner, equal to 0.45% of average net asset      value. |
|--------|-----|------------------------------------------------------------------------------------------------------------------------------------------------------------------------|

|  | (4) | Excludes incentive      fees. |
|--|-----|-------------------------------|

----

----

| Note      11. | SUBSEQUENT      EVENTS |
|---------------|------------------------|

----

----

|                                                                       | PAGES                        |
|----------------------------------------------------------------------------|------------------------------|
|                                                                       |                         |
|                                                                       |                         |
| Affirmation      of the Commodity Pool Operator                            | F-27                         |
|                                                                       |                         |
| Independent      Auditor’s Report                                    | F-28                         |
|                                                                       |                         |
| Financial      Statements                                                  |                         |
|                                                                       |                         |
| Statements      of Financial Condition                                     | F-29                         |
|                                                                       |                         |
| Condensed      Schedules of Investments                                    | F-30                         |
|                                                                       |                         |
| Statements      of Operations                                              | F-31                         |
|                                                                       |                         |
| Statements      of Changes in Unitholders’ Capital (Net Asset Value) | F-32                         |
|                                                                       |                         |
| Notes      to Financial Statements                                         |  F-33      – F-37 |

----

----

----

|                                                                                                                                                                 |   | 2007   |       |   | 2006   |   |
|----------------------------------------------------------------------------------------------------------------------------------------------------------------------|--------|--------|------------|--------|--------|--------|
| ASSETS                                                                                                                                                               |   |   |       |   |   |   |
|     Equity      in broker trading accounts                                                                                                       |   |   |       |   |   |   |
|         Cash                                                                                                                 |   | $      | 3,876,110  |   |   | $      | 4,323,998 |   |
|         Unrealized      gain on open contracts                                                                               |   |   | 66,075     |   |   |   | 270,867 |   |
|                                                                                                                                                                 |   |   |       |   |   |   |   |   |
|                 Deposits      with broker                                            |   |   | 3,942,185  |   |   |   | 4,594,865 |   |
|                                                                                                                                                                 |   |   |       |   |   |   |   |   |
|     Cash                                                                                                                                         |   |   | 2,649      |   |   |   | 12,960 |   |
|     Cash      deposits in forward trading collateral accounts                                                                                    |   |   | 2,490,509  |   |   |   | 5,292,790 |   |
|     Investment      in Winton Futures Fund, L.P. (US)                                                                                            |   |   |       |   |   |   |   |   |
|         paid      in advance                                                                                                 |   |   | 7,000,000  |   |   |   | 0 |   |
|     Net      premiums paid on options                                                                                                            |   |   |       |   |   |   |   |   |
|         on      forward currency contracts                                                                                   |   |   | 11,338     |   |   |   | 3,378 |   |
|     Unrealized      gain (loss) on open forward currency                                                                                         |   |   |       |   |   |   |   |   |
|         contracts      and options on forward currency contracts                                                             |   |   | (251,518   | )      |   |   | 357,714 |   |
|     Other      assets                                                                                                                            |   |   | 1,250      |   |   |   | 1,250 |   |
|                                                                                                                                                                 |   |   |       |   |   |   |   |   |
|                 Total      assets                                                    |   | $      | 13,196,413 |   |   | $      | 10,262,957 |   |
|                                                                                                                                                                 |   |   |       |   |   |   |   |   |
| LIABILITIES                                                                                                                                                          |   |   |       |   |   |   |   |   |
|     Accounts      payable                                                                                                                        |   | $      | 25,665     |   |   | $      | 23,467 |   |
|     Commissions      and other trading fees        on      open contracts                                |   |   | 1,982      |   |   |   | 3,347 |   |
|     Management      fee payable                                                                                                                  |   |   | 69,326     |   |   |   | 49,431 |   |
|     Trust      administration fee payable                                                                                                        |   |   | 21,869     |   |   |   | 17,006 |   |
|     Redemptions      payable                                                                                                                     |   |   | 340,686    |   |   |   | 90,979 |   |
|                                                                                                                                                                 |   |   |       |   |   |   |   |   |
|                 Total      liabilities                                               |   |   | 459,528    |   |   |   | 184,230 |   |
|                                                                                                                                                                 |   |   |       |   |   |   |   |   |
| UNITHOLDERS’      CAPITAL (Net Asset Value)                                                                                                                    |   |   |       |   |   |   |   |   |
|     Managing      Owner - 10 units outstanding        at      December 31, 2007 and 2006                 |   |   | 16,676     |   |   |   | 19,170 |   |
|     Other      Unitholders - 7,552 and 5,196 units outstanding        at      December 31, 2007 and 2006 |   |   | 12,720,209 |   |   |   | 10,059,557 |   |
|                                                                                                                                                                 |   |   |       |   |   |   |   |   |
|                 Total      unitholders’ capital                                |   |   |       |   |   |   |   |   |
|                      (Net      Asset Value)                 |   |   | 12,736,885 |   |   |   | 10,078,727 |   |
|                                                                                                                                                                 |   |   |       |   |   |   |   |   |
|                                                                                                                                                                 |   | $      | 13,196,413 |   |   | $      | 10,262,957 |   |

----

|                                                    |   | 2007   |     |   | 2006                     |   |
|---------------------------------------------------------|--------|--------|----------|--------|--------------------------|--------|
| LONG FUTURES      CONTRACTS                             |   |   |     |   |                     |   |   |   |   |   |   |   |
|                                                    |   |   |     |   |                     |   |   |   |   |   |   |   |
| Description                                             |   | Value  |     |   | %      of NetAsset Value |   |   | Value |   |   | %      of NetAsset Value |   |
|                                                    |   |   |     |   |                     |   |   |   |   |   |   |   |
| Energy                                                  |   | $      | 26,374   |   |                     |   | 0.21 | % |   | $ | (91,760 | ) |   |   | (0.91 | )% |
| Interest      rate                                      |   |   | 24,970   |   |                     |   | 0.20 | % |   |   | (12,250 | ) |   |   | (0.12 | )% |
| Metal                                                   |   |   | 2,710    |   |                     |   | 0.02 | % |   |   | (15,091 | ) |   |   | (0.15 | )% |
| Stock      index                                        |   |   | 41,014   |   |                     |   | 0.32 | % |   |   | 108,998 |   |   |   | 1.08 | % |
|                                                    |   |   |     |   |                     |   |   |   |   |   |   |   |   |   |   |   |
| Total      long futures contracts                       |   | $      | 95,068   |   |                     |   | 0.75 | % |   | $ | (10,103 | ) |   |   | (0.10 | )% |
|                                                    |   |   |     |   |                     |   |   |   |   |   |   |   |   |   |   |   |
| SHORT FUTURES      CONTRACTS                            |   |   |     |   |                     |   |   |   |   |   |   |   |   |   |   |   |
|                                                    |   |   |     |   |                     |   |   |   |   |   |   |   |   |   |   |   |
| Energy                                                  |   | $      | (25,489  | )      |                     |   | (0.20 | )% |   | $ | 0 |   |   |   | 0.00 | % |
| Interest      rate                                      |   |   | (13,379  | )      |                     |   | (0.11 | )% |   |   | 274,479 |   |   |   | 2.72 | % |
| Metal                                                   |   |   | 7,335    |   |                     |   | 0.06 | % |   |   | 6,491 |   |   |   | 0.06 | % |
| Stock      index                                        |   |   | 2,540    |   |                     |   | 0.02 | % |   |   | 0 |   |   |   | 0.00 | % |
|                                                    |   |   |     |   |                     |   |   |   |   |   |   |   |   |   |   |   |
| Total      short futures contracts                      |   | $      | (28,993  | )      |                     |   | (0.23 | )% |   | $ | 280,970 |   |   |   | 2.78 | % |
|                                                    |   |   |     |   |                     |   |   |   |   |   |   |   |   |   |   |   |
| Total      futures contracts                            |   | $      | 66,075   |   |                     |   | 0.52 | % |   | $ | 270,867 |   |   |   | 2.68 | % |
|                                                    |   |   |     |   |                     |   |   |   |   |   |   |   |   |   |   |   |
| PURCHASED OPTIONS ON      FORWARD CURRENCY CONTRACTS    |   |   |     |   |                     |   |   |   |   |
|                                                    |   |   |     |   |                     |   |   |   |   |   |   |   |   |   |   |   |
| Purchased      options on forward currency              |   |   |     |   |                     |   |   |   |   |   |   |   |   |   |   |   |
|   contracts      (premiums paid - $25,946     |   |   |     |   |                     |   |   |   |   |   |   |   |   |   |   |   |
|   and      $7,747, respectively)              |   | $      | 17,290   |   |                     |   | 0.14 | % |   | $ | 8,912 |   |   |   | 0.09 | % |
|                                                    |   |   |     |   |                     |   |   |   |   |   |   |   |   |   |   |   |
| WRITTEN OPTIONS ON      FORWARD CURRENCY CONTRACTS      |   |   |     |   |                     |   |   |   |   |
|                                                    |   |   |     |   |                     |   |   |   |   |   |   |   |   |   |   |   |
| Written      options on forward currency                |   |   |     |   |                     |   |   |   |   |   |   |   |   |   |   |   |
|   contracts      (premiums received - $14,608 |   |   |     |   |                     |   |   |   |   |   |   |   |   |   |   |   |
|   and      $4,369, respectively)              |   | $      | (6,702   | )      |                     |   | (0.05 | )% |   | $ | (4,170 | ) |   |   | (0.04 | )% |
|                                                    |   |   |     |   |                     |   |   |   |   |   |   |   |   |   |   |   |
| FORWARD CURRENCY      CONTRACTS                         |   |   |     |   |                     |   |   |   |   |   |   |   |   |   |   |   |
|                                                    |   |   |     |   |                     |   |   |   |   |   |   |   |   |   |   |   |
| Long      forward currency contracts                    |   | $      | (257,978 | )      |                     |   | (2.03 | )% |   | $ | (251,948 | ) |   |   | (2.50 | )% |
| Short      forward currency contracts                   |   |   | 7,210    |   |                     |   | 0.06 | % |   |   | 608,298 |   |   |   | 6.04 | % |
|                                                    |   |   |     |   |                     |   |   |   |   |   |   |   |   |   |   |   |
| Total      forward currency contracts                   |   | $      | (250,768 | )      |                     |   | (1.97 | )% |   | $ | 356,350 |   |   |   | 3.54 | % |

----

|                                                                                                                                                                                                                                                                                                                              |   | 2007   |       |   | 2006   |   |
|-----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|--------|--------|------------|--------|--------|--------|
| TRADING      GAINS (LOSSES)                                                                                                                                                                                                                                                                                                       |   |   |       |   |   |   |
|     Gain      (loss) from futures trading                                                                                                                                                                                                                                                                     |   |   |       |   |   |   |
|         Realized                                                                                                                                                                                                                                                                          |   | $      | (447,378   | )      |   | $      | 430,878 |   |
|         Change      in unrealized                                                                                                                                                                                                                                                         |   |   | (204,792   | )      |   |   | 279,051 |   |
|         Brokerage      commissions                                                                                                                                                                                                                                                        |   |   | (77,794    | )      |   |   | (49,435 | ) |
|                                                                                                                                                                                                                                                                                                                              |   |   |       |   |   |   |   |   |
|                 Gain      (loss) from futures trading                                                                                                                                                                                             |   |   | (729,964   | )      |   |   | 660,494 |   |
|                                                                                                                                                                                                                                                                                                                              |   |   |       |   |   |   |   |   |
|     Gain      (loss) from trading of forward currency contracts        and      options on forward currency contracts                                                                                                                                                 |   |   |       |   |   |   |   |   |
|             Realized                                                                                                                                                                                                                                                  |   |   | (535,800   | )      |   |   | (576,342 | ) |
|             Change      in unrealized                                                                                                                                                                                                                                 |   |   | (609,232   | )      |   |   | 667,421 |   |
|                                                                                                                                                                                                                                                                                                                              |   |   |       |   |   |   |   |   |
|                 Gain      (loss) from trading of forward currency contracts                    and      options on forward currency contracts |   |   | (1,145,032 | )      |   |   | 91,079 |   |
|                                                                                                                                                                                                                                                                                                                              |   |   |       |   |   |   |   |   |
|                 Total      trading gains (losses)                                                                                                                                                                                                 |   |   | (1,874,996 | )      |   |   | 751,573 |   |
|                                                                                                                                                                                                                                                                                                                              |   |   |       |   |   |   |   |   |
| NET      INVESTMENT INCOME (LOSS)                                                                                                                                                                                                                                                                                                 |   |   |       |   |   |   |   |   |
|     Income                                                                                                                                                                                                                                                                                                    |   |   |       |   |   |   |   |   |
|         Interest      income                                                                                                                                                                                                                                                              |   |   | 583,254    |   |   |   | 441,409 |   |
|                                                                                                                                                                                                                                                                                                                              |   |   |       |   |   |   |   |   |
|     Expenses                                                                                                                                                                                                                                                                                                  |   |   |       |   |   |   |   |   |
|         Incentive      fee                                                                                                                                                                                                                                                                |   |   | 73,475     |   |   |   | 83,664 |   |
|         Management      fee                                                                                                                                                                                                                                                               |   |   | 291,697    |   |   |   | 207,835 |   |
|         Trust      administration fee                                                                                                                                                                                                                                                     |   |   | 292,184    |   |   |   | 208,182 |   |
|         Operating      expenses                                                                                                                                                                                                                                                           |   |   | 116,273    |   |   |   | 99,949 |   |
|                                                                                                                                                                                                                                                                                                                              |   |   |       |   |   |   |   |   |
|                 Total      expenses                                                                                                                                                                                                               |   |   | 773,629    |   |   |   | 599,630 |   |
|                                                                                                                                                                                                                                                                                                                              |   |   |       |   |   |   |   |   |
|                 Net      investment (loss)                                                                                                                                                                                                        |   |   | (190,375   | )      |   |   | (158,221 | ) |
|                                                                                                                                                                                                                                                                                                                              |   |   |       |   |   |   |   |   |
|                 NET      INCOME (LOSS)                                                                                                                                                                                                            |   | $      | (2,065,371 | )      |   | $      | 593,352 |   |

----

|                                                                             |   | Total                         |     |   | Unitholders'      Capital |   |
|----------------------------------------------------------------------------------|--------|-------------------------------|----------|--------|---------------------------|--------|
|                                                                             |   | Number      ofUnits           |     |   | ManagingOwner             |   |   | Other      Unitholders |   |   | Total |   |
|                                                                             |   |                          |     |   |                      |   |   |   |   |   |   |   |
| Balances      at    December      31, 2005                   |   |                          | 5,817    |   |                      | $      | 17,975 |   |   | $ | 10,543,075 |   |   | $ | 10,561,050 |   |
|                                                                             |   |                          |     |   |                      |   |   |   |   |   |   |   |   |   |   |   |
| Net      income for the year    ended      December 31, 2006 |   |                          |     |   |                      |   | 1,195 |   |   |   | 592,157 |   |   |   | 593,352 |   |
|                                                                             |   |                          |     |   |                      |   |   |   |   |   |   |   |   |   |   |   |
| Additions                                                                        |   |                          | 607      |   |                      |   | 0 |   |   |   | 1,123,456 |   |   |   | 1,123,456 |   |
|                                                                             |   |                          |     |   |                      |   |   |   |   |   |   |   |   |   |   |   |
| Redemptions                                                                      |   |                          | (1,218   | )      |                      |   | 0 |   |   |   | (2,199,131 | ) |   |   | (2,199,131 | ) |
|                                                                             |   |                          |     |   |                      |   |   |   |   |   |   |   |   |   |   |   |
| Balances      at    December      31, 2006                   |   |                          | 5,206    |   |                      |   | 19,170 |   |   |   | 10,059,557 |   |   |   | 10,078,727 |   |
|                                                                             |   |                          |     |   |                      |   |   |   |   |   |   |   |   |   |   |   |
| Net      (loss) for the year    ended      December 31, 2007 |   |                          |     |   |                      |   | (2,494 | ) |   |   | (2,062,877 | ) |   |   | (2,065,371 | ) |
|                                                                             |   |                          |     |   |                      |   |   |   |   |   |   |   |   |   |   |   |
| Additions                                                                        |   |                          | 3,789    |   |                      |   | 0 |   |   |   | 7,364,000 |   |   |   | 7,364,000 |   |
|                                                                             |   |                          |     |   |                      |   |   |   |   |   |   |   |   |   |   |   |
| Redemptions                                                                      |   |                          | (1,433   | )      |                      |   | 0 |   |   |   | (2,640,471 | ) |   |   | (2,640,471 | ) |
|                                                                             |   |                          |     |   |                      |   |   |   |   |   |   |   |   |   |   |   |
| Balances      at    December      31, 2007                   |   |                          | 7,562    |   |                      | $      | 16,676 |   |   | $ | 12,720,209 |   |   | $ | 12,736,885 |   |
|                                                                             |   |                          |     |   |                      |   |   |   |   |   |   |   |   |   |   |   |
|                                                                             |   |                          |     |   |                      |   |   |   |   |   |   |   |   |   |   |   |
|                                                                             |   |                          |     |   |                      |   |   |   |   |   |   |   |   |   |   |   |
|                                                                             |   | Net      Asset Value Per Unit |     |   |                      |   |   |
|                                                                             |   | December      31,             |     |   |                      |   |   |
|                                                                             |   | 2007                          |     |   | 2006                      |   |   | 2005 |   |   |   |   |   |
|                                                                             |   |                          |     |   |                      |   |   |   |   |   |   |   |   |   |   |   |
|                                                                             |   | $                             | 1,684.31 |   |                      | $      | 1,936.15 |   |   | $ | 1,815.48 |   |   |   |   |   |

----

| Note      1. | ORGANIZATION AND      SUMMARY OF SIGNIFICANT ACCOUNTING  POLICIES |
|--------------|-------------------------------------------------------------------|

|  | A. | General      Description of the Trust |
|--|----|---------------------------------------|

|   | ProFutures      Strategic Allocation Trust (the Trust) is a Delaware business trust, which      operates as a commodity investment pool.  The Trust engages in      the speculative trading of futures contracts, interbank forward currency      contracts and options on forward currency contracts.  It 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 and Futures Commission Merchants      (brokers) through which the Trusttrades. |
|--------|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|

|  | B. | Method      of Reporting |
|--|----|--------------------------|

|  | C. | Brokerage      Commissions |
|--|----|----------------------------|

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

|  | D. | Income      Taxes |
|--|----|-------------------|

|   | The      Trust prepares calendar year U.S. and applicable state information tax      returns and reports to the unitholders their allocable shares of the      Trust’s income, expenses and trading gains or  losses. |
|--------|-----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|

|   | Effective      January 1, 2007, the Trust adopted Financial Accounting Standards Board      (FASB) 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.  The      adoption of FIN 48 had no impact on the Trust’s financial      statements. |
|--------|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|

|  | E. | Organizational      Charge |
|--|----|----------------------------|

|   | The      Managing Owner pays all organizational and offering costs of the      Trust.  As reimbursement for such costs, the Managing Owner (or      the Selling Agent, ProFutures Financial Group, Inc., a broker/dealer      affiliate of the Managing Owner) receives an organizational charge of 1%      of the subscription amount of each subscriber to the Trust (excluding some      subscribers who are affiliated funds or who transferred their interests      from affiliated funds during 2007 and 2006). Additions are reflected in      the statement of changes in unitholders’ capital (net asset value) net of      such organizational charge totaling $0 and $4,248 for the years ended      December 31, 2007 and 2006,respectively. |
|--------|--------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|

----

----

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

|  | F.  | Foreign      Currency Transactions |
|--|----------|------------------------------------|

|   | The      Trust’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. |
|--------|-----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|

|  | G.  | Redemption      of Units |
|--|----------|--------------------------|

|   | Redemptions      payable at December 31, 2007, includes redemptions approved by the      Managing Owner prior to January 1, 2008, which are not effective until      January 31, 2008.  These redemptions have been recorded as      redemptions and redemptions payable at December 31, 2007, using the      December 31, 2007 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.” |
|--------|----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|

|   | H. | Recently      Issued Accounting Pronouncement |
|--------|----|-----------------------------------------------|

| Note      2.  | MANAGING      OWNER |
|--------------------|---------------------|

----

----

| Note      2.  | MANAGING OWNER      (CONTINUED) |
|--------------------|---------------------------------|

|   | ProFutures,      Inc. has a callable stock subscription agreement with MF Global Ltd. (MFG)      (formerly Man Financial Inc.), whereby MFG 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 Managing Owner’s net worth      requirements. |
|--------|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|

| Note      3.  | TRUSTEE |
|--------------------|---------|

|   | The      Trustee of the Trust is US Bank Trust, National Association, a national      banking association.  The Trustee has delegated to the Managing      Owner all of the power and authority to manage the business and affairs of      the Trust and has only nominal duties and liabilities with respect to the      Trust. |
|--------|--------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|

| Note      4. | COMMODITY TRADING      ADVISOR |
|--------------|--------------------------------|

| Note      5. | DEPOSITS WITH      BROKER |
|--------------|---------------------------|

|   | The      Trust deposits funds with MFG 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 Trust earns interest income on its assets      deposited with the broker. |
|--------|-----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|

| Note      6. | SUBSCRIPTIONS,      DISTRIBUTIONS ANDREDEMPTIONS |
|--------------|--------------------------------------------------|

|   | Investments      in the Trust are made by subscription agreement, subject to acceptance by      the Managing Owner. |
|--------|---------------------------------------------------------------------------------------------------------------------|

|   | The      Trust is not required to make distributions, but may do so at the sole      discretion of the Managing Owner.  A Unitholder may request and      receive redemption of units owned, subject to restrictions in the Trust      Agreement. |
|--------|-------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|

| Note      7.  | TRADING ACTIVITIES AND      RELATED RISKS |
|--------------------|-------------------------------------------|

----

----

| Note      7. | TRADING ACTIVITIES AND      RELATED RISKS (CONTINUED) |
|--------------|-------------------------------------------------------|

|   | Purchase      and sale of futures contracts 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 Trust 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 on forward      currency contracts, the Trust 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 Trust to      potentially unlimited liability, and purchased options expose the Trust to      a risk of loss limited to the premiumspaid. |
|--------|--------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|

|   | The      Trust has a substantial portion of its assets on deposit with financial      institutions in connection with its trading of forward currency contracts      and options on forward currency contracts and its cash management      activities.  Assets deposited with financial institutions in      connection with the Trust’s trading of forward currency contracts and      options on forward currency contracts is partially restricted due to      deposit or margin requirements.  In the event of a financial      institution’s insolvency, recovery of Trust assets on deposit may be      limited to account insurance or other protection afforded such      deposits.  Additionally, since forward currency contracts and      options on forward currency contracts are traded in unregulated markets      between principals, the Trust also assumes the risk of loss from      counterparty nonperformance. |
|--------|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|

|   | The      Managing Owner 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 Managing Owner’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 the advisors themselves. The Managing Owner      seeks to minimize credit risk primarily by depositing and maintaining the      Trust’s assets at financial institutions and brokers, which the Managing      Owner believes to be creditworthy.  The Unitholders 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. | INVESTMENT IN WINTON      FUTURES FUND, L.P. (US) PAID INADVANCE |
|--------------|------------------------------------------------------------------|

|   | On      December 26, 2007, the Trust invested $7,000,000 in the Winton Futures      Fund, L.P. (US).  The investment in the Winton Futures Fund,      L.P. (US) is effective January 1, 2008.  Winton Futures Fund,      L.P. (US) is a commodity pool that engages in the trading of futures and      forward contracts.  The Trust can redeem its investment in the      Winton Futures Fund, L.P. (US) monthly, with 15 days    notice. |
|--------|--------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|

----

----

| Note      9. | INDEMNIFICATIONS |
|--------------|------------------|

|   | In      the normal course of business, the Trust enters into contracts and      agreements that contain a variety of representations and warranties and      which provide general indemnifications.  The Trust’s maximum      exposure under these arrangements is unknown, as this would involve future      claims that may be made against the Trust that have not yet      occurred.  The Trust expects the risk of any future obligation      under these indemnifications to beremote. |
|--------|-------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|

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

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

|                                                     |   | 2007   |     |   | 2006   |   |
|----------------------------------------------------------|--------|--------|----------|--------|--------|--------|
| Per      Unit Performance                                |   |   |     |   |   |   |
| (for a unit      outstanding throughout the entire year) |   |   |     |   |   |   |
| Net      asset value per unit at beginning of year       |   | $      | 1,936.15 |   |   | $      | 1,815.48 |   |
| Income      (loss) from operations:                      |   |   |     |   |   |   |   |   |
| Total      trading gains (losses)(1)                     |   |   | (227.96  | )      |   |   | 148.43 |   |
| Net      investment (loss)(1)                            |   |   | (23.88   | )      |   |   | (27.76 | ) |
| Total      income (loss) from operations                 |   |   | (251.84  | )      |   |   | 120.67 |   |
| Net      asset value per unit at end of year             |   | $      | 1,684.31 |   |   | $      | 1,936.15 |   |
| Total      Return                                        |   |   | (13.01   | )%     |   |   | 6.65 | % |
| Supplemental      Data                                   |   |   |     |   |   |   |   |   |
| Ratios      to average net asset value:                  |   |   |     |   |   |   |   |   |
| Expenses      prior to incentive fee                     |   |   | 4.75     | %      |   |   | 5.00 | % |
| Incentive      fee                                       |   |   | 0.50     | %      |   |   | 0.81 | % |
| Total      expenses                                      |   |   | 5.25     | %      |   |   | 5.81 | % |
| Net      investment (loss)(2)                            |   |   | (0.79    | )%     |   |   | (0.72 | )% |

|   | Total      returns are calculated based on the change in value of a unit during the      year.  An individual unitholder’s total returns and ratios may      vary from the above total returns and ratios based on the timing of      additions and redemptions. |
|--------|----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|

----

|   | (1) | 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 (losses) 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 (losses) per unit due to the      timing of trading gains and losses during the year relative to the number      of units outstanding. |
|--------|-----|------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|

|   | (2) | Excludes      the incentive fee. |
|--------|-----|----------------------------------|

| Note      11. | SUBSEQUENT      EVENT |
|---------------|-----------------------|

----

----

|                                                                    | PAGES                  |
|-------------------------------------------------------------------------|------------------------|
| Affirmation      of the Commodity Pool Operator                         | F-40                   |
|                                                                    |                   |
| Independent      Auditor’s Report                                 | F-41                   |
|                                                                    |                   |
| Financial      Statements                                               |                   |
|                                                                    |                   |
| Statements      of Financial Condition                                  | F-42                   |
|                                                                    |                   |
| Condensed      Schedules of Investments                                 | F-43      – F-44 |
|                                                                    |                   |
| Statements      of Operations                                           | F-45                   |
|                                                                    |                   |
| Statements      of Changes in Partners’ Capital (Net Asset Value) | F-46                   |
|                                                                    |                   |
| Statements      of Cash Flows                                           | F-47                   |
|                                                                    |                   |
| Notes      to Financial Statements                                      | F-48      – F-52 |
|                                                                    |                   |
| Supplementary      Information                                          |                   |
|                                                                    |                   |
| Schedules      of Partners’ Capital Accounts                      | F-53      – F-65 |

----

----

|   |  By:     |  /s/ Robert J.      Amedeo                  |
|--------|-----------------------------------|--------------------------------------------------|
|   |                              |  Altegris      Portfolio                    |
|   |                              |  Management,      Inc.                      |
|   |                              |  Commodity Pool      Operator for           |
|   |                              |  Winton Futures      Fund, L.P.             |
|   |                              |  (US)                                       |
|   |                              |  By:  Robert      J. Amedeo, Vice |
|   |                              |  President                                  |

----

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| 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.  Actual results could differ from those      estimates. |
|--------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|

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| NOTE      1 - | ORGANIZATION      AND SIGNIFICANT ACCOUNTING POLICIES(CONTINUED) |
|---------------|------------------------------------------------------------------|

| Certain      amounts in the 2006 financial statements were reclassified to conform with      the 2007 presentation. |
|---------------------------------------------------------------------------------------------------------------------|

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|                                                 |   | 2007         |   |
|------------------------------------------------------|--------|--------------|--------|
|                                                 |   |         |   |   |   |   |   | Special |   |
|                                                 |   | Class      A |   |   | Class      B |   |   | Interests |   |
|                                                 |   |         |   |   |   |   |   |   |   |
| Total      return for Limited Partners               |   |         | 13.61  | % |   |   | 14.97 | % |   |   | 15.45 | % |
|                                                 |   |         |   |   |   |   |   |   |   |   |   |   |
| Ratio      to average net asset value                |   |         |   |   |   |   |   |   |   |   |   |   |
|   Expenses      prior to incentive fee (1) |   |         | 3.05   | % |   |   | 2.03 | % |   |   | 1.77 | % |
|   Incentive      fee                       |   |         | 3.46   | % |   |   | 3.33 | % |   |   | 2.87 | % |
|                                                 |   |         |   |   |   |   |   |   |   |   |   |   |
|     Total      expenses          |   |         | 6.51   | % |   |   | 5.36 | % |   |   | 4.64 | % |
|                                                 |   |         |   |   |   |   |   |   |   |   |   |   |
|   Net      investment income (1) (2)       |   |         | 1.51   | % |   |   | 2.56 | % |   |   | 2.79 | % |
|                                                 |   |         |   |   |   |   |   |   |   |   |   |   |
|                                                 |   |         |   |   |   |   |   |   |   |   |   |   |
|                                                 |   | 2006         |   |
|                                                 |   |         |   |   |   |   |   |   |   | Special |   |
|                                                 |   | Class      A |   |   | Class      B |   |   | Interests |   |
|                                                 |   |         |   |   |   |   |   |   |   |   |   |   |
| Total      return for Limited Partners               |   |         | 13.31  | % |   |   | 14.53 | % |   |   | 14.37 | % |
|                                                 |   |         |   |   |   |   |   |   |   |   |   |   |
| Ratio      to average net asset value                |   |         |   |   |   |   |   |   |   |   |   |   |
|   Expenses      prior to incentive fee (1) |   |         | 3.00   | % |   |   | 1.98 | % |   |   | 1.73 | % |
|   Incentive      fee                       |   |         | 2.19   | % |   |   | 2.22 | % |   |   | 2.34 | % |
|                                                 |   |         |   |   |   |   |   |   |   |   |   |   |
|     Total      expenses          |   |         | 5.19   | % |   |   | 4.20 | % |   |   | 4.07 | % |
|                                                 |   |         |   |   |   |   |   |   |   |   |   |   |
|   Net      investment income (1) (2)       |   |         | 1.32   | % |   |   | 2.32 | % |   |   | 2.59 | % |

|   | (1) | Includes      offering costs. |
|--------|-----|-------------------------------|

|   | (2) | Excludes incentive      fee. |
|--------|-----|------------------------------|

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