UNITED
STATES


SECURITIES
AND EXCHANGE COMMISSION


Washington,
D.C. 20549




FORM
10-K




(Mark
One)


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




For
the Fiscal Year Ended December 31, 2008




or





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


_______________________




Commission
File Number: 0-16898




PROFUTURES
DIVERSIFIED FUND, L.P.


(Exact
name of registrant as specified in its charter)




DELAWARE
                (State
      or other jurisdiction of
                incorporation
      or organization)
              
              75-2197831
                (I.R.S.
      Employer
                Identification
      No.)





ProFutures,
Inc.


11719 Bee
Cave Road


Suite
200


Austin,
Texas  78738


(Address
of principal executive offices)






(800)
348-3601


(Registrant’s
telephone number)







__________________________







Copies
to:





Nathan
Ballard


Lauren
Wolf


Sidley
Austin LLP


One South
Dearborn


Chicago,
Illinois 60603








Page
1








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




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




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




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




Indicate
by check mark whether the Registrant (1) has filed all reports required to be
filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the
preceding 12 months (or for such shorter period that the Registrant was required
to file such reports), and (2) has been subject to such filing requirements for
the past 90 days. Yes  x    
No  o





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





Indicate
by check mark whether the Registrant is a large accelerated filer, an
accelerated filer, or a non-accelerated filer. See definition of “accelerated
filer and large accelerated filer” in Rule 12b-2 of the Exchange
Act.




Large
      accelerated filer      o
            Accelerated
      filer     oNon-accelerated
      filer     o
            Smaller
      reporting company     x





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





State the
aggregate market value of the voting and non-voting common equity held by
non-affiliates computed by reference to the price at which the common equity was
last sold, or the average bid and asked price of such common equity, as of the
last business day of the registrant’s most recently completed second fiscal
quarter.





Not
Applicable.







DOCUMENTS
INCORPORATED BY REFERENCE




Registrant’s
Financial Statements for the Years ended December 31, 2008, 2007 and 2006 with
Reports of Independent Registered Public Accounting Firms, the annual report to
securities holders for the fiscal year ended December 31, 2008, is incorporated
by reference into Part II Item 8 and Part IV hereof and filed as an exhibit
herewith.  Portions of the Registrant’s Prospectus dated July 31, 1994
and Supplement dated January 31, 1995 Post-Effective Amendment No. 3 dated June
23, 1995 also are incorporated by reference in Part I, Part II, Part III and
Part IV of this Form 10-K.








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2






PART I




Item
1.                  Business.






General




ProFutures
Diversified Fund, L.P. (the “Partnership”) is a limited partnership organized on
March 10, 1987, under the laws of the State of Delaware.  The business
of the Partnership is the speculative trading of futures contracts and other
financial instruments.  The Partnership commenced its business
operation in  August 1987 under the name ATA Research/ProFutures
Diversified Fund, L.P.  Effective June 1, 2000, the Partnership
changed its name from ATA Research/ProFutures Diversified Fund, L.P. to
ProFutures Diversified Fund, L.P.  Effective October 1, 2000, ATA
Research, Inc., the Partnership’s co-general partner, withdrew as co-general
partner.  ProFutures, Inc. remains as the sole General
Partner.  The office of the Partnership is located at 11719 Bee Cave
Road, Suite 200, Austin, Texas 78738; the telephone number is (800)
348-3601.




Trading
Activity




ProFutures,
Inc., a Texas corporation, is the General Partner of the Partnership which
administers the business and affairs of the Partnership (exclusive of its
trading operations).  Trading decisions are made by independent
Commodity Trading Advisors (“CTAs”) chosen by the General Partner.  At
December 31, 2008, there were three CTAs utilized via investing in commodity
pools and four CTAs: Winton Futures Fund, L.P. (US), SHK Diversified LLC,
Valhalla Synergy Fund LLC, Cabana Capital Management Pty Ltd., Clarke Capital
Management Inc., Haar Capital Management LLC and Paskewitz Asset Management LLC
(collectively, the “Advisors”).  All CTA advisory fees are paid by the
Partnership, including the Partnership’s proportionate share of advisory fees to
the commodity pools.  Advisors may be changed from time to time by the
General Partner.




ProFutures,
Inc. is registered with the Commodity Futures Trading Commission (“CFTC”) as a
Commodity Trading Advisor and Commodity Pool Operator and is a member of
National Futures Association (“NFA”).  Gary D. Halbert is the Chairman
and President, and principal stockholder, of ProFutures, Inc., which was
incorporated and began operation in December, 1984, and specializes in
speculative managed futures accounts.




The
objective of the Partnership is to achieve appreciation of its assets through
speculative trading of futures contracts and interbank forward currency
contracts.  It ordinarily maintains open positions for a relatively
short period of time.  The Partnership’s ability to make a profit
depends largely on the success of the Advisors in identifying market trends and
price movements and buying or selling accordingly.




The
Partnership’s Trading Policies are set forth on Page 59 of the Partnership’s
Prospectus dated July 31, 1994, which is incorporated herein by
reference.




Material
changes in the Trading Policies described in the Prospectus must be approved by
a vote of a majority of the outstanding units of Limited Partnership Interest
(“Units”).  A change in contracts traded, however, will not be deemed
to be a material change in the Trading Policies.




Trading Methods and
Advisors




Futures
traders basically rely on either or both of two types of analysis for their
trading decisions, “technical” or “fundamental.”  Technical analysis
uses the theory that a study of the markets will provide a means of anticipating
price changes.  Technical analysis generally will include a study of
actual daily, weekly and monthly price fluctuations, volume variations and
changes in open interest, utilizing charts and/or computers for analysis of
these items.  Fundamental analysis, on the other hand, relies on a
study and evaluation of external factors which affect the price of a futures
contract in order to predict prices.  These include political and
economic events, weather, supply and demand and changes in interest
rates.








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3








The
respective Advisors’ trading strategies attempt to detect trends in price
movements for the commodities monitored by them.  They normally seek
to establish positions and maintain such positions while the particular market
moves in favor of the position and to exit the particular market and/or
establish reverse positions when the favorable trend either reverses or does not
materialize.  These trading strategies are not normally successful if
a particular market is moving in an erratic and non-trending
manner.




Because
of the nature of the commodities markets, prices frequently appear to be
trending when a particular market is, in fact, without a trend.  In
addition, the trading strategies may identify a particular market as trending
favorably to a position even though actual market performance thereafter is the
reverse of the trend identified.




None of
the Advisors or their respective principals own any Units of the
Partnership.  The Partnership’s Advisors are independent Commodity
Trading Advisors and are not affiliated with the General Partner; however, they
may also be Advisors to other commodity pools with which the General Partner is
currently associated and they may own an interest in those
pools.  Each Advisor is registered with the CFTC and is a member in
such capacity with NFA.  Because of their confidential nature,
proprietary trading records of the Advisors and their respective principals are
not available for inspection by the Limited Partners of the
Partnership.




Investment in Other
Commodity Pools




The
Partnership has invested in other commodity pools for two
reasons.  The industry is trending toward the use of funds rather than
individual managed accounts.  Many of the top tier CTAs only offer
their investment management through one of their funds (i.e., Winton Futures Fund,
L.P. (US)).  They do not want investors to know the specifics of their
daily trading positions, so no one can duplicate their methodology.




The top
tier CTAs often require at least a $10 million trading level.  The
Partnership net asset value is about $20 million, with a trading level as high
as $28 million.  The minimum trading levels for these top tier CTAs
require a higher allocation than desired for diversification and management of
risk to the partners.  The minimum investment for the commodity pools
ranges from $50,000 to $1 million.  The replacement of CTA managed
accounts with funds potentially allows for greater diversification, less risk
and increased flexibility in managing the Partnership.




Fees, Compensation and
Expenses




The
Partnership pays the General Partner a monthly management fee of 1/4 of 1.0%
(3.0% annually) of month-end Net Asset Value.  The Partnership pays
the General Partner an additional monthly management fee of 0.0625% (0.75%
annually) of the Partnership’s month-end Net Asset Value for consulting services
rendered to the Partnership.  Management fees related to the side
pocket/restricted share class (see Item 7 herein) were accrued throughout 2008,
but not paid until February 2009.




The
Partnership has a consulting agreement with Altegris Investments, Inc.
(“Altegris”), whereby Altegris will recommend the selection and termination of
the Advisors and the allocation and reallocation of the Partnership’s
assets.  Pursuant to this consulting agreement, Altegris receives a
monthly consulting fee equal to 0.0208% (0.25% annually) of the Partnership’s
month-end Net Asset Value (as defined in the consulting
agreement).  Effective April 1, 2007, certain net assets of the
Partnership invested with managers affiliated with Altegris are excluded from
the month-end Net Asset Value when computing the consulting fees due to
Altegris.  In addition, the net assets of the Partnership invested
with a certain commodity trading advisor are excluded from the month-end Net
Asset Value when computing the consulting fees due to Altegris since Altegris
earns a percentage of such commodity trading advisor’s incentive
fees.  The consulting fee (included in management fees in the
statement of operations) earned by Altegris totaled $10,683 and $21,603 for the
years ended December 31, 2008 and 2007, respectively.





The
current CTAs (seven CTAs with three utilized via investing in commodity pools as
of December 31, 2008) receive management fees ranging from 0% to 6.0% annually
of Allocated Net Asset Value (as defined in the trading advisory
contracts).  Each of the CTAs receives a quarterly incentive fee
ranging from 20% to 25% of Trading Profits (as defined).  The
quarterly incentive fees are payable only on cumulative profits achieved by each
CTA.  For example, if one of the CTAs to the Partnership experiences a
loss after an incentive fee payment is made, that CTA retains such payments but
receives no further incentive fees until such CTA has recovered the loss and
then generated subsequent Trading Profits since the last incentive fee was paid
such CTA.  An incentive fee may be paid to one CTA but the Partnership
may experience no change or a decline in its Net Asset Value because of the
performance of another CTA.  The General Partner may allocate or
reallocate the Partnership’s assets at any time among the current CTAs or any
others that may be selected.  Upon termination of a CTA’s contract, or
at any other time in the discretion of the General Partner, the Partnership may
employ other CTAs whose compensation may be calculated without regard to the
losses which may be incurred by the present CTAs.  Similarly, the
Partnership may renew its relationship with each CTA on the same or different
terms.








Page
4






Notional
Funding Note:  As of December 31, 2008, the Partnership has allocated
notional funds to CTAs equal to approximately 36% of the Partnership’s cash
and/or other margin - qualified assets.  Of course, this percentage
may be higher or lower at any given time.  The management fees paid to
a CTA, if any, are a percentage of the nominal account size of the account if an
account had been notionally funded.  The nominal account size is equal
to a specific amount of funds initially allocated to a CTA which increases by
profits and decreases by losses in the account, but not by additions to or
withdrawals of actual funds from the account.  Some, but not all, CTAs
are expected to be allocated notional funds, and not all of the CTAs allocated
notional funds are expected to be paid management fees.  Further, the
amount of cash and/or other margin-qualified assets in an account managed by a
CTA will vary greatly at various times in the course of the Partnership’s
business, depending on the General Partner’s general allocation strategy and
pertinent margin requirements for the trading strategies undertaken by a
CTA.




The
Partnership is obligated to pay its periodic operating expenses, consisting
substantially of preparation of the Limited Partners’ tax return information,
filing and recording charges, legal, printing, accounting and auditing fees plus
non-recurring expenses.  Those periodic recurring expenses are
estimated at approximately 2.2% of the Partnership’s average annual Net Asset
Value.  Non-recurring expenses, not included within these estimates,
include expenses associated with significant litigation including, but not
limited to, class action suits, suits involving the indemnification provisions
of the Agreement of the Limited Partnership or any other agreement to which the
Partnership is a party; by their nature, the dollar amount of non-recurring
expenses cannot be estimated.




Additional
descriptions and definitions are set forth in “Fees, Compensation and Expenses”
on Pages 30-35 of the Partnership’s Prospectus, dated July 31, 1994, which is
incorporated herein by reference.




Brokerage
Arrangements




The
Partnership deposits funds with MF Global Ltd. (the “Clearing Broker”) to act as
broker, subject to CFTC regulations and various exchange and broker
requirements.  Margin requirements are satisfied by the deposit of
cash with such broker.  The Partnership earns interest income on its
assets deposited with the broker.




Financial Information About
Industry Segments




The
Partnership operates in only one industry segment, that of the speculative
trading of futures contracts and other financial instruments.  See
also “Description of Futures Trading,” pages 64-65 of the Prospectus dated July
31, 1994, which is incorporated herein by reference.




Regulation




The U.S.
futures markets are regulated under the Commodity Exchange Act (“CEA”), which is
administered by the CFTC, a federal agency created in 1974.  The CFTC
licenses and regulates commodity exchanges, commodity brokerage firms (referred
to in the industry as “Futures Commission Merchants”), Commodity Pool Operators,
Commodity Trading Advisors and others.  The General Partner is
registered with the CFTC as a Commodity Pool Operator and each Commodity Trading
Advisor is registered as such.








Page
5






Futures
professionals such as the General Partner and the Advisors are also regulated by
NFA, a self-regulatory organization for the futures industry that supervises the
dealings between futures professionals and their customers.  If the
pertinent CFTC registrations or NFA memberships were to lapse, be suspended or
be revoked, the General Partner would be unable to act as the Partnership’s
Commodity Pool Operator, and the respective Advisors as Commodity Trading
Advisors, to the Partnership.




The CFTC
has adopted disclosure, reporting and recordkeeping requirements for Commodity
Pool Operators (such as the General Partner) and disclosure and recordkeeping
requirements for Commodity Trading Advisors.  The reporting rules
require pool operators to furnish to the participants in their pools a monthly
statement of account, showing the pool’s income or loss and change in Net Asset
Value and an annual financial report, audited by an independent certified public
accountant.




The CFTC
and the exchanges have pervasive powers over the futures markets, including the
emergency power to suspend trading and order trading for liquidation only (i.e., traders may liquidate
existing positions but not establish new positions).  The exercise of
such powers could adversely affect the Partnership’s trading.




Competition




The
Partnership may experience increased competition for the same futures or option
contracts.  The Advisors may recommend similar or identical trades to
other accounts which they may manage; thus, the Partnership may be in
competition with such accounts for the same or similar
positions.  Such competition may also increase due to the widespread
utilization of computerized trend-based trading methods similar to the methods
used by some of the Advisors.  This Partnership may also compete with
other funds organized by the General Partner.




Financial Information About
Foreign and Domestic Operations




The
Partnership does not expect to engage in any operations in foreign countries nor
does it expect to earn any portion of the Partnership’s revenue from customers
in foreign countries.




Available
Information




The
Partnership is an electronic filer with the Securities and Exchange Commission
(“SEC”).  The SEC maintains an internet site that contains reports,
proxy and information statements, and other information regarding issuers that
file electronically with the SEC (http://www.sec.gov).  The General
Partner will voluntarily provide electronic or paper copies of this filing free
of charge upon request.




Item
1A.               Risk
Factors.




The
Partnership is a Smaller Reporting Company as defined by Rule 229.10(f)(1) and
therefore this item is not applicable.




Item
1B.               Unresolved
Staff Comments.




Because
the Partnership is not an accelerated filer, a large accelerated filer or a
well-known seasoned issuer, as defined by Rules 240.10b-2 and 230.405, the
information required by Item 1B is not applicable.




Item
2.                  Properties.




The
Partnership does not own or lease any real property.  The General
Partner currently provides all necessary office space at no additional charge to
the Partnership.








Page
6








Item
3.                  Legal
Proceedings.




(a)           The
Partnership is not a party to any pending material legal
proceedings.




(b)           None.




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




During
the fourth quarter of the fiscal year ended December 31, 2008, no matters were
submitted to a vote of the holders of Units through the solicitation of proxies
or otherwise.




PART II




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


(a)           There
is no established public trading market for the securities.




The Partnership has filed a
registration statement with the SEC for the sale of up to $38,547,364 in
Units.  Such registration statement became effective as of July 31,
1994.  This offering was extended on January 31, 1995 and continued
through April 30, 1995.  On June 23, 1995, Post-Effective Amendment
No. 3 was filed to deregister $20,721,920 in Units.  As of December
31, 2008, a total of 5,859 non-restricted and 415 restricted Units are
outstanding and held by 523 Unit holders, including 173 non-restricted and 12
restricted Units held by the General Partner and its
principals.  During the calendar year 2008, a total of 943
non-restricted and 46 restricted Units were redeemed, not including any pending
redemptions recorded in the Partnership’s financial statements 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.”  The Partnership has 5 non-restricted and 47
restricted Units pending redemption, which are not effective until January 31,
2009.  As of February 28, 2009, a total of 6,196 non-restricted Units
are outstanding and held by 455 Unit holders, including 184 Units held by the
General Partner and its principals.  There are no restricted Units
outstanding.




The General Partner has sole discretion
in determining what distributions, if any, the Partnership will make to its Unit
holders.  The General Partner made no distributions as of December 31,
2008, or as of the date hereof.  A Limited Partner may request and
receive redemption of Units subject to restrictions in the limited partnership
agreement.  The General Partner may suspend the determination of Net
Asset Value and redemptions under certain circumstances, including the closure
or suspension of trading on any relevant exchange, the suspension of redemptions
by a commodity pool in which the Partnership invests or a breakdown in the means
normally employed by the General Partner to value assets.




(b)           There
were no sales of securities by the Partnership within the past three years which
were not registered under the Securities Act, thus the information required by
Rule 229.701(f) is not applicable.




(c)           There
were no repurchases of securities by the Partnership made within the fourth
quarter of the fiscal year covered by this report, thus the information required
by Rule 229.703 is not applicable.




Item
6.                  Selected
Financial Data.




The
Partnership is a Smaller Reporting Company, as defined by Rule 229.10(f)(1) and
therefore this item is not applicable.





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




The
Partnership commenced trading on August 3, 1987.  The success of the
Partnership is dependent on the ability of the Advisors to generate profits
through speculative trading sufficient to produce substantial capital
appreciation after payment of all fees and expenses.  Future results
will depend in large part upon the futures markets in general, the performance
of the Advisors for the Partnership and the amount of redemptions and changes in
interest rates.  Due to the highly leveraged nature of futures
trading, small price movements may result in substantial
losses.  Because of the nature of these factors and their interaction,
it is impossible to predict future operating results.  The
Partnership's business constitutes only one segment, i.e., a speculative commodity
pool.








Page
7












Critical
Accounting Policies




The
preparation of financial statements in conformity with accounting principles
generally accepted in the United States requires management to make estimates
and assumptions that affect the reported amounts of assets and liabilities and
disclosures of contingent assets and liabilities at the date of the financial
statements and the reported amounts of income and expense during the reporting
period.  Management believes that the estimates utilized in preparing
the financial statements are reasonable and prudent; however, actual results
could differ from those estimates.  The Partnership’s significant
accounting policies are described in detail in Note 1 to the Financial
Statements.




The
Partnership records all investments at fair value in its financial statements in
accordance with Statement of Financial Accounting Standards No. 157, Fair Value Measurements, with
changes in fair value reported as a component of realized and change in
unrealized trading gain (loss) in the Statements of Operations. Generally, fair
values are based on market prices; however, in certain circumstances, estimates
are involved in determining fair value in the absence of an active market
closing price (e.g. swap and forward contracts which are traded in the
inter-bank market).




The fair
value of exchange-traded contracts is based upon exchange settlement
prices.  The fair value of non exchange-traded contracts is based upon
third party quoted dealer values on the Interbank market.  The fair
value of the Partnership’s investments in other commodity pools are ordinarily
determined by each commodity pool in accordance with such commodity pool’s
valuation policies as reported by its management at the time of the
Partnership’s valuation.  Generally, the fair value of the
Partnership’s investment in a commodity pool represents the amount that the
Partnership could reasonably expect to receive from such commodity pool if the
Partnership’s investment was redeemed at the time of valuation, based on
information reasonably available at the time the valuation is made and that the
partnership believes to be reliable.




(a)           Liquidity.  Approximately
38% of the Partnerships’ assets are held in cash or cash
equivalents.  There are no restrictions on the liquidity of these
assets except for amounts on deposit with the broker needed to meet margin
requirements on open futures contracts.  The other estimated 62% is
invested in other commodity pools which are subject to certain
restrictions.  The restrictions on withdrawals from these commodity
pools typically include a 15 to 45 day written notice for withdrawals, monthly
or quarterly redemptions and the commodity pools’ ability to limit or suspend
redemptions.




Most
United States exchanges (but generally not foreign exchanges, or banks or
broker-dealer firms in the case of foreign currency forward contracts) limit by
regulation the amount of fluctuation limits. The daily limits establish the
maximum amount the price of a futures contract may vary either up or down from
the previous day’s settlement price at the end of the trading
session.  Once the “daily limit” has been reached in a particular
commodity, no trades may be made at a price beyond the
limit.  Positions in the commodity can then be taken or liquidated
only if traders are willing to effect trades at or within the limit during the
period for trading on such day.  Because the “daily limit” rule only
governs price movement for a particular trading day, it does not limit
losses.  The rule may, in fact, substantially increase losses because
it may prevent the liquidation of unfavorable positions.  Futures
prices have occasionally moved the daily limit for several consecutive trading
days, and thereby prevented prompt liquidation of futures positions on one side
of the market, subjecting those futures traders involved to substantial
losses.




Liquidity
will be of concern to the Partnership primarily in that the futures markets in
which the Advisors take positions may have periods in which illiquidity makes it
impossible or economically undesirable to execute trades which its respective
trading strategy would otherwise suggest.  Other than in respect of
the functioning of the markets in which it trades, liquidity will be of little
relevance to the operation of the Partnership except insofar as the General
Partner is relatively thinly capitalized.  Nonetheless, the General
Partner believes it has sufficient funding to meet both its capital contribution
and net worth requirements based on capital contributions from the principals of
the General Partner, or alternative funding sources, including the stock
subscription from the Clearing Broker to ProFutures, Inc.  The
Clearing Broker has subscribed to purchase (up to $7,000,000, subject to
conditions set forth in the stock subscription agreement dated October 22, 2004)
the number of shares of common stock of ProFutures, Inc. necessary to maintain
the General Partner’s net worth requirements.








Page
8












As of January
31, 2008, the managing member of SHK Diversified LLC (“SHK”) temporarily
suspended future redemptions.  SHK’s managing member indicated to
investors that this action was taken due to a decline in the liquidity of the
markets traded by SHK combined with a significant number of requests for
redemptions.  Because of the uncertainty in valuing the Partnership’s
investment in SHK, the General Partner established a side pocket for the
Partnership’s interest in SHK effective April 30, 2008, to continue until such
time as the investment can be valued with certainty.  Investor units
attributed to SHK are segregated into a side pocket while units not attributed
to SHK continue to be available for redemption.  Redemptions are in
cash for that portion of the Partnership’s assets other than those attributed to
SHK while the amount attributed to SHK continues to be held in the side
pocket.  On April 28, 2008, the Partnership submitted a request for
full redemption from SHK.  The side pocket/restricted share class will
also bear its proportionate share of the Partnership’s expenses, as well as all
expenses directly related to this class’ establishment and
operation.  Effective, December 31, 2008, SHK paid the Partnership
approximately half of the Partnership’s redemption proceeds, equal to
$1,315,742, which was paid to the Partnership on January 15,
2009.  Effective February 28, 2009, SHK paid the Partnership the
remaining half of the Partnership’s redemption proceeds equal to $1,335,258,
which was paid to the Partnership on March 16, 2009.  The side
pocket/restricted share class was subsequently cancelled with existing Units
either redeemed or converted to non-restricted shares.




(b)           Capital
Resources.  The Partnership’s initial offering and sale of Units
commenced on May 27, 1987 and ended on July 31, 1987 after having sold
$6,130,568 of Units at the initial offering price of $1,000.  The
Partnership commenced trading August 3, 1987.  The Partnership
continued offering Units through February 29, 1988.  Thereafter
additional offerings of the Partnership’s Units occurred on April 15, 1988,
August 24, 1991, May 14, 1992, November 30, 1992, August 30, 1993 and July 31,
1994.  The offering effective July 31, 1994 was extended on January
31, 1995 and continued through April 30, 1995.  In June 1995,
Post-Effective Amendment No. 3 was filed to deregister the Partnership’s
remaining $20,721,920 of Units.




Since the
Partnership’s business is the purchase and sale of various commodity interests,
it will make few, if any, capital expenditures.




(c)           Results
of Operations.  Due to the speculative nature of trading commodity
interests, the Partnership’s income or loss from operations may vary widely from
period to period.  Management cannot predict whether the Partnership’s
future Net Asset Value per Unit will increase or experience a
decline.




PAST
PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.




Year-Ended December 31,
2008




The year
2008 had a net gain of $995,237 or $223.08 per non-restricted unit and a loss of
$299.36 per side pocket/restricted unit.  At December 31, 2008,
partners’ capital totaled $19,501,029, versus $21,423,827 for December 31, 2007,
including capital redemptions of $2,671,425 from non-restricted Units and
$246,610 from restricted Units.  The aggregate Net Asset Value
includes the non-restricted Net Asset Value of $18,395,272 ($3,139.86 per
non-restricted Unit) and the restricted Units Net Asset Value of $1,105,757
($2,663.73 per restricted Unit).  In comparison, the Net Asset Value
per unit at December 31, 2007 amounted to $2,916.78 with no restricted
Units.  The Partnership ended the year with a gain of
5.31%.








Page
9








Fourth Quarter
2008




The
fourth quarter saw large gains in interest rates and the stock indexes followed
by gains in currencies, energy and certain agricultural commodities; losses were
in metals.





The
Partnership had a gain of 2.25% in October.  The Partnership had gains
in currencies, interest rates, stock indexes, certain agricultural commodities
and energy; losses were in metals.





The
Partnership had a gain of 2.49% in November.  The Partnership had
gains in interest rates, stock indexes and metals; losses were in certain
agricultural commodities, energy and currencies.





The
Partnership had a gain of 1.88% in December.  The Partnership had
large gains in interest rates, stock indexes, energy and metals; losses were in
certain agricultural commodities and currencies.





The
Partnership ended the quarter with a gain of 6.76%.





Third Quarter
2008




The third
quarter saw volatility in the stock indexes, energy and
commodities.  The Partnership had losses in energy, certain
agricultural commodities, metals and currencies; gains were in the stock
indexes.





The
Partnership had a loss of 3.45% in July.  The Partnership had large
losses in certain agricultural commodities, followed by losses in energy, metals
currencies; gains were in the stock indexes and interest rates.





The
Partnership had a loss of 1.13% in August.  The Partnership had losses
in metals, energy and certain agricultural commodities; gains were in interest
rates, stock indexes and currencies.





The
Partnership had a gain of 2.11% in September.  The Partnership had
losses in interest rates currencies and energy; gains were in the stock indexes,
certain agricultural commodities and metals.





The
Partnership ended the quarter with a loss of 2.54%.





Second Quarter
2008




The
second quarter saw volatility in the energy and interest rate
sectors.  The Partnership had large gains in energy, with smaller
gains in metals and certain agricultural commodities; large losses were in
interest rates, with small losses in the stock indexes.





The
Partnership had a loss of 1.55% in April.  The Partnership had large
losses in interest rates, followed by smaller losses in stock indexes; gains
were in energy, metals, certain agricultural commodities and
currencies.





The
Partnership had a gain of 0.85% in May.  The Partnership had large
gains in energy again this month, followed by small gains in metals, currencies
and certain agricultural commodities; large losses were in interest rates with
smaller losses in stock indexes.





The
Partnership had a gain of 0.35% in June.  The Partnership had gains in
certain agricultural commodities, energy and stock indexes; losses were in
metals, interest rates and currencies.





The
Partnership ended the quarter with a loss of 0.36%.








Page
10








First Quarter
2008





The
Partnership had large gains in interest rates, caused by the drop in interest
rates by the Federal Reserve throughout the quarter.   Small
gains were also made in energy, currencies and certain agricultural
commodities.  The Partnership saw large losses in metals followed by
small losses in the equity indexes.





The
Partnership had a loss of 0.51% in January.  The Partnership had large
losses in metals and stock indexes; losses were mostly offset by large gains in
interest rates with smaller gains in certain agricultural commodities and
currencies.





The
Partnership had a gain of 3.27% in February.  The Partnership had
large gains in interest rates, followed by gains in certain agricultural
commodities, energy and currencies; losses were in metals and the stock
indexes.





The
Partnership had a loss of 1.13% in March.  The Partnership had gains
in energy, currencies, interest rates and metals; losses were in stock indexes
and certain agricultural commodities.





The
Partnership ended the quarter with a gain of 1.59%.





Year-Ended December 31,
2007





The year
2007 had a net loss of $2,082,419 or $248.97 per unit.  At December
31, 2007, partners’ capital totaled $21,423,827, versus $28,174,112 for December
31, 2006, including capital redemptions of $4,584,701.  Net Asset
Value per unit at December 31, 2007 amounted to $2,916.78, as compared to
$3,164.35 at December 31, 2006.  The Partnership ended the year with a
loss of 7.82%.




Fourth Quarter
2007




The
fourth quarter saw high volatility in interest rates and
equities.  The Partnership had large gains in currencies, with smaller
gains in certain agricultural commodities and energy; losses were in stock
indices and metals.





The
Partnership had a gain of 1.53% in October.  The Partnership had large
gains in currencies and stock indices, with smaller gains in energy; losses were
in interest rates, metals and certain agricultural commodities.





The
Partnership had a gain of 0.09% in November.  The Partnership had
large gains in interest rates, with smaller gains in certain agricultural
commodities, metals and energy; losses were in stock indices and
currencies.





The
Partnership had a loss of 0.86% in December.  The Partnership had
large losses in currencies, with small losses in interest rates and metals;
gains were in certain agricultural commodities, energy and stock
indices.





The
Partnership ended the quarter with a gain of 0.74%.





Third Quarter
2007





The third
quarter saw high volatility in equities, currencies and metals.  The
Partnership had large losses in stock indices, currencies, metals, certain
agricultural commodities and energy; gains were limited to certain agricultural
commodities.





The
Partnership had a loss of 6.32% in July.  The Partnership had large
losses in certain agricultural commodities, stock indices, currencies and
interest rates; with only small gains in energy and base metals.








Page
11









The
Partnership had a loss of 4.97% in August.  The Partnership had large
losses in currencies, stock indices, metals and energy, with small gains in
interest rates and certain agricultural commodities.





The
Partnership had a gain of 2.39% in September.  The Partnership had
large gains in currencies and certain agricultural commodities, followed by
gains in stock indices and energy; losses were in metals and interest
rates.





The
Partnership ended the quarter with a loss of 8.84%.





Second Quarter
2007




The
second quarter saw volatility in equities, interest rates and
currencies.  The Partnership had large gains in currencies, interest
rates and stock indices, with smaller gains in certain agricultural commodities
and metals; losses were in certain agricultural commodities and
energy.




The
Partnership had a gain of 2.37% in April.  The Partnership had very
large gains in stock indexes, with smaller gains in metals, currencies, energy
and interest rates; losses were small in certain agricultural
commodities.




The
Partnership had a gain of 4.09% in May.  The Partnership had large
gains in interest rates and stock indexes, with smaller gains in currencies and
certain agricultural commodities; losses were in energy and certain other
agricultural commodities.




The
Partnership had a gain of 0.34% in June.  The Partnership had large
gains in currencies and interest rates with smaller gains in metals; losses were
in certain agricultural commodities, energy and stock indices.




The
Partnership ended the quarter with a gain of 6.91%.




First Quarter
2007




The first
quarter saw volatility in equities and currencies.  The Partnership
had large losses primarily in currencies, caused by a large spike in the Yen
against the U.S. Dollar and several world currencies in the last couple days of
February, which then carried over into March.   The Partnership
also saw losses in certain agricultural commodities, energy and interest rates;
gains were generally in stock indices and base metals.




The
Partnership had a gain of 3.27% in January.  The Partnership had gains
in stock indices, with smaller gains in energy and metals; losses were in
foreign currencies, interest rates and certain agricultural
commodities.




The
Partnership had a loss of 4.81% in February.  The Partnership had
large losses in currencies, with additional losses in energy and interest rates;
gains were generally in stock indexes and certain agricultural
commodities.




The
Partnership had a loss of 4.50% in March.  The Partnership had large
losses in grains and currencies, with smaller loses in interest rates, stock
indices and energy; gains were limited to base metals and certain agricultural
commodities.




The
Partnership ended the quarter with a loss of 6.12%.




(d)           Off-Balance
Sheet Arrangements.  Off-balance sheet risk refers to an unrecorded
potential liability that, even though it does not appear on the balance sheet,
may result in future obligation or loss.  The Partnership trades in
futures and other commodity interest contracts and is therefore a party to
financial instruments with elements of off-balance sheet market and credit
risk.  In entering into these contracts, the Partnership faces the
market risk that these contracts may be significantly influenced by market
conditions, such as interest rate volatility, resulting in such contracts being
less valuable.  If the markets should move against all of the
commodity interest positions of the Partnership at the same time, and if the
Partnership were unable to offset positions, the Partnership could lose all of
its assets and the limited partners would realize a 100% loss.  The
Partnership minimizes market risk through real-time monitoring of open
positions, diversification of the portfolio and maintenance of a
margin-to-equity ratio that rarely exceeds 25%.  All positions of the
Partnership are valued each day on a mark-to-market basis.








Page
12







In
addition to market risk, in entering into commodity interest contracts there is
a credit risk that a counterparty will not be able to meet its obligations to
the Partnership.  The counterparty for futures and options on futures
contracts traded in the United States and on most non-U.S. futures exchanges is
the clearing organization associated with such exchange.  In general,
clearing organizations are backed by the corporate members of the clearing
organization who are required to share any financial burden resulting from the
non-performance by one of their members and, as such, should significantly
reduce this credit risk.





In cases
where the clearing organization is not backed by the clearing members, like some
non-U.S. exchanges, it is normally backed by a consortium of banks or other
financial institutions.





In the
case of forward contracts, over-the-counter options contracts or swap contracts,
which are traded on the interbank or other institutional market rather than on
exchanges, the counterparty is generally a single bank or other financial
institution, rather than a central clearing organization backed by a group of
financial institutions.  As a result, there likely will be greater
counterparty credit risk in these transactions.  The Partnership
trades only with those counterparties that it believes to be
creditworthy.  Nonetheless, the clearing member, clearing organization
or other counterparty to these transactions may not be able to meet its
obligations to the Partnership, in which case the Partnership could suffer
significant losses on these contracts.





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





(e)           Contractual
Obligations.  None.




Item
7A.                Quantitative
and Qualitative Disclosures About Market Risk


The
Partnership is a Smaller Reporting Company as defined by Rule 229.10(f)(1) and
therefore this item is not applicable.




Item
8.                   Financial
Statements and Supplementary Data.




Financial
statements meeting the requirements of Regulation S-X are listed following this
report.




Because
the Partnership is a Smaller Reporting Company, as defined by Rule 229.10(f)(1),
the supplementary financial information required by Item 302 of Regulation S-K
is not applicable.




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




None.
   Page
13


Item
9A.                Controls
and Procedures.




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




Item
9A(T).           Controls
and Procedures.




The
General Partner, with the participation of the General Partner’s President and
Chief Financial Officer has evaluated the effectiveness of the design and
operation of its disclosure controls and procedures with respect to the
Partnership as of the end of the fiscal year for which this Annual Report on
Form 10-K is being filed, and, based on their evaluation, have concluded that
these disclosure controls and procedures are effective.  There were no
significant changes in the General Partner’s internal controls with respect to
the Partnership or in other factors applicable to the Partnership that could
materially affect these controls subsequent to the date of their
evaluation.




Changes in Internal Control
over Financial Reporting




Section
404 of the Sarbanes-Oxley Act of 2002 requires the General Partner to evaluate
annually the effectiveness of its internal controls over financial reporting as
of the end of each fiscal year, and to include a management report assessing the
effectiveness of its internal control over financial reporting in all annual
reports.




There
were no changes in the General Partner’s internal control over financial
reporting during the period ended December 31, 2008 that have materially
affected, or are reasonably likely to materially affect, our internal control
over financial reporting.




Management’s Annual Report
on Internal Control over Financial Reporting




The
General Partner is responsible for establishing and maintaining adequate
internal control over the financial reporting of the
Partnership.  Internal control over financial reporting is defined in
Rules 13a-15(f) and 15d-15(f) under the Securities Exchange Act of 1934, as
amended, as a process designed by, or under the supervision of, a company’s
principal executive and principal financial officers and effected by a company’s
board of directors, management and other personnel, to provide reasonable
assurance regarding the reliability of financial reporting and the preparation
of financial statements for external purposes in accordance with U.S. generally
accepted accounting principles.  The General Partner’s internal
control over financial reporting includes those policies and procedures
that:




•  
pertain to the maintenance of records that, in reasonable detail, accurately and
fairly reflect the transactions and dispositions of the assets of the
Partnership;




•  
provide reasonable assurance that transactions are recorded as necessary to
permit preparation of financial statements of the Partnership in accordance with
U.S. generally accepted accounting principles, and that receipts and
expenditures of the Partnership are being made only in accordance with
authorizations of management and directors of the General Partner;
and




•  
provide reasonable assurance regarding prevention or timely detection of
unauthorized acquisition, use or disposition of the Partnership’s assets that
could have a material effect on its financial statements.








Page
14








Because
of its inherent limitations, internal control over financial reporting may not
prevent or detect misstatements. Projections of any evaluation of effectiveness
to future periods are subject to the risk that controls may become inadequate
because of changes in conditions, or that the degree of compliance with the
policies or procedures may deteriorate.




The
management of the General Partner assessed the effectiveness of its internal
control over financial reporting with respect to the Partnership as of December
31, 2008.  In making this assessment, management used the criteria set
forth by the Committee of Sponsoring Organizations of the Treadway Commission
(COSO) in Internal Control — Integrated Framework.  Based on its
assessment, management has concluded that, as of December 31, 2008, the General
Partner’s internal control over financial reporting with respect to the
Partnership is effective based on those criteria.




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




Item
9B.                 Other
Information.




None.


PART III




Item
10.                  Directors,
Executive Officers and Corporate Governance.




The
Partnership is a limited partnership and therefore does not have any directors
or executive officers.  The Partnership’s General Partner, ProFutures,
Inc., administers and manages the affairs of the Partnership.




ProFutures,
Inc. has adopted a code of ethics that applies to the Partnership and its
affiliates as well as the executive officers of the General
Partner.  A copy of the code of ethics may be obtained at no charge by
written request to the corporate secretary of ProFutures, Inc., 11719 Bee Cave
Road, Suite 200, Austin, Texas 78738.




The Board
of Directors of ProFutures, Inc., in its capacity as the audit committee for the
Partnership, has determined that Debi B. Halbert qualifies as an “audit
committee financial expert” in accordance with the applicable rules and
regulations of the Securities and Exchange Commission.  She is not
independent of management.




Item
11.                  Executive
Compensation.




As
discussed above, the Partnership does not have any officers, directors or
employees.  The General Partner received monthly management fees which
aggregated $683,889 for 2008.




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




(a) As of
December 31, 2008, a total of 5,859 non-restricted and 415 restricted Units were
issued and outstanding, representing 1 General Partner and 522 Limited Partners,
of which 11 non-restricted and 0 restricted Units were redeemed in January
2009.  As of February 28, 2009, a total of 6,196 non-restricted Units
were issued and outstanding, representing 1 General Partner and 454 Limited
Partners, of which approximately 62 Units are to be redeemed in March
2009.  The Partnership knows of no one person who owns beneficially
more than 5% of the Units of Limited Partnership Interest.








Page
15







(b) The
General Partner and its principals owned 173 non-restricted and 12 restricted
Units as of December 31, 2008, having an aggregate value of $576,011, which is
approximately 3.0% of the Net Asset Value of the Partnership.  The
General Partner and its principals owned 184 Units as of February 28, 2009,
having an aggregate value of $566,008, which is approximately 3% of the Net
Asset Value of the Partnership.  There are no restricted Units
outstanding.





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




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




The
Partnership’s Prospectus, dated July 31, 1994, Pages 16-18, which is
incorporated herein by reference, contains information concerning the
relationships and transactions between the General Partner, the Clearing Broker
and the Partnership.




Item
14.                  Principal
Accounting Fees and Services.




McGladrey
& Pullen, LLP, as principal accountant for the years 2008 and 2007, billed
the Partnership aggregate fees for services rendered to the Partnership for the
last two years as follows:




2008
                                  
                                  2007Audit
      Fees
                                  
                                  $
                                  63,500
                                  
                                  
                                  $
                                  85,900All
      Other Fees
                                  
                                  
                                  -
                                  
                                  
                                  
                                  21,283




Audit
      fees relate to the annual audit, quarterly reviews, and assistance with
      and review of documents filed with the
SEC.




Audit-Related
Fees.  McGladrey & Pullen, LLP did not have any audit-related fees
in 2008 or 2007.




Tax
Fees.  McGladrey & Pullen, LLP did not have any fees related to
tax compliance, tax advice, and tax planning services for the Partnership in
2008 or in 2007.




All Other
Fees consist of consulting fees paid.




The Board
of Directors of ProFutures, Inc., in its capacity as the audit committee for the
Partnership, approved all of the services described above.  The audit
committee has determined that the payments made to its independent accountant
for non-audit services are compatible with maintaining such auditor’s
independence.




The audit
committee explicitly pre-approves all audit and non-audit services and all
engagement fees and terms, except as otherwise permitted by
regulation.




PART IV




Item
15.                   Exhibits,
Financial Statement Schedules.




(a)
            Financial
      Statements.




The
following financial statements of the Partnership are included with the 2008
Report of Independent Registered Public Accounting Firm.




Report of
Independent Registered Public Accounting Firm


Statements
of Financial Condition


Condensed
Schedules of Investments


Statements
of Operations


Statements
of Changes in Partners’ Capital


Statements
of Cash Flows


Notes to
Financial Statements








Page
16






Pursuant
to Rule 3-09 of Regulation S-X, the following financial statements for Winton
Futures Fund, L.P. (US) and ProFutures Strategic Allocation Trust are included
herewith along with their respective 2008 Reports of Independent Registered
Public Accounting Firms.




Winton Futures Fund L.P.
(US)


Report of
Independent Registered Public Accounting Firm


Statements
of Financial Condition


Condensed
Schedules of Investments


Statements
of Operations


Statements
of Changes in Partners’ Capital


Notes to
Financial Statements




ProFutures Strategic
Allocation Trust


Report of
Independent Registered Public Accounting Firm


Statements
of Financial Condition


Condensed
Schedules of Investments


Statements
of Operations


Statements
of Changes in Partners’ Capital


Notes to
Financial Statements




The
audited financial statements of two unaffiliated commodity funds in which the
Partnership has underlying investments, SHK Diversified LLC and Valhalla Synergy
Fund LLC (together, the “Commodity Funds”), are not included
herewith.  Although the Partnership is required to include the
financial statements of the Commodity Funds in this Annual Report on Form 10-K
pursuant to Rule 3-09 of Regulation S-X, the Commodity Funds are not willing to
provide their audited financial statements to the Partnership, and, accordingly,
the Partnership is unable to include them herein.  The Partnership has
no independent access to or control over the dissemination of the audited
financial statements of these unaffiliated Commodity Funds.  As of
March 16, 2009, the Partnership no longer has any amounts invested in SHK
Diversified LLC.




(b)
            Exhibits.




*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.











Page
17






*10.6
                                                                      Form
      of Amended and Restated Stock Subscription Agreement by and between ABN
      AMRO Incorporated and ProFutures, Inc.31.01
                                                                      Certification
      of Gary D. Halbert, President, pursuant to Rules 13a-14 and 15d-14 of the
      Securities Exchange Act of 1934.31.02
                                                                      Certification
      of Debi B. Halbert, Chief Financial Officer, pursuant to Rules 13a-14 and
      15d-14 of the Securities Exchange Act of 1934.32.01
                                                                      Certification
      of Gary D. Halbert, President, pursuant to 18 U.S.C. Section 1350 as
      enacted by Section 906 of The Sarbanes-Oxley Act of
  2002.32.02
                                                                      Certification
      of Debi B. Halbert, Chief Financial Officer, pursuant to 18 U.S.C. Section
      1350 as enacted by Section 906 of The Sarbanes-Oxley Act of
      2002.
 (c)
              Financial
      Statement Schedules.


Not
      applicable or information included in the financial
      statements.
























*
              The
      foregoing forms of exhibits were filed in the April 6, 1987 Registration
      Statement No. 33-13008 and/or Post-Effective Amendment No. 1 thereto filed
      March 11, 1988, and/or the June 5, 1991 Registration Statement No.
      33-41073, and/or Pre-Effective Amendment No. 1 thereto filed August 8,
      1991, and/or Post-Effective Amendment No. 1 thereto filed March 26, 1992;
      and/or the October 14, 1992 Registration Statement No. 33-53324, and/or
      the November 17, 1992 Pre-effective Amendment No. 1 thereto and/or the
      July 2, 1993 Registration Statement No. 33-65596, and/or the Pre-Effective
      Amendment No. 1 thereto filed August 16, 1993, and Supplement dated
      December 3, 1993, Post-Effective Amendment No. 2 thereto filed June 30,
      1994 and Supplement dated January 31, 1995, and/or Post-Effective
      Amendment No. 3 dated June 23 1995; and/or Form 10-K for the year ended
      2001; and/or Form 10-Q for the quarter ended June 30,
      2002.  Accordingly, such exhibits are incorporated herein by
      reference and notified herewith.
 
  Page
18




SIGNATURES












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




PROFUTURES
      DIVERSIFIED FUND, L.P.(Partnership)April
      15, 2009
                                      
                                      By
                                      /s/
      GARY D. HALBERTDate
                                      
                                      
                                      Gary
      D. Halbert, President and DirectorProFutures,
      Inc.General
      PartnerApril
      15, 2009
                                      
                                      By
                                      /s/
      DEBI B. HALBERTDate
                                      
                                      
                                      Debi
      B. Halbert, Chief Financial Officer,Treasurer
      and DirectorProFutures,
      Inc.General
      Partner









Page
19







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






April
      15, 2009
                                                          
                                                          By
                                                          /s/
      GARY D. HALBERTDate
                                                          
                                                          
                                                          Gary
      D. Halbert, President and DirectorProFutures,
      Inc.General
      PartnerApril
      15, 2009
                                                          
                                                          By
                                                          /s/
      DEBI B. HALBERTDate
                                                          
                                                          
                                                          Debi
      B. Halbert, Chief Financial Officer,Treasurer
      and DirectorProFutures,
      Inc.General
      Partner


Page
20
















PROFUTURES
DIVERSIFIED FUND, L.P.





ANNUAL
REPORT





December
31, 2008





















PROFUTURES
DIVERSIFIED FUND, L.P.











______________________





TABLE OF
CONTENTS


______________________







PAGESReport
      of Independent Registered Public Accounting Firm
                  F-2Financial
      StatementsStatements of
      Financial Condition
                  F-3Condensed
      Schedules of Investments
                  F-4
      – F-8Statements of
      Operations
                  F-9Statements of
      Changes in Partners’ Capital (Net Asset Value)
                  F-10Statements of
      Cash Flows
                  F-11Notes
      to Financial Statements
                  F-12
      – F-27







F-1








REPORT
OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM











To the
General Partner


ProFutures
Diversified Fund, L.P.











We have
audited the statements of financial condition, including the condensed schedules
of investments, of ProFutures Diversified Fund, L.P. (the Partnership) as of
December 31, 2008 and 2007 and the related statements of operations, changes in
partners’ capital (net asset value) and of cash flows for each of the two years
in the period ended December 31, 2008.  These financial statements are
the responsibility of the Partnership’s management.  Our
responsibility is to express an opinion on these financial statements based on
our audits.





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





In our
opinion, the financial statements referred to above present fairly, in all
material respects, the financial position of ProFutures Diversified Fund, L.P.
as of December 31, 2008 and 2007, and the results of its operations and its cash
flows for each of the two years in the period ended December 31, 2008 in
conformity with U.S. generally accepted accounting principles.





We were
previously unable to complete audit procedures on the valuation of the
Partnership’s investment in SHK Diversified LLC and, as a result, issued a
qualified opinion on May 15, 2008 on the Partnership’s financial statements as
of and for the year ended December 31, 2007.   As described in Note 7
to the financial statements, the Partnership received all of the proceeds from
its investment in SHK Diversified LLC as of March 16, 2009.  As a result,
we are now issuing an unqualified opinion on the Partnerships’ financial
statements for the year ended December 31, 2007 which is different than the
opinion we originally issued on May 15, 2008.





We were
not engaged to examine management’s assessment of the effectiveness of
ProFutures Diversified Fund’s internal control over financial reporting as of
December 31, 2008, included in the accompanying management’s annual report on
internal controls over financial reporting and, accordingly, we do not express
an opinion thereon.











/s/McGladrey
& Pullen, LLP





Chicago,
Illinois


April 15,
2009








F-2




PROFUTURES
      DIVERSIFIED FUND, L.P.
                                                STATEMENTS
      OF FINANCIAL CONDITION
                                                December
      31, 2008 and 2007
                                                _______________2008
                                              
                                              
                                              2007ASSETSEquity
      in broker trading accountsCash
                                              
                                              $
                                              6,035,775
                                              
                                              
                                              $
                                              1,433,626Options
      on futures contracts, at fair value (premiums received - $0 and $34,500,
      respectively)
                                              
                                              
                                              0
                                              
                                              
                                              
                                              (32,775
                                              )Unrealized
      gain (loss) on open contracts
                                              
                                              
                                              289,265
                                              
                                              
                                              
                                              4,010Deposits
      with broker
                                              
                                              
                                              6,325,040
                                              
                                              
                                              
                                              1,404,861Cash
                                              
                                              
                                              3,533
                                              
                                              
                                              
                                              3,387Investments
      in other commodity pools
                                              
                                              
                                              12,583,933
                                              
                                              
                                              
                                              16,889,459Redemption
      receivable from other commodity pool
                                              
                                              
                                              1,315,742
                                              
                                              
                                              
                                              4,500,000Total
      assets
                                              
                                              $
                                              20,228,248
                                              
                                              
                                              $
                                              22,797,707LIABILITIESAccounts
      payable
                                              
                                              $
                                              40,823
                                              
                                              
                                              $
                                              97,542Commissions
      and other trading fees payable on open contracts
                                              
                                              
                                              1,576
                                              
                                              
                                              
                                              266Incentive
      fees payable
                                              
                                              
                                              185,497
                                              
                                              
                                              
                                              0Management
      fees payable (includes $129,324 and $61,761 payable to the General Partner
      at December 31, 2008 and 2007, respectively)
                                              
                                              
                                              156,423
                                              
                                              
                                              
                                              70,758Redemptions
      payable
                                              
                                              
                                              342,900
                                              
                                              
                                              
                                              1,205,314Total
      liabilities
                                              
                                              
                                              727,219
                                              
                                              
                                              
                                              1,373,880PARTNERS’
      CAPITAL (Net Asset Value)Partners’
      Capital (Non-restricted units):General
      Partner – 173 and 187 units outstanding at December 31, 2008 and 2007,
      respectively
                                              
                                              
                                              543,779
                                              
                                              
                                              
                                              545,791Limited
      Partners – 5,686 and 7,158 units outstanding at December 31, 2008 and
      2007, respectively
                                              
                                              
                                              17,851,493
                                              
                                              
                                              
                                              20,878,036Partners’
      Capital (Side pocket/restricted units):General
      Partner – 12 and 0 units outstanding at December 31, 2008 and 2007,
      respectively
                                              
                                              
                                              32,232
                                              
                                              
                                              
                                              0Limited
      Partners – 403 and 0 units outstanding at and December 31, 2008 and 2007,
      respectively
                                              
                                              
                                              1,073,525
                                              
                                              
                                              
                                              0Total
      partners’ capital (net asset value)
                                              
                                              
                                              19,501,029
                                              
                                              
                                              
                                              21,423,827$
                                              20,228,248
                                              
                                              
                                              $
                                              22,797,707









See
accompanying notes.








F-3






PROFUTURES
DIVERSIFIED FUND, L.P.
 CONDENSED
SCHEDULES OF INVESTMENTS
 December
31, 2008 and 2007
 _______________
 
 2008
                
                
                2007Fair
                  Value
                
                
                %
      of Net
                  Asset Value
                
                
                Fair
                  Value
                
                
                %
      of Net
                  Asset ValueLONG
      FUTURES CONTRACTS(1)DescriptionU.S.Agricultural
                
                $
                67,037
                
                
                
                0.34
                %
                
                $
                0
                
                
                
                0.00
                %Energy
                
                
                20,667
                
                
                
                0.10
                %
                
                
                0
                
                
                
                0.00
                %Interest
      rate
                
                
                188,883
                
                
                
                0.97
                %
                
                
                0
                
                
                
                0.00
                %Stock
      index
                
                
                33,545
                
                
                
                0.17
                %
                
                
                0
                
                
                
                0.00
                %Total
      U.S. long futures contracts
                
                $
                310,132
                
                
                
                1.58
                %
                
                $
                0
                
                
                
                0.00
                %ForeignAgriculture
                
                $
                1,226
                
                
                
                0.01
                %
                
                $
                0
                
                
                
                0.00
                %Interest
      rate
                
                
                18,911
                
                
                
                0.10
                %
                
                
                0
                
                
                
                0.00
                %Total
      foreign long futures contracts
                
                $
                20,137
                
                
                
                0.11
                %
                
                $
                0
                
                
                
                0.00
                %SHORT
      FUTURES CONTRACTS(1)DescriptionU.S.Agricultural
                
                $
                (45,260
                )
                
                
                (0.23
                )%
                
                $
                0
                
                
                
                0.00
                %Currency
                
                
                101
                
                
                
                0.00
                %
                
                
                0
                
                
                
                0.00
                %Energy
                
                
                6,870
                
                
                
                0.04
                %
                
                
                0
                
                
                
                0.00
                %Interest
      rate
                
                
                20,969
                
                
                
                0.11
                %
                
                
                0
                
                
                
                0.00
                %Stock
      index
                
                
                (22,085
                )
                
                
                (0.12
                )%
                
                
                4,010
                
                
                
                0.02
                %Total
      U.S. short futures contracts
                
                $
                (39,405
                )
                
                
                (0.20
                )%
                
                $
                4,010
                
                
                
                0.02
                %ForeignInterest
      rate
                
                $
                2,654
                
                
                
                0.01
                %
                
                $
                0
                
                
                
                0.00
                %Stock
      index
                
                
                (4,253
                )
                
                
                (0.02
                )%
                
                
                0
                
                
                
                0.00
                %Total
      foreign short futures contracts
                
                $
                (1,599
                )
                
                
                (0.01
                )%
                
                $
                0
                
                
                
                0.00
                %Total
      futures contracts
                
                $
                289,265
                
                
                
                1.48
                %
                
                $
                4,010
                
                
                
                0.02
                %WRITTEN
      OPTIONS ON FUTURES CONTRACTS(1)Stock
      index
                
                $
                0
                
                
                
                0.00
                %
                
                $
                (32,775
                )
                
                
                (0.15
                )%Total
      written options on futures contracts
                  (premiums
      received – $0 and $34,500, respectively)
                
                $
                0
                
                
                
                0.00
                %
                
                $
                (32,775
                )
                
                
                (0.15
                )%
 
 (1)
              No
      individual futures or options on futures contract positions constitutes
      greater than 5% of the Partnership’s Net Asset Value at December 31, 2008
      or 2007.  Accordingly, the number of contracts and expiration
      dates are not presented.
    See
accompanying notes.
   F-4
   PROFUTURES
DIVERSIFIED FUND, L.P.
 CONDENSED
SCHEDULES OF INVESTMENTS (CONTINUED)
 December
31, 2008 and 2007
 _______________
 
 2008
                
                
                2007Fair
                  Value
                
                
                %
      of Net
                  Asset Value
                
                
                Fair
                  Value
                
                
                %
      of Net
                  Asset ValueINVESTMENTS IN OTHER COMMODITY
      POOLSProFutures Strategic Allocation
      Trust(1)Investment
      ObjectiveTo
      achieve capital appreciation by trading U.S. and Non U.S. futures and
      forward currency contractsRedemption
      ProvisionsMonthly,
      with 10 days notice
                
                $
                0
                
                
                
                0.00
                %
                
                $
                5,495,004
                
                
                
                25.65
                %SHK Diversified LLC(2)Investment
      ObjectiveTo
      achieve capital appreciation by trading U.S. and Non U.S. futures and
      forward currency contracts
                
                
                1,315,743
                
                
                
                6.75
                %
                
                
                3,117,286
                
                
                
                14.55
                %Valhalla
      Synergy Fund LLCInvestment
      ObjectiveTo
      achieve capital appreciation by trading U.S. and Non U.S. futures and
      forward currency contractsRedemption
      ProvisionsQuarterly,
      with 30 days notice
                
                
                2,740,835
                
                
                
                14.05
                %
                
                
                4,419,668
                
                
                
                20.63
                %Winton Futures Fund, L.P. (US)
      – Institutional Interests(3)Investment
      ObjectiveTo
      achieve capital appreciation by trading U.S. and Non U.S. futures
      contractsRedemption
      ProvisionsMonthly,
      with 15 days notice
                
                
                8,527,355
                
                
                
                43.73
                %
                
                
                3,857,501
                
                
                
                18.01
                %Total
      investments in other commodity pools
                
                $
                12,583,933
                
                
                
                64.53
                %
                
                $
                16,889,459
                
                
                
                78.44
                %
 
 (1)
              The
      Managing Owner of ProFutures Strategic Allocation Trust is ProFutures,
      Inc., the Partnership’s General
Partner.
 (2)
              As
      of January 31, 2008, the managing member of SHK Diversified LLC (SHK)
      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.  On April 28, 2008, the
      Partnership submitted a request for full redemption from
      SHK.  Effective December 31, 2008, the managing member of SHK
      distributed approximately half of the Partnership’s investment in SHK to
      the Partnership, which was paid to the Partnership on January 15,
      2009.  Effective February 28, 2009, the managing member of SHK
      distributed the remaining portion of the Partnership’s investment in SHK
      to the Partnership, which was paid to the Partnership on March 16,
      2009.
 (3)
              The
      General Partner of Winton Futures Fund, L.P. (US) is Altegris Portfolio
      Management, Inc., an affiliate of Altegris Investments,
    Inc.
    See
accompanying notes.
   F-5
   PROFUTURES
DIVERSIFIED FUND, L.P.
 CONDENSED
SCHEDULES OF INVESTMENTS (CONTINUED)
 December
31, 2008 and 2007
 _______________
  Proportional
      Share of Investments of Other Commodity Pools as of December 31,
      2008(1)Description
                                                                                                    
                                                                                                    Investment Objective
                                                                                                    
                                                                                                    Redemption
                                                                                                      Provisions
                                                                                                    
                                                                                                    
                                                                                                    Fair
                                                                                                      Value
                                                                                                    
                                                                                                    
                                                                                                    %
      of Net
                                                                                                      Asset ValueValhalla
      Synergy
                                                                                                      Master
      Fund Ltd.
                                                                                                    To
      achieve capital appreciation through the speculative trading of
      commodities, commodity futures contracts, options on futures contracts and
      commodities, and spot and forward contracts traded in U.S. and non-U.S.
      markets.
                                                                                                    
                                                                                                    Monthly
      – with 30 days written notice
                                                                                                    
                                                                                                    
                                                                                                    $
                                                                                                    2,734,502
                                                                                                    
                                                                                                    
                                                                                                    
                                                                                                    14.02
                                                                                                    %Money Market Mutual Fund
      InvestmentsShares
                                                                                                    
                                                                                                    Description
                                                                                                    
                                                                                                    Cost
                                                                                                    
                                                                                                    
                                                                                                    Fair
                                                                                                      Value
                                                                                                    
                                                                                                    
                                                                                                    %
      of Net
                                                                                                      Asset Value1,121,826
                                                                                                    
                                                                                                    UBS
      Select Prime Institutional Fund
                                                                                                    
                                                                                                    $       
      1,121,826
                                                                                                    
                                                                                                    
                                                                                                    $
                                                                                                    1,121,826
                                                                                                    
                                                                                                    
                                                                                                    
                                                                                                    5.75
                                                                                                    %U.S. Government Agency Bonds and
      NotesFace
                                                                                                      Value
                                                                                                    
                                                                                                    Description
                                                                                                    
                                                                                                    Range of
                                                                                                      Maturity Dates
                                                                                                    
                                                                                                    
                                                                                                    Fair
                                                                                                      Value
                                                                                                    
                                                                                                    
                                                                                                    %
      of Net
                                                                                                      Asset Value$1,278,210
                                                                                                    
                                                                                                    Federal
      Home Loan Bank (0.03 – 4.35%)
                                                                                                    
                                                                                                    01/2009
      to 12/2010
                                                                                                    
                                                                                                    
                                                                                                    $
                                                                                                    1,281,568
                                                                                                    
                                                                                                    
                                                                                                    
                                                                                                    6.57
                                                                                                    %Open Long and Short Futures
      ContractsNo.
      of
                                                                                                      Contracts
                                                                                                    
                                                                                                    Description
                                                                                                    
                                                                                                    Range
      of
                                                                                                      Expiration Dates
                                                                                                    
                                                                                                    
                                                                                                    Fair
                                                                                                      Value
                                                                                                    
                                                                                                    
                                                                                                    %
      of Net
                                                                                                      Asset ValueLong Futures ContractsMetals3
                                                                                                    
                                                                                                    Copper
                                                                                                    
                                                                                                    01/2009
      to 05/2009
                                                                                                    
                                                                                                    
                                                                                                    $
                                                                                                    9,130
                                                                                                    
                                                                                                    
                                                                                                    
                                                                                                    0.05
                                                                                                    %519
                                                                                                    
                                                                                                    Gold
                                                                                                    
                                                                                                    04/2009
      to 12/2010
                                                                                                    
                                                                                                    
                                                                                                    $
                                                                                                    1,747,460
                                                                                                    
                                                                                                    
                                                                                                    
                                                                                                    8.96
                                                                                                    %88
                                                                                                    
                                                                                                    Silver
                                                                                                    
                                                                                                    05/2009
      to 07/2011
                                                                                                    
                                                                                                    
                                                                                                    $
                                                                                                    (593,490
                                                                                                    )
                                                                                                    
                                                                                                    
                                                                                                    (3.04
                                                                                                    )%Short Futures ContractsMetals9
                                                                                                    
                                                                                                    Copper
                                                                                                    
                                                                                                    02/2009
      to 05/2009
                                                                                                    
                                                                                                    
                                                                                                    $
                                                                                                    (65,331
                                                                                                    )
                                                                                                    
                                                                                                    
                                                                                                    (0.34
                                                                                                    )%519
                                                                                                    
                                                                                                    Gold
                                                                                                    
                                                                                                    02/2009
      to 06/2012
                                                                                                    
                                                                                                    
                                                                                                    $
                                                                                                    (2,537,283
                                                                                                    )
                                                                                                    
                                                                                                    
                                                                                                    (13.01
                                                                                                    )%88
                                                                                                    
                                                                                                    Silver
                                                                                                    
                                                                                                    03/2009
      to 12/2011
                                                                                                    
                                                                                                    
                                                                                                    $
                                                                                                    (75,238
                                                                                                    )
                                                                                                    
                                                                                                    
                                                                                                    (0.39
                                                                                                    )%Open Long and Short Forward
      ContractsNo.
      of
                                                                                                      Contracts
                                                                                                    
                                                                                                    Description
                                                                                                    
                                                                                                    Range
      of
                                                                                                      Expiration Dates
                                                                                                    
                                                                                                    
                                                                                                    Value
                                                                                                    
                                                                                                    
                                                                                                    %
      of Net
                                                                                                      Asset ValueLong Forward ContractsMetals394
                                                                                                    
                                                                                                    Aluminum
                                                                                                    
                                                                                                    01/2009
      to 12/2012
                                                                                                    
                                                                                                    
                                                                                                    $
                                                                                                    5,470,495
                                                                                                    
                                                                                                    
                                                                                                    
                                                                                                    28.05
                                                                                                    %121
                                                                                                    
                                                                                                    Copper
                                                                                                    
                                                                                                    01/2009
      to 12/2011
                                                                                                    
                                                                                                    
                                                                                                    $
                                                                                                    4,836,078
                                                                                                    
                                                                                                    
                                                                                                    
                                                                                                    24.80
                                                                                                    %Short Forward ContractsMetals349
                                                                                                    
                                                                                                    Aluminum
                                                                                                    
                                                                                                    01/2009
      to 12/2012
                                                                                                    
                                                                                                    
                                                                                                    $
                                                                                                    (4,626,265
                                                                                                    )
                                                                                                    
                                                                                                    
                                                                                                    (23.72
                                                                                                    )%114
                                                                                                    
                                                                                                    Copper
                                                                                                    
                                                                                                    01/2009
      to 12/2011
                                                                                                    
                                                                                                    
                                                                                                    $
                                                                                                    (4,446,044
                                                                                                    )
                                                                                                    
                                                                                                    
                                                                                                    (22.80
                                                                                                    )%
 (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, 2008.  In certain
      situations, open futures contracts that are less than 5% of the
      Partnership’s Net Asset Value at December 31, 2008 may be presented to
      better indicate the Partnership’s net exposure to a particular underlying
      commodity.
     See
accompanying notes.
   F-6
   PROFUTURES
DIVERSIFIED FUND, L.P.
 CONDENSED
SCHEDULES OF INVESTMENTS (CONTINUED)
 December
31, 2008 and 2007
 _______________
 
 
 
 Proportional
      Share of Investments of Other Commodity Pools as of December 31, 2008
      (continued)(1)Description
                              Investment Objective
                              Redemption
                                Provisions
                              Fair
                                Value
                              %
      of Net
                                Asset ValueValhalla
      Synergy
                                Master
      Fund Ltd.
                              To
      achieve capital appreciation through the speculative trading of
      commodities, commodity futures contracts, options on futures contracts and
      commodities, and spot and forward contracts traded in U.S. and non-U.S.
      markets.
                              Monthly
      – with
                                30
      days written
                                notice
                              $4,297,429
                              20.06
      %Purchased Options on Futures
      ContractsNo.
      of
                                Contracts
                              Description
                              Range
      of
                                Expiration Dates
                              Fair
                                Value
                              %
      of Net
                                Asset ValueMetals14
                              Aluminum
                              01/2009
      to 12/2011
                              $126,957
                              0.65
      %14
                              Copper
                              01/2009
      to 12/2010
                              $235,909
                              1.21
      %Written Options on Futures
      ContractsNo.
      of
                                Contracts
                              Description
                              Range
      of
                                Expiration Dates
                              Fair
                                Value
                              %
      of Net
                                Asset ValueMetals29
                              Aluminum
                              01/2009
      to 12/2011
                              $(105,759)
                              0.54
      %14
                              Copper
                              01/2009
      to 12/2010
                              $(346,786)
                              1.78
      %Physical InventoryDescription
                              
                              Fair
                                Value
                              %
      of Net
                                Asset ValueMetalsAluminum
                              
                              $     32,010
                              0.16
      %Copper
                              
                              $1,639,383
                              8.41
      %
 
 (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, 2008.  In certain
      situations, open futures contracts that are less than 5% of the
      Partnership’s Net Asset Value at December 31, 2008 may be presented to
      better indicate the Partnership’s net exposure to a particular underlying
      commodity.
     See
accompanying notes.
   F-7
   PROFUTURES
DIVERSIFIED FUND, L.P.
 CONDENSED
SCHEDULES OF INVESTMENTS (CONTINUED)
 December
31, 2008 and 2007
 _______________
 
 Proportional
Share of Investments of Other Commodity Pools as of December 31,
2007(1)
  Money Market Mutual Fund
Investments
 Shares
                          Description
                          
                          Cost
                          Fair
                            Value
                          %
      of Net
                            Asset Value2,603,841
                          UBS
      Select Prime Institutional Fund
                          $2,603,841
                          $2,603,841
                          12.15%Open Long and Short Futures
      ContractsNo.
      of
                            Contracts
                          Description
                          
                          Range
      of
                            Expiration Dates
                          Fair
                            Value
                          %
      of Net
                            Asset ValueLong Futures ContractsMetals2,939
                          Gold
                          
                          04/2008
      to 12/2010
                          $15,781,819
                          73.66%661
                          Silver
                          
                          05/2008
      to 07/2010
                          $2,095,969
                          9.78%Short Futures ContractsMetals2,964
                          Gold
                          
                          02/2008
      to 06/2012
                          $(10,928,866)
                          (51.01)%668
                          Silver
                          
                          03/2008
      to 12/2010
                          $(950,826)
                          (4.44)%
 
 Open Long and Short Forward
      ContractsNo.
      of
                              Contracts
                            Description
                            
                            Range
      of
                              Expiration Dates
                            Fair
                              Value
                            %
      of Net
                              Asset ValueLong Forward ContractsMetals313
                            Copper
                            
                            01/2008
      to 12/2011
                            $9,141,316
                            42.67%336
                            Aluminum
                            
                            01/2008
      to 12/2011
                            $2,107,432
                            9.84%Short Forward ContractsMetals314
                            Copper
                            
                            01/2008
      to 12/2011
                            $(8,743,537)
                            (40.81)%341
                            Aluminum
                            
                            01/2008
      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 and forward contracts which exceed
      5% of the Partnership’s Net Asset Value at December 31,
      2007.  In certain situations open futures contracts that are
      less than 5% of the Partnership’s Net Asset Value may be presented to
      indicate the Partnership’s net exposure to a particular underlying
      commodity.
    
 See
accompanying notes.
   F-8
   PROFUTURES DIVERSIFIED FUND, L.P.
 STATEMENTS
OF OPERATIONS
 For the
Years Ended December 31, 2008 and 2007
 _______________
 
 2008
                                                                                        Non-restricted
                                                                                      
                                                                                      
                                                                                      2008
                                                                                        Side
      pocket/
                                                                                        restricted
                                                                                      
                                                                                      
                                                                                      2008
                                                                                        Total
                                                                                      
                                                                                      
                                                                                      2007
                                                                                        TotalTRADING
      AND INVESTING GAINS (LOSSES)Gain
      (loss) from futures and options on futures tradingRealized
                                                                                      
                                                                                      $
                                                                                      1,061,006
                                                                                      
                                                                                      
                                                                                      $
                                                                                      0
                                                                                      
                                                                                      
                                                                                      $
                                                                                      1,061,006
                                                                                      
                                                                                      
                                                                                      $
                                                                                      (596,059
                                                                                      )Change
      in unrealized
                                                                                      
                                                                                      
                                                                                      283,530
                                                                                      
                                                                                      
                                                                                      
                                                                                      0
                                                                                      
                                                                                      
                                                                                      
                                                                                      283,530
                                                                                      
                                                                                      
                                                                                      
                                                                                      (478,142
                                                                                      )Brokerage
      commissions
                                                                                      
                                                                                      
                                                                                      (116,150
                                                                                      )
                                                                                      
                                                                                      
                                                                                      0
                                                                                      
                                                                                      
                                                                                      
                                                                                      (116,150
                                                                                      )
                                                                                      
                                                                                      
                                                                                      (281,061
                                                                                      )Gain
      (loss) from futures and options on futures trading
                                                                                      
                                                                                      
                                                                                      1,228,386
                                                                                      
                                                                                      
                                                                                      
                                                                                      0
                                                                                      
                                                                                      
                                                                                      
                                                                                      1,228,386
                                                                                      
                                                                                      
                                                                                      
                                                                                      (1,355,262
                                                                                      )Gain
      (loss) from trading of forward currency contracts and options on forward
      currency contractsRealized
                                                                                      
                                                                                      
                                                                                      0
                                                                                      
                                                                                      
                                                                                      
                                                                                      0
                                                                                      
                                                                                      
                                                                                      
                                                                                      0
                                                                                      
                                                                                      
                                                                                      
                                                                                      467,487Change
      in unrealized
                                                                                      
                                                                                      
                                                                                      0
                                                                                      
                                                                                      
                                                                                      
                                                                                      0
                                                                                      
                                                                                      
                                                                                      
                                                                                      0
                                                                                      
                                                                                      
                                                                                      
                                                                                      (371,164
                                                                                      )Gain
      (loss) from trading of forward currency contracts and options on forward
      currency contracts
                                                                                      
                                                                                      
                                                                                      0
                                                                                      
                                                                                      
                                                                                      
                                                                                      0
                                                                                      
                                                                                      
                                                                                      
                                                                                      0
                                                                                      
                                                                                      
                                                                                      
                                                                                      96,323Income
      (loss) from investments in other commodity pools, net
                                                                                      
                                                                                      
                                                                                      1,452,633
                                                                                      
                                                                                      
                                                                                      
                                                                                      (104,924
                                                                                      )
                                                                                      
                                                                                      
                                                                                      1,347,709
                                                                                      
                                                                                      
                                                                                      
                                                                                      492,472Total
      trading and investing gains (losses)
                                                                                      
                                                                                      
                                                                                      2,681,019
                                                                                      
                                                                                      
                                                                                      
                                                                                      (104,924
                                                                                      )
                                                                                      
                                                                                      
                                                                                      2,576,095
                                                                                      
                                                                                      
                                                                                      
                                                                                      (766,467
                                                                                      )NET
      INVESTMENT INCOME (LOSS)IncomeInterest
      income
                                                                                      
                                                                                      
                                                                                      37,120
                                                                                      
                                                                                      
                                                                                      
                                                                                      0
                                                                                      
                                                                                      
                                                                                      
                                                                                      37,120
                                                                                      
                                                                                      
                                                                                      
                                                                                      182,150ExpensesIncentive
      fees
                                                                                      
                                                                                      
                                                                                      383,650
                                                                                      
                                                                                      
                                                                                      
                                                                                      0
                                                                                      
                                                                                      
                                                                                      
                                                                                      383,650
                                                                                      
                                                                                      
                                                                                      
                                                                                      69,916Management
      fees (includes $683,889 and $951,279 charged by the General Partner for
      the years ended December 31, 2008 and 2007, respectively)
                                                                                      
                                                                                      
                                                                                      796,035
                                                                                      
                                                                                      
                                                                                      
                                                                                      74,671
                                                                                      
                                                                                      
                                                                                      
                                                                                      870,706
                                                                                      
                                                                                      
                                                                                      
                                                                                      1,112,227Operating
      expenses
                                                                                      
                                                                                      
                                                                                      344,501
                                                                                      
                                                                                      
                                                                                      
                                                                                      96,860
                                                                                      
                                                                                      
                                                                                      
                                                                                      441,361
                                                                                      
                                                                                      
                                                                                      
                                                                                      430,033Total
      expenses
                                                                                      
                                                                                      
                                                                                      1,524,186
                                                                                      
                                                                                      
                                                                                      
                                                                                      171,531
                                                                                      
                                                                                      
                                                                                      
                                                                                      1,695,717
                                                                                      
                                                                                      
                                                                                      
                                                                                      1,612,176General
      Partner management fees waived
                                                                                      
                                                                                      
                                                                                      (77,739
                                                                                      )
                                                                                      
                                                                                      
                                                                                      0
                                                                                      
                                                                                      
                                                                                      
                                                                                      (77,739
                                                                                      )
                                                                                      
                                                                                      
                                                                                      (114,074
                                                                                      )Net
      expenses
                                                                                      
                                                                                      
                                                                                      1,446,447
                                                                                      
                                                                                      
                                                                                      
                                                                                      171,531
                                                                                      
                                                                                      
                                                                                      
                                                                                      1,617,978
                                                                                      
                                                                                      
                                                                                      
                                                                                      1,498,102Net
      investment income (loss)
                                                                                      
                                                                                      
                                                                                      (1,409,327
                                                                                      )
                                                                                      
                                                                                      
                                                                                      (171,531
                                                                                      )
                                                                                      
                                                                                      
                                                                                      (1,580,858
                                                                                      )
                                                                                      
                                                                                      
                                                                                      (1,315,952
                                                                                      )NET
      INCOME (LOSS)
                                                                                      
                                                                                      $
                                                                                      1,271,692
                                                                                      
                                                                                      
                                                                                      $
                                                                                      (276,455
                                                                                      )
                                                                                      
                                                                                      $
                                                                                      995,237
                                                                                      
                                                                                      
                                                                                      $
                                                                                      (2,082,419
                                                                                      )NET
      INCOME (LOSS) PER GENERAL AND LIMITED PARTNER UNIT(based
      on weighted average number of units outstanding during the year of
      6,189,924 and 8,364, respectively)
                                                                                      
                                                                                      $
                                                                                      205.48
                                                                                      
                                                                                      
                                                                                      $
                                                                                      (299.19
                                                                                      )
                                                                                      
                                                                                      
                                                                                      (1)
                                                                                      
                                                                                      
                                                                                      $
                                                                                      (248.97
                                                                                      )INCREASE
      (DECREASE) IN NET ASSET VALUE PER GENERAL AND LIMITED PARTNER
      UNIT
                                                                                      
                                                                                      $
                                                                                      223.08
                                                                                      
                                                                                      
                                                                                      $
                                                                                      (299.36
                                                                                      )
                                                                                      
                                                                                      
                                                                                      (1)
                                                                                      
                                                                                      
                                                                                      $
                                                                                      (247.57
                                                                                      )
 
  (1)
              A
      total net income (loss) per general and limited partnership Unit and a
      total for the increase (decrease) in Net Asset Value per general and
      limited partnership Unit are not presented as the amounts are instead
      shown for each separate class of
Units.
    
 See
accompanying notes.
   F-9
   PROFUTURES
DIVERSIFIED FUND, L.P.
 STATEMENTS
OF CHANGES IN PARTNERS’ CAPITAL (NET ASSET VALUE)
 For the
Years Ended December 31, 2008 and 2007
 _______________
   Total
                                                                            Number
      of
                                                                          
                                                                          
                                                                          Partners’ CapitalUnits
                                                                          
                                                                          
                                                                          General
                                                                          
                                                                          
                                                                          Limited
                                                                          
                                                                          
                                                                          TotalNon-restricted unitsBalances
      at December 31, 2006
                                                                          
                                                                          
                                                                          8,903
                                                                          
                                                                          
                                                                          
                                                                          592,117
                                                                          
                                                                          
                                                                          
                                                                          27,581,995
                                                                          
                                                                          
                                                                          
                                                                          28,174,112Net
      (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
                                                                          
                                                                          
                                                                          
                                                                          21,423,827Transfer
      to side pocket/restricted
                                                                          
                                                                          
                                                                          (923
                                                                          )
                                                                          
                                                                          
                                                                          (71,709
                                                                          )
                                                                          
                                                                          
                                                                          (2,664,700
                                                                          )
                                                                          
                                                                          
                                                                          (2,736,409
                                                                          )Net
      income for the year ended December 31, 2008
                                                                          
                                                                          
                                                                          
                                                                          
                                                                          
                                                                          
                                                                          37,465
                                                                          
                                                                          
                                                                          
                                                                          1,234,227
                                                                          
                                                                          
                                                                          
                                                                          1,271,692Redemptions
                                                                          
                                                                          
                                                                          (916
                                                                          )
                                                                          
                                                                          
                                                                          0
                                                                          
                                                                          
                                                                          
                                                                          (2,671,425
                                                                          )
                                                                          
                                                                          
                                                                          (2,671,425
                                                                          )Transfer
      from side pocket/restricted(2)
                                                                          
                                                                          
                                                                          353
                                                                          
                                                                          
                                                                          
                                                                          32,232
                                                                          
                                                                          
                                                                          
                                                                          1,075,355
                                                                          
                                                                          
                                                                          
                                                                          1,107,587Balances
      at December 31, 2008
                                                                          
                                                                          
                                                                          5,859
                                                                          
                                                                          
                                                                          $
                                                                          543,779
                                                                          
                                                                          
                                                                          $
                                                                          17,851,493
                                                                          
                                                                          
                                                                          $
                                                                          18,395,272Side pocket/restricted
unitsBalances
      at December 31, 2007
                                                                          
                                                                          
                                                                          0
                                                                          
                                                                          
                                                                          $
                                                                          0
                                                                          
                                                                          
                                                                          $
                                                                          0
                                                                          
                                                                          
                                                                          $
                                                                          0Transfer
      from non-restricted
                                                                          
                                                                          
                                                                          923
                                                                          
                                                                          
                                                                          
                                                                          71,709
                                                                          
                                                                          
                                                                          
                                                                          2,664,700
                                                                          
                                                                          
                                                                          
                                                                          2,736,409Net
      (loss) for the year ended December 31, 2008
                                                                          
                                                                          
                                                                          
                                                                          
                                                                          
                                                                          
                                                                          (7,245
                                                                          )
                                                                          
                                                                          
                                                                          (269,210
                                                                          )
                                                                          
                                                                          
                                                                          (276,455
                                                                          )Redemptions(1)
                                                                          
                                                                          
                                                                          (92
                                                                          )
                                                                          
                                                                          
                                                                          0
                                                                          
                                                                          
                                                                          
                                                                          (246,610
                                                                          )
                                                                          
                                                                          
                                                                          (246,610
                                                                          )Transfer
      to non-restricted(2)
                                                                          
                                                                          
                                                                          (416
                                                                          )
                                                                          
                                                                          
                                                                          (32,232
                                                                          )
                                                                          
                                                                          
                                                                          (1,075,355
                                                                          )
                                                                          
                                                                          
                                                                          (1,107,587
                                                                          )Balances
      at December 31, 2008
                                                                          
                                                                          
                                                                          415
                                                                          
                                                                          
                                                                          $
                                                                          32,232
                                                                          
                                                                          
                                                                          $
                                                                          1,073,525
                                                                          
                                                                          
                                                                          $
                                                                          1,105,757Total
      Partners’ Capital (Net Asset Value) at December 31, 2006
                                                                          
                                                                          
                                                                          
                                                                          
                                                                          
                                                                          $
                                                                          592,117
                                                                          
                                                                          
                                                                          $
                                                                          27,581,995
                                                                          
                                                                          
                                                                          $
                                                                          28,174,112Total
      Partners’ Capital (Net Asset Value) at December 31, 2007
                                                                          
                                                                          
                                                                          
                                                                          
                                                                          
                                                                          $
                                                                          545,791
                                                                          
                                                                          
                                                                          $
                                                                          20,878,036
                                                                          
                                                                          
                                                                          $
                                                                          21,423,827Total
      Partners’ Capital (Net Asset Value) at December 31, 2008
                                                                          
                                                                          
                                                                          
                                                                          
                                                                          
                                                                          $
                                                                          576,011
                                                                          
                                                                          
                                                                          $
                                                                          18,925,018
                                                                          
                                                                          
                                                                          $
                                                                          19,501,029
   Net
      Asset Value Per UnitNon-restricted
                    
                    
                    Side pocket/restrictedDecember
      31,
                    
                    
                    December
      31,2008
                    
                    
                    2007
                    
                    
                    2006
                    
                    
                    2008
                    
                    
                    2007$
                    3,139.86
                    
                    
                    $
                    2,916.78
                    
                    
                    $
                    3,164.35
                    
                    
                    $
                    2,663.73
                    
                    
                    $
                    N/A
 
  (1)
              Side
      pocket/restricted unit redemptions have been recorded in accordance with
      the Statement of Financial Accounting Standards No.
      150.  Redemptions approved by the General Partner, prior to the
      period end, that are not effective until subsequent periods are recorded
      in the current period.  Also includes the portion of the
      December 31, 2008 distribution from SHK related to partners who have
      completely redeemed from the Partnership and do not hold non-restricted
      units.  Effective February 28, 2009, all partners who have
      completely redeemed from the Partnership and do not hold non-restricted
      units will be paid their final redemption in March
  2009.
 (2)
              The
      Partnership recorded a receivable in the statement of financial condition
      for proceeds received in January 2009 from its investment in SHK that is
      held in side pocket/restricted units.  As a result, half of the
      units held in the side pocket/restricted units were transferred and
      converted to non-restricted units at the December 31, 2008 non-restricted
      net asset value per unit.
    
 See
accompanying notes.
    F-10
   PROFUTURES
DIVERSIFIED FUND, L.P.
 STATEMENTS
OF CASH FLOWS
 For the
Years Ended December 31, 2008 and 2007
 _______________
 
 2008
                                          
                                          
                                          2007OPERATING
      ACTIVITIESNet
      income (loss)
                                          
                                          $
                                          995,237
                                          
                                          
                                          $
                                          (2,082,419
                                          )Adjustments
      to reconcile net income (loss) to net cash provided by (used in) operating
      activities:(Income)
      from investments in other commodity pools, net
                                          
                                          
                                          (1,347,709
                                          )
                                          
                                          
                                          (492,472
                                          )Change
      in operating assets and liabilities(Increase)
      decrease in cash deposits with broker
                                          
                                          
                                          (4,602,149
                                          )
                                          
                                          
                                          11,891,969(Increase)
      decrease in option premiums paid (received)
                                          
                                          
                                          (34,500
                                          )
                                          
                                          
                                          (28,625
                                          )(Increase)
      decrease in unrealized gain (loss) on open contracts
                                          
                                          
                                          (283,530
                                          )
                                          
                                          
                                          478,142(Increase)
      decrease in cash deposits in forward tradingcollateral
      accounts
                                          
                                          
                                          0
                                          
                                          
                                          
                                          5,412,319(Increase)
      decrease in net premiums paid on options onforward
      currency contracts
                                          
                                          
                                          0
                                          
                                          
                                          
                                          3,294(Increase)
      decrease in unrealized gain (loss) on openforward
      currency contracts and options onforward
      currency contracts
                                          
                                          
                                          0
                                          
                                          
                                          
                                          371,164Additions
      to investments in other commodity pools
                                          
                                          
                                          (10,690,000
                                          )
                                          
                                          
                                          (15,803,865
                                          )Redemptions
      from other commodity pools
                                          
                                          
                                          19,527,493
                                          
                                          
                                          
                                          4,245,000(Decrease)
      increase in accounts payable
                                          
                                          
                                          (56,719
                                          )
                                          
                                          
                                          43,536(Decrease)
      increase in commissions and othertrading
      fees on open contracts
                                          
                                          
                                          1,310
                                          
                                          
                                          
                                          (5,685
                                          )(Decrease)
      increase in incentive fees payable
                                          
                                          
                                          185,497
                                          
                                          
                                          
                                          (62,651
                                          )(Decrease)
      increase in management fees payable
                                          
                                          
                                          85,665
                                          
                                          
                                          
                                          (168,219
                                          )Net
      cash provided by (used in) Operating Activities
                                          
                                          
                                          3,780,595
                                          
                                          
                                          
                                          3,801,488FINANCING
      ACTIVITIESRedemptions
      paid
                                          
                                          
                                          (3,780,449
                                          )
                                          
                                          
                                          (3,801,305
                                          )Net
      cash provided by (used in) Financing Activities
                                          
                                          
                                          (3,780,449
                                          )
                                          
                                          
                                          (3,801,305
                                          )Net
      cash increase (decrease) for the year
                                          
                                          
                                          146
                                          
                                          
                                          
                                          183Cash
      at beginning of year
                                          
                                          
                                          3,387
                                          
                                          
                                          
                                          3,204Cash
      at end of year
                                          
                                          $
                                          3,533
                                          
                                          
                                          $
                                          3,387
    
 See
accompanying notes.
   F-11
   PROFUTURES DIVERSIFIED FUND,
L.P.
 NOTES TO FINANCIAL
STATEMENTS
    Note
1.       ORGANIZATION AND SUMMARY OF
SIGNIFICANT ACCOUNTING POLICIES
  General Description of the
Partnership
  ProFutures
      Diversified Fund, L.P. (the Partnership) is a Delaware limited
      partnership, which operates as a commodity investment pool.  The
      Partnership engages in the speculative trading of futures contracts,
      options on futures contracts, physical commodities, interbank forward
      currency contracts and options on interbank forward currency contracts,
      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
      more fully described in Note 7., effective April 1, 2008, the Partnership
      established a “side pocket/restricted” account for each
      investor.  The Partnership transferred its interest in SHK
      Diversified LLC (SHK), which had a net asset value of $2,736,409 and a per
      unit value of $2,963.09 as of March 31, 2008, to a side
      pocket/restricted share class.  Partners of record on April 1,
      2008 have a proportional interest in the assets, liabilities and income or
      loss related to this side pocket.
  Partners
      who have requested redemptions will continue to participate in any income
      or loss specifically from the SHK side pocket investment until such time
      as the Partnership receives its redemption proceeds or liquidation
      proceeds from SHK.  The side pocket/restricted share class will
      also bear its proportionate share of the Partnership’s expenses, as well
      as all expenses directly related to this class’ establishment and
      existence.  Effective December 31, 2008, SHK distributed
      approximately half ($1,315,742) of the Partnership’s investment in SHK to
      the Partnership, which was paid to the Partnership on January 15,
      2009.  Effective February 28, 2009, SHK distributed the
      remaining portion ($1,335,258) of the Partnership’s investment in SHK to
      the Partnership, which was paid to the Partnership on March 16,
      2009.
  Regulation
  As
      a registrant with the Securities and Exchange Commission, the Partnership
      is subject to the regulatory requirements under the Securities Act of 1933
      and the Securities Exchange Act of 1934.  As a commodity
      investment pool, the Partnership is subject to the regulations of the
      Commodity Futures Trading Commission, an agency of the United States
      (U.S.) government which regulates most aspects of the commodity futures
      industry; rules of the National Futures Association, an industry
      self-regulatory organization; and the requirements of commodity exchanges,
      futures commission merchants, and interbank market makers through which
      the Partnership trades.
  Method of
      Reporting
  The
      Partnership’s financial statements are presented in accordance with
      accounting principles generally accepted in the United States of America,
      which require the use of certain estimates made by the Partnership’s
      management.
  For
      purposes of both financial reporting and calculation of redemption value,
      Net Asset Value per Unit is calculated by dividing Net Asset Value by the
      total number of units outstanding.
  Use of
      Estimates
  The
      preparation of financial statements in conformity with accounting
      principles generally accepted in the United States of America requires
      management to make estimates and assumptions that affect the reported
      amounts of assets and liabilities and disclosure of contingent assets and
      liabilities at the date of the financial statements, and the reported
      amounts of revenues and expenses during the reporting
      periods.  Actual results could differ from the estimates and
      assumptions utilized.
    F-12
   PROFUTURES DIVERSIFIED FUND,
L.P.
 NOTES TO FINANCIAL STATEMENTS
(CONTINUED)
  Note
1.      ORGANIZATION AND SUMMARY OF
SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)
  Fair Value of
      Financial Instruments
  All
      of the Partnership’s investment assets and liabilities are considered
      financial instruments and are reflected at fair value, or at carrying
      amounts that approximate fair value because of the short maturity of the
      instruments.
  On
      January 1, 2008, the Partnership adopted Statement of Financial Accounting
      Standards No. 157, Fair
      Value Measurements (SFAS No. 157).  The adoption of SFAS
      No. 157 did not have a material impact on the Partnership’s financial
      position, results of operations or cash
flows.
  SFAS
      No. 157 defines fair value as the price that would be received to sell an
      asset or paid to transfer a liability in an orderly transaction between
      market participants at the measurement date and sets out a fair value
      hierarchy.  The fair value hierarchy gives the highest priority
      to quoted prices in active markets for identical assets or liabilities
      (Level 1) and the lowest priority to unobservable inputs (Level
      3).  Inputs are broadly defined under SFAS No. 157 as
      assumptions market participants would use in pricing an asset or
      liability.  The three levels of the fair value hierarchy under
      SFAS No. 157 are described below:
  Level
      1.
              Unadjusted
      quoted prices in active markets for identical assets or liabilities that
      the reporting entity has the ability to access at the measurement
      date.
  Level
      2.
              Inputs
      other than quoted prices within Level 1 that are observable for the asset
      or liability, either directly or indirectly.  A significant
      adjustment to a Level 2 input could result in the Level 2 measurement
      becoming a Level 3 measurement.
  Level
      3.
              Inputs
      are unobservable for the asset or
liability.
  The
      fair values of futures contracts are based upon exchange settlement
      prices.  The Partnership uses futures contracts as part of its
      trading activities.  These contracts are classified as Level 1
      of the fair value hierarchy.
  The
      fair values of Level 1 financial instruments at December 31, 2008,
      consisted of the following:
 
 Futures
      contracts
                  
                  $
                  289,265
  The
      Partnership’s investments in other commodity pools are reported in the
      statement of financial condition at fair value.  Fair value
      ordinarily represents the Partnership’s proportionate share of each other
      commodity pool’s net asset value determined for each commodity pool in
      accordance with such commodity pool’s valuation policies and as reported
      by their management at the time of the Partnership’s
      valuation.  Generally, the fair value of the Partnership’s
      investment in a commodity pool represents the amount that the Partnership
      could reasonably expect to receive from such commodity pool if the
      Partnership’s investment was redeemed at the time of valuation, based on
      information reasonably available at the time the valuation is made and
      that the Partnership believes to be reliable.  The Partnership
      records its proportionate share of other commodity pools’ income or loss
      in the statement of operations.  This financial instrument is
      classified in Level 3 of the fair value
  hierarchy.
  F-13
 PROFUTURES DIVERSIFIED FUND,
L.P.
 NOTES TO FINANCIAL STATEMENTS
(CONTINUED)
   Note
1.       ORGANIZATION AND SUMMARY OF
SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)
  Fair Value of
      Financial Instruments
(Continued)
  The
      fair values of Level 3 financial instruments at December 31, 2008,
      consisted of the following:
  Investments
      in other commodity pools
                  
                  $
                  12,583,933
 The
      following table presents a reconciliation of the activity for the
      investments in other commodity
pools:
  Balance
      at January 1, 2008:
                      
                      $
                      16,889,459
  Income
      (loss) from investments in other commodity pools, net
                          
                          
                          1,347,709
  Additions
      and redemptions, net
                          
                          
                          (5,653,235)
  Transfers
      in and/or out of Level 3
                                          
                                          
                                          0
  Balance
      at December 31, 2008:
                                    
                                    $
                                    12,583,933
 
 Income
      (loss) from investments in other commodity pools, net includes $780,220
      attributable to the change in unrealized gain (loss) on the Partnership’s
      investments in other commodity pools held at December 31,
      2008.
  Futures and Forward
      Currency Contracts
  Transactions
      are accounted for on the trade date.  Gains or losses are
      realized when contracts are liquidated.  Unrealized gains or
      losses on open contracts (the difference between contract trade price and
      market price) are reflected in the statement of financial condition as a
      net gain or loss, as there exists a right of offset of unrealized gains or
      losses in accordance with Financial Accounting Standards Board (FASB)
      Interpretation No. 39 – Offsetting of Amounts Related
      to Certain Contracts.  Any change in net unrealized gain
      or loss from the preceding period is reported in the statement of
      operations.  Brokerage commissions on futures contracts include
      other trading fees and are charged to expense when contracts are
      opened.  Fair value of exchange-traded contracts is based upon
      exchange settlement prices.  Fair value of non-exchange-traded
      contracts is based on third party quoted dealer values on the interbank
      market.
  On
      January 1, 2008, the Partnership adopted FASB Interpretation No.
      39-1,Amendment of FASB
      Interpretation No. 39 (FIN 39-1).  FIN 39-1 defines
      “right of setoff” and specifies what conditions must be met for a
      derivative contract to qualify for this right of setoff.  It
      also addresses the applicability of a right of setoff to derivative
      instruments and clarifies the circumstances in which it is appropriate to
      offset amounts recognized for multiple derivative instruments executed
      with the same counterparty under a master netting arrangement and fair
      value amounts recognized for the right to reclaim cash collateral (a
      receivable) or the obligation to return cash collateral (a payable)
      arising from the same master netting arrangement as the derivative
      instruments.  The adoption of FIN 39-1 did not have a material
      impact on the Partnership’s financial
  statements.
   F-14
 PROFUTURES DIVERSIFIED FUND,
L.P.
 NOTES TO FINANCIAL STATEMENTS
(CONTINUED)
  
 Note
      1.
              ORGANIZATION AND
      SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES
    (CONTINUED)
  Income
      Taxes
  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 and investing gains or
      losses.
  The
      Partnership has continued to evaluate the application of FASB
      Interpretation No. 48 (FIN 48) entitled Accounting for Uncertainty in
      Income Taxes – an interpretation of FASB Statement No. 109, and has
      determined that FIN 48 does not have a material impact on the
      Partnership’s financial statements.  In connection with the
      application of FIN 48, the Partnership has elected an accounting policy to
      classify interest and penalties, if any, as interest
      expense.  The Partnership files U.S. federal and state tax
      returns.  The 2005 through 2008 tax years generally remain
      subject to examination by U.S. federal and most state tax
      authorities.
  Foreign Currency
      Transactions
  The
      Partnership’s functional currency is the U.S. dollar; however, it
      transacts business in currencies other than the U.S.
      dollar.  Assets and liabilities denominated in currencies other
      than the U.S. dollar are translated into U.S. dollars at the rates in
      effect at the date of the statement of financial
      condition.  Income and expense items denominated in currencies
      other than the U.S. dollar are translated into U.S. dollars at the rates
      in effect during the period.  Gains and losses resulting from
      the translation to U.S. dollars are reported in trading and investing in
      gains (losses) in the statements of
operations.
  Redemptions of
      Units
  Redemptions
      payable represent redemptions approved by the General Partner prior to the
      period end, including those that are not effective until subsequent
      periods.  These redemptions have been recorded as redemptions
      and redemptions payable, using the period end Net Asset Value per unit, in
      accordance with the provisions of Statement of Financial Accounting
      Standards No. 150, Accounting for Certain
      Financial Instruments with Characteristics of both Liabilities and
      Equity.  The change in redemptions payable from the
      previous reporting period due to change in Net Asset Value is reported in
      net income and then allocated.  Redemptions payable related to
      side pocketed/restricted Units at December 31, 2008 and December 31, 2007
      are $124,216 and $0, respectively.
  Recently Issued
      Accounting Pronouncement
  In
      March 2008, the FASB issued SFAS No. 161, Disclosure about Derivative
      Instruments and Hedging Activities, an Amendment of FASB Statement No. 133(SFAS No. 161).  SFAS No. 161 is intended to improve
      transparency in financial reporting by requiring enhanced disclosures of
      an entity’s derivative instruments and hedging activities and their
      effects on the entity’s financial position, financial performance, and
      cash flows.  SFAS No. 161 applies to all derivative instruments
      within the scope of SFAS No. 133.  It also applies to
      non-derivative hedging instruments and all hedged items designated and
      qualifying as hedges under SFAS No. 133.  SFAS No. 161 amends
      the current qualitative and quantitative disclosure requirements for
      derivative instruments and hedging activities set forth in SFAS No. 133
      and generally increases the level of disaggregation that will be required
      in an entity’s financial statements.  SFAS No. 161 requires
      qualitative disclosures about objectives and strategies for using
      derivatives, quantitative disclosures about fair value amounts of gains
      and losses on derivative instruments, and disclosures about credit-risk
      related contingent features in derivative agreements.  SFAS No.
      161 is effective prospectively for financial statements issued for fiscal
      years and interim periods beginning after November 15, 2008.  As
      this pronouncement is disclosure related only, adoption is not expected to
      have a material impact on the Partnership’s financial
      statements.
   F-15
  PROFUTURES DIVERSIFIED FUND,
L.P.
 NOTES TO FINANCIAL STATEMENTS
(CONTINUED)
  Note
      2.
              GENERAL
      PARTNER
  The
      General Partner of the Partnership is ProFutures, Inc., which conducts and
      manages the business of the Partnership.  The Agreement of
      Limited Partnership requires the General Partner to contribute to the
      Partnership an amount in the aggregate equal to at least the greater of
      (i) 3% of the aggregate initial capital contributions of all partners or
      $100,000, whichever is less, or (ii) 1% of the aggregate initial capital
      contributions of all partners.
  The
      Agreement of Limited Partnership also requires that the General Partner
      maintain in the aggregate a net worth at least equal to (i) the lesser of
      $250,000 or 15% of the aggregate initial capital contributions of any
      limited partnerships for which it acts as general partner and which are
      capitalized at less than $2,500,000; and (ii) 10% of the aggregate initial
      capital contributions of any limited partnerships for which it acts as
      general partner and which are capitalized at greater than
      $2,500,000.
  ProFutures,
      Inc. has a callable stock subscription agreement with MF Global Ltd.
      (MFG), 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 worth requirements.
  The
      Partnership pays the General Partner a monthly management fee of 1/4 of 1%
      (3% annually) of month-end Net Asset Value.  The General Partner
      receives an additional monthly management fee of .0625% (.75% annually) of
      the Partnership’s month-end Net Asset Value for consulting services
      rendered to the Partnership.
  Total
      management fees earned by ProFutures, Inc. for the years ended December
      31, 2008 and 2007 were $683,889 and $951,279,
      respectively.  Management fees payable to ProFutures, Inc. as of
      December 31, 2008 and 2007 were $129,324 and $61,761,
      respectively.  Management fees payable at December 31, 2008
      includes $74,672 payable to ProFutures, Inc. related to the side
      pocket/restricted share class.  This amount was accrued
      throughout 2008 and was paid in February 2009.  During the years
      ended December 31, 2008 and 2007, the General Partner waived $77,739 and
      $114,074, 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 for the period February 1, 2007 to May 31, 2008 (the period
      the Partnership was invested in ProFutures Strategic Allocation Trust)
      given ProFutures, Inc. receives a 2% per annum administration fee from
      ProFutures Strategic Allocation
Trust.
  Note
      3.
              CONSULTANTS
  The
      Partnership maintains a consulting agreement with Altegris Investments,
      Inc. (the CTA Consultant) and Altegris Portfolio Management, Inc. (the CPO
      Consultant), collectively (the Consultants), whereby the Consultants
      recommend the selection and termination of the Partnership’s trading
      advisors and other commodity pools and the allocation and reallocation of
      the Partnership’s assets.  The CPO Consultant is the general
      partner of Winton Futures Fund, L.P. (US).  Pursuant to the
      consulting agreement, the Consultants receive a monthly consulting fee
      equal to .0208% (.25% annually) of the Partnership’s month-end Net Asset
      Value (as defined in the Consulting Agreement).  Effective April
      1, 2007, certain net assets of the Partnership invested with managers
      affiliated with the Consultants are excluded from the month-end Net Asset
      Value when computing the consulting fees due to the
      Consultants.  In addition, the net assets of the Partnership
      invested with a certain commodity trading advisor are excluded from the
      month-end Net Asset Value when computing the consulting fees due to the
      Consultants since the Consultants earn a percentage of such commodity
      trading advisor’s incentive fee.
   F-16
  PROFUTURES DIVERSIFIED FUND,
L.P.
 NOTES TO FINANCIAL STATEMENTS
(CONTINUED)
  Note
      3.
              CONSULTANTS
      (CONTINUED)
  The
consulting fee (included in management fees in the statement of operations)
earned by the Consultants for the years ended December 31, 2008 and 2007 totaled
$10,683 and $21,603, respectively.  The consulting fee payable
(included in management fees payable in the statement of financial condition) to
the Consultants as of December 31, 2008 and 2007 was $1,880 and $272,
respectively.  In addition to the monthly consulting fee, the
Consultants earn commissions for introducing the Partnership to certain
commodity trading advisors and other commodity pools based on the number of
trades entered on behalf of the Partnership.
  Note
      4.
              COMMODITY TRADING
      ADVISORS
  The
      Partnership has trading advisory contracts with commodity trading advisors
      to furnish investment management services to the
      Partnership.  These trading advisors typically receive
      management fees ranging from 0% to 2% annually of Allocated Net Asset
      Value (as defined in each respective trading advisory
      agreement).  In addition, the commodity trading advisors
      typically receive quarterly incentive fees ranging from 20% to 25% of
      Trading Profits (as defined).  Total management fees earned by
      the trading advisors amounted to $98,395 and $139,345 for the years ended
      December 31, 2008 and 2007, respectively.  Total incentive fees
      earned by the trading advisors amounted to $383,650 and $69,916 for the
      years ended December 31, 2008 and 2007,
  respectively.
  Note
      5.
              SUBSCRIPTIONS,
      DISTRIBUTIONS AND
REDEMPTIONS
  Limited
      Partners have the right to redeem units as of any month-end upon ten (10)
      days' prior written notice to the Partnership.  Redemptions will
      be made on the last day of the month for an amount equal to the net asset
      value per unit, as defined, represented by the units to be
      redeemed.  The right to obtain redemptions is also contingent
      upon the Partnership's having property sufficient to discharge its
      liabilities on the redemption date and may be delayed if the General
      Partner determines that earlier liquidation of commodity interest
      positions to meet redemption payments would be detrimental to the
      Partnership or non-redeeming Limited
Partners.
  Under
certain circumstances, including, but not limited to, the inability to liquidate
commodity positions or a delay in payments due the Partnership from commodity
brokers, banks, commodity pools or other persons, the Partnership may in turn
delay payment to Partners requesting redemption of units.  In that
event, payment for redemption of such units will be made to Limited Partners as
soon thereafter as is practicable.  As discussed more fully in Note 7,
effective April 1, 2008, the General Partner established a side
pocket/restricted share class for the Partnership’s interest in
SHK.  A Partner may not redeem units from the side pocket/restricted
share class until management of SHK distributes proceeds from the Partnership’s
investment in SHK to the Partnership.  Effective December 31, 2008,
SHK distributed half of the Partnership’s investment in SHK to the
Partnership.  As a result, half of the units held in the side
pocket/restricted units were transferred and converted to non-restricted units
at the December 31, 2008 non-restricted Net Asset Value per unit or were paid
their pro rata share of the proceeds if they did not hold non-restricted
units.  Effective February 28, 2009, SHK distributed the remaining
portion of the Partnership’s investment in SHK to the Partnership.  As
a result, all of the units held in the side pocket/restricted units were
transferred and converted to non-restricted units at the February 28, 2009
non-restricted Net Asset Value per unit or were paid their pro rata share of the
proceeds if they did not hold non-restricted units.
   F-17
   PROFUTURES DIVERSIFIED FUND,
L.P.
 NOTES TO FINANCIAL STATEMENTS
(CONTINUED)
  Note
      6.
              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.  All assets with MFG are subject to
      being collateralized for any amounts due to MFG to meet margin and other
      broker or regulatory requirements.  The Partnership earns
      interest income on cash deposited with the
  broker.
  Note
      7.
              INVESTMENTS IN OTHER
      COMMODITY POOLS
  The
      Partnership invests in other commodity pools, which are subject to the
      terms of the respective limited partnership agreements and offering
      memoranda of such other commodity pools, which may, among other things,
      delay or suspend withdrawal rights under certain
      circumstances.
  Summarized
information for these investments is as follows:
  ProFutures
                                                      Strategic
                                                      Allocation Trust
                                                    
                                                    
                                                    SHK
                                                      Diversified LLC
                                                    
                                                    
                                                    Valhalla
                                                      Synergy
                                                      Fund LLC
                                                    
                                                    
                                                    Winton
                                                      Futures
      Fund,
                                                      L.P. (US)
                                                    
                                                    
                                                    TotalsNet
      Asset ValueDecember
      31, 2006
                                                    
                                                    $
                                                    0
                                                    
                                                    
                                                    $
                                                    0
                                                    
                                                    
                                                    $
                                                    0
                                                    
                                                    
                                                    $
                                                    9,338,122
                                                    
                                                    
                                                    $
                                                    9,338,122Additions
                                                    
                                                    
                                                    7,364,000
                                                    
                                                    
                                                    
                                                    3,500,000
                                                    
                                                    
                                                    
                                                    4,439,865
                                                    
                                                    
                                                    
                                                    500,000
                                                    
                                                    
                                                    
                                                    15,803,865Income
      (loss)
                                                    
                                                    
                                                    (886,996
                                                    )
                                                    
                                                    
                                                    (102,714
                                                    )
                                                    
                                                    
                                                    229,803
                                                    
                                                    
                                                    
                                                    1,252,379
                                                    
                                                    
                                                    
                                                    492,472Redemptions
                                                    
                                                    
                                                    (982,000
                                                    )
                                                    
                                                    
                                                    (280,000
                                                    )
                                                    
                                                    
                                                    (250,000
                                                    )
                                                    
                                                    
                                                    (7,233,000
                                                    )
                                                    
                                                    
                                                    (8,745,000
                                                    )Net
      Asset ValueDecember
      31, 2007
                                                    
                                                    
                                                    5,495,004
                                                    
                                                    
                                                    
                                                    3,117,286
                                                    
                                                    
                                                    
                                                    4,419,668
                                                    
                                                    
                                                    
                                                    3,857,501
                                                    
                                                    
                                                    
                                                    16,889,459Additions
                                                    
                                                    
                                                    4,500,000
                                                    
                                                    
                                                    
                                                    0
                                                    
                                                    
                                                    
                                                    0
                                                    
                                                    
                                                    
                                                    6,190,000
                                                    
                                                    
                                                    
                                                    10,690,000Income
      (loss)
                                                    
                                                    
                                                    567,489
                                                    
                                                    
                                                    
                                                    (385,801
                                                    )
                                                    
                                                    
                                                    421,167
                                                    
                                                    
                                                    
                                                    744,854
                                                    
                                                    
                                                    
                                                    1,347,709Redemptions
                                                    
                                                    
                                                    (10,562,493
                                                    )
                                                    
                                                    
                                                    (1,415,742
                                                    )
                                                    
                                                    
                                                    (2,100,000
                                                    )
                                                    
                                                    
                                                    (2,265,000
                                                    )
                                                    
                                                    
                                                    (16,343,235
                                                    )Net
      Asset ValueDecember
      31, 2008
                                                    
                                                    $
                                                    0
                                                    
                                                    
                                                    $
                                                    1,315,743
                                                    
                                                    
                                                    $
                                                    2,740,835
                                                    
                                                    
                                                    $
                                                    8,527,355
                                                    
                                                    
                                                    $
                                                    12,583,933
 
 ProFutures Strategic
Allocation Trust
  The
      Partnership’s investment in ProFutures Strategic Allocation Trust (the
      Trust) is subject to an administration fee, charged by ProFutures, Inc.,
      of 2.00% per annum, monthly management fees, charged by the commodity
      trading advisors, of 2.00% per annum, and quarterly incentive fees,
      charged by the commodity trading advisors, of 20% of trading
      profits.  The Partnership fully redeemed from the Trust on May
      31, 2008.  For the year ended December 31, 2008, the
      Partnership’s proportionate share of administration fees, management fees
      and incentive fees charged by the Trust were approximately $77,900,
      $42,700 and $0, respectively.  For the year ended December 31,
      2007, the Partnership’s proportionate share of administration fees,
      management fees and incentive fees charged by the Trust were approximately
      $107,000, $116,000 and $32,000,
respectively.
   F-18
  PROFUTURES DIVERSIFIED FUND,
L.P.
 NOTES TO FINANCIAL STATEMENTS
(CONTINUED)
   Note
      7.
              INVESTMENTS IN OTHER
      COMMODITY POOLS (CONTINUED)
  ProFutures Strategic
      Allocation Trust (Continued)
  Condensed
      financial information as of December 31, 2007 and for the year then ended
      and for the five month period ended May 31, 2008 is as follows (the
      Partnership fully redeemed from the Trust as of May 31,
    2008):
  Statement
      of Financial Condition
                        
                        December
      31,
                          2007AssetsEquity
      in broker trading accountsCash
                        
                        $
                        3,876,110Unrealized
      gain on open contracts
                        
                        
                        66,075Deposits
      with broker
                        
                        
                        3,942,185Cash
      and cash equivalents
                        
                        
                        2,493,158Investment
      in Winton Futures Fund, L.P. (US) paid in advance
                        
                        
                        7,000,000Net
      premiums paid on options on forward currency contracts
                        
                        
                        11,338Unrealized
      (loss) on open forward currency contracts and options on forward currency
      contracts
                        
                        
                        (251,518
                        )Other
      assets
                        
                        
                        1,250Total
      assets
                        
                        $
                        13,196,413LiabilitiesAccounts
      payable
                        
                        $
                        25,665Commissions
      payable
                        
                        
                        1,982Management
      fee payable
                        
                        
                        69,326Incentive
      fee payable
                        
                        
                        0Other
      payables
                        
                        
                        21,869Redemptions
      payable
                        
                        
                        340,686Total
      liabilities
                        
                        
                        459,528Total
      Capital (Net Asset Value)
                        
                        
                        12,736,885$
                        13,196,413
  Five
      Months Ended
                                    For
      the Year EndedStatements
      of Operations
                                    
                                    May 31,
                                      2008
                                    
                                    
                                    December 31,
                                      2007Trading
      and investing gains (losses)Realized
                                    
                                    $
                                    (101,694
                                    )
                                    
                                    $
                                    (983,178
                                    )Change
      in unrealized
                                    
                                    
                                    456,850
                                    
                                    
                                    
                                    (814,024
                                    )Brokerage
      commissions
                                    
                                    
                                    (12,745
                                    )
                                    
                                    
                                    (77,794
                                    )Total
      trading gains (losses)
                                    
                                    
                                    342,411
                                    
                                    
                                    
                                    (1,874,996
                                    )Income
      from investment in Winton Futures Fund, L.P. (US)
                                    
                                    
                                    981,259
                                    
                                    
                                    
                                    0Total
      trading and investing gains (losses)
                                    
                                    
                                    1,323,670
                                    
                                    
                                    
                                    (1,874,996
                                    )Net
      investment income (loss)Interest
      income
                                    
                                    
                                    47,506
                                    
                                    
                                    
                                    583,254ExpensesIncentive
      fees
                                    
                                    
                                    0
                                    
                                    
                                    
                                    73,475Management
      and other fees
                                    
                                    
                                    217,083
                                    
                                    
                                    
                                    583,881Operating
      expenses
                                    
                                    
                                    63,591
                                    
                                    
                                    
                                    116,273Total
      expenses
                                    
                                    
                                    280,674
                                    
                                    
                                    
                                    773,629Net
      investment (loss)
                                    
                                    
                                    (233,168
                                    )
                                    
                                    
                                    (190,375
                                    )Net
      income (loss)
                                    
                                    $
                                    1,090,502
                                    
                                    
                                    $
                                    (2,065,371
                                    )
  
  F-19
  PROFUTURES DIVERSIFIED FUND,
L.P.
 NOTES TO FINANCIAL STATEMENTS
(CONTINUED)
   Note
7.       INVESTMENTS IN OTHER
COMMODITY POOLS (CONTINUED)
  ProFutures Strategic
      Allocation Trust (Continued)
  The
      accounting principles utilized by ProFutures Strategic Allocation Trust
      are consistent in all material respects with those utilized by the
      Partnership.
  The
      Partnership’s investment in ProFutures Strategic Allocation Trust
      represents approximately 0% and 43.1% of the investee fund’s net asset
      value as of December 31, 2008 and 2007,
  respectively.
  SHK Diversified
LLC
  As
      of January 31, 2008, the managing member of SHK Diversified LLC (SHK)
      temporarily suspended future redemptions.  SHK’s managing member
      indicated to investors that this action was taken due to a decline in the
      liquidity of the markets traded by SHK combined with a significant number
      of requests for redemptions.  On April 28, 2008, the Partnership
      submitted a request for full redemption from SHK. Effective December 31,
      2008, SHK distributed approximately half ($1,315,742) of the Partnership’s
      investment in SHK to the Partnership which was paid to the Partnership on
      January 15, 2009.  Effective February 28, 2009, SHK distributed
      the remaining portion ($1,335,258) of the Partnership’s investment in SHK
      to the Partnership which was paid to the Partnership on March 16,
      2009.
  The
      Partnership’s investment in SHK is stated at $1,315,743 and $3,117,286 at
      December 31, 2008 and 2007, respectively, and its proportionate share in
      the earnings (losses) of this investment for the years then ended of
      $(385,801) and $(102,714), respectively, is included in net income (loss)
      for the years then ended.
  The
      General Partner established a side pocket/restricted share class for the
      Partnership’s interest in SHK effective April 1, 2008, until such time as
      these funds are released and can be valued with a reasonable degree of
      certainty.  Investor units attributed to SHK were segregated
      into the side pocket while units not attributed to SHK continued to be
      available for redemption.  Redemptions were paid in cash for the
      portion of the Partnership’s net assets not attributed to SHK while the
      net assets attributed to SHK were held in the side pocket.  The
      side pocket/restricted share class also bore its proportionate share of
      the Partnership’s expenses, as well as all expenses directly related to
      this class’ establishment and operation.  Effective February 28,
      2009, the side pocket/restricted share class was terminated after all
      proceeds were received from the Partnership’s investment in
      SHK.
  Investors
      in SHK are charged management fees of 6.00% per annum (in 2008,
      voluntarily reduced to 3.00% per annum by the Managing Member of SHK) and
      a profit share of 25% of trading profits.  For the year ended
      December 31, 2008, the Partnership’s proportionate share of management
      fees and profit share charged by SHK were approximately $81,000 and $0,
      respectively.  For the year ended December 31, 2007, the
      Partnership’s proportionate share of management fees and profit share
      charged by SHK were approximately $186,000 and $0,
      respectively.
   F-20
   PROFUTURES DIVERSIFIED FUND,
L.P.
 NOTES TO FINANCIAL STATEMENTS
(CONTINUED)
  Note
7.       INVESTMENTS IN OTHER
COMMODITY POOLS (CONTINUED)
  SHK Diversified LLC
      (Continued)
  Condensed
      financial information as of December 31, 2008 and 2007 and for the years
      then ended is as follows:
  December
      31,
                          
                          
                          December
      31,Statements
      of Financial Condition
                          
                          2008
                          
                          
                          2007AssetsMoney
      market funds
                          
                          $
                          34,078,075
                          
                          
                          $
                          57,268,220Equity
      in broker trading accountsCash
      (due to broker)
                          
                          
                          58,214,842
                          
                          
                          
                          (114,907,191
                          )Unrealized
      gain (loss) on open contracts
                          
                          
                          (33,879,348
                          )
                          
                          
                          128,343,818Deposits
      with broker
                          
                          
                          58,413,569
                          
                          
                          
                          13,436,627Other
      assets
                          
                          
                          22,000
                          
                          
                          
                          28,495Total
      assets
                          
                          $
                          58,435,569
                          
                          
                          $
                          70,733,342LiabilitiesAccounts
      payable
                          
                          $
                          55,534
                          
                          
                          $
                          133,065Commissions
      payable
                          
                          
                          54,229
                          
                          
                          
                          161,822Management
      fee payable
                          
                          
                          124,048
                          
                          
                          
                          303,133Incentive
      fee payable
                          
                          
                          4,686
                          
                          
                          
                          4,686Subscription
      received in advance
                          
                          
                          0
                          
                          
                          
                          75,000Redemptions
      payable
                          
                          
                          29,098,536
                          
                          
                          
                          3,757,503Total
      liabilities
                          
                          
                          29,337,033
                          
                          
                          
                          4,435,209Total
      Capital (Net Asset Value)
                          
                          
                          29,098,536
                          
                          
                          
                          66,298,133$
                          58,435,569
                          
                          
                          $
                          70,733,342
  For
      the Year Ended
                                                                                    For
      the Year EndedDecember
      31,
                                                                                    
                                                                                    
                                                                                    December
      31,Statements
      of Operations
                                                                                    
                                                                                    2008
                                                                                    
                                                                                    
                                                                                    2007Trading
      gains (losses)Realized
                                                                                    
                                                                                    $
                                                                                    158,094,631
                                                                                    
                                                                                    
                                                                                    $
                                                                                    (112,834,755
                                                                                    )Change
      in unrealized
                                                                                    
                                                                                    
                                                                                    (162,223,165
                                                                                    )
                                                                                    
                                                                                    
                                                                                    113,795613Brokerage
      commissions
                                                                                    
                                                                                    
                                                                                    (3,565,740
                                                                                    )
                                                                                    
                                                                                    
                                                                                    (1,935,994
                                                                                    )Total
      trading (losses)
                                                                                    
                                                                                    
                                                                                    (7,694,274
                                                                                    )
                                                                                    
                                                                                    
                                                                                    (975,136
                                                                                    )Net
      investment income (loss)Interest
      and dividend income
                                                                                    
                                                                                    
                                                                                    1,206,272
                                                                                    
                                                                                    
                                                                                    
                                                                                    3,809,087ExpensesIncentive
      fees
                                                                                    
                                                                                    
                                                                                    0
                                                                                    
                                                                                    
                                                                                    
                                                                                    29,702Management
      and other fees
                                                                                    
                                                                                    
                                                                                    1,531,615
                                                                                    
                                                                                    
                                                                                    
                                                                                    3,951.943Operating
      expenses
                                                                                    
                                                                                    
                                                                                    217,444
                                                                                    
                                                                                    
                                                                                    
                                                                                    256,804Total
      expenses
                                                                                    
                                                                                    
                                                                                    1,749,059
                                                                                    
                                                                                    
                                                                                    
                                                                                    4,238,449Net
      investment (loss)
                                                                                    
                                                                                    
                                                                                    (542,787
                                                                                    )
                                                                                    
                                                                                    
                                                                                    (429,362
                                                                                    )Net
      (loss)
                                                                                    
                                                                                    $
                                                                                    (8,237,061
                                                                                    )
                                                                                    
                                                                                    $
                                                                                    (1,404,498
                                                                                    )
 The
      accounting policies utilized by SHK Diversified LLC are consistent in all
      material respects with those utilized by the
  Partnership.
  The
      Partnership’s investment in SHK represents approximately 4.5% and 4.7% of
      the investee fund’s net asset value as of December 31, 2008 and 2007,
      respectively.
   F-21
 PROFUTURES DIVERSIFIED FUND,
L.P.
 NOTES TO FINANCIAL STATEMENTS
(CONTINUED)
   Note
      7.
              INVESTMENTS IN OTHER
      COMMODITY POOLS (CONTINUED)
  Valhalla Synergy Fund
      LLC
  Valhalla
      Synergy Fund LLC invests substantially all of its assets through a
      “master-feeder” structure into Valhalla Synergy Master Fund Ltd. (the
      Master Fund), a Cayman Islands exempted company.  Valhalla
      Synergy Fund LLC pays to the manager of the Master Fund a management fee
      of 2.00% per annum and an annual profit participation allocation of 20% of
      trading profits.  For the years ended December 31, 2008 and
      2007, the Partnership’s proportionate share of management fees charged by
      the Master Fund were approximately $70,000 and $81,500,
      respectively.  For the years ended December 31, 2008 and 2007,
      the Partnership’s proportionate share of profit allocation charged by the
      Master Fund were approximately $105,292 and $57,000,
      respectively.
  Valhalla
      Synergy Fund LLC condensed financial information primarily consists of
      their investment in the Master Fund and income is allocated from the
      Master Fund to Valhalla Synergy Fund
LLC.
  Valhalla
      Synergy Fund LLC net assets at December 31, 2008 and 2007 are $48,707,147
      and $59,248,307, respectively.  Total net income for the years
      ended December 31, 2008 and 2007 is $6,597,373 and $11,174,271,
      respectively.
  The
      Partnership’s investment in Valhalla Synergy Fund LLC represents
      approximately 5.63% and 7.46% of the investee fund’s net asset value as of
      December 31, 2008 and 2007,
respectively.
  Management
      of the Partnership believes the accounting principles utilized by Valhalla
      Synergy Fund LLC are consistent in all material respects with those
      utilized by the Partnership.
  Winton Futures Fund,
      L.P. (US) – Institutional
Interests
  Institutional
      Interests of Winton Futures Fund, L.P. (US) (formerly Class B Interests
      through May 2008) are charged management fees of 1.75% annually and
      incentive fees of 20% of trading profits.  For the years ended
      December 31, 2008 and 2007, the Partnership’s proportionate share of
      management fees charged by Winton Futures Fund, L.P. (US) were
      approximately $90,000 and $144,000, respectively.  For the years
      ended December 31, 2008 and 2007, the Partnership’s proportionate share of
      incentive fees charged by Winton Futures Fund, L.P. (US) were
      approximately $191,000 and $261,000,
  respectively.
  The
      CPO Consultant is the General Partner of Winton Futures Fund, L.P.
      (US).
   F-22
  PROFUTURES DIVERSIFIED FUND,
L.P.
 NOTES TO FINANCIAL STATEMENTS
(CONTINUED)
   Note
      7.
              INVESTMENTS IN OTHER
      COMMODITY POOLS (CONTINUED)
  Winton Futures Fund,
      L.P. (US) – Institutional Interests
  (Continued)
  Condensed
      financial information as of December 31, 2008 and 2007 and for the years
      ended December 31, 2008 and 2007 is as
  follows:
  December
      31,
                  
                  
                  December
      31,Statements
      of Financial Condition
                  
                  2008
                  
                  
                  2007AssetsEquity
      in broker trading accountsCash
                  
                  $
                  154,396,738
                  
                  
                  $
                  25,952,767Unrealized
      gain on open contracts
                  
                  
                  4,174,311
                  
                  
                  
                  1,354,533158,571,049
                  
                  
                  
                  27,307,300Cash
      and cash equivalents
                  
                  
                  3,384,626
                  
                  
                  
                  84,729,844Investment
      securities at value (cost – $132,744,996)
                  
                  
                  132,860,018
                  
                  
                  
                  0Other
      assets
                  
                  
                  175,971
                  
                  
                  
                  54,628Total
      assets
                  
                  $
                  294,991,664
                  
                  
                  $
                  112,091,772LiabilitiesPayable
      for securities purchased
                  
                  $
                  5,000,000
                  
                  
                  $
                  0Accounts
      payable
                  
                  
                  176,744
                  
                  
                  
                  43,748Commissions
      payable
                  
                  
                  30,216
                  
                  
                  
                  31,362Management
      fee payable
                  
                  
                  314,556
                  
                  
                  
                  115,550Administrative
      fee payable
                  
                  
                  16,198
                  
                  
                  
                  0Service
      fees payable
                  
                  
                  229,428
                  
                  
                  
                  59,483Incentive
      fee payable
                  
                  
                  3,053,989
                  
                  
                  
                  988,849Redemptions
      payable
                  
                  
                  4,043,596
                  
                  
                  
                  4,725,873Subscriptions
      received in advance
                  
                  
                  23,079,459
                  
                  
                  
                  10,612,046Total
      liabilities
                  
                  
                  35,944,186
                  
                  
                  
                  16,576,911Total
      Capital (Net Asset Value)
                  
                  
                  259,047,478
                  
                  
                  
                  95,514,861$
                  294,991,664
                  
                  
                  $
                  112,091,772
  For
      the Year Ended December 31,
                
                
                For
      the Year Ended December 31,Statements
      of Operations
                
                2008
                
                
                2007Gains
      (loss) on trading of commodityfutures
      contractsRealized
                
                $
                39,466,146
                
                
                $
                15,150,335Change
      in unrealized
                
                
                2,819,778
                
                
                
                (739,757
                )Brokerage
      commissions
                
                
                (499,445
                )
                
                
                (673,160
                )Gain
      from trading futures
                
                
                41,786,479
                
                
                
                13,737,418Gain
      on trading of securitiesRealized
                
                $
                5,605
                
                
                $
                0Change
      in unrealized
                
                
                115,022
                
                
                
                0Gain
      from trading securities
                
                
                120,627
                
                
                
                0Total
      trading gains
                
                
                41,907,106
                
                
                
                13,737,417Net
      investment income (loss)Interest
      income
                
                
                3,801,283
                
                
                
                3,810,719ExpensesIncentive
      fee
                
                
                8,685,185
                
                
                
                2,765,665Management
      and other fees
                
                
                4,388,824
                
                
                
                1,706,634Operating
      expenses
                
                
                515,291
                
                
                
                230,551Total
      expenses
                
                
                13,589,300
                
                
                
                4,702,850Net
      investment (loss)
                
                
                (9,788,017
                )
                
                
                (892,131
                )Net
      income
                
                $
                32,119,089
                
                
                $
                12,845,287
   F-23
  PROFUTURES DIVERSIFIED FUND,
L.P.
 NOTES TO FINANCIAL STATEMENTS
(CONTINUED)
  Note
      7.
              INVESTMENTS IN OTHER
      COMMODITY POOLS (CONTINUED)
  Winton Futures Fund, L.P.
(US) – Institutional Interests (Continued)
  Management
      of the Partnership believes the accounting principles utilized by Winton
      Futures Fund, L.P. (US) are consistent in all material respects with those
      utilized by the Partnership.
  The
      Partnership’s direct and indirect (as of December 31, 2007) investment in
      Winton Futures Fund, L.P. (US) represents approximately 3.29% and 4.0% of
      the investee fund’s net asset value as of December 31, 2008 and 2007,
      respectively.
  As
      of June 1, 2008, the Partnership’s “Class B Interest” in Winton Futures
      Fund, L.P. (US) was reclassified as an “Institutional Interest” in Winton
      Futures Fund, L.P. (US).  This is a reclassification for Winton
      Futures Fund, L.P. (US) administrative purposes only.  There was
      no change to the management and incentive fees charged the Partnership, or
      the Partnership’s rights as a limited partner in Winton Futures Fund, L.P.
      (US).
  Note
      8.
              TRADING AND INVESTING
      ACTIVITIES AND RELATED RISKS
  The
      Partnership, directly and through its investments 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 fair
      value of the contracts, and credit risk, the risk of failure by another
      party to perform according to the terms of a
  contract.
  Purchase
      and sale of futures 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 fair 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 indirectly exposed to market risk on physical commodities equal to
      the fair value of physical commodities
owned.
  The
      Partnership has a portion of its assets on deposit with a financial
      institution in connection with its cash management
      activities.  Cash deposited with interbank market makers and
      other financial institutions in connection with the Partnership’s trading
      of forward currency and other derivative contracts was partially
      restricted due to deposit or margin requirements.  In the event
      of a financial institution’s insolvency, recovery of Partnership assets on
      deposit may be limited to account insurance or other protection afforded
      such deposits.  Since forward currency contracts are traded in
      unregulated markets between principals, the Partnership also assumes the
      risk of loss from counterparty
nonperformance.
   F-24
  PROFUTURES DIVERSIFIED FUND,
L.P.
 NOTES TO FINANCIAL STATEMENTS
(CONTINUED)
  Note
      8.
              TRADING AND INVESTING
      ACTIVITIES AND RELATED RISKS
(CONTINUED)
  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 fair 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 and the CPO
      Consultant believe 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 the CTA Consultant and the
      advisors themselves.  The General Partner seeks to minimize
      credit risk primarily by depositing and maintaining the Partnership’s
      assets at financial institutions and brokers, which the General Partner
      believes to be creditworthy.
  The
      Limited Partners bear the risk of loss only to the extent of the fair
      value of their respective investments and, in certain specific
      circumstances, distributions and redemptions
  received.
  Note
      9.
              INDEMNIFICATIONS
  In
      the normal course of business, the Partnership enters into contracts and
      agreements that contain a variety of representations and warranties and
      which provide general indemnifications.  The Partnership’s
      maximum exposure under these arrangements is unknown, as this would
      involve future claims that may be made against the Partnership that have
      not yet occurred.  The Partnership expects the risk of any
      future obligation under these indemnifications to be
    remote.
   F-25
  PROFUTURES DIVERSIFIED FUND,
L.P.
 NOTES TO FINANCIAL STATEMENTS
(CONTINUED)
   Note
      10.
              FINANCIAL
      HIGHLIGHTS
  The
      following information presents non-restricted per unit operating
      performance data and other supplemental financial data for the years ended
      December 31, 2008 and 2007.  This information has been derived
      from information presented in the financial
  statements.
  2008
                
                
                2007Per
      Unit Performance – Non-restricted units(for
      a unit outstanding throughout the entire year)Net
      asset value per unit at beginning of year
                
                $
                2,916.78
                
                
                $
                3,164.35Income
      (loss) from operations:Total
      trading and investing gains (losses)(1)
                
                
                450.78
                
                
                
                (90.23
                )Net
      investment income (loss)(1)
                
                
                (227.70
                )
                
                
                (157.34
                )Total
      income (loss) from operations
                
                
                223.08
                
                
                
                (247.57
                )Net
      asset value per unit at end of year
                
                $
                3,139.86
                
                
                $
                2,916.78Total
      Return
                
                
                7.65
                %
                
                
                (7.82
                )%Supplemental
      DataRatios to average net asset
      value:(2)
      (3)Expenses
      prior to incentive fees(5)
                
                
                5.86
                %
                
                
                5.62
                %Incentive
      fees
                
                
                2.12
                %
                
                
                0.27
                %Total
      expenses
                
                
                7.98
                %
                
                
                5.89
                %Net
      investment income (loss)(4)
                
                
                (5.65
                )%
                
                
                (4.90
                )%
 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 years ended December 31, 2008 and 2007, are after the waiver of
      management fees by the General Partner, equal to 0.43% and 0.45%,
      respectively, of average net asset
value.
 (4)         Excludes
incentive fees.
 (5)         Excludes
brokerage commissions.
   F-26
  PROFUTURES DIVERSIFIED FUND,
L.P.
 NOTES TO FINANCIAL STATEMENTS
(CONTINUED)
 
 Note
10.     FINANCIAL HIGHLIGHTS
(CONTINUED)
  The
      following information presents side pocket/restricted per unit operating
      performance data and other supplemental financial data for the period
      April 1, 2008 (inception of side pocket/restricted units) to December 31,
      2008.  This information has been derived from information
      presented in the financial
statements.
  Period
      ended
                  December
      31,
                  2008Per
      Unit Performance – Side Pocket/Restricted units(for a unit outstanding throughout the entire
      period)Net
      asset value per unit at beginning of period
                
                $
                2,963.09Income
      (loss) from operations:Total
      trading and investing gains (losses)(1)
                
                
                (113.62
                )Net
      investment (loss)(1)
                
                
                (185.74
                )Total
      income (loss) from operations
                
                
                (299.36
                )Net
      asset value per unit at end of period
                
                $
                2,663.73Total Return(4)
                
                
                (10.10
                )%Supplemental
      DataRatios to average net asset
      value:(2)Expenses
      prior to incentive fees(3)
      (6)
                
                
                8.62
                %Incentive
      fees(4)
                
                
                0.00
                %Total
      expenses
                
                
                8.62
                %Net
      investment (loss)(3),
      (5)
                
                
                (8.62
                )%
 Total
      returns are calculated based on the change in value of a unit during the
      period.  An individual partner’s total returns and ratios may
      vary from the above total returns and ratios based on the timing of
      redemptions.
   (1)
              The
      net investment (loss) per unit is calculated by dividing the net
      investment (loss) by the average number of units outstanding during the
      period.  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 period 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)
              Annualized.
 (4)
              Not
      annualized.
 (5)
                Excludes
      incentive fees.
 (6)
              Excludes
      brokerage commissions.
  
 
 F-27
 
 
 
 WINTON
FUTURES FUND, L.P. (US)
  FINANCIAL
STATEMENTS
  YEARS
ENDED DECEMBER 31, 2008, 2007 AND 2006
   F-28
   WINTON
FUTURES FUND, L.P. (US)
 
 ____________
  INDEX TO
FINANCIAL STATEMENTS
 _____________
 
  PAGES
  Report
      of Independent Registered Public Accounting Firm
                          F-30Financial
      StatementsStatements
      of Financial Condition
                          F-31Condensed
      Schedules of Investments
                          F-32
      – F-34Statements
      of Operations
                          F-35Statements
      of Changes in Partners’ Capital (Net Asset Value)
                          F-36
      – F-37Notes
      to Financial Statements
                          F-38
      –
F-44
    F-29
   
 REPORT
OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
  To the
Partners of
 Winton
Futures Fund, L.P. (US)
  We have
audited the accompanying statements of financial condition, including the
condensed schedules of investments of Winton Futures Fund, L.P. (US) (“the
Partnership”) as of December 31, 2008 and 2007, and the related statements of
operations and changes in partners’ capital for the years ended December 31,
2008, 2007 and 2006.  These financial statements are the
responsibility of the Partnership’s management.  Our responsibility is
to express an opinion on these financial statements based on our
audits.
  We
conducted our audits in accordance with standards of the Public Company
Accounting Oversight Board (United States).  Those standards require
that we plan and perform the audits to obtain reasonable assurance about whether
the financial statements are free of material misstatement.  An audit
includes consideration of internal control over financial reporting as a basis
for designing audit procedures that are appropriate in the circumstances, but
not for the purpose of expressing an opinion on the effectiveness of the
Partnership’s internal control over financial reporting. Accordingly, we express
no such opinion. An audit includes examining, on a test basis, evidence
supporting the amounts and disclosures in the financial statements, assessing
the accounting principles used and significant estimates made by management, as
well as evaluating the overall financial statement presentation.  We
believe that our audits provide a reasonable basis for our opinion.
  In our
opinion, the financial statements referred to above present fairly, in all
material respects, the financial position of Winton Futures Fund, L.P. (US) as
of December 31, 2008 and 2007, and the results of its operations and changes in
partners’ capital for the years ended December 31, 2008, 2007 and 2006 in
conformity with accounting principles generally accepted in the United States of
America.
  /s/ SPICER JEFFRIES
LLP
  
  Greenwood
Village, Colorado
 March 20,
2009
   F-30
   
 WINTON
      FUTURES FUND, L.P. (US)STATEMENTS
      OF FINANCIAL CONDITIONDECEMBER
      31, 2008 AND 2007_______________2008
                
                
                2007ASSETSEquity
      in Newedge USA, LLC accountCash
                
                $
                154,396,738
                
                
                $
                25,952,767Unrealized
      gain on open commodity futures contracts
                
                
                4,174,311
                
                
                
                1,354,533Interest
      receivable
                
                
                14,426
                
                
                
                53,503158,585,475
                
                
                
                27,360,803Cash
      and cash equivalents
                
                
                3,384,626
                
                
                
                84,729,844Investment
      securities at value (cost - $132,744,996)
                
                
                132,860,018
                
                
                
                0Interest
      receivable
                
                
                161,545
                
                
                
                0Other
      assets
                
                
                0
                
                
                
                1,125Total
      assets
                
                $
                294,991,664
                
                
                $
                112,091,772LIABILITIESPayable
      for securities purchased
                
                $
                5,000,000
                
                
                $
                0Commissions
      payable
                
                
                30,216
                
                
                
                31,362Management
      fee payable
                
                
                314,556
                
                
                
                115,550Administrative
      fee payable
                
                
                16,198
                
                
                
                0Service
      fees payable
                
                
                229,428
                
                
                
                59,483Incentive
      fee payable
                
                
                3,053,989
                
                
                
                988,849Redemptions
      payable
                
                
                4,043,596
                
                
                
                4,725,873Subscriptions
      received in advance
                
                
                23,079,459
                
                
                
                10,612,046Other
      liabilities
                
                
                176,744
                
                
                
                43,748Total
      liabilities
                
                
                35,944,186
                
                
                
                16,576,911PARTNERS’
      CAPITAL (NET ASSET VALUE)General
      Partner
                
                
                3,491
                
                
                
                2,899Limited
      Partners
                
                
                259,043,987
                
                
                
                95,511,962Total
      partners’ capital (Net Asset Value)
                
                
                259,047,478
                
                
                
                95,514,861Total
      liabilities and partners’ capital
                
                $
                294,991,664
                
                
                $
                112,091,772
  
  The
accompanying notes are an integral part of this statement.
   F-31
    WINTON
      FUTURES FUND, L.P. (US)CONDENSED
      SCHEDULE OF INVESTMENTSDECEMBER
      31, 2008_______________INVESTMENT SECURITIESFace
      Value
                                      
                                      Maturity
      Date
                                      
                                      Description
                                      
                                      Value
                                      
                                      
                                      %
      of Partners CapitalFixed Income Investments - United
      StatesU.S. Government Agency Bonds and
      Notes$
                                      3,000,000
                                      
                                      11/17/2009
                                      
                                      Federal
      Farm Credit Bank, 2.05%
                                      
                                      $
                                      3,005,640
                                      
                                      
                                      
                                      1.16
                                      %6,000,000
                                      
                                      12/23/2010
                                      
                                      Federal
      Farm Credit Bank, 2.37%
                                      
                                      
                                      6,011,280
                                      
                                      
                                      
                                      2.32
                                      %4,000,000
                                      
                                      7/10/2009
                                      
                                      Federal
      Home Loan Bank, 4.35%
                                      
                                      
                                      4,002,280
                                      
                                      
                                      
                                      1.54
                                      %3,250,000
                                      
                                      5/1/2009
                                      
                                      Federal
      Home Loan Bank, 3.00%
                                      
                                      
                                      3,253,998
                                      
                                      
                                      
                                      1.26
                                      %3,600,000
                                      
                                      5/20/2009
                                      
                                      Federal
      Home Loan Bank, 2.04%
                                      
                                      
                                      3,603,744
                                      
                                      
                                      
                                      1.39
                                      %2,800,000
                                      
                                      11/20/2009
                                      
                                      Federal
      Home Loan Bank, 2.04%
                                      
                                      
                                      2,802,128
                                      
                                      
                                      
                                      1.08
                                      %5,000,000
                                      
                                      12/29/2010
                                      
                                      Federal
      Home Loan Bank, 2.05%
                                      
                                      
                                      5,018,750
                                      
                                      
                                      
                                      1.94
                                      %5,000,000
                                      
                                      8/21/2009
                                      
                                      Federal
      Home Loan Bank, 0.44%
                                      
                                      
                                      4,994,250
                                      
                                      
                                      
                                      1.93
                                      %5,000,000
                                      
                                      4/28/2009
                                      
                                      Federal
      Home Loan Bank, 2.50%
                                      
                                      
                                      5,007,800
                                      
                                      
                                      
                                      1.93
                                      %5,000,000
                                      
                                      4/29/2010
                                      
                                      Federal
      Home Loan Bank, 3.05%
                                      
                                      
                                      5,039,050
                                      
                                      
                                      
                                      1.95
                                      %4,000,000
                                      
                                      4/30/2009
                                      
                                      Federal
      Home Loan Bank, 2.60%
                                      
                                      
                                      4,030,000
                                      
                                      
                                      
                                      1.56
                                      %5,000,000
                                      
                                      12/30/2009
                                      
                                      Federal
      Home Loan Mortgage Corporation, 1.00%
                                      
                                      
                                      4,993,750
                                      
                                      
                                      
                                      1.93
                                      %4,000,000
                                      
                                      11/10/2009
                                      
                                      Federal
      Home Loan Mortgage Corporation, 2.05%
                                      
                                      
                                      4,005,040
                                      
                                      
                                      
                                      1.55
                                      %5,000,000
                                      
                                      7/6/2010
                                      
                                      Federal
      Home Loan Mortgage Corporation, 1.50%
                                      
                                      
                                      5,000,000
                                      
                                      
                                      
                                      1.93
                                      %1,180,000
                                      
                                      1/7/2009
                                      
                                      Federal
      Home Loan Bank Disc Note, 0.03%
                                      
                                      
                                      1,179,993
                                      
                                      
                                      
                                      0.46
                                      %6,600,000
                                      
                                      2/4/2009
                                      
                                      Federal
      Home Loan Mortgage Corp Disc, 0.05%
                                      
                                      
                                      6,599,670
                                      
                                      
                                      
                                      2.55
                                      %Total
      U.S. Government Agency Bonds and Notes (cost -
$68,432,351)
                                      
                                      
                                      68,547,373
                                      
                                      
                                      
                                      26.48
                                      %Corporate Notes$
                                      27,893,000
                                      
                                      1/2/2009
                                      
                                      Bank
      of America Repo, 0.01%
                                      
                                      
                                      27,893,000
                                      
                                      
                                      
                                      10.77
                                      %6,000,000
                                      
                                      1/6/2009
                                      
                                      Chevron
      Corp Note, 0.02%
                                      
                                      
                                      6,000,000
                                      
                                      
                                      
                                      2.32
                                      %2,124,000
                                      
                                      1/5/2009
                                      
                                      Hershey
      Foods Corp Disc Note, 0.15%
                                      
                                      
                                      2,123,947
                                      
                                      
                                      
                                      0.82
                                      %896,000
                                      
                                      1/2/2009
                                      
                                      L’Oreal
      USA Inc Disc Note, 0.15%
                                      
                                      
                                      895,974
                                      
                                      
                                      
                                      0.35
                                      %6,000,000
                                      
                                      1/5/2009
                                      
                                      Nestle
      Capital Disc Note, 0.01%
                                      
                                      
                                      5,999,991
                                      
                                      
                                      
                                      2.32
                                      %6,000,000
                                      
                                      1/5/2009
                                      
                                      Northern
      Illinois Gas Disc Note, 0.07%
                                      
                                      
                                      5,999,930
                                      
                                      
                                      
                                      2.32
                                      %6,000,000
                                      
                                      1/6/2009
                                      
                                      Rabobank
      USA Financial Corp Disc Note, 0.05%
                                      
                                      
                                      5,999,942
                                      
                                      
                                      
                                      2.32
                                      %3,400,000
                                      
                                      1/2/2009
                                      
                                      Societe
      General North America Disc Note, 0.21%
                                      
                                      
                                      3,399,861
                                      
                                      
                                      
                                      1.31
                                      %6,000,000
                                      
                                      1/2/2009
                                      
                                      Toyota
      Financial Service Puerto Rico, 0.10%
                                      
                                      
                                      6,000,000
                                      
                                      
                                      
                                      2.32
                                      %Total
      Corporate Notes (cost - $64,312,645)
                                      
                                      
                                      64,312,645
                                      
                                      
                                      
                                      24.85
                                      %Total
      investment securities - United States (cost -
$132,744,996)
                                      
                                      $
                                      132,860,018
                                      
                                      
                                      
                                      51.33
                                      %
  
  
  
  
  The
accompanying notes are an integral part of this statement.
   F-32
    WINTON FUTURES FUND, L.P. (US)CONDENSED
      SCHEDULE OF INVESTMENTSDECEMBER
      31, 2008 (CONTINUED)_______________Range
      of Expiration Dates
                        
                        Number
      of Contracts
                        
                        
                        Value
                        
                        
                        %
      of Partners CapitalLONG FUTURES CONTRACTS:Agriculture
                        Feb
      - Jun 09
                        
                        
                        60
                        
                        
                        $
                        120,994
                        
                        
                        
                        0.05
                        %Currencies
                        Mar
      09 - Jun 10
                        
                        
                        1,439
                        
                        
                        
                        1,600,723
                        
                        
                        
                        0.62
                        %Interest
      Rates
                        Jan
      09 - Jun 10
                        
                        
                        1,533
                        
                        
                        
                        2,662,065
                        
                        
                        
                        1.03
                        %Metals
                        Jan
      09
                        
                        
                        75
                        
                        
                        
                        (205,661
                        )
                        
                        
                        (0.08
                        )%Stock
      Indices
                        Mar
      09
                        
                        
                        2
                        
                        
                        
                        875
                        
                        
                        
                        0.00
                        %Treasury
      Rates
                        Mar
      09 - Dec 09
                        
                        
                        563
                        
                        
                        
                        1,542,447
                        
                        
                        
                        0.60
                        %Total
      long futures contracts
                        
                        
                        
                        3,672
                        
                        
                        
                        5,721,443
                        
                        
                        
                        2.22
                        %SHORT FUTURES CONTRACTS:Agriculture
                        Feb
      09 - Nov 10
                        
                        
                        667
                        
                        
                        
                        (1,242,086
                        )
                        
                        
                        (0.48
                        )%Currencies
                        Mar
      09
                        
                        
                        441
                        
                        
                        
                        (1,489,992
                        )
                        
                        
                        (0.58
                        )%Energy
                        Jan
      09 - Dec 10
                        
                        
                        94
                        
                        
                        
                        302,182
                        
                        
                        
                        0.12
                        %Metals
                        Jan
      - Apr 09
                        
                        
                        175
                        
                        
                        
                        998,975
                        
                        
                        
                        0.39
                        %Stock
      Indices
                        Jan
      - Mar 09
                        
                        
                        119
                        
                        
                        
                        (112,475
                        )
                        
                        
                        (0.04
                        )%Treasury
      Rates
                        Mar
      09
                        
                        
                        18
                        
                        
                        
                        (3,736
                        )
                        
                        
                        0.00
                        %Total
      short futures contracts
                        
                        
                        
                        1,514
                        
                        
                        
                        (1,547,132
                        )
                        
                        
                        (0.59
                        )%Total
      futures contracts
                        
                        
                        
                        5,186
                        
                        
                        $
                        4,174,311
                        
                        
                        
                        1.63
                        %
  
  The
accompanying notes are an integral part of this statement.
   F-33
    WINTON FUTURES FUND, L.P. (US)CONDENSED
      SCHEDULE OF INVESTMENTSDECEMBER
      31, 2007 (CONTINUED)_______________Range
      of Expiration Dates
                      
                      Number
      of Contracts
                      
                      
                      Value
                      
                      
                      %
      of Partners CapitalLONG
      FUTURES CONTRACTS:Agriculture
                      Jan
      - Dec 08
                      
                      
                      684
                      
                      
                      $
                      1,060,910
                      
                      
                      
                      1.11
                      %Currencies
                      Mar
      08 - Jun 09
                      
                      
                      2,218
                      
                      
                      
                      64,435
                      
                      
                      
                      0.07
                      %Energy
                      Jan
      - Apr 08
                      
                      
                      125
                      
                      
                      
                      537,853
                      
                      
                      
                      0.56
                      %Interest
      Rates
                      Jan
      08 - Jun 09
                      
                      
                      320
                      
                      
                      
                      (55,484
                      )
                      
                      
                      (0.06
                      )%Metals
                      Jan
      - Apr 08
                      
                      
                      223
                      
                      
                      
                      (202,035
                      )
                      
                      
                      (0.21
                      )%Stock
      Indices
                      Jan
      - Mar 08
                      
                      
                      476
                      
                      
                      
                      16,876
                      
                      
                      
                      0.02
                      %Treasury
      Rates
                      Mar
      08
                      
                      
                      515
                      
                      
                      
                      (103,751
                      )
                      
                      
                      (0.11
                      )%Total
      long futures contracts
                      
                      
                      
                      4,561
                      
                      
                      
                      1,318,804
                      
                      
                      
                      1.38
                      %SHORT
      FUTURES CONTRACTS:Agriculture
                      Feb
      - May 08
                      
                      
                      171
                      
                      
                      
                      (147,729
                      )
                      
                      
                      (0.15
                      )%Currencies
                      Mar
      08
                      
                      
                      47
                      
                      
                      
                      (40,394
                      )
                      
                      
                      (0.04
                      )%Energy
                      Feb
      08
                      
                      
                      25
                      
                      
                      
                      (63,820
                      )
                      
                      
                      (0.07
                      )%Interest
      Rates
                      Mar
      08 - Mar 09
                      
                      
                      371
                      
                      
                      
                      (36,278
                      )
                      
                      
                      (0.04
                      )%Metals
                      Jan
      - Mar 08
                      
                      
                      108
                      
                      
                      
                      307,743
                      
                      
                      
                      0.32
                      %Stock
      Indices
                      Mar
      08
                      
                      
                      8
                      
                      
                      
                      18,379
                      
                      
                      
                      0.02
                      %Treasury
      Rates
                      Mar
      08
                      
                      
                      76
                      
                      
                      
                      (2,172
                      )
                      
                      
                      0.00
                      %Total
      short futures contracts
                      
                      
                      
                      806
                      
                      
                      
                      35,729
                      
                      
                      
                      0.04
                      %BALANCES,
      DECEMBER 31, 2007
                      
                      
                      
                      5,367
                      
                      
                      $
                      1,354,533
                      
                      
                      
                      1.42
                      %
  
  The
accompanying notes are an integral part of this statement.
   F-34
    WINTON
      FUTURES FUND, L.P. (US)STATEMENTS
      OF OPERATIONSYEARS
      ENDED DECEMBER 31, 2008, 2007 AND 2006_______________2008
                
                
                2007
                
                
                2006TRADING
      GAINS (LOSSES)Gain
      (Loss) on trading ofcommodity
      futures contractsRealized
                
                $
                39,466,146
                
                
                $
                15,150,335
                
                
                $
                4,746,506Change
      in unrealized
                
                
                2,819,778
                
                
                
                (739,757
                )
                
                
                1,396,014Brokerage
      commissions
                
                
                (499,445
                )
                
                
                (673,161
                )
                
                
                (676,866
                )Gain
      from trading futures
                
                
                41,786,479
                
                
                
                13,737,417
                
                
                
                5,465,654Gain
      on trading of securitiesRealized
                
                
                5,605
                
                
                
                0
                
                
                
                0Change
      in unrealized
                
                
                115,022
                
                
                
                0
                
                
                
                0Gain
      from trading securities
                
                
                120,627
                
                
                
                0
                
                
                
                0Total
      trading gains
                
                
                41,907,106
                
                
                
                13,737,417
                
                
                
                5,465,654NET
      INVESTMENT INCOME (LOSS)IncomeInterest
      income
                
                
                3,801,283
                
                
                
                3,810,719
                
                
                
                1,783,498ExpensesManagement
      fee
                
                
                2,474,653
                
                
                
                1,170,329
                
                
                
                582,575Administrative
      fee
                
                
                49,259
                
                
                
                0
                
                
                
                0Service
      fees
                
                
                1,864,912
                
                
                
                536,306
                
                
                
                245,933Incentive
      fee
                
                
                8,685,185
                
                
                
                2,765,664
                
                
                
                925,800Professional
      fees
                
                
                515,291
                
                
                
                214,484
                
                
                
                85,639Total
      expenses
                
                
                13,589,300
                
                
                
                4,686,783
                
                
                
                1,839,947Net
      investment (loss)
                
                
                (9,788,017
                )
                
                
                (876,064
                )
                
                
                (56,449
                )NET
      INCOME
                
                $
                32,119,089
                
                
                $
                12,861,353
                
                
                $
                5,409,205
 
    The
accompanying notes are an integral part of this statement.
 
  
 F-35
   
 WINTON
      FUTURES FUND, L.P. (US)STATEMENTS
      OF CHANGES IN PARTNERS’ CAPITAL (NET ASSET VALUE)YEARS
      ENDED DECEMBER 31, 2008, 2007 AND 2006_______________Limited
      PartnersOriginal
                
                
                Original
                
                
                SpecialTotal
                
                
                Class A
                
                
                Class B
                
                
                InterestsBalances
      at December 31, 2005
                
                $
                24,286,007
                
                
                $
                9,533,419
                
                
                $
                8,176,132
                
                
                $
                6,574,214Capital
      additions
                
                
                34,206,507
                
                
                
                8,446,507
                
                
                
                24,470,000
                
                
                
                1,290,000Capital
      withdrawals
                
                
                (6,731,323
                )
                
                
                (2,831,788
                )
                
                
                (3,899,535
                )
                
                
                0Net
      income for the yearended
      December 31, 2006
                
                
                5,409,205
                
                
                
                1,569,448
                
                
                
                2,786,282
                
                
                
                1,053,174Offering
      costs
                
                
                (9,300
                )
                
                
                (2,651
                )
                
                
                (4,884
                )
                
                
                (1,765
                )Balances
      at December 31, 2006
                
                
                57,161,095
                
                
                
                16,714,934
                
                
                
                31,527,995
                
                
                
                8,915,623Transfers
                
                
                0
                
                
                
                (1,127,544
                )
                
                
                1,127,544
                
                
                
                0Capital
      additions
                
                
                41,661,121
                
                
                
                18,167,321
                
                
                
                22,673,800
                
                
                
                820,000Capital
      withdrawals
                
                
                (16,152,642
                )
                
                
                (2,299,027
                )
                
                
                (12,633,615
                )
                
                
                (1,220,000
                )Net
      income for the yearended
      December 31, 2007
                
                
                12,861,353
                
                
                
                4,051,251
                
                
                
                7,557,205
                
                
                
                1,252,541Offering
      costs
                
                
                (16,066
                )
                
                
                (5,436
                )
                
                
                (9,077
                )
                
                
                (1,553
                )Balances
      at December 31, 2007
                
                
                95,514,861
                
                
                
                35,501,499
                
                
                
                50,243,852
                
                
                
                9,766,611Transfers
                
                
                0
                
                
                
                (3,428,705
                )
                
                
                (63,946,413
                )
                
                
                0Capital
      additions
                
                
                178,574,330
                
                
                
                64,322,008
                
                
                
                32,627,859
                
                
                
                0Capital
      withdrawals
                
                
                (47,036,859
                )
                
                
                (3,474,589
                )
                
                
                (14,264,716
                )
                
                
                (8,174,000
                )Net
      income for the yearended
      December 31, 2008
                
                
                32,119,089
                
                
                
                13,188,377
                
                
                
                11,614,186
                
                
                
                1,563,864Offering
      costs
                
                
                (123,943
                )
                
                
                (61,913
                )
                
                
                (28,720
                )
                
                
                (5,995
                )Balances
      at December 31, 2008
                
                $
                259,047,478
                
                
                $
                106,046,677
                
                
                $
                16,246,048
                
                
                $
                3,150,480
      The
accompanying notes are an integral part of this statement.
   F-36
    WINTON
      FUTURES FUND, L.P. (US)STATEMENTS
      OF CHANGES IN PARTNERS’ CAPITAL (NET ASSET VALUE)YEARS
      ENDED DECEMBER 31, 2008, 2007 AND 2006 (CONTINUED)_______________Limited
      PartnersInstitutional
                
                
                GeneralClass A
                
                
                Class B
                
                
                Interests
                
                
                PartnerBalances
      at December 31, 2005
                
                $
                0
                
                
                $
                0
                
                
                $
                0
                
                
                $
                2,242Capital
      additions
                
                
                0
                
                
                
                0
                
                
                
                0
                
                
                
                0Capital
      withdrawals
                
                
                0
                
                
                
                0
                
                
                
                0
                
                
                
                0Net
      income for the yearended
      December 31, 2006
                
                
                0
                
                
                
                0
                
                
                
                0
                
                
                
                301Offering
      costs
                
                
                0
                
                
                
                0
                
                
                
                0
                
                
                
                0Balances
      at December 31, 2006
                
                
                0
                
                
                
                0
                
                
                
                0
                
                
                
                2,543Transfers
                
                
                0
                
                
                
                0
                
                
                
                0
                
                
                
                0Capital
      additions
                
                
                0
                
                
                
                0
                
                
                
                0
                
                
                
                0Capital
      withdrawals
                
                
                0
                
                
                
                0
                
                
                
                0
                
                
                
                0Net
      income for the yearended
      December 31, 2007
                
                
                0
                
                
                
                0
                
                
                
                0
                
                
                
                356Offering
      costs
                
                
                0
                
                
                
                0
                
                
                
                0
                
                
                
                0Balances
      at December 31, 2007
                
                
                0
                
                
                
                0
                
                
                
                0
                
                
                
                2,899Transfers
                
                
                (262,983
                )
                
                
                260,072
                
                
                
                67,378,029
                
                
                
                0Capital
      additions
                
                
                29,770,930
                
                
                
                26,373,531
                
                
                
                25,480,002
                
                
                
                0Capital
      withdrawals
                
                
                (113,314
                )
                
                
                (54,100
                )
                
                
                (20,956,140
                )
                
                
                0Net
      income for the yearended
      December 31, 2008
                
                
                1,779,682
                
                
                
                1,685,068
                
                
                
                2,287,318
                
                
                
                594Offering
      costs
                
                
                (2,994
                )
                
                
                (2,145
                )
                
                
                (22,174
                )
                
                
                (2
                )Balances
      at December 31, 2008
                
                $
                31,171,321
                
                
                $
                28,262,426
                
                
                $
                74,167,035
                
                
                $
                3,491
  
  The
accompanying notes are an integral part of this statement.
   F-37
   WINTON FUTURES FUND, L.P.
(US)
 NOTES TO FINANCIAL
STATEMENTS
   NOTE
1 - ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
  General Description of the
Partnership
  The
Partnership was organized as a limited partnership in Colorado in March 1999,
and will continue until December 31, 2035, unless sooner terminated as provided
for in the First Amended Agreement of Limited Partnership
(“Agreement”).  The Partnership’s general partner is Altegris
Portfolio Management, Inc. (d/b/a APM Funds) (the “General
Partner”).  The Partnership speculatively trades commodity futures
contracts, options on futures contracts, forward contracts and other commodity
interests.  The objective of the Partnership’s business is
appreciation of its assets.
  Method of
Reporting
  The
Partnership’s financial statements are presented in accordance with accounting
principles generally accepted in the United States of America, which require the
use of certain estimates made by the Partnership’s management.  Actual
results could differ from those estimates.
  The
Partnership has elected not to provide a Statement of Cash Flows as permitted by
Statement of Financial Accounting Standards No. 102, “Statement of Cash Flows –
Exemption of Certain Enterprises and Classifications of Cash Flows from Certain
Securities Acquired for Resale.”
  Cash and Cash
Equivalents
  Cash and
cash equivalents includes cash and other highly liquid investments with
financial institutions with maturity dates of 90 days or less.
  Fair
Value
  Effective
January 1, 2008, the Partnership adopted Statement of Financial Accounting
Standards No. 157, “Fair Value Measurements” (“FAS 157”).  FAS 157
defines fair value, establishes a framework for measuring fair value and expands
disclosure about fair value measurement.  FAS 157 defines fair value
as the price that would be received to sell an asset or paid to transfer a
liability in an orderly transaction between market participants at the
measurement date.  FAS 157 requires use of a fair value hierarchy that
prioritizes the inputs to valuation techniques used to measure fair value into
three broad levels:  quoted market prices in active markets for
identical assets or liabilities (Level 1); inputs other than quoted market
prices that are observable for the asset or liability, either directly or
indirectly (Level 2); and unobservable inputs for an asset or liability (Level
3).
  The
adoption of FAS 157 did not have a material impact on the Partnership’s
financial statements.
  The
following summarizes the Partnership’s investments accounted for at fair value
at December 31, 2008 using the fair value hierarchy of FAS 157:
   Futures
      contracts (Level 1)
                $     4,174,311U.S.
      Government agency obligations (Level 1)
                $   68,547,373Corporate
      Notes (Level 2)
                $   64,312,645
   F-38
  WINTON FUTURES FUND, L.P.
(US)
 NOTES TO FINANCIAL
STATEMENTS
 NOTE -
ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)
  Futures
Contracts
  Gains or
losses are realized when contracts are liquidated.  Net unrealized
gains or losses on open contracts (the difference between contract trade price
and quoted market price) are reflected in the statement of financial
condition.  Futures contracts are valued using the primary exchange’s
closing price (Level 1).  Any change in net unrealized gain or loss
from the preceding period is reported in the statement of
operations.  Brokerage commissions on futures contracts include other
trading fees and are charged to expense when contracts are opened.
  Investment
Securities
  United
States government agency securities are generally valued based on quoted prices
in active markets (Level 1).  Corporate notes are generally valued at
cost given their short duration from the time of purchase (Level
2).
  Security
transactions are recorded on the trade date.  Realized gains and
losses from security 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.  Brokerage
commissions and other trading fees are reflected as an adjustment to cost or
proceeds at the time of the transaction. Interest income is recorded on the
accrual basis.
  Foreign Currency
Transactions
  The
Partnership’s functional currency is the United States (“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.
  Capital Accounts and
Allocation of Income and Losses
  The
Partnership accounts for subscriptions, allocations and redemptions on a per
partner capital account basis.
  The
Partnership consists of the General Partner’s Interest, Original Class A
Interests, Original Class B Interests, Special Interests, Class A Interests,
Class B Interests and Institutional Interests.  Original Class A
Interests and Original Class B Interests were issued prior to July 1, 2008 and
are no longer being issued to limited partners.   Class A
Interests, Class B Interests and Institutional Interests were first issued by
the Partnership on July 1, 2008.
   F-39
  WINTON FUTURES FUND, L.P.
(US)
 NOTES TO FINANCIAL
STATEMENTS
 NOTE -
ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)
 Capital Accounts and
Allocation of Income and Losses (Continued)
  Income or
loss (prior to management fees, administrative fees, service fees and incentive
fees) are allocated pro
rata among the partners based on their respective capital accounts as of
the end of each month in which the items accrue pursuant to the terms of the
Agreement.  Original Class A Interests, Original Class B Interests,
Special Interests, Class A Interests, Class B Interests and Institutional
Interests are then charged with their applicable management fee, administrative
fee, service fee and incentive fee in accordance with the
Agreement.
  Income
Taxes
  The
Partnership is not subject to federal income taxes; each partner reports his
allocable share of income, gain, loss, deductions or credits on their own income
tax return.
  The
Partnership has continued to evaluate the application of Financial Accounting
Standards Board (“FASB”) Interpretation No. 48 (“FIN 48”) entitled “Accounting
for Uncertainty in Income Taxes – an interpretation of FASB Statement No. 109”
to the Partnership, and has determined that FIN 48 does not have a material
impact on the Partnership’s financial statements.  In connection with
the application of FIN 48, the Partnership has elected an accounting policy to
classify interest and penalties, if any, as interest expense.  The
Partnership files U.S. federal and state tax returns.  The 2005
through 2008 tax years generally remain subject to examination by U.S. federal
and most state tax authorities.
  Recently Issued Accounting
Pronouncement
  In March
2008, the FASB issued Statement of Financial Accounting Standards No. 161,
“Disclosure about Derivative Instruments and Hedging Activities – an amendment
of FASB Statement No. 133” (“FAS 161”).  FAS 161 establishes, among
other things, the disclosure requirements for derivative instruments and for
hedging activities.  FAS 161 is effective for financial statements
issued for fiscal years and interim periods beginning after November 15,
2008.  The Partnership is currently evaluating the impact that FAS 161
will have on its disclosures related to derivative instruments, however, no
impact other than enhanced disclosure is anticipated
  NOTE
2 - AGREEMENTS AND RELATED PARTIES
  Advisory
Contract
  The
Partnership’s trading activities are conducted pursuant to an advisory contract
with Winton Capital Management Limited (“Advisor”).  The Partnership
pays the Advisor a quarterly incentive fee of 20% of the trading profits (as
defined).  However, the quarterly incentive fee is payable only on
cumulative profits achieved from commodity trading (as defined).
   F-40
  WINTON FUTURES FUND, L.P.
(US)
 NOTES TO FINANCIAL
STATEMENTS
  NOTE
2 - AGREEMENTS AND RELATED PARTIES (CONTINUED)
  Advisory Contract
(Continued)
  Effective
July 1, 2008, the Advisor receives from the Partnership a monthly management fee
equal to 0.083% (1.00% annually) for Class A, Class B, and Institutional
Interests of the Partnership’s management fee net asset value (as
defined).  In addition, the General Partner has assigned a portion of
their management fees earned to the Advisor.  Total management fees
earned by the Advisor for the years ended December 31, 2008, 2007 and 2006 were
$933,820, $478,625 and $199,388, respectively.
  Brokerage
Agreements
  Newedge
USA, LLC (formerly FIMAT USA, LLC) became the Partnership’s commodity broker
(the “Clearing Broker”) during 2007, pursuant to the terms of a brokerage
agreement. Prior to Newedge USA, LLC, Man Financial Inc. acted as the
Partnership’s commodity broker.  The Partnership pays brokerage
commissions to the Clearing Broker for clearing trades on its
behalf.
  General Partner Management
Fee
  The
General Partner receives from the Partnership a monthly management fee equal to
0.0625% (0.75% annually) for Original Class A, 0.146% (1.75% annually) for
Original Class B, and currently 0.125% (1.5% annually) for Special Interests of
the Partnership’s management fee net asset value (as
defined).  Effective July 1, 2008, the General Partner receives from
the Partnership a monthly management fee equal to 0.104% (1.25% annually) for
Class A and Class B, and 0.0625% (0.75% annually) for Institutional Interests of
the Partnership’s management fee net asset value (as
defined).   The General Partner may declare any limited partner a
“Special Limited Partner” and the management fees or incentive fees charged to
any such partner may be different than those charged to other limited
partners.
  Total
management fees earned by the General Partner, net of such management fees
assigned to the Advisor, for the years ended December 31, 2008, 2007 and 2006
were $1,540,833, $691,704 and $383,187, respectively.  Management fees
payable to the General Partner as of December 31, 2008 and 2007 were $190,491
and $115,550, respectively.
  Administrative
Fee
  Effective
July 1, 2008, the General Partner receives from the Partnership a monthly
administrative fee equal to 0.0275% (0.333% annually) of the Partnership’s
management fee net asset value (as defined) attributable to Class A and Class B
Interests.
  Service
Fees
  Original
Class A Interests and Class A Interests pay selling agents an ongoing payment of
0.166% of the month-end net asset value (2% annually) of the value of interests
sold by them which are outstanding at month end as compensation for their
continuing services to the limited partners.
   F-41
   WINTON FUTURES FUND, L.P.
(US)
 NOTES TO FINANCIAL
STATEMENTS
 NOTE
2 - AGREEMENTS AND RELATED PARTIES (CONTINUED)
  Related
Party
  Altegris
Investments, Inc. (“Altegris”), an affiliate of the General Partner, is
registered as a broker-dealer with the Securities and Exchange Commission and an
independent introducing broker registered with the Commodity Futures Trading
Commission.  Altegris has entered into a selling agreement with the
Partnership where it receives 2% per annum as continuing compensation for
interests sold by Altegris that are outstanding at month
end.  Altegris, as the Partnership’s introducing broker, also receives
a portion of the commodity brokerage commissions paid by the Partnership to the
Clearing Broker and interest income retained by the Clearing Broker. For the
years ended December 31, 2008, 2007 and 2006, commissions and continuing
compensation received by Altegris amounted to $1,807,841, $639,040 and $493,601,
respectively.
  Subscriptions, Distributions
and Redemptions
  Investments
in the Partnership are made by subscription agreement, subject to acceptance by
the General Partner.
  The
Partnership is not required to make distributions, but may do so at the sole
discretion of the General Partner.  A Limited Partner may request and
receive redemption of capital, subject to restrictions in the
Agreement.  The General Partner may request and receive redemption of
capital, subject to the same terms as any Limited Partner.
  NOTE
3 -FINANCIAL INSTRUMENTS, OFF-BALANCE SHEET RISKS AND UNCERTAINTIES
  The
Partnership participates in the speculative trading of commodity futures
contracts, substantially all of which are subject to margin
requirements.  The minimum amount of margin required for each contract
is set from time to time in response to various market factors by the respective
exchanges.  Further, the Clearing Broker has the right to require
margin in excess of the minimum exchange requirement.  Risk arises
from changes in the value of these contracts (market risk) and the potential
inability of brokers to perform under the terms of their contracts (credit
risk).
  All of
the contracts currently traded by the Partnership are exchange
traded.  The risks associated with exchange-traded contracts are
generally perceived to be less than those associated with over the counter
transactions since, in over the counter transactions, the Partnership must rely
solely on the credit of their respective individual
counterparties.  However if, in the future, the Partnership were to
enter into non-exchange traded contracts, it would be subject to the credit risk
associated with counterparty non-performance.  The credit risk from
counterparty non-performance associated with such instruments is the net
unrealized gain, if any.
  The
Partnership also has credit risk since the sole counterparty to all domestic
futures contracts is the exchange clearing corporation.  In addition,
the Partnership bears the risk of financial failure by the Clearing
Broker.
   F-42
  WINTON FUTURES FUND, L.P.
(US)
 NOTES TO FINANCIAL
STATEMENTS
 NOTE
3 -FINANCIAL INSTRUMENTS, OFF-BALANCE SHEET RISKS AND UNCERTAINTIES
(CONTINUED)
  The
Partnership’s policy is to continuously monitor its exposure to market and
counterparty risk through the use of a variety of financial, position and credit
exposure reporting and control procedures.  In addition, the
Partnership has a policy of reviewing the credit standing of each clearing
broker or counterparty with which it conducts business.
  The
Partnership has cash deposited with Wilmington Trust Company
(“Custodian”).  In August 2008, the Partnership expanded its agreement
with the Custodian to include cash management services with the Custodian’s
affiliate, Wilmington Trust Investment Management (“WTIM”), for cash not held
with the Clearing Broker.  The Partnership has a substantial portion
of its assets on deposits with WTIM in U.S. Government agency bonds and notes
and Corporate notes.  Risks arise from investments in bonds and notes
due to possible illiquidity and the potential for default by the
issuer.  Such bonds and notes are also particularly sensitive to
changes in interest rates and economic conditions.
  NOTE
4 - INDEMNIFICATIONS
  In the
normal course of business, the Partnership enters into contracts and agreements
that contain a variety of representations and warranties and which provide
general indemnifications.  The Partnership’s maximum exposure under
these arrangements is unknown, as this would involve future claims that may be
made against the Partnership that have not yet occurred.  The
Partnership expects the risk of any future obligation under these
indemnifications to be remote.
   F-43
  WINTON FUTURES FUND, L.P.
(US)
 NOTES TO FINANCIAL
STATEMENTS
 NOTE
5 - FINANCIAL HIGHLIGHTS
  The
following information presents the financial highlights of the Partnership for
the years ended December 31, 2008, 2007 and 2006.  This information
has been derived from information presented in the financial
statements.
 December 31, 2008Original
                  
                  
                  Original
                  
                  
                  Special
                  
                  
                  
                  (5)
                  
                  
                  
                  (5)
                  
                  
                  (5)
                    InstitutionalClass
      A
                  
                  
                  Class
      B
                  
                  
                  Interests
                  
                  
                  Class
      A
                  
                  
                  Class
      B
                  
                  
                  InterestsTotal
      return for Limited Partners (4)
                  
                  
                  20.33
                  %
                  
                  
                  21.58
                  %
                  
                  
                  21.93
                  %
                  
                  
                  1.29
                  %
                  
                  
                  2.16
                  %
                  
                  
                  3.52
                  %Ratio
      to average net asset valueExpenses
      prior to incentive fees (1) (3)
                  
                  
                  3.13
                  %
                  
                  
                  1.97
                  %
                  
                  
                  1.77
                  %
                  
                  
                  5.08
                  %
                  
                  
                  3.06
                  %
                  
                  
                  2.18
                  %Incentive
      fees (4)
                  
                  
                  4.27
                  %
                  
                  
                  6.70
                  %
                  
                  
                  5.07
                  %
                  
                  
                  2.95
                  %
                  
                  
                  3.32
                  %
                  
                  
                  1.22
                  %Total
      expenses
                  
                  
                  7.40
                  %
                  
                  
                  8.67
                  %
                  
                  
                  6.84
                  %
                  
                  
                  8.03
                  %
                  
                  
                  6.38
                  %
                  
                  
                  3.40
                  %Net
      investment income (loss) (1) (2) (3)
                  
                  
                  (1.09
                  )%
                  
                  
                  0.54
                  %
                  
                  
                  0.56
                  %
                  
                  
                  (3.65
                  )%
                  
                  
                  (1.70
                  )%
                  
                  
                  (0.49
                  )%
 December 31, 2007
                                                          
                                                          December 31, 2006Original
                                                          
                                                          
                                                          Original
                                                          
                                                          
                                                          Special
                                                          
                                                          
                                                          
                                                          (5)
                                                          
                                                          
                                                          
                                                          (5)
                                                          
                                                          
                                                          (5)
                                                            InstitutionalClass
      A
                                                          
                                                          
                                                          Class
      B
                                                          
                                                          
                                                          Interests
                                                          
                                                          
                                                          Class
      A
                                                          
                                                          
                                                          Class
      B
                                                          
                                                          
                                                          InterestsTotal
      return for Limited Partners (4)
                                                          
                                                          
                                                          13.61
                                                          %
                                                          
                                                          
                                                          14.97
                                                          %
                                                          
                                                          
                                                          15.45
                                                          %
                                                          
                                                          
                                                          13.31
                                                          %
                                                          
                                                          
                                                          14.53
                                                          %
                                                          
                                                          
                                                          14.37
                                                          %Ratio
      to average net asset valueExpenses
      prior to incentive fees (1) (3)
                                                          
                                                          
                                                          3.05
                                                          %
                                                          
                                                          
                                                          2.03
                                                          %
                                                          
                                                          
                                                          1.77
                                                          %
                                                          
                                                          
                                                          3.00
                                                          %
                                                          
                                                          
                                                          1.98
                                                          %
                                                          
                                                          
                                                          1.73
                                                          %Incentive
      fees (4)
                                                          
                                                          
                                                          3.46
                                                          %
                                                          
                                                          
                                                          3.33
                                                          %
                                                          
                                                          
                                                          2.87
                                                          %
                                                          
                                                          
                                                          2.19
                                                          %
                                                          
                                                          
                                                          2.22
                                                          %
                                                          
                                                          
                                                          2.34
                                                          %Total
      expenses
                                                          
                                                          
                                                          6.51
                                                          %
                                                          
                                                          
                                                          5.36
                                                          %
                                                          
                                                          
                                                          4.64
                                                          %
                                                          
                                                          
                                                          5.19
                                                          %
                                                          
                                                          
                                                          4.20
                                                          %
                                                          
                                                          
                                                          4.07
                                                          %Net
      investment income (loss) (1) (2) (3)
                                                          
                                                          
                                                          1.51
                                                          %
                                                          
                                                          
                                                          2.56
                                                          %
                                                          
                                                          
                                                          2.79
                                                          %
                                                          
                                                          
                                                          1.32
                                                          %
                                                          
                                                          
                                                          2.32
                                                          %
                                                          
                                                          
                                                          2.59
                                                          %







Total
return and the ratios to average net asset value are calculated for each class
of Limited Partners’ capital taken as a whole. An individual Limited Partner’s
total return and ratios may vary from the above returns and ratios due to the
timing of their contributions and withdrawals and differing fee
structures.









(1)
            Includes
      offering costs, if any.


(2)
            Excludes
      incentive fee.


(3)
            Annualized
      only for Class A, Class B and Institutional
  Interests.


(4)
            Not
      annualized.


(5)
            Class
      A, Class B, and Institutional Interests were first issued effective July
      1, 2008.









F-44
 
 
 
 
 PROFUTURES
STRATEGIC ALLOCATION TRUST
  FINANCIAL
STATEMENTS
  YEARS
ENDED DECEMBER 31, 2008 AND 2007
    F-45
  
 PROFUTURES
STRATEGIC ALLOCATION TRUST
 
 ____________
  INDEX TO
FINANCIAL STATEMENTS
 _____________
 
  PAGESIndependent
      Auditors' Reports
                F-47–
      F-48Financial
      StatementsStatements
      of Financial Condition
                F-49Condensed
      Schedules of Investments
                F-50
      – F-51Statements
      of Operations
                F-52Statements
      of Changes in Unitholders’ Capital (net asset value)
                F-53Statements
      of Cash Flows
                F-54Notes
      to Financial Statements
                F-55
      – F-63
   
 F-46
   
 Independent
Auditor's Report
 
 
 To the
Managing Owner of
 ProFutures
Strategic Allocation Trust
 Austin,
Texas
 
 We have
audited the accompanying statement of financial condition, including the
condensed schedule of investments, of ProFutures Strategic Allocation Trust (the
Trust) as of December 31, 2008, and the related statements of operations,
changes in unitholders’ capital (net asset value) and cash flows for the year
then ended.  These financial statements are the responsibility of the
Trust's management.  Our responsibility is to express an opinion on
these financial statements based on our audit.
 
 We
conducted our audit in accordance with auditing standards generally accepted in
the United States of America.  Those standards require that we plan
and perform the audit to obtain reasonable assurance about whether the financial
statements are free of material misstatement.  An audit includes
examining, on a test basis, evidence supporting the amounts and disclosures in
the financial statements.  An audit also includes assessing the
accounting principles used and significant estimates made by management, as well
as evaluating the overall financial statement presentation.  We
believe that our audit provides a reasonable basis for our opinion.
 
 In our
opinion, the financial statements referred to above present fairly, in all
material respects, the financial position of ProFutures Strategic Allocation
Trust as of December 31, 2008, and the results of its operations and its cash
flows for the year then ended in conformity with accounting principles generally
accepted in the United States of America.
 
 
 
 /s/McGladrey
& Pullen, LLP
 
 
 Chicago,
Illinois
 April 15,
2009
   F-47
    201
      International Circle, suite 400
                Hunt Valley,
      Maryland 21030 ●
      USA
                Tel:  410-771-0001 ●Fax:
      410-785-9784
                www.arthubellcpas.com
   INDEPENDENT AUDITOR’S
REPORT
 
 
 To the
Unitholders
 ProFutures
Strategic Allocation Trust
 
 
 We have
audited the accompanying statement of financial condition of ProFutures
Strategic Allocation Trust, including the condensed schedule of investments, as
of December 31, 2007, and the related statements of operations and changes in
unitholders’ capital (net asset value) for the year then ended.  These
financial statements are the responsibility of the Trust’s
management.  Our responsibility is to express an opinion on these
financial statements based on our audit.
 
 We
conducted our audit in accordance with auditing standards generally accepted in
the United States of America.  Those standards require that we plan
and perform the audit to obtain reasonable assurance about whether the financial
statements are free of material misstatement.  An audit includes
examining, on a test basis, evidence supporting the amounts and disclosures in
the financial statements.  An audit also includes assessing the
accounting principles used and significant estimates made by management, as well
as evaluating the overall financial statement presentation.  We
believe that our audit provides a reasonable basis for our opinion.
 
 In our
opinion, the financial statements referred to above present fairly, in all
material respects, the financial position of ProFutures Strategic Allocation
Trust as of December 31, 2007, and the results of its operations and the changes
in its net asset value for the year then ended, in conformity with accounting
principles generally accepted in the United States of America.
 
 
 /s/
ARTHUR F. BELL, JR. & ASSOCIATES, L.L.C.
   March 10,
2008
 
 F-48
 
  PROFUTURES
STRATEGIC ALLOCATION TRUST
 STATEMENTS
OF FINANCIAL CONDITION
 December
31, 2008 and 2007
 _______________
 2008
                
                
                2007AssetsEquity
      in broker trading accountsCash
                
                $
                2,380,353
                
                
                $
                3,876,110Unrealized
      gain (loss) on open contracts
                
                
                (7,262
                )
                
                
                66,075Deposits
      with broker
                
                
                2,373,091
                
                
                
                3,942,185Cash
                
                
                1,070
                
                
                
                2,649Cash
      deposits in forward trading collateral accounts
                
                
                -
                
                
                
                2,490,509Investment
      in Winton Futures Fund, L.P. (US)
                
                
                4,697,056
                
                
                
                -Investment
      in Winton Futures Fund, L.P. (US)paid
      in advance
                
                
                -
                
                
                
                7,000,000Redemption
      receivable from Winton Futures Fund, L.P. (US)
                
                
                170,000
                
                
                
                -Net
      premiums paid on options on forward currency
    contracts
                
                
                -
                
                
                
                11,338Unrealized
      gain (loss) on open forward currency contracts
                
                
                -
                
                
                
                (251,518
                )Other
      assets
                
                
                1,250
                
                
                
                1,250Total assets
                
                $
                7,242,467
                
                
                $
                13,196,413LiabilitiesAccounts
      payable
                
                $
                24,349
                
                
                $
                25,665Commissions
      and other trading fees payableon
      open contracts
                
                
                280
                
                
                
                1,982Incentive
      fees payable
                
                
                32,576
                
                
                
                -Management
      fees payable
                
                
                16,110
                
                
                
                69,326Administration
      fees payable
                
                
                11,949
                
                
                
                21,869Redemptions
      payable
                
                
                89,225
                
                
                
                340,686Total liabilities
                
                
                174,489
                
                
                
                459,528Unitholders'
      Capital (net asset value)Managing
      Owner - 10 units outstandingat
      December 31, 2008 and 2007
                
                
                19,203
                
                
                
                16,676Other
      Unitholders - 3,634 and 7,552 units outstandingat
      December 31, 2008 and 2007, respectively
                
                
                7,048,775
                
                
                
                12,720,209Total
      unitholders' capital (net asset value)
                
                
                7,067,978
                
                
                
                12,736,885$
                7,242,467
                
                
                $
                13,196,413
 
 
  F-49
  
  PROFUTURES
STRATEGIC ALLOCATION TRUST
 CONDENSED
SCHEDULES OF INVESTMENTS
 December
31, 2008 and 2007
 _______________
 2008
                                    
                                    
                                    2007%
      of Net
                                    
                                    
                                    
                                    
                                    
                                    %
      of NetDescription
                                    
                                    Fair
                                      Value
                                    
                                    
                                    Asset
                                      Value
                                    
                                    
                                    Fair
                                      Value
                                    
                                    
                                    Asset
                                      ValueLong
      Futures Contracts (1)Agricultural
                                    
                                    $
                                    52,018
                                    
                                    
                                    
                                    0.74
                                    %
                                    
                                    $
                                    -
                                    
                                    
                                    
                                    -Energy
                                    
                                    
                                    -
                                    
                                    
                                    
                                    -
                                    
                                    
                                    
                                    26,374
                                    
                                    
                                    
                                    0.21
                                    %Interest
      rate
                                    
                                    
                                    -
                                    
                                    
                                    
                                    -
                                    
                                    
                                    
                                    24,970
                                    
                                    
                                    
                                    0.20
                                    %Metal
                                    
                                    
                                    -
                                    
                                    
                                    
                                    -
                                    
                                    
                                    
                                    2,710
                                    
                                    
                                    
                                    0.02
                                    %Stock
      index
                                    
                                    
                                    -
                                    
                                    
                                    
                                    -
                                    
                                    
                                    
                                    41,014
                                    
                                    
                                    
                                    0.32
                                    %Total
      long futures contracts
                                    
                                    
                                    52,018
                                    
                                    
                                    
                                    0.74
                                    %
                                    
                                    
                                    95,068
                                    
                                    
                                    
                                    0.75
                                    %Short
      Futures Contracts  (1)Agricultural
                                    
                                    
                                    (40,350
                                    )
                                    
                                    
                                    (0.57
                                    )%
                                    
                                    
                                    -
                                    
                                    
                                    
                                    -Energy
                                    
                                    
                                    -
                                    
                                    
                                    
                                    -
                                    
                                    
                                    
                                    (25,489
                                    )
                                    
                                    
                                    (0.20
                                    )%Interest
      rate
                                    
                                    
                                    
                                    
                                    
                                    
                                    
                                    
                                    
                                    
                                    (13,379
                                    )
                                    
                                    
                                    (0.11
                                    )%Metal
                                    
                                    
                                    -
                                    
                                    
                                    
                                    -
                                    
                                    
                                    
                                    7,335
                                    
                                    
                                    
                                    0.06
                                    %Stock
      index
                                    
                                    
                                    (18,930
                                    )
                                    
                                    
                                    (0.27
                                    )%
                                    
                                    
                                    2,540
                                    
                                    
                                    
                                    0.02
                                    %Total
      short futures contracts
                                    
                                    
                                    (59,280
                                    )
                                    
                                    
                                    (0.84
                                    )%
                                    
                                    
                                    (28,993
                                    )
                                    
                                    
                                    (0.23
                                    )%Total
      futures contracts
                                    
                                    $
                                    (7,262
                                    )
                                    
                                    
                                    (0.10
                                    )%
                                    
                                    $
                                    66,075
                                    
                                    
                                    
                                    0.52
                                    %Purchase
      Options on Forward CurrencyContracts
      (premiums paid - $0 and$25,946,
      respectively)
                                    
                                    
                                    $
                                    -
                                    
                                    
                                    
                                    -
                                    
                                    
                                    $
                                    17,290
                                    
                                    
                                    
                                    (0.14
                                    )%Written
      Options on Forward CurrencyContracts
      (premiums received - $0 and$14,608,
      respectively)
                                    
                                    
                                    
                                    -
                                    
                                    
                                    
                                    -
                                    
                                    
                                    
                                    (6,702
                                    )
                                    
                                    
                                    (0.05
                                    )%Total
      options on forward currency contracts
                                    
                                    $
                                    -
                                    
                                    
                                    
                                    -
                                    
                                    
                                    $
                                    10,588
                                    
                                    
                                    
                                    (0.19
                                    )%Forward Currency ContractsLong
      forward currency contracts
                                    
                                    $
                                    -
                                    
                                    
                                    
                                    -
                                    
                                    
                                    $
                                    (257,978
                                    )
                                    
                                    
                                    (2.03
                                    )%Short
      forward currency contracts
                                    
                                    
                                    -
                                    
                                    
                                    
                                    -
                                    
                                    
                                    
                                    7,210
                                    
                                    
                                    
                                    0.06
                                    %Total
      forward currency contracts
                                    
                                    $
                                    -
                                    
                                    
                                    
                                    -
                                    
                                    
                                    $
                                    (250,768
                                    )
                                    
                                    
                                    (1.97
                                    )%
    (1)
              
              No individual
      futures positions constitute greater than 5% of the Trust's Net Asset
      Value at December 31, 2008 or 2007.  Accordingly, the number of
      contracts and expiration dates are not presented.  All futures
      contracts are U.S. based.
   
  
 F-50
 
 PROFUTURES
STRATEGIC ALLOCATION TRUST
 CONDENSED
SCHEDULES OF INVESTMENTS (CONTINUED)
 December
31, 2008 and 2007
 _______________
 2008
                                                2007
 %
      of Net
                                                                                            
                                                                                            
                                                                                            
                                                                                            %
      of NetFair
                                                                                              Value
                                                                                            
                                                                                            Asset
                                                                                              Value
                                                                                            
                                                                                            Fair
                                                                                              Value
                                                                                            
                                                                                            Asset
                                                                                              ValueInvestment in Winton Futures Fund, L.P.
      (US)RedemptionDescription
                                                                                            Investment Objective
                                                                                            ProvisionsWinton
      Futures Fund, L.P. (US) – Institutional Interests
                                                                                            To
      achieve capital appreciation by trading U.S. and Non U.S. futures
      contracts
                                                                                            Monthly
      with 15 days notice
                                                                                            $4,697,056
                                                                                            
                                                                                            66.46 %
                                                                                            
                                                                                            $            -
                                                                                            
                                                                                            0.00 %Proportionate Share of Investments of Winton
      Futures Fund, L.P. (U.S.) (2)U.S. Government Agency Bonds and
      Notes
                                                                                            
                                                                                            
                                                                                            
                                                                                            
                                                                                            
                                                                                            %
      of NetFace Value
                                                                                            Description
                                                                                            
                                                                                            Range
      of Maturity
                                                                                              Dates
                                                                                            
                                                                                            Fair
                                                                                              Value
                                                                                            
                                                                                            Asset
                                                                                              Value$704,067
                                                                                            Federal
      Home Loan Bank (.03-4.35%)
                                                                                            
                                                                                            01/2009
      to 12/2010
                                                                                            
                                                                                            $705,916
                                                                                            
                                                                                            9.99%$373,520
                                                                                            Federal
      Home Loan Mortgage Corporation (.03-2.05%)
                                                                                            02/2009
      to 07/2010
                                                                                            
                                                                                            $373,492
                                                                                            
                                                                                            5.28%Corporate Notes
                                                                                            
                                                                                            
                                                                                            
                                                                                            
                                                                                            
                                                                                            
                                                                                            
                                                                                            
                                                                                            %
      of NetFace Value
                                                                                            Description
                                                                                            
                                                                                            Maturity
                                                                                              Date
                                                                                            
                                                                                            Fair
                                                                                              Value
                                                                                            
                                                                                            Asset
                                                                                              Value$505,757
                                                                                            Bank
      of America Repo, 0.01%
                                                                                            
                                                                                            1/12/2009
                                                                                            
                                                                                            $505,757
                                                                                            
                                                                                            7.16%
  (1)
                
                Represents the
      Trust's proportionate share of Winton Futures Fund, L.P. (U.S.)'s
      individual underlying investments which exceed 5% of the Trust's Net Asset
      Value at December 31, 2008.
   
 
 F-51
 
  PROFUTURES
STRATEGIC ALLOCATION TRUST
 STATEMENTS
OF OPERATIONS
 Years
Ended December 31, 2008 and 2007
 _______________
 2008
                
                
                2007Trading
      and investing gains (losses)Gain
      (loss) from futures tradingRealized
                
                $
                605,849
                
                
                $
                (447,378
                )Change
      in unrealized
                
                
                (73,337
                )
                
                
                (204,792
                )Brokerage
      commissions
                
                
                (22,830
                )
                
                
                (77,794
                )509,682
                
                
                
                (729,964
                )Gain
      (loss) from trading of forward currency contractsand
      options on forward currency contractsRealized
                
                
                19,093
                
                
                
                (535,800
                )Change
      in unrealized
                
                
                251,518
                
                
                
                (609,232
                )270,611
                
                
                
                (1,145,032
                )Income
      (loss) allocated from investment in Winton Futures Fund, L.P.
      (US)
                
                
                1,342,056
                
                
                
                -Total
      trading and investing gains (losses)
                
                
                2,122,349
                
                
                
                (1,874,996
                )Net
      investment income (loss)IncomeInterest
      income
                
                
                63,186
                
                
                
                583,254ExpensesIncentive
      fees
                
                
                114,392
                
                
                
                73,475Management
      fees
                
                
                118,639
                
                
                
                291,697Administration
      fees
                
                
                222,223
                
                
                
                292,184Operating
      expenses
                
                
                147,678
                
                
                
                116,273602,932
                
                
                
                773,629Net
      investment (loss)
                
                
                (539,746
                )
                
                
                (190,375
                )Net
      income (loss)
                
                $
                1,582,603
                
                
                $
                (2,065,371
                )
 
 
 
 
 
 
 
 F-52
 
 
 
  PROFUTURES
STRATEGIC ALLOCATION TRUST
 STATEMENTS
OF CHANGES IN UNITHOLDERS’ CAPITAL (NET ASSET VALUE)
 Years
Ended December 31, 2008 and 2007
 _______________
 Total
                                        
                                        
                                        Unitholders'
      CapitalNumber
      of
                                        
                                        
                                        Managing
                                        
                                        
                                        OtherUnits*
                                        
                                        
                                        Owner
                                        
                                        
                                        Unitholders
                                        
                                        
                                        TotalBalances
      at December 31, 2006
                                        
                                        
                                        5,206
                                        
                                        
                                        $
                                        19,170
                                        
                                        
                                        $
                                        10,059,557
                                        
                                        
                                        $
                                        10,078,727Net
      (loss) for the year endedDecember
      31, 2007
                                        
                                        
                                        -
                                        
                                        
                                        
                                        (2,494
                                        )
                                        
                                        
                                        (2,062,877
                                        )
                                        
                                        
                                        (2,065,371
                                        )Additions
                                        
                                        
                                        3,789
                                        
                                        
                                        
                                        -
                                        
                                        
                                        
                                        7,364,000
                                        
                                        
                                        
                                        7,364,000Redemptions
                                        
                                        
                                        (1,433
                                        )
                                        
                                        
                                        -
                                        
                                        
                                        
                                        (2,640,471
                                        )
                                        
                                        
                                        (2,640,471
                                        )Balances
      at December 31, 2007
                                        
                                        
                                        7,562
                                        
                                        
                                        
                                        16,676
                                        
                                        
                                        
                                        12,720,209
                                        
                                        
                                        
                                        12,736,885Net
      income for the year endedended
      December 31, 2008
                                        
                                        
                                        -
                                        
                                        
                                        
                                        2,527
                                        
                                        
                                        
                                        1,580,076
                                        
                                        
                                        
                                        1,582,603Additions
                                        
                                        
                                        2,604
                                        
                                        
                                        
                                        -
                                        
                                        
                                        
                                        4,541,827
                                        
                                        
                                        
                                        4,541,827Redemptions
                                        
                                        
                                        (6,522
                                        )
                                        
                                        
                                        -
                                        
                                        
                                        
                                        (11,793,337
                                        )
                                        
                                        
                                        (11,793,337
                                        )Balances
      at December 31, 2008
                                        
                                        
                                        3,644
                                        
                                        
                                        $
                                        19,203
                                        
                                        
                                        
                                        7,048,775
                                        
                                        
                                        $
                                        7,067,978Net
      Asset Value Per UnitDecember
      31,2008
                                        
                                        
                                        2007
                                        
                                        
                                        2006$
                                        1,939.47
                                        
                                        
                                        $
                                        1,684.31
                                        
                                        
                                        $
                                        1,936.15
 
 
 
 
 
 
 See notes
to financial statements.
    F-53
  PROFUTURES
STRATEGIC ALLOCATION TRUST
 STATEMENTS
OF CASH FLOWS
 Years
Ended December 31, 2008 and 2007
 _______________
 (Unaudited)2008
                    
                    
                    2007Cash
      Flows from Operating ActivitiesNet
      income (loss)
                    
                    $
                    1,582,603
                    
                    
                    $
                    (2,065,371
                    )Adjustments
      to reconcile net income (loss) to net cash provided by(used
      in) operating activities:(Income)
      loss from investment in Winton Futures Fund, L.P. (US)
                    
                    
                    (1,342,056
                    )
                    
                    
                    -Change
      in operating assets and liabilities:Change
      in unrealized gain (loss) on open contracts
                    
                    
                    73,337
                    
                    
                    
                    204,792Change
      in unrealized gain (loss) on open forwardcurrency
      contracts and options on forward currency contracts
                    
                    
                    (251,518
                    )
                    
                    
                    609,232(Increase)
      decrease in net premiums paid on options on forwardcurrency
      contracts
                    
                    
                    11,338
                    
                    
                    
                    (7,960
                    )Investment
      in Winton Futures Fund, L.P. (US)
                    
                    
                    (3,075,000
                    )
                    
                    
                    (7,000,000
                    )Redemptions
      from Winton Futures Fund, L.P. (US)
                    
                    
                    6,550,000
                    
                    
                    
                    -(Decrease)
      increase in accounts payable
                    
                    
                    (1,316
                    )
                    
                    
                    2,198(Decrease)
      in commissions and other tradingfees
      payable on open contracts
                    
                    
                    (1,702
                    )
                    
                    
                    (1,365
                    )Increase
      in incentive fees payable
                    
                    
                    32,576
                    
                    
                    
                    -(Decrease)
      increase in management fees payable
                    
                    
                    (53,216
                    )
                    
                    
                    19,895(Decrease)
      increase in administrative fee payable
                    
                    
                    (9,920
                    )
                    
                    
                    4,863Net
      cash provided by (used in) operating activities
                    
                    
                    3,515,126
                    
                    
                    
                    (8,233,716
                    )Cash
      Flows from Financing ActivitiesAdditions
      received
                    
                    
                    4,541,827
                    
                    
                    
                    7,364,000Redemptions
      paid
                    
                    
                    (12,044,798
                    )
                    
                    
                    (2,390,764
                    )Net
      cash (used in) provided by financing activities
                    
                    
                    (7,502,971
                    )
                    
                    
                    4,973,236Net
      cash (decrease) for the year
                    
                    
                    (3,987,845
                    )
                    
                    
                    (3,260,480
                    )Cash
      at beginning of year
                    
                    
                    6,369,268
                    
                    
                    
                    9,629,748Cash
      at end of year
                    
                    $
                    2,381,423
                    
                    
                    $
                    6,369,268End
      of year cash consists of:Cash
      in broker trading accounts
                    
                    $
                    2,380,353
                    
                    
                    $
                    3,876,110Cash
                    
                    
                    1,070
                    
                    
                    
                    2,649Cash
      deposits in forward trading collateral accounts
                    
                    
                    -
                    
                    
                    
                    2,490,509$
                    2,381,423
                    
                    
                    $
                    6,369,268
 
 
 
 See notes
to financial statements.
     F-54
  PROFUTURES
STRATEGIC ALLOCATION TRUST
 NOTES
TO FINANCIAL STATEMENTS
 _______________
  Note
      1.
              Nature
      of Business and Significant Accounting
Policies
  Nature of
business:  ProFutures Strategic Allocation Trust (the Trust) is
a Delaware business trust, which operates as a commodity investment pool. The
Trust shall continue until December 31, 2040 unless earlier terminated in
accordance with the provisions of the Declaration of Trust and Trust Agreement.
The Trust engages in the speculative trading of U.S. and foreign futures
contracts, interbank forward currency contracts and options on forward currency
contracts, directly and indirectly through its investment in Winton Futures
Fund, L.P. (US) (Winton). 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)
and interbank market makers through which the Trust trades.
  Use of
estimates:  The preparation of financial statements in
conformity with generally accepted accounting principles requires management to
make estimates and assumptions that affect the reported amounts of assets and
liabilities and disclosures of contingent assets and liabilities at the date of
the financial statements and the reported amounts of income and expenses during
the reporting period.  Actual results could differ from those
estimates.
  Futures and forward currency
contracts:  Transactions are accounted for on the trade
date.  Gains or losses are realized when contracts are
liquidated.  Unrealized gains or losses on open contracts (the
difference between contract trade price and market price) are reflected in the
statements of financial condition as a net gain or loss, as there exists a right
of offset of unrealized gains or losses in accordance with Financial Accounting
Standards Board (FASB) Interpretation No. 39 – Offsetting of Amounts Related to
Certain Contracts.  Any change in net unrealized gain or loss
from the preceding period is reported in the statements of
operations.  Brokerage commissions on futures contracts include other
trading fees and are charged to expense when contracts are
opened.  Futures contracts are valued using the closing quotation
posted by the primary exchange on which the futures contract is
traded.  Forward currency contracts were valued using third party
quoted dealer values on the interbank market.
  Investments in other commodity
pools:  The Trust’s investments in other commodity pools are
reported in the statements of financial condition at fair value.  Fair
value ordinarily represents the Trust’s proportionate share of each other
commodity pool’s net asset value determined for each commodity pool in
accordance with such commodity pool’s valuation policies and as reported by
their management at the time of the Trust’s valuation.  Generally, the
fair value of the Trust’s investment in a commodity pool represents the amount
that the Trust could reasonably expect to receive from the commodity pool if the
Trust’s investment was redeemed at the time of valuation, based on information
reasonably available at the time the valuation is made and that the Trust
believes to be reliable.  The Trust records its proportionate share of
other commodity pools’ income or loss in the statements of
operations.
  Fair value of financial
instruments:  All of the Trust’s investment assets and
liabilities are considered financial instruments and are reflected at fair
value, or at carrying amounts that approximate fair value because of the short
maturity of the instruments.
  On
January 1, 2008, the Trust adopted SFAS No. 157, Fair Value
Measurements.   The adoption of SAFS No. 157 did not have
a material impact on the Trust’s financial position, results of operations or
cash flows.
    F-55
  PROFUTURES
STRATEGIC ALLOCATION TRUST
 NOTES
TO FINANCIAL STATEMENTS
 _______________
   Note
      1.
                Nature
      of Business and Significant Accounting Policies
  (continued)
  SFAS No.
157 defines fair value as the price that would be received to sell an asset or
paid to transfer a liability in an orderly transaction between market
participants at the measurement date and sets out a fair value
hierarchy.  The fair value hierarchy gives the highest priority to
quoted prices in active markets for identical assets or liabilities
(Level 1) and the lowest priority to unobservable inputs (Level
3).  Inputs are broadly defined under SFAS No. 157 as assumptions
market participants would use in pricing an asset or liability.  The
three levels of the fair value hierarchy under SFAS No. 157 are described
below:
  Level
      1:
                                                    
                                                    Unadjusted
      quoted prices in active markets for identical assets or liabilities that
      the reporting entity has the ability to access at the measurement
      date.Level
      2:
                                                    
                                                    Inputs
      other than quoted prices within Level 1 that are observable for the asset
      or liability, either directly or indirectly.  A significant
      adjustment to a Level 2 input could result in the Level 2 measurement
      becoming a Level 3 measurement.Level
      3:
                                                    
                                                    Inputs
      are unobservable for the asset or liability.The
      fair values of Level 1 financial instruments at December 31, 2008,
      consisted of the following:Futures
      contracts
                                                    
                                                    
                                                    
                                                    $       
             (7,262)The
      fair values of Level 3 financial instruments at December 31, 2008,
      consisted of the following:Investment in
      Winton Futures Fund, L.P. (US)
                                                    
                                                    
                                                    $         
       4,697,056The
      following table presents a reconciliation of the activity for Level 3
      investments:Balance,
      January 1, 2008
                                                    
                                                    $              7,000,000Income
      (loss) allocated from investment in Winton
                                                    
                                                    1,342,056Additions
      and redemptions, net
                                                    
                                                    (3,645,000)Transfers
      in and/or out of Level 3
                                                    
                                                    -Balance,
      December 31, 2008
                                                    
                                                    $              4,697,056
 Income
      (loss) from investments in Winton includes $3,296 attributable to the
      change in unrealized gain (loss) on the Trusts’ investment in Winton
      Futures Fund, L.P. (US) held at December 31,
  2008.
  On
January 1, 2008, the Trust adopted Financial Accounting Standards Board
(FASB) Interpretation No. 39-1, Amendment of FASB Interpretation No.
39(FIN 39-1). FIN 39-1 defines "right of setoff" and specifies what
conditions must be met for a derivative contract to qualify for this right of
setoff. It also addresses the applicability of a right of setoff to derivative
instruments and clarifies the circumstances in which it is appropriate to offset
amounts recognized for multiple derivative instruments executed with the same
counterparty under a master netting arrangement and fair value amounts
recognized for the right to reclaim cash collateral (a receivable) or the
obligation to return cash collateral (a payable) arising from the same master
netting arrangement as the derivative instruments. The adoption of FIN 39-1 did
not have a material impact on the Trust's financial statements.
    F-56
  PROFUTURES
STRATEGIC ALLOCATION TRUST
 NOTES
TO FINANCIAL STATEMENTS
 _______________
   Note
      1.
                Nature
      of Business and Significant Accounting Policies
  (continued)
  Income taxes:  The
Trust prepares calendar year U.S. and applicable state information tax returns
and reports to the partners their allocable shares of the Trust’s income,
expenses and trading and investing gains or losses.
  The Trust
has continued to evaluate the application of FASB Interpretation No. 48 (FIN 48)
entitled, Accounting for
Uncertainty in Income Taxes- an interpretation of FASB Statement No. 109
to the Trust, and has determined that FIN 48 does not have a material impact on
the Trusts’ financial statements.  In connection with the application
of FIN 48, the Trust has elected an accounting policy to classify interest and
penalties, if any, as interest expense.  The Trust files U.S. federal
and state tax returns.  The 2005 through 2008 tax years generally
remain subject to examination by U.S. federal and most state tax
authorities.
  Organizational
charge:  The Managing Owner (ProFutures, Inc.)  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 2008 and 2007). There were no such
organizational charges during the year ended December 31, 2008 and
2007.
  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 trading and
investing gains (losses) in the statements of operations.
  Redemption of
units:  Financial Accounting Standards Board No. 150 Accounting for Certain Financial
Instruments with Characteristics of both Liabilities and EquityandFASB Staff Position 150-3
(collectively, FAS 150) require that an entity classify as liabilities any
financial instruments issued in the form of shares that are mandatorily
redeemable on fixed dates for fixed amounts.  Redemptions payable at
December 31, 2008, include redemptions approved by the Managing Owner prior to
ten (10) days before December 31, 2008.  Within the context of FAS
150, such redemptions represent an unconditional obligation of the Trust at
December 31, 2008.  The liability to Unitholders is presented on the
statement of financial condition as redemptions payable and is determined based
on the net asset value of such units on December 31, 2008.
  Redemptions
payable at December 31, 2007, include redemptions approved by the Managing Owner
prior to January 1, 2008, which were not effective until January 31,
2008.  These redemptions were 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 FAS 150.
     F-57
  PROFUTURES
STRATEGIC ALLOCATION TRUST
 NOTES
TO FINANCIAL STATEMENTS
 _______________
  Note
      1.
                Nature
      of Business and Significant Accounting Policies
  (continued)
 Recently issued accounting
pronouncement:  In March 2008, the FASB issued SFAS No. 161,
Disclosure about Derivative
Instruments and Hedging Activities, an Amendment of FASB Statement No.
133.  SFAS No. 161 is intended to improve transparency in
financial reporting by requiring enhanced disclosures of an entity’s derivative
instruments and hedging activities and their effects on the entity’s financial
position, financial performance, and cash flows.  SFAS No. 161 applies
to all derivative instruments within the scope of SFAS No. 133.  It
also applies to non-derivative hedging instruments and all hedged items
designated and qualifying as hedges under SFAS No. 133.  SFAS No.
161 amends the current qualitative and quantitative disclosure requirements for
derivative instruments and hedging activities set forth in SFAS No. 133 and
generally increases the level of disaggregation that will be required in an
entity’s financial statements.  SFAS No. 161 requires qualitative
disclosures about objectives and strategies for using derivatives, quantitative
disclosures about fair value amounts of gains and losses on derivative
instruments, and disclosures about credit-risk related contingent features in
derivative agreements.  SFAS No. 161 is effective prospectively for
financial statements issued for fiscal years and interim periods beginning after
November 15, 2008.  As this pronouncement is disclosure related
only, adoption is not expected to have a material impact on the Trust’s
financial statements.
  Note
      2.
              Managing
      Owner
  The
Managing Owner of the Trust is ProFutures, Inc., which conducts and manages the
business of the Trust.  The Declaration of Trust and Trust Agreement
(Trust Agreement) requires the Managing Owner and its principals and/or
affiliates to contribute to the Trust such amounts that are at least equal to
the lesser of 1% of the total capital contributions to the Trust or $500,000,
but in no event shall the Managing Owner and its principals and/or affiliates
make contributions of less than .2% of the total capital contributions to the
Trust.  At December 31, 2008 and 2007, the capital accounts of
the Managing Owner and its principals and/or affiliates, including the capital
account of an affiliated commodity pool at December 31, 2007, totaled
$1,389,372 and $6,701,588, respectively.
  The Trust
Agreement also requires that the Managing Owner maintain a net worth of not less
than the greater of $50,000 or at least 5% of the total contributions to the
Trust and all other partnerships of which the Managing Owner is manager. In no
event shall the Managing Owner be required to maintain a net worth in excess of
$1,000,000.
  ProFutures,
Inc. has a callable stock subscription agreement with MF Global Ltd. (MFG), the
Trust’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 Managing Owner’s net worth requirements.
  The Trust
pays the Managing Owner a monthly administration fee equal to 1/6 of 1% (2%
annually) of month-end Net Assets (as defined in the Trust
Agreement).
    F-58
  PROFUTURES
STRATEGIC ALLOCATION TRUST
 NOTES
TO FINANCIAL STATEMENTS
 _______________
 
  Note
      3.
              Trustee
  The
Trustee of the Trust is U.S. 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 Advisors
  The Trust
has trading advisory contracts with several commodity trading advisors to
furnish investment management services to the Trust. The commodity trading
advisors receive monthly management fees of 1/6 of 1% (2% annually) of month-end
Net Assets (as defined in each respective Advisory Contract) and quarterly
incentive fees equal to 20% of New Trading Profit (as defined).
  Note
      5.
              Subscriptions,
      Distributions and Redemptions
  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. Unitholders have the right to redeem units as of any
month-end upon ten (10) days' prior written notice to the Trust. Redemptions
will be made on the last day of the month for an amount equal to the net asset
value per unit, as defined, represented by the units to be redeemed. The right
to obtain redemptions is also contingent upon the Trust having property
sufficient to discharge its liabilities on the redemption date and may be
delayed if the Managing Owner determines that earlier liquidation of commodity
interest positions and/or its investments in other commodity pools to meet
redemption payments could be detrimental to the Trust or nonredeeming
Unitholders.
  Under
certain circumstances, including, but not limited to, the inability to liquidate
commodity positions or a delay in payments due to the Trust from commodity
brokers, banks, commodity pools or other persons, the Trust may in turn delay
payment to Unitholders requesting redemption of units. In that event, payment
for redemption of such units will be made to Unitholders as soon thereafter as
is practicable.
  Note
      6.
              Deposits
      With Broker
  The Trust
deposits funds with MF Global Ltd. (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.  All assets with MFG are subject to being
collateralized for any amounts due to MFG to meet margin and other broker or
regulatory requirements.  The Trust earns interest income on cash
deposited with the broker.
    F-59
  PROFUTURES
STRATEGIC ALLOCATION TRUST
 NOTES
TO FINANCIAL STATEMENTS
 _______________
 
 Note
      7.
              Investment
      in Winton Futures Fund, L.P. (US)
  On
December 26, 2007, the Trust invested $7,000,000 in Winton. The investment in
Winton was effective January 1, 2008 and is subject to the terms of the
Agreement of Limited Partnership and Offering Memorandum of Winton, which may,
among other things, delay or suspend withdrawal rights under certain
circumstances.
  Summarized
      information for these investments is as follows:
  Winton
      Futures
                  Fund,
      L.P. (US)Net
      asset value, January 1, 2008
                
                $
                7,000,000Additions
                
                
                3,075,000Income
      allocated from investment in Winton
                
                
                1,342,056Redemptions
                
                
                (6,720,000
                )Net
      asset value, December 31, 2008
                
                $
                4,697,056
 The
following summary information presents the Trust's proportionate share of
trading gains (losses), income and expenses of Winton for the year ended
December 31, 2008:
  Year
      Ended
                  December
      31, 2008Gain
      (loss) on trading of commodity futures contractsRealized
                
                $
                1,653,294Change
      in realized
                
                
                3,296Brokerage
      commissions
                
                
                (19,752
                )Gain
      from trading futures
                
                
                1,636,838IncomeInterest
      income
                
                
                176,007ExpensesManagement
      and other fees
                
                
                116,065Incentive
      fee
                
                
                337,506Professional
      fees
                
                
                17,218470,789Net
      investment loss
                
                
                (294,782
                )Net
      income
                
                $
                1,342,056
     F-60
 PROFUTURES
STRATEGIC ALLOCATION TRUST
 NOTES
TO FINANCIAL STATEMENTS
 _______________
    Note
      7.
                Investment
      in Winton Futures Fund, L.P. (US)
(continued)
  Management
of the Trust believes the accounting principles utilized by Winton are
consistent in all material respects with those utilized by the
Trust.
  Institutional
interests of Winton (formerly Class B Interests through May 2008) are charged
management fees of 1.75% annually and an incentive fee of 20% of trading
profits.
  The
Trust’s investment in Winton represents approximately 1.81% of Winton’s net
asset value as of December 31, 2008.
  As of
June 1, 2008, the Trust’s “Class B Interest” in Winton was reclassified as
an “Institutional Interest” in Winton.  This is a reclassification for
Winton administrative purposes only.  There was no change to the
management and incentive fees charged the Trust, or the Trust’s rights as a
limited partner in Winton.
  Note
      8.
              Trading  and
      Investing Activities and Related
Risks
  The
Trust, directly and through its investments in Winton, engages in the
speculative trading of U.S. and foreign futures contracts and options on U.S.
and foreign futures contracts (collectively, “derivatives”).  The
Trust is exposed to both market risk, the risk arising from changes in the fair
value of the contracts, and credit risk, the risk of failure by another party to
perform according to the terms of a contract.
  Purchase
and sale of futures and options on futures contracts requires margin deposits
with the broker. Additional deposits may be necessary for any loss on contract
fair 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 fair value of the
contracts.  Theoretically, the Trust is exposed to a market risk equal
to the notional contract value of futures contracts purchased and unlimited
liability on such contracts sold short.  As both a buyer and seller of
options, 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 premiums paid.
  The Trust
has assets on deposit with a financial institution in connection with its cash
management activities. 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 were traded in unregulated
markets between principals, the Trust also assumed the risk of loss from
counterparty nonperformance.
    F-61
  PROFUTURES
STRATEGIC ALLOCATION TRUST
 NOTES
TO FINANCIAL STATEMENTS
 _______________
  Note
      8.
                Trading and Investing Activities and Related Risks
      (continued)
  The
Trust's investment in Winton is subject to the market and credit risks of
futures contracts, forward currency contracts and other derivative contracts
held or sold short by Winton. The Trust bears the risk of loss only to the
extent of the fair value of its respective investment and, in certain specific
circumstances, distributions and redemptions received. The Managing Owner has
established risk management procedures to monitor its investments in other
commodity pools and seeks to minimize risk primarily by investing in commodity
pools which the Managing Owner 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 Trust.
  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 fair value of their
respective investments and, in certain specific circumstances, distributions and
redemptions received.
  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 be
remote.
     F-62
 PROFUTURES
STRATEGIC ALLOCATION TRUST
 NOTES
TO FINANCIAL STATEMENTS
 _______________
   
 Note
      10.
              Financial
      Highlights
  The
following information presents per-unit operating performance data and other
supplemental financial data for the years ended December 31, 2008 and
2007.  This information has been derived from information presented in
the financial statements.
  2008
                    
                    
                    2007Per
      Unit Performance(for
      a unit outstanding throughout the entire year)Net
      asset value per unit at beginning of year
                    
                    $
                    1,684.31
                    
                    
                    $
                    1,936.15Income
      (loss) from operations:Total
      trading and investing gains (losses)(1)
                    
                    
                    342.79
                    
                    
                    
                    (227.96
                    )Net
      investment income (loss)(1)
                    
                    
                    (87.63
                    )
                    
                    
                    (23.88
                    )Total
      income (loss) from operations
                    
                    
                    255.16
                    
                    
                    
                    (251.84
                    )Net
      asset value per unit at end of year
                    
                    $
                    1,939.47
                    
                    
                    $
                    1,684.31Total
      Return
                    
                    
                    15.15
                    %
                    
                    
                    (13.01
                    )%Supplemental
      DataRatios to average net asset
      value(2)Expenses
      prior to incentive fees(4)
                    
                    
                    4.46
                    %
                    
                    
                    4.75
                    %Incentive
      fees
                    
                    
                    1.04
                    %
                    
                    
                    0.50
                    %Total
      expenses
                    
                    
                    5.50
                    %
                    
                    
                    5.25
                    %Net
      investment income (loss)(3)
                    
                    
                    (3.88
                    )%
                    
                    
                    (0.79
                    )%
 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 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 Trust’s proportionate share of expenses and net investment income
      (loss) from investments in Winton.(3)
                Excludes
      incentive fees.(4)
                Excludes
      brokerage commissions.
   F-63