10-K 1 c82324e10vk.txt ANNUAL REPORT UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington, D.C. 20549 FORM 10-K [X] Annual Report Pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934 For the Fiscal Year Ended: October 31, 2003 [ ] Transition Report Pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934 Commission File Number: 0-9202 THE FUTURE FUND --------------- (Exact name of registrant as specified in its charter) Illinois 36-3033727 ---------------------- -------------------- (State or other jurisdiction of (I.R.S. Employer incorporation or organization) Identification No.) c/o HEINOLD ASSET MANAGEMENT, INC. 440 South LaSalle, 20th Floor Chicago, Illinois 60605 ----------------------------- (Address of principal executive offices) Registrant's telephone number, including area code: (312) 663-7500 Securities registered pursuant to Section 12(b) of the Act: None Securities registered pursuant to Section 12(g) of the Act: Limited Partnership Units Indicate by check mark whether the registrant (1) 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 [ ] Indicate by check mark if disclosure of delinquent filers pursuant to Item 405 of Regulation S-K is not contained herein, and will not be contained, to the best of 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 an accelerated filer (as defined in Rule 12b-2 of the Act) Yes [ ] No [X] The registrant is a limited partnership and, accordingly, has no voting stock held by nonaffiliates or otherwise. Documents Incorporated by Reference: See Part IV, Item 15. 1 PART I Item 1. Business. (a) General development of business. The Future Fund (the "Partnership") is a limited partnership organized on November 30, 1978 pursuant to a Limited Partnership Agreement (the "Limited Partnership Agreement") and under the Uniform Limited Partnership Act of the State of Illinois. On July 31, 1987, the Partnership elected to be governed under the Illinois Revised Uniform Limited Partnership Act. The Partnership was formed to engage in the speculative trading of futures, options on futures and forward contracts. Heinold Asset Management, Inc., a Delaware corporation, is the General Partner of the Partnership and, in that capacity, performs various administrative services. The General Partner was organized in 1982 to serve as the general partner and pool operator for public and private commodity pools sponsored by Heinold Commodities, Inc., an affiliate. Until March 31, 1996, the General Partner was a wholly owned subsidiary of Geldermann, Inc., an Illinois corporation ("Geldermann"). On March 31, 1996, the General Partner became a wholly owned subsidiary of Man Group USA Inc. (formerly, E.D. & F. Man Inc.), a New York corporation with headquarters in New York, New York. References herein to the "General Partner" refer to Heinold Commodities, Inc. for the periods prior to November 1, 1988 and to Heinold Asset Management, Inc. for periods on and after November 1, 1988. Until June 1, 1995, Geldermann acted as the Partnership's futures commission merchant or commodity broker. On that date, Man Financial Inc (the "Commodity Broker") replaced Geldermann as the Partnership's commodity broker. The General Partner and the Commodity Broker perform various services related to the Partnership's trading pursuant to a Customer Agreement. The Partnership conducts its forward contract trading through its affiliates, Man Capital LLC and Man Financial Ltd, as well as other unaffiliated dealers pursuant to various Customer Account Agreements. The General Partner invested $128,000 in the Partnership at the outset of trading and purchased additional Units for $6,500 during fiscal year 1985. The net asset value of the General Partner's interest in the Partnership, after the redemption of 583 Unit-equivalents for $355,239 on October 1, 1988, 379 Unit-equivalents for $248,362 on November 1, 1991 and 111 Unit-equivalents for $91,757 on October 31, 1994, was $254,485 as of October 31, 2003. The Partnership's trading manager from the inception of trading until August 1, 1988 had been Millburn Partners, a New Jersey partnership. On August 1, 1988, Millburn Ridgefield Corporation, a Delaware corporation whose sole shareholders consisted of the former partners of Millburn Partners, became the commodity trading advisor for all public commodity pools previously managed by Millburn Partners. Effective January 1, 1990, the General Partner replaced Millburn Ridgefield Corporation as the Partnership's trading manager with Baldwin Financial Corporation, a Delaware corporation. The Management Contract with Baldwin Financial Company was 2 assigned to MC Baldwin Financial Company as of January 1, 1992. MC Baldwin Financial Company served as trading manager for the Partnership until December 31, 1995. Effective January 1, 1996, the General Partner entered into a Trading Manager Agreement whereby it assumed the role of trading manager for the Partnership (the "Trading Manager"). The Partnership is a multi-advisor commodity pool and the Trading Manager allocates the assets of the Partnership among several trading advisors to direct the Partnership's futures and forward trading. References to the Trading Manager from the inception of the Partnership's trading through December 31, 1989 refer to Millburn Ridgefield Corporation, from January 1, 1990 through January 1, 1996 to MC Baldwin Financial Company and on and after January 1, 1996 to Heinold Asset Management, Inc. The Trading Manager receives a monthly management fee at an annual rate of 4% of the month-end Net Asset Value of the Partnership. The Trading Manager in turn will pay to each trading advisor a management fee equal to 2% to 3% of the assets allocated to each trading advisor to be calculated and paid monthly. The Trading Manager will also receive an incentive fee equal to 20% of any New Trading Profit, as defined in the Partnership's offering document, attributable to each trading advisor to be calculated and paid quarterly or annually. The Trading Manager in turn will pay to each trading advisor an incentive fee equal to 15% to 20% of any New Trading Profit attributable to each trading advisor to be calculated and paid quarterly or annually. On April 1, 1996, the Partnership, pursuant to an exemption from the Commodity Futures Trading Commission (the "CFTC"), was permitted to cease trading on a stand-alone basis. On that date, the Partnership elected to continue to allocate a portion of its assets to managed accounts with commodity trading advisors and to trade the remaining assets through participation in a series of private general partnerships ("Account Partnerships") formed together with other pools of which the General Partner acts as general partner. Only pools of which the General Partner acts as general partner are permitted to participate in these Account Partnerships, and all such pools share pro rata in the profits and losses of the Account Partnerships based on the capital that each pool commits to each such Account Partnership. Because the Account Partnerships combine the assets of numerous pools, they make it possible for even the smaller pools to have access to a number of commodity trading advisors without need of meeting each commodity trading advisors' minimum account size requirements. Although the General Partner has agreed to various incremental accounting procedures, the operation of the Account Partnerships is effectively transparent to the Unitholders. Subsequent to December 1, 1997, substantially all of the Partnership's assets were allocated to the Account Partnerships. The Partnership pays commodity brokerage commissions to the Commodity Broker at an annual rate of 7% of month-end Net Assets per year, plus National Futures Association ("NFA") and give-up fees. 3 Regulation Under the Commodity Exchange Act, as amended (the "Act"), commodity exchanges and futures trading are subject to regulation by the CFTC. The National Futures Association, a "registered futures association" under the Act, is the only non-exchange self-regulatory organization for futures industry professionals. The CFTC has delegated to the NFA responsibility for the registration of "commodity trading advisors," "commodity pool operators," "futures commission merchants," "introducing brokers" and their respective associated persons and "floor brokers." The Act requires "commodity pool operators," such as the General Partner, "commodity trading advisors," such as the Trading Manager and the Trading Advisors, and commodity brokers or "futures commission merchants," such as the Commodity Broker, to be registered and to comply with various reporting and record keeping requirements. The General Partner, the Trading Advisors, and the Commodity Broker are all members of the NFA. The CFTC may suspend a commodity pool operator's or commodity trading advisor's registration if it finds that its trading practices tend to disrupt orderly market conditions or in certain other situations. In the event that the registration of the General Partner as a commodity pool operator or the Trading Advisors' registrations as commodity trading advisors were terminated or suspended, the General Partner and the Trading Advisors would be unable to continue to manage the business of the Partnership, select the Trading Advisors and direct the Partnership's futures and forward trading, respectively. Should the General Partner's registration be suspended, termination of the Partnership might result. As members of the NFA, the General Partner, the Trading Manager, the Trading Advisors and the Commodity Broker are subject to NFA standards relating to fair trade practices, financial condition and customer protection. As the self-regulatory body of the futures industry, the NFA promulgates rules governing the conduct of futures industry professionals and disciplines those professionals which do not comply with such standards. In addition to such registration requirements, the CFTC and certain futures exchanges have established limits on the maximum net long or net short position which any person may hold or control in particular futures contracts. The CFTC has adopted a rule requiring all domestic futures exchanges to submit for approval speculative position limits for all futures contracts traded on such exchanges. Many exchanges also limit the changes in futures contract prices that may occur during a single trading day. The Partnership may trade on foreign commodity exchanges that are not subject to regulation by any United States government agency. (b) Financial information about industry segments. The Partnership's business constitutes only one segment for financial reporting purposes; speculative trading of futures, options on futures and forward contracts. The Partnership does not engage in sales of goods or services. The Partnership's revenue, operating profit and total assets for each of the five fiscal years in the period ended October 31, 2003 are set forth under "Item 6. Selected Financial Data." 4 (c) Narrative description of business. (1) See Items 1(a) and (b) above. (xiii) -- the Partnership has no employees. (d) Financial information about foreign and domestic operations and export sales. The Partnership does not engage in sales of goods or services. See "Item 1(b). Financial information about industry segments." Item 2. Properties. The Partnership does not own any properties. Under the terms of the Limited Partnership Agreement, the General Partner performs the following services for the Partnership: (1) Manages the business of the Partnership. Pursuant to this authority, the General Partner has entered into a Management Agreement with the Partnership (under which the Trading Manager will serve as trading manager and will retain trading advisors who will have complete discretion with respect to determination of the Partnership's trading decisions) and a Customer Agreement with the Commodity Broker (pursuant to which the Commodity Broker executes all trades on behalf of the Partnership based on instructions of the trading advisors selected by the Trading Manager). (2) Maintains the Partnership's books and records, which Limited Partners or their duly authorized representatives may inspect during normal business hours for any proper purpose upon 10 days' written notice to the General Partner. (3) Furnishes each Limited Partner with a monthly statement describing the performance of the Partnership which sets forth aggregate incentive fee allocations, brokerage commissions and other expenses incurred or accrued by the Partnership during the month. (4) Forwards annual audited financial statements to each Limited Partner. (5) Provides to each Limited Partner tax information necessary for the preparation of his or her annual federal income tax return. (6) Performs secretarial and other clerical responsibilities and furnishes office space, equipment and supplies as may be necessary for supervising the affairs of the Partnership. (7) Administers the redemption of Units. 5 Item 3. Legal Proceedings. The General Partner is not aware of any pending legal proceedings to which the Partnership is a party or to which any of its assets are subject. In addition, there are no pending material proceedings involving the General Partner. Item 4. Submission of Matters to a Vote of Security Holders. None. PART II Item 5. Market for the Registrant's Common Equity and Related Stockholder Matters. (a) Market Information. There is no trading market for the Units, and none is likely to develop. The Units are transferable only after written notice has been given to and approved by the General Partner. Units may be and have been redeemed upon 10 days' notice at their Net Asset Value as of the end of any month, as provided in the Limited Partnership Agreement. In the event that all Units for which redemption is requested cannot be redeemed as of any redemption date, Units will be redeemed in the order that requests for redemption have been received by the General Partner. (b) Holders. As of November 1, 2003, there were 377 holders of Units. (c) Dividends. No distributions or dividends have been made on the Units and the General Partner has no present intention to make any. Item 6. Selected Financial Data. The following is a summary of operations of the Partnership for each of the five fiscal years in the period ended October 31, 2003. 6

Fiscal Fiscal Fiscal Fiscal Fiscal Year Ended Year Ended Year Ended Year Ended Year Ended October 31, October 31, October 31, October 31, October 31, 2003 2002 2001 2000 1999 ~~1998~~ ----~~------~~ ----~~-------~~ ----~~------~~ ----~~-------~~ ----~~-------~~ Net gain (loss) on trading of futures and forward contracts $ 1,103,325 $ 379,060 $ 3,411,109 $ (130,950) $ (482,764) ~~$ 2,170,135~~ Interest income 68,668 108,814 319,986 471,942 433,133 ~~612,846~~ ------------ ------------ ------------ ------------ ------------ Total income (loss) 1,171,993 487,874 3,731,095 340,992 (49,631) ~~2,782,981~~ ============ ============ ============ ============ ============ Brokerage commissions 621,866 621,027 686,884 718,235 896,686 ~~972,546~~ Management fees 344,570 349,622 386,975 403,524 505,109 ~~544,528~~ Incentive fees 27,355 35,822 208,825 0 21,155 ~~367,066~~ Other 57,000 29,494 31,394 26,600 49,200 ~~55,302~~ ------------ ------------ ------------ ------------ ------------ Total expenses 1,050,771 1,035,965 1,314,078 1,148,359 1,472,150 ~~1,939,442~~ ============ ============ ============ ============ ============ Net income (loss) $ 121,222 $ (548,091) $ 2,417,017 $ (807,367) $ (1,521,781) ~~$ 843,539~~ ============ ============ ============ ============ ============ Net income (loss) allocated to: General Partner $ 3,868 $ (13,347) $ 59,613 $ (17,420) $ (30,133) ~~$ 16,394~~ ============ ============ ============ ============ ============ Limited Partners $ 117,354 $ (534,744) $ 2,357,404 $ (789,947) $ (1,491,648) ~~$ 827,145~~ ============ ============ ============ ============ ============ Net income (loss) for a unit of partnership interest (for a unit outstanding throughout each year) $ 17.58 $ (60.66) $ 270.96 $ (79.19) $ (136.96) ~~$ 74.52~~ ============ ============ ============ ============ ============ Total assets $ 8,536,063 $ 8,977,562 $ 10,331,944 $ 8,918,596 $ 11,083,035 ~~$14,045,326~~ ============ ============ ============ ============ ============

7 Item 7. Management's Discussion and Analysis of Financial Condition and Results of Operations. Reference is made to "Item 6. Selected Financial Data." and "Item 8. Financial Statements and Supplementary Data." The information contained therein is essential to, and should be read in conjunction with, the following analysis. Critical Accounting Policies Asset Valuation The Partnership's investments in Account Partnerships are valued at fair value as determined by the General Partner. In determining fair value, the General Partner utilizes the valuations of the affiliated general partnerships which are based entirely on the investments of the affiliated general partnerships. The affiliated general partnerships value their underlying financial instruments on a mark-to-market basis of accounting, using daily settlement prices established by the exchange on which the instruments are traded. Revenue Recognition The Partnership recognizes equity in income (loss) of the Account Partnerships, which represents the Partnership's pro-rata share of profits and losses arising from its investment in these Account Partnerships. The Account Partnerships recognize realized and unrealized trading gains and losses on futures and forward contracts, which represent the difference between cost and selling price or quoted value, in the current period. All trading activities are accounted for on a trade-date basis. Assets, liabilities, gains and losses denominated in foreign currencies are translated at end-of-period spot exchange rates. The resulting net realized and unrealized foreign exchange gains and losses are not material and are reflected as equity in income (loss) of affiliated general partnerships on the statements of operations. Income and Expenses Income consists of interest income, which is recognized on an accrual basis. Expenses consist of those as described in Note 3 of the financial statements and are recorded on an accrual basis. Net income (loss) per unit of Partnership interest is equal to the change in net asset value per unit from the beginning of the year to the end of the year. The Account Partnerships incur no expenses. Recent Accounting Pronouncement In January 2003, the Financial Accounting Standards Board ("FASB") issued FASB Interpretation No. 46, Consolidation of Variable Interest Entities ("FIN 46"). FIN 46 addresses consolidation by business enterprises of variable interest entities. In August 2003, the FASB delayed the effective date of FIN 46 for non-registered investment companies that currently account for their investments in accordance with the specialized accounting guidance in the AICPA Audit and Accounting Guide, Audits of Investment Companies (the "Audit Guide"). The Partnership accounts for its investments in this manner and thus is subject to the deferral. The FASB delayed the effective date while the AICPA finalizes its Statement of Position ("SOP") on the clarification of the scope of the Audit Guide and accounting by the parent companies and equity method investors for investments in investment companies. When the AICPA issues the 8 final SOP, the FASB will consider modifying paragraph 4(e) of Interpretation 46 to provide an exception for companies that apply the Audit Guide as revised by the SOP. As General Partner of the Partnership, Heinold Asset Management, Inc. has not yet determined if the Partnership would be required to consolidate certain affiliated General Partnerships if FIN 46 becomes effective for the Partnership. Each of these related party entities are described in further detail in Note 4 of the financial statements. The General Partner estimates that the Partnership's maximum exposure to loss as a result of its involvement with these affiliated General Partnerships is limited to their carrying value as recorded in the Statement of Financial Condition. Capital Resources The Partnership does not intend to raise any additional capital through borrowing and because it is a closed-end fund, it cannot sell any additional Units unless it undertakes a new public offering, which would require a registration statement to be filed with the Securities and Exchange Commission. Due to the nature of the Partnership's business, it will make no significant capital expenditures, and substantially all its assets are and will be represented by cash, U.S. Treasury securities and investments in futures, options on futures and forward contracts. Liquidity Many United States commodity exchanges limit fluctuations in futures contract prices during a single day by regulations referred to as "daily price fluctuation limits" or "daily limits." During a single trading day, no trades may be executed at prices beyond the daily limit. Once the price of a futures contract has reached the daily limit for that day, positions in that contract can neither be taken nor liquidated. Futures prices have occasionally moved the daily limit for several consecutive days with little or no trading. Similar occurrences could prevent the Partnership from promptly liquidating unfavorable positions and subject the Partnership to substantial losses that could exceed the margin initially committed to such trades. In addition, even if futures prices have not moved the daily limit, the Partnership may not be able to execute futures trades at favorable prices if little trading in such contracts is taking place. Generally, forward contracts can be closed out (offset) at the discretion of the Trading Advisor. However, if the market is not liquid, it could prevent the timely closeout of an unfavorable position until the delivery date, regardless of the changes in their value or the Trading Advisors' investment strategies. Other than these limitations on liquidity, which are inherent in the Partnership's trading operations, the Partnership's assets are highly liquid and are expected to remain so. On an operational basis, the Partnership maintains cash significant to fund commissions and other ordinary expenses incurred. Results of Operations Operating results showed a profit for the fiscal year ended October 31, 2003, a loss for the fiscal year ended October 31, 2002 and a profit for the fiscal year ended October 31, 2001. 9 The Net Asset Value per Unit as of October 31, 2003, October 31, 2002 and October 31, 2001 was $1,156.75, $1,139.17 and $1,199.83, respectively. The increase for the fiscal year ended October 31, 2003 represented an increase of 1.54%. The net realized trading gains (losses) on closed contracts for the fiscal years ended October 31, 2003, October 31, 2002 and October 31, 2001 were $796,377, $1,125,630 and $2,705,630, respectively. Fiscal Year 2003 During the first quarter, gains were seen in both agricultural products and metals, most notably long gold positions as the demand for gold increased due to renewed interest as a safe investment in uncertain times. Long positions on crude oil were also profitable, as the price for oil rose due to tensions in the Middle East. As the weakening US Dollar continued to decline in light of the anticipated conflict with Iraq and potential problems with North Korea, short US Dollar positions against other major currencies such as the Euro and the Swiss Franc created significant profits. During the second quarter, the Partnership netted a loss. Volatility due to international tensions and economic worries kept the markets from getting a general sense of direction. As a result, the Partnership showed both gains and losses in various commodities, finishing the period with a slight loss. Gains on long crude oil positions due to oil prices reaching highs in February were turned to losses in March, as prices dropped considerably. Trading in currencies also showed both gains and losses as prolonged anxiety about the war was reflected in narrow price changes in most major currencies. US Treasury positions posted losses, then gains, while long Euro Bond positions posted negative returns after sharp price falls. The Partnership began the third quarter by posting strong gains in the currency and interest rate sectors. The continued downtrend of the US Dollar caused the Euro to hit four-year highs against the Dollar, the Yen and the British Pound. The Partnership recognized considerable profits in short US Dollar positions against the Euro, as well as long Euro positions against the Yen. Mid-quarter, performance turned towards the negative, as unfavorable conditions in other market sectors such as agricultural futures, metals, and equity indices posted losses for the month. Long gold positions performed poorly, while the energy and bond sectors also recorded losses. Towards the end of the quarter, losses were posted in part due to highly volatile currency markets. The US Dollar started to rise, causing the short US Dollar positions which were extremely profitable earlier in the period to decline. A surge in the Yen also hurt performance in the currency sector. During the fourth quarter, the most influential factor affecting trading seemed to be the mixed economic data released throughout the period. Early in the quarter, losses were posted on S&P futures, Treasury Bonds and 10-year Note futures, as economic data was less optimistic than data published earlier in the summer. Later in the quarter, the Partnership saw profits with long positions on the S&P as much awaited positive economic data drove the 10 markets higher. Metals also showed mixed results. Trading was unprofitable in precious metals such as gold and silver as the improving global economic outlook made safer investments less appealing, while industrial metals, particularly long copper positions, showed profits which offset losses as copper climbed to multi-year highs in October. Losses were posted overall in crude oil, as early profits from long positions were later offset as crude fell sharply in September, then again surged upward due to OPEC's announcement of future production cuts. The agricultural sector was consistently profitable throughout the period, as cold weather forcasts across the Midwest and tight supplies pushed prices higher. The Partnership showed gains on soybeans, soymeal, and cotton, most notably long soybean positions, as prices reached their highest levels since 1995. Fiscal Year 2002 During the first half of fiscal year 2002, the Partnership was hindered by short positions in Aluminum, Copper and Nickel. These short metal positions were unprofitable as worldwide demand continued to be strong for industrial metals. Also, losses were incurred in short foreign currency positions due to the continued decline of the US Dollar resulting from weak economic data and the uncertain direction of interest rates. During the second half of fiscal year 2002, the Net Asset Value of the Partnership increased by 14.77%. Gains resulted during the period due to long positions in British-Pounds, Euro Dollars, Swiss Franc, and the Japanese Yen. These long positions were profitable as investors began reconsidering their expectations of future interest rate hikes causing the US dollar to decline against major foreign currencies. Further gains were earned in the financial sectors as domestic bond yields continued to fall, enabling the portfolios to benefit from its long bond exposure in US 2-year notes, 5-year notes, and 10-year notes. Also, gains were realized from long positions in Crude Oil, Heating Oil, Unleaded Gas, and Natural Gas as energy prices continued their upward trends. 11 Fiscal Year 2001 For fiscal year 2001, the Partnership's Net Asset Value per Unit increased from $928.87 at October 31, 2000 to $1,199.83 at October 31, 2001. This increase resulted in a 29.17% increase for the fiscal year. The majority of the gains resulted from trading activities in November and December where the Partnership's Net Asset Value per Unit increased 14.95%. Gains resulted during this period due to long positions in the Euro Dollar, Swiss Franc, British Pound and the Eurex E-Bund. These gains resulted from the continued decline in the US Dollar based on changed expectations of future levels of US interest rates. Additional profits were realized from short S&P 500 Index positions as the Index declined by over 12% due primarily to the continued weak US economy and the terrorist attacks against the US on September 11, 2001. The Partnership realized further gains in long agricultural positions. The Partnership experienced losses in long positions in fixed income instruments as global interest rates slightly increased during the year. Further losses were incurred in short precious metals positions as prices edged upwards. Such losses, however, were not enough to offset the Partnership's profits. Inflation is not a significant factor in the Partnership's profitability. Item 7A. Quantitative and Qualitative Disclosures About Market Risk. The Partnership is a commodity pool which invests in, and is a general partner of, a series of Account Partnerships as discussed in Item 1. The Account Partnerships engage exclusively in the speculative trading of futures, options on futures and forward contracts. The market-sensitive instruments held by the underlying Account Partnerships are acquired for speculative trading purposes only and, as a result, all or substantially all of the Partnership's assets are at risk of trading loss. Unlike an operating company, the risk of market-sensitive instruments is integral, not incidental, to the Partnership's main business activities. The futures and forwards traded by the Partnership involve varying degrees of related market risk. Market risk is often dependent upon changes in the level or volatility of interest rates, exchange rates, and prices of financial instruments and commodities. Fluctuations in market risk based upon these factors result in frequent changes in the fair value of the Partnership's open positions, and consequently in its earnings. The Partnership's total market risk is influenced by a wide variety of factors, including, but not limited to, the diversification among the Partnership's open positions, the volatility present within the markets, and the liquidity of the markets. At different times, each of these factors may act to increase or decrease the market risk associated with the Partnership. 12 The Partnership's past performance is not necessarily indicative of its future results. Any attempt to numerically quantify the Partnership's market risk is limited by the uncertainty of its speculative trading. The Partnership's speculative trading may cause future losses and volatility that far exceed the Partnership's experience to date or any reasonable expectations based upon historical changes in market value. While the Partnership has general partner liability with respect to the Account Partnerships, as a limited partnership, each of the Partnership's limited partners' risk is limited to the amount of their respective investments. The General Partner of the Partnership would be liable for any losses exceeding the carrying value of the investments for the Partnership as a whole. Notwithstanding, the General Partner estimates that the Partnership's maximum exposure to loss as a result of its investments with the Account Partnerships is limited to their carrying value as recorded in the Statement of Financial Condition. Item 8. Financial Statements and Supplementary Data. Financial statements are listed on page F-1 of this report. Selected unaudited quarterly financial information is as follows:

Net Income (Loss) Total Income (Loss) Net Income (Loss) per ~~unit~~Unit ------------------ ---------------- ----------------- October 31, ~~2002~~2003 $ ~~368~~173,~~645~~989 $ 9(75,~~378~~348) $ 1(10.1820) July 31, ~~2002~~2003 $ 1257,~~449,551~~072 $ 1(10,~~175,412~~717) $ ~~145~~(1.4549) April 30, ~~2002~~2003 $ (~~218~~38,~~157~~901) $ (~~452~~286,~~665~~828) $ (5438.8125) January 31, ~~2002~~2003 $(1 779,~~112,165)~~833 $(1 494,~~280,216)~~115 $~~(152~~ 67.~~48)~~52 October 31, ~~2001~~2002 $ 1368,~~382,016~~645 $ ~~944~~9,~~700~~378 $ ~~110~~1.9718 July 31, ~~2001~~2002 $ ~~224~~1,~~075~~449,551 $ ~~(44~~1,~~997)~~175,412 $ (5145.~~23)~~45 April 30, ~~2001~~2002 $ ~~519~~(218,~~173~~157) $ ~~180~~(452,~~255~~665) $ 19(54.9081) January 31, ~~2001~~2002 $ (1,~~605~~112,~~831~~165) $ (1,~~337~~280,~~059~~216) $ ~~145~~(152.3248)

13 Item 9. Changes in and Disagreements with Accountants on Accounting and Financial Disclosure. The Partnership filed a Form 8-K on September 13, 2002 indicating a change in auditors for the fiscal year ended October 31, 2002. Such Form 8-K is herein incorporated by reference. A report from Ernst & Young LLP dated December 7, 2001 related to their audit of the financial statements for the period ended October 31, 2001 is filed as part of the financial statements to this report. Item 9A. Controls and Procedures. (a) As of the end of the period covered by this report, the General Partner, on behalf of the Partnership, carried out an evaluation, under the supervision and with the participation of the General Partner's management, including its Chief Executive Officer and Chief Financial Officer, of the effectiveness of the Partnership's disclosure controls and procedures required by Exchange Act Rule 13a-15(e) and 15d-15(e). Based upon that evaluation, the General Partner's Chief Executive Officer and Chief Financial Officer have concluded that the Partnership's disclosure controls and procedures are effective. (b) There have been no significant changes in the Partnership's internal controls or in other factors that materially affected or could materially affect these controls subsequent to the date of their evaluation. PART III Item 10. Directors and Executive Officers of the Registrant. The Partnership has no directors or executive officers. The Partnership is managed by its General Partner. There are no "significant employees" of the Partnership. The General Partner is a commodity pool operator registered with the NFA. Item 11. Executive Compensation. The Partnership has no directors or officers. The General Partner performs the services described in "Item 2. Properties." herein. Man Financial Inc. acts as the Partnership's commodity broker pursuant to the Customer Agreement described in "Item 1(a). General development of business." Man Capital L.L.C. and Man Financial Ltd. act as the Partnership's forward dealer pursuant to the Customer Account Agreements described in "Item 1(a). General development of business." The General Partner participates in any appreciation in the net assets of the Partnership in proportion to its investment in it. 14 Item 12. Security Ownership of Certain Beneficial Owners and Management. (a) Security ownership of certain beneficial owners. The Partnership knows of no person who owns beneficially more than 5% of the Units. (b) Security ownership of management. Under the terms of the Limited Partnership Agreement, the Partnership's affairs are managed by the General Partner. The Trading Manager who also acts as General Partner, pursuant to its Management Agreement with the Partnership, enters into Management Contracts with the Trading Advisors who have discretionary authority over the Partnership's futures and forward contract trading. The General Partner owned 220 Unit-equivalents valued at $254,485 as of October 31, 2003, 3.02% of the Partnership's total equity. (c) Changes in control. None Item 13. Certain Relationships and Related Transactions. See "Item 11. Executive Compensation" and "Item 12. Security Ownership of Certain Beneficial Owners and Management." Item 14. Principal Accounting Fees and Services. (a) Audit Fees. The aggregate fees billed for each of the last two fiscal years for services rendered by the Partnership's principal auditor, PricewaterhouseCoopers LLP ("PWC"), for the audit of the Partnership's annual financial statements and review of financial statements included in the Partnership's Form 10-Q and services that are normally provided in connection with statutory and regulatory filings or engagements for those fiscal years were as follows: ~~2002 $ 34,200 2003 $ 48,750~~

Of the amounts listed above, the Partnership was allocated $11,200 and $26,250 for the years ended 2002 and 2003, respectively. The remaining amounts were paid by the General Partner. The aggregate fees billed for fiscal year 2001 for services rendered by the Partnership's former principal auditor, Ernst & Young LLP, for the audit of the Partnership's 2001 financial statements and review of the financial statements included in the Partnership's 15 Form 10-Q for the first two quarters of 2002, was $12,000. Of this amount, the Partnership was allocated $8,500. The remaining amount was paid by the General Partner. (b) Audit-Related Fees. The aggregate fees billed for each of the last two fiscal years for assurance and related services by PWC that are reasonably related to the performance of the audit or review of the Partnership's financial statements and are not reported in Item 14 (a) Audit Fees were as follows: ~~2002 $ 0 2003 $ 12,500~~

These fees related to services provided by PWC in connection with comment letters from the Securities and Exchange Commission relating to the Partnership's Form 10-K for the fiscal year ended October 31, 2002. The entire amount of the fees above were paid by the General Partner. (c) Tax Fees. There were no fees billed for each of the last two fiscal years for professional services rendered by PWC for tax compliance, tax advice, and tax planning. (d) All Other Fees. There were no fees billed for each of the last two fiscal years for products and services provided by PWC other than the services reported in Item 14 (a) Audit Fees and Item 14 (b) Audit-Related Fees. (e) Procedures for Pre-Approval of Audit and Permissible Non-Audit Services of Independent Auditor The Board of Directors of the Partnership's General Partner is responsible for reviewing and approving, in advance, any audit and any permissible non-audit engagement or relationship between the Partnership and its independent auditors. PWC's engagement to conduct the audit of the Partnership was approved by the Board of Directors on November 13, 2002. 16 PART IV Item 15. Exhibits, Financial Statement Schedules and Reports on Form 8-K. (a)(1) Financial Statements: See Index to Financial Statements, infra. (a)(2) Financial Statement Schedules: All Schedules are omitted for the reason that they are not required, are not applicable, or because equivalent information has been included in the financial statements or the notes thereto. (a)(3) Exhibits as required by Item 601 of Regulation S-K: (3) Articles of Incorporation and By-Laws: (a) Limited Partnership Agreement dated as of November 27, 1978, as amended on February 15, 1979. (b) Certificate of Limited Partnership of the Partnership as filed with the Cook County Recorder of Deeds on November 30, 1978. The above exhibits are incorporated by reference from the Form 10-K Annual Report filed by the Partnership for the period ended October 31, 1978. (c) Form LP-1205 of the Partnership, as filed with the Illinois Secretary of State on July 31, 1987, electing to be governed under the Illinois Revised Uniform Limited Partnership Act. The above exhibit is incorporated by reference from the Partnership's report on Form 10-K for the fiscal year ended October 31, 1987. (10) Material Contracts: (a) Joint Venture Agreement dated as of April 1, 1987 between the Partnership and Millburn Partners. (b) Customer Agreement dated as of April 1, 1987 between the Joint Venture and Geldermann. 17 The above exhibits are incorporated by reference from the Partnership's report on Form 10-K for the fiscal year ended October 31, 1987. (c) Amendment No. 1 to the Joint Venture Agreement between the Partnership and Millburn Partners dated December 31, 1987. (d) Amendment No. 1 to the Customer Agreement between the Joint Venture and Geldermann dated December 31, 1987. (e) Amendment No. 2 to the Joint Venture Agreement between the Partnership and Millburn Ridgefield Corporation dated December 31, 1988. The above exhibits are incorporated by reference from the Partnership's report on Form 10-K for the Fiscal Year ended October 31, 1988. (f) Management Agreement dated December 14, 1989 between the Partnership and the Trading Manager. The above exhibit is incorporated by reference from the Partnership's report on Form 10-K filed on January 16, 1990. (g) Amendment No. 1 to the Management Contract dated December 31, 1991 between the Partnership and the Trading Manager. The above exhibit is incorporated by reference from the Partnership's report on Form 8-K filed on January 28, 1991. (h) Amendment No. 2 to the Management Contract dated December 31, 1992 between the Partnership and the Trading Manager. The above exhibit is incorporated by reference from the Partnership's report on Form 10-K filed on January 31, 1993. (i) Amendment No. 3 to the Management Contract dated December 31, 1993 between the Partnership and the Trading Manager. The above exhibit is incorporated by reference from the Partnership's report on Form 10-K filed on January 31, 1994. (j) Amendment No. 4 to the Management Contract dated December 31, 1994 between the Partnership and the Trading Manager. The above exhibit is incorporated by reference from the Partnership's report on Form 10-K filed on January 31, 1995. 18 (k) Trading Manager Agreement dated January 1, 1996 among the Partnership and the Trading Manager. (l) Form of General Partnership Agreement among various commodity pools of which Heinold Asset Management, Inc. acts as sole general partner. (m) Form of Management Contract among each Account Partnership and each trading advisor. (n) Form of Management Contract among the Partnership and each trading advisor. The above exhibits are incorporated by reference from the Partnership's report on Form 10-K filed on January 31, 1996. (o) Back Office Service Agreement dated November 1, 1996 among Managed Asset Service Corp., the General Partner and the Partnership. The above exhibit is incorporated by reference from the Partnership's report on Form 10-K filed on January 28, 1997. 31.1 Certification pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 302 of the Sarbanes-Oxley Act of 2002. 31.2 Certification pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 302 of the Sarbanes-Oxley Act of 2002. 32.1 Certification pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002. 32.2 Certification pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002. The above exhibits are filed herewith. 19 (b) Reports on Form 8-K The Partnership did not file any reports on Form 8-K during the quarter ended October 31, 2003. (d) Financial Statements of Subsidiaries (1) Heinold General Partnership Account III (2) Heinold General Partnership Account IV (3) Heinold General Partnership Account V (4) Heinold General partnership Account IX (5) Consent of Ernst & Young LLP The above exhibits are filed herewith. 20 SIGNATURES Pursuant to the requirements of Section 13 or 15(d) of the Securities Exchange Act of 1934, the Registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized, in the City of Chicago and State of Illinois on the 13th day of January, 2004. THE FUTURE FUND By HEINOLD ASSET MANAGEMENT, INC. General Partner By /s/ Thomas M. Harte ------------------- Thomas M. Harte President Pursuant to the requirements of the Securities Exchange Act of 1934, this report has been signed below by the following persons on behalf of the General Partner of the Registrant in the capacities and on the date indicated.

~~ASSETS~~Title ~~2002~~with ~~2001~~Signature ~~Investment~~General inPartner ~~affiliated~~Date ~~general partnerships $ 6,323,951 $ 5,463,508 Due from affiliated broker 2,653,611 4,843,869 Other assets~~ - ~~24,567~~ -------- --- ------------ ~~Total~~---- ~~assets~~/s/ $Thomas ~~8,977,562~~M. ~~$10,331,944~~Harte ~~===========~~President ~~===========~~(chief ~~LIABILITIES~~operating ~~AND~~January ~~PARTNERS' EQUITY Current liabilities: Brokerage commissions $ 52~~13,~~230~~ $2004 ~~60,262 Redemptions payable 11,346 39,439 Management fees 29,486 34,105 Incentive fees~~ - ~~91,719 Other liabilities 23,832 1,397~~ ----------- ----------- ~~Total~~officer) ~~liabilities 116,894 226,922 ----------- ----------- Partners' equity: Limited partners (7,558~~ and ~~8,202~~Director ~~units~~Thomas ~~outstanding~~M. atHarte ~~October~~/s/ ~~31,~~Ira ~~2002~~Polk ~~and~~Chief ~~2001,~~Financial ~~respectively)~~Officer ~~8,610,051~~January 913,~~841,058~~ ~~General~~2004 ~~partner (220 unit equivalents outstanding at October 31, 2002 and 2001, respectively) 250,617 263,964~~ ----------- -------~~----~~ ~~Total~~(principal ~~partners'~~accounting ~~equity~~officer) ~~8,860,668~~Ira ~~10,105,022~~Polk ~~----------- ----------- Total liabilities~~ and ~~partners' equity $ 8,977,562 $10,331,944 =========== =========== Net asset value per outstanding unit of partnership interest $ 1,139.17 $ 1,199.83 =========== ===========~~Director

(Being the principal executive officer, the principal financial and accounting officer, and a majority of the directors of Heinold Asset Management, Inc.) HEINOLD ASSET General Partner of January 13, 2004 MANAGEMENT, INC. Registrant By /s/ Thomas M. Harte ------------------- Thomas M. Harte President

21 THE FUTURE FUND (AN ILLINOIS LIMITED PARTNERSHIP) FINANCIAL STATEMENTS OCTOBER 31, 2003, 2002, AND 2001 THE FUTURE FUND (AN ILLINOIS LIMITED PARTNERSHIP) INDEX OCTOBER 31, 2003, 2002, AND 2001

~~2002 2001 2000 Equity in income~~ PAGE(~~loss~~S) of affiliated general partnerships: Net realized trading gains (losses) on closed contracts $ 1,125,630 $ 2,705,630 $ (613,398) Change in net unrealized gains or losses on open contracts (746,570) 705,479 482,448 -------~~----~~ ~~-----------~~REPORTS ~~-----------~~OF ~~379,060~~INDEPENDENT ~~3,411,109~~AUDITORS............ (130,950) Interest income 108,814 319,986 471,942 ----------- ----------- ----------- 487,874 3,731,095 340,992 ----------- ----------- ----------- Expenses: Brokerage commissions 621,027 686,884 718,235 Management fees 349,622 386,975 403,524 Incentive fees 35,822 208,825 - Other 29,494 31,394 26,600 ----------- ----------- ----------- 1~~,035,965 1,314,078 1,148,359~~ -~~---------- ----------- ----------- Net income (loss) $ (548,091) $~~ 2~~,417,017~~ $FINANCIAL ~~(807,367)~~STATEMENTS ~~-----------~~Statements ~~-----------~~of ~~-----------~~Financial ~~Net~~Condition.......... ~~income~~3 ~~(loss)~~Statements ~~for a unit~~ of ~~partnership~~Operations................... ~~interest~~4 ~~(for~~Statements aof ~~unit~~Changes ~~outstanding~~in ~~throughout~~Partners' ~~each~~Equity.. ~~year):~~5 ~~General~~Statements ~~partner~~of $Cash ~~(60~~Flows.~~66) $ 270~~.~~96 $ (79~~.~~19) ----------- ----------- ----------- Limited partners $ (60~~.~~66) $ 270~~.~~96 $ (79~~.~~19)~~............. ~~===========~~6 ~~===========~~Notes ~~=========== Net income (loss) allocated~~ to: ~~General~~Financial ~~partner~~Statements.............. ~~$ (13,347) $ 59,613 $ (17,420)~~ 7-~~---------- ----------- ----------- Limited partners $ (534,744) $ 2,357,404 $ (789,947) =========== =========== ===========~~13

REPORT OF INDEPENDENT AUDITORS To the Board of Directors and Partners of the Future Fund: In our opinion, the accompanying statements of financial condition and the related statements of operations, changes in partners' equity and cash flows present fairly, in all material respects, the financial position of the Future Fund (the "Partnership") at October 31, 2003 and 2002, and the results of its operations, the changes in its partners' equity and its cash flows for each of the two years in the period ended October 31, 2003 in conformity with accounting principles generally accepted in the United States of America. These financial statements are the responsibility of the Partnership's General Partner; our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these statements in accordance with auditing standards generally accepted in the United States of America, which 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 examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates by the General Partner, and evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion. January 13, 2004 /s/ PRICEWATERHOUSECOOPERS LLP Chicago, Illinois PricewaterhouseCoopers LLP 1 REPORT OF INDEPENDENT AUDITORS The Partners The Future Fund We have audited the accompanying statements of operations, changes in partners' equity, and cash flows of The Future Fund (the Partnership) for the year ended October 31, 2001. These financial statements are the responsibility of the Partnership's General Partner. 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. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements. An audit also includes assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audit provides a reasonable basis for our opinion. In our opinion, the financial statements referred to above present fairly, in all material respects, the results of operations and cash flows of The Future Fund for the year ended October 31, 2001, in conformity with accounting principles generally accepted in the United States. /s/ ERNST & YOUNG LLP Chicago, Illinois December 7, 2001 2 THE FUTURE FUND (AN ILLINOIS LIMITED PARTNERSHIP) STATEMENTS OF FINANCIAL CONDITION OCTOBER 31, 2003 AND 2002

~~LIMITED~~2003 ~~GENERAL~~2002 ~~PARTNERS~~ASSETS ~~PARTNERS~~Investment ~~TOTAL~~in ~~Partners'~~affiliated ~~equity~~general atpartnerships ~~October 31~~$4,912,003 ~~1999~~ $ 106,~~694~~323,~~369~~951 $Due ~~221,771~~from $affiliated 10broker 3,~~916~~618,~~140~~402 ~~Redemption of 1~~2,~~509~~653,611 ~~units~~Other ofassets ~~limited partnership interest (1~~5,~~451,755)~~658 - ~~(1,451,755)~~---------- ~~Net~~---------- ~~loss~~Total ~~(789,947)~~assets ~~(17~~$8,~~420)~~536,063 ~~(807~~$8,~~367)~~977,562 ============ ============ ~~============~~LIABILITIES ~~Partners~~AND PARTNERS' ~~equity~~EQUITY atCurrent ~~October~~liabilities ~~31,~~Brokerage ~~2000~~commissions ~~8,452,667~~payable ~~204~~to Affiliate $ 49,~~351~~703 8$ 52,~~657,018~~230 ~~Redemption~~Redemptions ofpayable ~~898~~24,789 ~~units~~11,346 ofManagement ~~limited~~fees ~~partnership~~payable ~~interest~~to ~~(969,013)~~Trading -Manager ~~(969~~28,~~013)~~045 ~~Net~~29,486 ~~income~~Other ~~2,357,404~~liabilities 5915,~~613~~523 223,~~417,017~~832 ============ ============ ~~============~~Total liabilities 118,060 116,894 ---------- ---------- Partners' equity Limited partners (7,057 and 7,558 units outstanding at October 31, ~~2001~~2003 9and 2002,~~841,058~~ ~~263~~respectively) 8,~~964~~163,518 108,~~105~~610,~~022~~051 ~~Redemption~~General ofpartner ~~644~~(220 ~~units~~unit ofequivalents ~~limited~~outstanding) ~~partnership~~254,485 ~~interest (696~~250,~~263)~~617 ---------- ~~(696,263)~~---------- ~~Net~~Total ~~loss~~partners' ~~(534~~equity 8,~~744)~~418,003 ~~(13~~8,~~347)~~860,668 ~~(548~~---------- ---------- Total liabilities and partners' equity $8,~~091)~~536,063 ~~============~~$8,977,562 ============ ============ ~~Partners'~~Net ~~equity~~asset atvalue ~~October~~per ~~31,~~outstanding ~~2002~~unit $of ~~8,610,051~~partnership interest $ ~~250~~1,~~617~~156.75 $ 81,~~860,668~~139.17 ============ ==========~~== ============~~

The accompanying notes are an integral part of the financial statements. 3 THE FUTURE FUND (AN ILLINOIS LIMITED PARTNERSHIP) STATEMENTS OF OPERATIONS YEARS ENDED OCTOBER 31, 2003, 2002, AND 2001

2003 2002 2001 ~~2000~~EQUITY ~~Cash~~IN ~~flows~~INCOME ~~from~~(LOSS) ~~operating~~OF ~~activities:~~AFFILIATED GENERAL PARTNERSHIPS Net ~~income~~realized ~~(loss)~~trading gains on closed contracts $ ~~(548~~796,~~091)~~377 $ 21,~~417~~125,~~017~~630 $ ~~(807~~2,~~367)~~705,630 ~~Adjustments~~Change toin ~~reconcile~~ net ~~income~~unrealized gains (~~loss~~losses) toon ~~net~~open ~~cash~~contracts ~~provided~~306,948 by(746,570) ~~operating~~705,479 ~~activities:~~----------- ~~Change~~----------- in----------- ~~assets and liabilities: Due from affiliated broker 2~~1,~~190~~103,~~258~~325 ~~(26~~379,~~012)~~060 ~~652~~3,~~878~~411,109 ~~Other~~Interest ~~assets~~income 2468,~~567~~668 1108,~~279~~814 ~~(25~~319,~~846)~~986 ~~Investment~~----------- in----------- ~~affiliated~~----------- ~~general partnerships (860,443) (~~1,~~388~~171,~~615)~~993 1487,~~537~~874 3,~~407~~731,095 ----------- ----------- ----------- EXPENSES Brokerage commissions (8paid to Affiliate 621,~~032)~~866 8621,~~321~~027 ~~(12~~686,~~414)~~884 Management fees (4paid to Trading Manager 344,~~619)~~570 4349,~~945~~622 (7386,~~181)~~975 Incentive fees ~~(91~~paid to Trading Manager 27,~~719)~~335 9135,~~719~~822 -208,825 Other ~~liabilities~~administrative 22expenses 57,~~435~~000 ~~(12~~29,~~979)~~494 ~~(36~~31,~~309)~~394 ----------- ----------- ----------- 1,050,771 1,035,965 1,314,078 =========== =========== =========== Net ~~cash~~income ~~provided~~(loss) by$ ~~operating~~121,222 ~~activities~~$ ~~724~~(548,~~356~~091) ~~1,095,675~~$ 12,~~301~~417,~~168~~017 =========== =========== =========== ~~Cash~~NET ~~flows~~INCOME ~~from~~(LOSS) ~~financing~~FOR ~~activities:~~A ~~Redemption~~UNIT ofOF ~~limited~~PARTNERSHIP ~~partnership~~INTEREST ~~interests~~ (~~724,356)~~FOR ~~(1,095,675~~A UNIT OUTSTANDING THROUGHOUT EACH YEAR) General partner $ 17.58 $ (~~1,301,168~~60.66) ~~-----------~~$ ~~-----------~~270.96 ~~-----------~~=========== ~~Net~~=========== ~~cash~~=========== ~~used~~Limited inpartners ~~financing~~$ ~~activities~~17.58 ~~(724,356)~~$ (~~1,095,675~~60.66) ~~(1,301,168)~~$ 270.96 =========== =========== =========== ~~Net~~NET ~~change~~INCOME in(LOSS) ~~cash~~ALLOCATED -TO -General -partner ~~Cash~~$ at3,868 ~~beginning~~$ of(13,347) ~~year~~$ -59,613 ~~- -~~ =========== =========== =========== ~~Cash~~Limited atpartners ~~end of year~~ $ -117,354 $ -(534,744) $ -2,357,404 =========== =========== ===========

The accompanying notes are an integral part of the financial statements. 4 THE FUTURE FUND (AN ILLINOIS LIMITED PARTNERSHIP) STATEMENTS OF CHANGES IN PARTNERS' EQUITY YEARS ENDED OCTOBER 31, 2003, 2002, AND 2001

~~ALLOCATED~~LIMITED ~~ASSETS~~GENERAL PARTNERS PARTNERS TOTAL PARTNERS' EQUITY AT OCTOBER 31, 2000 $ 8,452,667 $ 204,351 $ 8,657,018 Redemption of 898 units of limited partnership interest (969,013) - (969,013) Net income 2,357,404 59,613 2,417,017 ------------ ------------ ------------~~---------~~ ~~INCREASE/~~PARTNERS' ~~(DECREASE)~~EQUITY INAT ~~TOTAL~~OCTOBER ~~PROFIT~~31, ~~TRADING~~2001 ~~TRADING~~9,841,058 ~~ALLOCATION~~263,964 ~~GENERAL~~10,105,022 ~~PARTNERSHIP~~Redemption ~~INVESTMENT~~of ~~CAPITAL~~644 ~~CAPITAL~~units ~~PERCENTAGE~~of ~~Heinold~~limited ~~General~~partnership ~~Partnership~~interest ~~Account~~(696,263) ~~III~~- ~~$ 2~~(696,~~450,064~~263) $Net loss (~~688~~534,~~752~~744) $(13,347) 1(548,~~761,312~~091) ~~45.86~~------------ %------------ ~~Heinold~~------------ ~~General~~PARTNERS' ~~Partnership~~EQUITY ~~Account~~AT IVOCTOBER ~~960~~31,~~532~~ 12002 8,~~407~~610,~~111~~051 2250,~~367~~617 8,~~643~~860,668 ~~45.86~~Redemption ~~Heinold~~of ~~General~~501 ~~Partnership~~units ~~Account~~of Vlimited ~~1,438,108~~partnership ~~1,097,676~~interest 2(563,~~535,784~~887) ~~45.86~~- ~~Heinold~~(563,887) ~~General~~Net ~~Partnership~~income ~~Account XI 1~~117,~~475,247~~354 ~~705~~3,~~622~~868 2121,~~180,869~~222 ~~45.86~~ ------------- -------------- -------------- PARTNERS' EQUITY AT OCTOBER 31, 2003 $ 68,~~323~~163,~~951~~518 $ 2254,~~521,657~~485 $ 8,~~845~~418,~~608~~003 ============= ============== ==============

The accompanying notes are an integral part of the financial statements. 5 THE FUTURE FUND (AN ILLINOIS LIMITED PARTNERSHIP) STATEMENTS OF CASH FLOWS YEARS ENDED OCTOBER 31, 2003, 2002, AND 2001

~~ALLOCATED~~2003 ~~ASSETS~~2002 2001 CASH FLOWS FROM OPERATING ACTIVITIES Net income (loss) $ 121,222 $ (548,091) $ 2,417,017 Adjustments to reconcile net income (loss) to net cash provided by operating activities Change in assets and liabilities: Investment in affiliated general partnerships 1,411,948 (860,443) (1,388,615) Due from affiliated broker (964,791) 2,190,258 (26,012) Other assets (5,658) 24,567 1,279 Brokerage commissions payable to Affiliate (2,527) (8,032) 8,321 Management fees payable to Trading Manager (1,441) (4,619) 4,945 Incentive fees payable to Trading Manager - (91,719) 91,719 Other liabilities (8,309) 22,435 (12,979) =========== =========== =========== Net cash provided by operating activities 550,444 724,356 1,095,675 ----------- ----------- -----------~~------------~~ ~~INCREASE~~CASH INFLOWS ~~TOTAL~~FROM ~~PROFIT~~FINANCING ~~TRADING~~ACTIVITIES ~~TRADING~~Redemption ~~ALLOCATION~~of ~~GENERAL~~limited ~~PARTNERSHIP~~partnership ~~INVESTMENT~~interests ~~CAPITAL CAPITAL PERCENTAGE Heinold General Partnership Account III $ 2~~(550,~~456,876~~444) ~~$ 457~~(724,~~201~~356) ~~$ 2~~(1,~~914~~095,~~077~~675) ~~46.54~~----------- %----------- ~~Heinold~~----------- ~~General~~Net ~~Partnership~~cash ~~Account~~used Vin ~~1,274,212~~financing ~~2,379,565~~activities 3(550,~~653,777~~444) ~~46.54 Heinold General Partnership Account XI 1~~(724,~~732,420~~356) (1,~~931~~095,~~332~~675) ~~3,663,752~~----------- ~~46.54~~----------- ----------- Net change in cash - - - CASH Beginning of year - - - ----------- ----------- ----------- End of year $ ~~5,463,508~~- $ ~~4,768,098~~- $ ~~10,231,606~~- ============= ===========~~===~~ ===========~~===~~

The accompanying notes are an integral part of the financial statements. 6 THE FUTURE FUND (AN ILLINOIS LIMITED PARTNERSHIP) NOTES TO FINANCIAL STATEMENTS OCTOBER 31, 2003, 2002, AND 2001 1. ORGANIZATION OF THE PARTNERSHIP The Future Fund (the "Partnership") was organized in November 1978, under the Illinois Uniform Limited Partnership Act, for purposes of engaging in the speculative trading of futures, options on futures, and forward contracts. Heinold Asset Management, Inc. ("HAMI" or the "General Partner"), a wholly owned subsidiary of Man Group USA Inc., is the general partner of the Partnership. 2. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES INVESTMENTS IN AFFILIATED GENERAL PARTNERSHIPS Investments in affiliated general partnerships are valued at fair value as determined by the General Partner. In determining fair value, the General Partner utilizes the valuations of the affiliated general partnerships which are based entirely on the investments of the affiliated general partnerships. The affiliated general partnerships value their underlying financial instruments on a mark-to-market basis of accounting, using daily settlement prices established by the exchange on which the instruments are traded. The income (loss) from investments in affiliated general partnerships are presented in the statements of operations on a pro rata basis. DUE FROM AFFILIATED BROKER Due from affiliated broker consists of balances, including interest receivable, due from Man Financial Inc ("Man"), an affiliate of the General Partner. Man pays the Partnership interest on the Partnership's daily balance at a rate generally equal to 90% of the published 90-day U.S. Treasury bill rate. Man is registered with the Commodity Futures Trading Commission ("CFTC") as a futures commission merchant and is a member of the National Futures Association, an industry self-regulatory agency. EQUITY IN INCOME (LOSS) OF AFFILIATED GENERAL PARTNERSHIPS Equity in income (loss) of affiliated general partnerships represents the Partnership's share of profits and losses arising from its investment in the affiliated general partnerships. The affiliated general partnerships recognize realized and unrealized trading gains and losses on futures and forward contracts, which represent the difference between cost and selling price or quoted value in the current period. All trading activities are accounted for on a trade -date basis. Assets, liabilities, gains and losses denominated in foreign currencies are translated at end-of-period spot exchange rates. The resulting net realized and unrealized foreign exchange gains and losses are not material and are reflected as equity in income (loss) of affiliated general partnerships on the statements of operations. INCOME AND EXPENSES Income consists of interest income and is recognized on an accrual basis. Expenses consist of those as described in Note 3 and are also recorded on an accrual basis. INCOME TAXES Income taxes are not provided for by the Partnership because taxable income (loss) of the Partnership is includable in the income tax returns of the partners. 7 THE FUTURE FUND (AN ILLINOIS LIMITED PARTNERSHIP) NOTES TO FINANCIAL STATEMENTS OCTOBER 31, 2003, 2002, AND 2001 NET INCOME (LOSS) PER UNIT Net income (loss) per unit of Partnership interest is equal to the change in net asset value per unit from the beginning of the year to the end of the year. Unit amounts are rounded to whole numbers for financial statement presentation. USE OF ESTIMATES The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America requires the General Partner to make estimates and assumptions that affect the reported amounts in the financial statements and accompanying notes. Actual results could differ from those estimates. CONTINGENCIES In the normal course of business, the Partnership enters into contracts 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. However, based on experience, the General Partner expects the risk of loss to be remote. RECENT ACCOUNTING PRONOUNCEMENT In January 2003, the Financial Accounting Standards Board ("FASB") issued FASB Interpretation No. 46, Consolidation of Variable Interest Entities ("FIN 46"). FIN 46 addresses consolidation by business enterprises of variable interest entities. In August 2003, the FASB delayed the effective date of FIN 46 for non-registered investment companies that currently account for their investments in accordance with the specialized accounting guidance in the AICPA Audit and Accounting Guide, Audits of Investment Companies (the "Audit Guide"). The Partnership accounts for its investments in this manner and thus is subject to the deferral. The FASB delayed the effective date while the AICPA finalizes its Statement of Position ("SOP") on the clarification of the scope of the Audit Guide and accounting by the parent companies and equity method investors for investments in investment companies. When the AICPA issues the final SOP, the FASB will consider modifying paragraph 4(e) of Interpretation 46 to provide an exception for companies that apply the Audit Guide as revised by the SOP. As General Partner of the Partnership, Heinold Asset Management, Inc. has not yet determined if the Partnership would be required to consolidate certain affiliated General Partnerships if FIN 46 becomes effective for the Partnership. Each of these related party entities are described in further detail in Note 4. The General Partner estimates that the Partnership's maximum exposure to loss as a result of its involvement with these affiliated General Partnerships is limited to their carrying value as recorded in the Statement of Financial Condition. 3. LIMITED PARTNERSHIP AGREEMENT The limited partners and the General Partner share in the profits and losses of the Partnership in proportion to the number of units or unit equivalents held by each partner. However, no limited partner is liable for obligations of the Partnership in excess of its capital contribution and profits, if any. Distributions (other than redemption of units), if any, are made on a pro rata basis at the sole discretion of the General Partner. 8 THE FUTURE FUND (AN ILLINOIS LIMITED PARTNERSHIP) NOTES TO FINANCIAL STATEMENTS OCTOBER 31, 2003, 2002, AND 2001 Limited partners may redeem any or all of their units as of the end of any month at net asset value per unit on ten days' prior written notice to the General Partner. The Partnership is scheduled to be dissolved on July 1, 2025, or upon the occurrence of certain events as specified in the limited partnership agreement. The Partnership is closed to new subscriptions. The Partnership bears the expenses incurred in connection with its activities. These expenses include, but are not limited to, brokerage commissions, trading advisors' management and incentive fees, legal, a portion of the audit fee, tax return preparation and filing fees. 4. INVESTMENTS IN AFFILIATED GENERAL PARTNERSHIPS The Partnership invests in a series of private affiliated general partnerships ("Account Partnerships") formed together with other limited partnerships of which HAMI acts as General Partner. The Account Partnerships engage in the speculative trading of futures and forward contracts based on their respective trading strategies. The Partnership shares pro rata in profits and losses of such Account Partnerships, based on the capital that the Partnership commits, as defined in the offering document, to each Account Partnership. A separate Account Partnership is utilized for each Commodity Trading Advisor ("Trading Advisor") that the General Partner selects to trade Partnership assets. An affiliate of the General Partner is the Trading Advisor for Heinold General Partnership Account III. Under the terms of their respective management contracts, each Trading Advisor has sole responsibility for determining the Account Partnership's trades. Each Trading Advisor has been directed by HAMI to trade each Account Partnership based on the level of capital the Partnership commits. As compensation for these services, each Trading Advisor receives a monthly management fee paid by HAMI and allocated to the Partnership based on a percentage of the Partnership's month-end assets, as defined in the offering document. Each Trading Advisor also receives a quarterly or annual incentive fee paid by HAMI and allocated to the Partnership based on a percentage of new trading profits, as defined in the offering document. The incentive fee is retained by a Trading Advisor even when trading losses, as defined in the offering document, occur in subsequent periods; however, no further incentive fees are payable until such trading losses (other than those attributable to redemptions) are recouped by the Account Partnership. At October 31, 2003, there were carryforward losses related to the Partnership for incentive fee purposes as follows: Heinold General Partnership Account III $54,145, Heinold General Partnership Account IV $96,782 and Heinold General Partnership Account VI $190,579. 9 THE FUTURE FUND (AN ILLINOIS LIMITED PARTNERSHIP) NOTES TO FINANCIAL STATEMENTS OCTOBER 31, 2003, 2002, AND 2001 At October 31, 2003, investments in and capital committed to Account Partnerships were as follows:

~~NET~~ALLOCATED ~~DUE~~ASSETS ~~UNREALIZED~~----------------------- ~~FROM~~TOTAL ~~GAIN~~TRADING ~~(LOSS)~~ACCOUNT ~~AFFILIATED~~PARTNERSHIP ONINVESTMENT ~~OPEN~~CAPITAL ~~HEINOLD~~Heinold ~~GENERAL~~General ~~PARTNERSHIP~~Partnership ~~BROKER~~Account ~~CONTRACTS TOTAL~~ III $ 51,~~312~~945,~~318~~630 $ 292,~~820~~518,838 $Heinold ~~5,342,138~~General IVPartnership ~~2,164,778~~Account ~~(70,429)~~IV 21,~~094~~292,~~349~~829 V 3,~~057~~100,~~122~~418 ~~78,539~~Heinold ~~3,135,661~~General Partnership Account XI 1,673,544 2,~~992~~794,~~885~~316 ~~223~~---------- ---------- $4,~~754~~912,003 3$8,~~216~~413,~~639~~572 ========== ==========

At October 31, 2002, investments in and capital committed to Account Partnerships were as follows:

~~NET~~ALLOCATED ~~DUE~~ASSETS ~~UNREALIZED~~----------------------- ~~FROM~~TOTAL ~~GAIN~~TRADING ~~(LOSS)~~ACCOUNT ~~AFFILIATED~~PARTNERSHIP ONINVESTMENT ~~OPEN~~CAPITAL ~~HEINOLD~~Heinold ~~GENERAL~~General ~~PARTNERSHIP~~Partnership ~~BROKER~~Account ~~CONTRACTS TOTAL~~ III $ 42,~~745~~450,~~192~~064 $ ~~534~~1,~~161~~761,312 $Heinold 5General Partnership Account IV 960,~~279~~532 2,~~353~~367,643 Heinold General Partnership Account V 21,~~476~~438,~~644~~108 ~~261,392~~ 2,~~738~~535,~~036~~784 Heinold General Partnership Account XI 1,475,247 2,~~640~~180,~~196~~869 1---------- ---------- $6,~~082~~323,~~440~~951 3$8,~~722~~845,~~636~~608 ========== ==========

In the tables above, Investment represents the corresponding amount the Partnership has invested in each Account Partnership as of the date of the Statements of Financial Condition. Total Trading Capital represents the capital committed by the Partnership to the respective Account Partnership's Trading Advisor to manage. Total Trading Capital for the Partnership as a whole represents an allocation of substantially all the Partnership's assets, less amounts withheld to cover current expenses. The difference between the total capital committed and the amount invested is additional capital committed from Partnership assets classified as Due from Affiliated Broker in the Statements of Financial Condition. At October 31, 2002, the Partnership's investment in Heinold General Partnership Account III exceeded the amount committed to the Account Partnership for trading. These funds were not included as part of the Trading Advisor's allocation and the excess of the Investment over the Trading Capital was subsequently transferred and is currently included in Due from Affiliated Broker in the Statement of Financial Condition. The Partnership's ownership percentage of the total assets of each Account Partnership (Investment) as of October 31, 2003 and 2002, and the proportionate share of Account Partnership income for the months then ended was 45.74% and 45.86%, respectively. This percentage varies monthly and is calculated as the ratio of the capital the Partnership commits to the total amount committed to the Account Partnerships at the beginning of each month. 10 THE FUTURE FUND (AN ILLINOIS LIMITED PARTNERSHIP) NOTES TO FINANCIAL STATEMENTS OCTOBER 31, 2003, 2002, AND 2001 Each of the Account Partnerships had total assets (no liabilities) consisting of the following at October 31, 2003:

Each of the Account Partnerships had total assets (no liabilities) consisting of the following at October 31, 2002:

Each of the Account Partnerships had total income (no expenses) from net realized and unrealized trading gains consisting of the following for the years ended October 31, 2003, 2002 and 2001.

General Partnership Account V ceased trading as of June 30, 2003. The Account Partnership's assets were distributed to the equity owners according to their respective investment balances. The Partnership received $1,615,483 from the liquidation of this partnership, which is included in Due from affiliated broker on the Statement of Financial Condition. 11 THE FUTURE FUND (AN ILLINOIS LIMITED PARTNERSHIP) NOTES TO FINANCIAL STATEMENTS OCTOBER 31, 2003, 2002, AND 2001 The Account Partnerships incur no expenses. Each Account Partnership's funds are held by, and its transactions cleared through, Man. These funds are used to meet minimum margin requirements for all of the Account Partnership's open positions as set by the exchange where each futures contract is traded. These requirements are adjusted, as needed, due to daily fluctuations in the values of the underlying positions. Certain positions may be liquidated, if necessary, to satisfy resulting changes in margin requirements. In the ordinary course of business, the Account Partnerships enter into forward contracts on an arms-length basis with Man Financial Ltd and Man Capital LLC, affiliates of the General Partner. 5. AGREEMENTS The Partnership has a brokerage contract with Man which provides that the Partnership pay a monthly brokerage fee of 0.5833% (7% annually) of the Partnership's month-end net assets, as defined, plus NFA fees and related give-up charges. The Trading Manager receives a monthly management fee at an annual rate of 4% of the month-end Net Asset Value of the Partnership. The Trading Manager in turn will pay to each trading advisor a management fee equal to 2% to 3% of the assets allocated to each trading advisor to be calculated and paid monthly. The Trading Manager will also receive an incentive fee equal to 20% of any New Trading Profit, as defined in the Partnership's offering document, attributable to each trading advisor to be calculated and paid quarterly. The Trading Manager in turn will pay to each trading advisor an incentive fee equal to 15% to 20% of any New Trading Profit attributable to each trading advisor to be calculated and paid quarterly. 6. DERIVATIVE FINANCIAL INSTRUMENTS The Account Partnerships trade derivative financial instruments. Derivative financial instruments involve varying degrees of market risk, whereby changes in the level or volatility of interest rates, foreign currency exchange rates, or market values of the underlying financial instruments or commodities may result in changes in the value of the financial instrument in excess of the amounts reflected in the summarized financial information of each respective General Partnership in Note 4. Credit risk arises from the potential inability of counterparties to perform in accordance with the terms of the contract. Each Account Partnership's exposure to credit risk associated with counterparty nonperformance is limited to the current cost to replace all contracts in which the Account Partnership has gains. Exchange-traded financial instruments, such as futures and options on futures contracts, give rise to limited counterparty exposure as the clearing organization acts as the counterparty to all contracts. The Partnership has general partner liability with respect to its interest in each of the Account Partnerships. The Partnership's and Account Partnership's assets held at Man are in segregated accounts as required by the Commodity Futures Trading Commission. 12 THE FUTURE FUND (AN ILLINOIS LIMITED PARTNERSHIP) NOTES TO FINANCIAL STATEMENTS OCTOBER 31, 2003, 2002, AND 2001 7. FINANCIAL HIGHLIGHTS The following represents the ratios to average limited partners' equity and other supplemental information for the year ended October 31, 2003: PER SHARE OPERATING PERFORMANCE Beginning net asset value $ 1,139.17 Income (loss) from operations Net gains on investments in affiliated general partnerships 148.91 Net investment loss* (131.33) ------------ Total from operations 17.58 ------------ Ending net asset value $ 1,156.75 ============ Total return** 1.54 % ============ RATIOS TO AVERAGE LIMITED PARTNERS' EQUITY Expenses 12.01 % ============ Net investment loss* (11.23)% ============

* Net investment loss includes all expenses net of interest income. ** An individual investors' return may vary from this return based on the timing of capital transactions. 13 OATH OF COMMODITY POOL OPERATOR To the best of my knowledge and belief, the information contained herein is accurate and complete. Heinold Asset Management, Inc. (Commodity Pool Operator) The Future Fund /S/ Ira Polk January 13, 2004 -------------------------- ---------------- Ira Polk Date Chief Financial Officer

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