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, 2003
or
[ ] TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES
EXCHANGE ACT OF 1934
For the transition period from ___________ to __________
Commission File Number 0-50316
GRANT PARK FUTURES FUND LIMITED PARTNERSHIP
(Exact name of Registrant as specified in its charter)
ILLINOIS 36-3546839
(State or other jurisdiction (I.R.S. Employer
of incorporation or organization) Identification Number)
C/O DEARBORN CAPITAL MANAGEMENT, L.L.C. 60661
550 WEST JACKSON BOULEVARD, SUITE 1300 (Zip Code)
CHICAGO, ILLINOIS
(Address of Principal Executive Offices)
(312) 756-4450
(Registrant's telephone number, including area code)
Securities registered pursuant to Section 12(b) of the Act: None
Securities registered pursuant to Section 12(g) of the Act:
CLASS A LIMITED PARTNERSHIP UNITS
CLASS B LIMITED PARTNERSHIP UNITS
(Title of Class)
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 [ ]
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. [ ]
Indicate by check mark whether the Registrant is an accelerated filer
(as defined in Exchange Act Rule 12b-2). Yes [ ] No [X]
As of the last business day of the Registrant's most recent completed
second fiscal quarter, the aggregate market value of the Class A units
outstanding and held by non-affiliates was $20,363,180. There were no Class B
units outstanding as of this date.
As of December 31, 2003, there were 27,983.16 Class A Limited
Partnership Units and 31,586.19 Class B Limited Partnership Units issued and
outstanding.
DOCUMENTS INCORPORATED BY REFERENCE
Portions of the Prospectus dated March 30, 2004 included within the
Registration Statement on Form S-1 (File No. 333-113297) are incorporated by
reference into Part I of this Form 10-K.
TABLE OF CONTENTS
PAGE
PART I
ITEM 1. BUSINESS.......................................................................................1
ITEM 2. PROPERTIES.....................................................................................4
ITEM 3. LEGAL PROCEEDINGS..............................................................................4
ITEM 4. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS............................................4
PART II
ITEM 5. MARKET FOR REGISTRANT'S COMMON EQUITY AND RELATED STOCKHOLDER MATTERS..........................4
ITEM 6. SELECTED FINANCIAL DATA........................................................................5
ITEM 7. MANAGEMENT'S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS OF OPERATIONS..........5
ITEM 7A. QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET RISK....................................14
ITEM 8. FINANCIAL STATEMENTS AND SUPPLEMENTARY DATA...................................................19
ITEM 9. CHANGES IN AND DISAGREEMENTS WITH ACCOUNTANTS ON ACCOUNTING AND FINANCIAL DISCLOSURE..........19
ITEM 9A. CONTROLS AND PROCEDURES.......................................................................19
PART III
ITEM 10. DIRECTORS AND EXECUTIVE OFFICERS OF THE REGISTRANT............................................20
ITEM 11. EXECUTIVE COMPENSATION........................................................................21
ITEM 12. SECURITY OWNERSHIP OF CERTAIN BENEFICIAL OWNERS AND MANAGEMENT AND RELATED STOCKHOLDER
MATTERS.......................................................................................22
ITEM 13. CERTAIN RELATIONSHIPS AND RELATED TRANSACTIONS................................................23
ITEM 14. PRINCIPAL ACCOUNTANT FEES AND SERVICES........................................................23
PART IV
ITEM 15. EXHIBITS, FINANCIAL STATEMENT SCHEDULES, AND REPORTS ON FORM 8-K..............................24
INDEX TO FINANCIAL STATEMENTS..................................................................................F-1
SIGNATURES
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PART I
ITEM 1. BUSINESS
Grant Park Futures Fund Limited Partnership, which is referred to in
this report as Grant Park, is a multi-advisor commodity pool organized to pool
assets of investors for the purpose of investing those assets in U.S. and
international futures and forward contracts, options contracts and other
interests in commodities. Grant Park, which is not registered as a mutual fund
under the Investment Company Act of 1940, has been in continuous operation since
January 1989. It is managed by its general partner, Dearborn Capital Management,
L.L.C., and invests through independent professional commodity trading advisors.
Grant Park has been organized to pool assets of investors for the
purpose of trading in the U.S. and international markets for currencies,
interest rates, stock indices, agricultural and energy products, precious and
base metals and other commodities. In trading on these markets, Grant Park may
employ futures and forward contracts, security futures contracts, options
contracts and other interests in commodities. Grant Park's general partner,
commodity pool operator and sponsor is Dearborn Capital Management, L.L.C., an
Illinois limited liability company. The limited partnership agreement requires
the general partner to own units in Grant Park in an amount at least equal to
the greater of (1) 1% of the aggregate capital contributions of all limited
partners or (2) $25,000, during any time that units in Grant Park are publicly
offered for sale. The managing member of Dearborn Capital Management, L.L.C. is
Dearborn Capital Management, Ltd., an Illinois corporation whose sole
shareholder is David M. Kavanagh.
Dearborn Capital Management, L.L.C., along with its managing member and
predecessor as general partner and commodity pool operator, Dearborn Capital
Management Ltd., has had management responsibility for Grant Park since its
inception. The general partner has been registered as a commodity pool operator
and a commodity trading advisor under the Commodity Exchange Act and has been a
member of the NFA since December 1995. Dearborn Capital Management Ltd., which
served as Grant Park's general partner, commodity pool operator and sponsor from
1989 through 1995, was registered as a commodity pool operator between August
1988 and March 1996 and as a commodity trading advisor between September 1991
and March 1996 and was a member of the NFA between August 1988 and March 1996.
Grant Park invests through independent professional commodity trading
advisors retained by the general partner. Presently, Rabar Market Research,
Inc., EMC Capital Management, Inc., Graham Capital Management, L.P. and Eckhardt
Trading Company, or ETC, serve as Grant Park's commodity trading advisors. As of
December 31, 2003, the general partner allocated Grant Park's net assets among
the trading advisors as follows: 32% to Rabar, 27% to EMC, 20% to ETC and 21% to
Graham Capital Management, L.P. Each of the trading advisors employs technical
and trend-following trading strategies through proprietary trading programs, in
an effort to achieve capital appreciation while controlling risk and volatility.
As of December 31, 2003, Grant Park had a net asset value of approximately $67.4
million and 1,691 limited partners. As of the close of business on December 31,
2003, the net asset value per unit of the Class A units was $1,194.03, and the
net asset value of the Class B units was $1,076.59. Since its inception and
through February 28, 2003, Grant Park offered its beneficial interests
exclusively to qualified investors on a private placement basis. Effective June
30, 2003, Grant Park began publicly offering both Class A and Class B units for
sale.
There have been no material administrative, civil or criminal actions
within the past five years against the general partner or its principals and no
such actions currently are pending.
Grant Park has been trading continuously since January 1989. Since its
inception and through February 28, 2003, Grant Park offered its beneficial
interests exclusively to qualified investors on a private placement basis. Grant
Park converted its interests to units effective April 1, 2003, with all existing
limited partners at that date converting to Class A units with a price of $1,000
per unit. Effective June 30, 2003, Grant Park registered up to an aggregate of
$200 million of Class A and Class B units pursuant to a Registration Statement
on Form S-1 (File No. 333-104317), and began publicly offering both Class A and
Class B units for sale. Class B units began trading on August 1, 2003 and were
offered at a price of $1,000 per unit. Grant Park subsequently registered up to
an additional $200 million in aggregate of Class A and Class B units for sale on
a Registration Statement on Form S-1 (File No. 333-113297) on March 30, 2004
(the "Registration Statement"). Since July 1, 2003, the Fund has raised
approximately $172,426,315 of new capital through March 30, 2004, and is
continuing to offer up to an additional $227,500,000 of units pursuant to the
Registration Statement, on a continuous basis at a price equal to the net asset
value per unit as of the close of business on each applicable closing date,
which is the last business day of each month. The proceeds of the offering are
deposited in Grant Park's bank and brokerage accounts for the purpose of
engaging in trading activities in accordance with Grant Park's trading policies
and its trading advisors' respective trading strategies.
The affairs of Grant Park will be wound up and Grant Park will be
liquidated upon the happening of any of the following events (1) expiration of
Grant Park's term on December 31, 2027, (2) a decision by the limited partners
to liquidate Grant Park, (3) withdrawal or dissolution of the general partner
and the failure of the limited partners to elect a substitute general partner to
continue Grant Park, or (4) assignment for the benefit of creditors or
adjudication of bankruptcy of the general partner or appointment of a receiver
for or seizure by a judgment creditor of the general partner's interest in Grant
Park.
REGULATION
Under the Commodity Exchange Act, as amended (the "Act"), commodity
exchanges and commodity futures trading are subject to regulation by the
Commodity Futures Trading Commission (the "CFTC"). The National Futures
Association (the "NFA"), a registered futures association under the Act, is the
only non-exchange self-regulatory organization for commodity industry
professionals. The CFTC has delegated to the NFA responsibility for the
registration of "commodity trading advisors," "commodity pool operators,"
"futures commission merchants," "introducing brokers" and their respective
associated persons and "floor brokers." The Act requires "commodity pool
operators," and "commodity trading advisors" such as Dearborn Capital
Management, L.L.C., and commodity brokers or "futures commission merchants" such
as Grant Park's commodity brokers to be registered and to comply with various
reporting and recordkeeping requirements. Dearborn Capital Management L.L.C. and
Grant Park's commodity brokers are members of the NFA. The CFTC may suspend a
commodity pool operator's or trading advisor's registration if it finds that its
trading practices tend to disrupt orderly market conditions, or as the result of
violations of the Act or rules and regulations promulgated thereunder. In the
event Dearborn Capital Management L.L.C.'s registration as a commodity pool
operator or commodity trading advisor were terminated or suspended, Dearborn
Capital Management L.L.C. would be unable to continue to manage the business of
Grant Park. Should Dearborn Capital Management L.L.C.'s registration be
suspended, termination of Grant Park might result.
In addition to such registration requirements, the CFTC and certain
commodity exchanges have established limits on the maximum net long and net
short positions which any person, including Grant Park, may hold or control in
particular commodities. Most exchanges also limit the maximum changes in futures
contract prices that may occur during a single trading day. Grant Park also
trades in dealer markets for forward and swap contracts, which are not regulated
by the CFTC. Federal and state banking authorities also do not regulate forward
trading or forward dealers. In addition, Grant Park trades on
2
foreign commodity exchanges, which are not subject to regulation by any United
States government agency.
OPERATIONS
A description of the business of Grant Park, including trading
approaches, rights and obligations of the unitholders, compensation arrangements
and fees and expenses is contained in the prospectus included in Pre-effective
Amendment No. 1 to the Registration Statement on Form S-1 (File No. 333-113297)
(the "Prospectus") under the sections captioned "Summary," "Risk Factors," "The
General Partner," "The Trading Advisors," "Conflicts of Interest" and "Fees and
Expenses," and such description is incorporated herein by reference from the
Prospectus.
Grant Park trades in U.S. and international futures and forward
contracts and other interests in commodities, including options contracts on
futures, forwards and commodities, spot contracts, swap contracts and security
futures contracts. The commodities underlying these contracts may include stock
indices, interest rates, currencies, or physical commodities, such as
agricultural products, energy products or metals. A brief description of Grant
Park's main types of investments is set forth below.
o A futures contract is a standardized contract traded on an
exchange that calls for the future delivery of a specified
quantity of a commodity at a specified time and place.
o A forward contract is an individually negotiated contract between
principals, not traded on an exchange, to buy or sell a specified
quantity of a commodity at or before a specified date at a
specified price.
o An option on a futures contract, forward contract or a commodity
gives the buyer of the option the right, but not the obligation,
to buy or sell a futures contract, forward contract or a
commodity, as applicable, at a specified price on or before a
specified date. Options on futures contracts are standardized
contracts traded on an exchange, while options on forward
contracts and commodities, referred to collectively in this
prospectus as over-the-counter options, generally are individually
negotiated, principal-to-principal contracts not traded on an
exchange.
o A spot contract is a cash market transaction in which the buyer
and seller agree to the immediate purchase and sale of a
commodity, usually with a two-day settlement. Spot contracts are
not uniform and not exchange-traded.
o A swap contract generally involves an exchange of a stream of
payments between the contracting parties. Swap contracts generally
are not uniform and not exchange-traded.
o A security futures contract is a futures contract on a single
equity security or narrow-based stock index. Security futures
contracts are relatively new financial instruments, having only
begun trading in the United States in November 2002. Security
futures contracts are exchange-traded. A trading advisor generally
may choose to trade security futures contracts for Grant Park's
account if the trading advisor determines that the market for the
particular contract is sufficiently liquid and that trading the
contract is consistent with the trading advisor's trading program.
For convenience and unless otherwise specified, futures contracts,
forward contracts, options contracts and all other commodity interests
collectively will be referred to as commodity interests.
3
ITEM 2. PROPERTIES
Grant Park does not own or use any physical properties in the conduct
of its business. Its assets currently consist of U.S. and international futures
and forward contracts and other interests in commodities, including options
contracts on futures, forwards and commodities, spot contracts, swap contracts
and security futures contracts. Grant Park's main office is located at 550 West
Jackson Boulevard, Suite 1300, Chicago, Illinois 60661.
ITEM 3. LEGAL PROCEEDINGS
Grant Park is not a party to any pending material legal proceedings.
ITEM 4. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS
None.
PART II
ITEM 5. MARKET FOR REGISTRANT'S COMMON EQUITY AND RELATED
STOCKHOLDER MATTERS
Neither the Class A units nor the Class B units of Grant Park are
publicly traded. Both Class A and Class B units may be transferred or redeemed
subject to the conditions imposed by the Third Amended and Restated Limited
Partnership Agreement. As of December 31, 2003, there were 296 and 1,395 holders
of Class A units and Class B units, respectively, and 27,983.16 Class A units
and 31,586.19 Class B units outstanding.
Dearborn Capital Management L.L.C. has sole discretion in determining
what distributions, if any, Grant Park will make to its unitholders. Dearborn
Capital Management L.L.C. has not made any distributions as of the date hereof.
Class A and Class B units are being offering on a continuous basis at
subsequent closing dates at a price equal to the net asset value per unit as of
the close of business on each applicable closing date, which is the last
business day of each month. Sales of the Class A units and Class B units during
the forth quarter 2003 were as follows:
UNITS OCTOBER NOVEMBER DECEMBER
- -------------------------- ---------- ---------- -----------
CLASS A UNITS
Units sold............. 3,589.604 2,377.518 1,486.008
Net asset value........ $1,136.840 $1,126.441 $1,194.027
CLASS B UNITS
Units Sold............. 6,757.130 8,089.677 10,932.006
Net asset value........ $1,026.415 $1,016.346 $1,076.592
The proceeds of the offering are deposited in Grant Park's bank and
brokerage accounts for the purpose of engaging in trading activities in
accordance with Grant Park's trading policies and its trading advisors'
respective trading strategies.
ITEM 6. SELECTED FINANCIAL DATA
The selected financial information for the years ended December 31,
2003, 2002, 2001 and 2000 is taken from the financial statements of Grant Park
audited by McGladrey & Pullen, LLP. The selected
4
financial information for the year ended December 31, 1999 is taken from the
financial statements of Grant Park audited by Taglia and Associates. On March
10, 2003, the general partner engaged the accounting firm of McGladrey & Pullen,
LLP as Grant Park's independent accountants. McGladrey & Pullen replaced Taglia
and Associates, Grant Park's previous accountants. In addition to auditing Grant
Park's financial statements for the fiscal years ended December 31, 2003 and
2002, McGladrey & Pullen also reaudited Grant Park's financial statements for
the fiscal years ended December 31, 2001 and 2000.
You should read this information in conjunction with "Management's
Discussion and Analysis of Financial Condition and Results of Operations" and
our financial statements and the related notes included elsewhere in this
report. Results from past periods are not necessarily indicative of results that
may be expected for any future period.
FOR THE YEAR ENDED DECEMBER 31,
---------------------------------------------------------------------------
----------- ----------- ----------- ----------- -----------
2003 2002 2001 2000 1999
----------- ----------- ----------- ----------- -----------
Total assets.................. $87,861,740 $15,791,790 $12,218,595 $14,015,746 $18,856,264
Total partners' capital....... 67,418,046 14,605,959 11,567,075 12,086,390 17,356,543
Gains (losses) from trading... 10,149,161 2,971,464 1,570,432 1,512,800 (992,966)
Interest income............... 247,863 173,351 399,709 797,560 895,199
Total expenses................ 4,080,495 1,356,610 1,149,598 1,239,549 1,707,851
Net income (loss)............. 6,316,529 1,788,205 820,543 1,070,811 (1,805,618)
ITEM 7. MANAGEMENT'S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION
AND RESULTS OF OPERATIONS
INTRODUCTION
Grant Park is a multi-advisor commodity pool organized to pool assets
of its investors for purposes of investing those assets in U.S. and
international commodity futures and forward contracts and other commodity
interests, including options contracts on futures, forwards and commodities,
spot contracts, swap contracts and security futures. The commodities underlying
these contracts may include stock indices, interest rates, currencies or
physical commodities, such as agricultural products, energy products or metals.
Grant Park has been in continuous operation since it commenced trading on
January 1, 1989. Grant Park's general partner, commodity pool operator and
sponsor is Dearborn Capital Management, L.L.C., an Illinois limited liability
company. The managing member of Dearborn Capital Management, L.L.C. is Dearborn
Capital Management, Ltd., an Illinois corporation whose sole shareholder is
David M. Kavanagh.
Grant Park invests through independent professional commodity trading
advisors retained by the general partner. Rabar Market Research, Inc., EMC
Capital Management, Inc., Eckhardt Trading Company, or ETC, and Graham Capital
Management, L.P., serve as Grant Park's commodity trading advisors. As of
December 31, 2003, the general partner allocated Grant Park's net assets among
the trading advisors as follows: 32% to Rabar, 27% to EMC, 20% to ETC and 21% to
Graham.
CRITICAL ACCOUNTING POLICIES
Grant Park's only critical accounting policy is the valuation of its
assets invested in U.S. and international futures and forward contracts, options
contracts and other interests in commodities. The substantial majority of these
investments are exchange-traded contracts, valued based upon exchange settlement
prices. The remainder of its investments are non-exchange-traded contracts with
valuation of those investments based on third-party quoted dealer values on the
Interbank market. With the valuation of the investments easily obtained, there
is little or no judgment or uncertainty involved in the valuation
5
of investments, and accordingly, it is unlikely that materially different
amounts would be reported under different conditions using different but
reasonably plausible assumptions.
RESULTS OF OPERATIONS
Grant Park's returns, which are Grant Park's trading gains plus
interest income less brokerage fees, performance fees, operating costs and
offering costs borne by Grant Park, for the year ended December 31, 2003, were
20.0% for Class A units and 7.7% for Class B units, and for the years ended
December 31, 2002 and 2001 were 15.3% and 7.0%, respectively. Grant Park's total
net asset value at December 31, 2003, 2002 and 2001 was $67.4 million, $14.6
million and $11.6 million, respectively.
The table below sets forth Grant Park's trading gains or losses by
sector for each of the years ended December 31, 2003, 2002 and 2001.
% GAIN (LOSS)
--------------------------------
YEAR ENDED DECEMBER 31,
--------------------------------
SECTOR 2003 2002 2001
- ------------------------------------------ ------ ------ ------
Interest Rates............................ 6.3% 10.1% 10.2%
Currencies................................ 17.9 14.6 1.2
Stock Indices............................. 3.6 (0.1) 4.7
Energy.................................... (0.2) 1.6 (2.3)
Agriculturals............................. 1.7 4.7 (0.3)
Meats..................................... (0.3) -- --
Metals.................................... 4.3 (2.0) 0.5
Softs..................................... (0.4) (1.9) (0.6)
Miscellaneous............................. 1.5 (1.8) (0.1)
---- ---- ----
Total.................................. 34.4% 25.2% 13.3%
==== ==== ====
YEAR ENDED DECEMBER 31, 2003
The most significant factor affecting Grant Park's performance in 2003
was the dramatic fall in the value of the U.S. dollar. Virtually every currency
rallied against the dollar. Grant Park maintained short positions in the U.S.
dollar against most other major currencies throughout the year. This sector was
the largest contributor to Grant Park's profitability during the year. Grant
Park also maintained long positions in global fixed income markets throughout
the year. As a result, interest rates also significantly contributed to Grant
Park's performance, as most central banks around the globe continued to ease
monetary policy in an effort to spur economic growth. These efforts also
resulted in a strong performance in the global equity markets, which also
benefited Grant Park's long equity positions, particularly in the U.S. Finally,
long positions in base and precious metals posted significant gains in 2003, as
precious metals rallied as the U.S. dollar fell, and base metal prices surged
amidst strong demand from China, as it strives to build an entire manufacturing
and residential infrastructure.
For the year ended December 31, 2003, Grant Park had a positive return
of approximately 20.0% for the Class A units and 7.7% for the Class B units. On
a combined basis prior to expenses, approximately 34.4% resulted from trading
gains and approximately 0.9% was due to interest income. These gains are offset
by approximately 15.3% in combined total brokerage fees, performance fees and
operating and offering costs borne by Grant Park. An analysis of the 34.4%
trading gains by sector is as follows:
SECTOR % GAIN (LOSS)
- --------------------------------------------- -------------
Interest Rates............................... 6.3%
Currencies................................... 17.9
Stock Indices................................ 3.6
Energy....................................... (0.2)
Agriculturals................................ 1.7
Meats........................................ (0.3)
Metals....................................... 4.3
Softs........................................ (0.4)
Miscellaneous................................ 1.5
----
Total..................................... 34.4%
====
January was a positive month for Grant Park, as it earned a net return
of approximately 2.72%. The most profitable position for the month was short the
U.S. dollar against global currencies. Geopolitical worries were the primary
cause of the U.S. currency's decline, as the U.S. continued to
6
prepare for military action in Iraq. These concerns, as well as a continued
Venezuelan oil strike and extended cold weather in the U.S. also led to firm
energy prices, which was profitable for Grant Park's long energy positions.
Other profits were made via gold and European interest rate positions. Losses
were incurred in the soybean complex, which declined in response to a Department
of Agriculture report showing higher-than-expected U.S. production levels.
Additional losses were incurred in U.S. equity and interest rate markets, which
fell amid the growing likelihood of war with Iraq.
February was a strong positive month for Grant Park, as it earned a net
return of approximately 5.77%. Energy was the leading sector as natural gas
posted a 25-month high near the end of the month due to unreasonably cold
weather and inventory depletion. The rest of the energy sector pushed higher
amid supply concerns due to the increased probability of a U.S.-led invasion of
Iraq. These war concerns also spurred safe-haven buying of U.S. and European
government debt prices, which proved to be profitable for Grant Park. Losses for
the month were incurred in gold, the British pound and cocoa.
Grant Park posted a significant loss in March due to the launch of the
war with Iraq, earning a negative net return of 7.47%. Previously profitable
long positions in the energy sector experienced a sharp reversal, as crude oil
dropped 24% in only six trading sessions. Natural gas fell rapidly alongside
crude oil, leading to further losses. Established trends in the government debt
and currency sectors also reversed, forcing liquidations of long-held positions.
Grant Park was able to make some profits in the 10-year Japanese government
bond, U.S. and European interest rate futures, the Canadian dollar and the South
African rand.
Performance for Grant Park was positive during the month of April, with
a net return of 2.57%. A long soybean position proved profitable as the U.S.
Department of Agriculture estimated that domestic physical stocks would reach a
seven-year low before the present crop is harvested in the fall. The rally was
also fueled by speculation that aggressive planting of corn may reduce the
acreage available for soybeans, which would further exacerbate the existing
supply concerns. Profits were also garnered in stock indices, as the U.S.-led
military campaign in Iraq came to a quick conclusion. Losses for the month were
incurred in cotton, which declined amid fears that the spread of SARS in China,
the largest purchaser of U.S. exports, could result in substantially reduced
demand. Additional losses were incurred in corn, which fell as favorable weather
conditions in the midwest caused the planting of the U.S. crop to accelerate.
Grant Park had an exceptionally strong month in May as Grant Park
produced a net return of 9.68%. In the bond market, so-called bull-flattening
trades, involving the purchase of long maturities and the sale of short ones in
belief the long issues will rally, were a developing trend. The federal reserve
expressed concern that the economy was more at risk to deflationary rather than
inflationary pressures, which further triggered the rally in the long-end of the
yield curve. Gains were also made via short positions in the U.S. dollar as
Treasury Secretary Snow made comments perceived to be supportive of a weak U.S.
dollar policy. The Euro in particular showed strength, reaching a four year high
against the dollar. Losses for the month were in corn, as prices reversed when
excessive rain early in the month gave way to more favorable planting conditions
later in the month. The Japanese yen produced additional losses, which fell as a
decrease in industrial production led to new recession fears for the Japanese
economy.
June proved to be a challenging month for the managed futures industry
generally and Grant Park in particular. For June, Grant Park earned a negative
net return of 1.26%. Sharp reversals in the bond market proved costly for most
managers. Grant Park suffered additional losses in the European currencies as
both the Euro and Swiss franc fell against the U.S. dollar amid evidence of an
improving U.S. economy and the Federal Reserve's decision to cut interest rates
by only a quarter-point rather than the point many market participants had
expected. Natural gas also led to losses as the Energy Department
7
reported record growth in the U.S. inventory levels due to moderate weather
throughout the U.S. and historically high prices. Some losses were offset by
profits in the Nikkei, which rallied amid hopes that an economic recovery in the
U.S. would lead to increased consumer demand for Japanese exports. Additional
profits were earned in the S&P 500 as assets moved out of bonds and into stocks.
Grant Park experienced a modest loss for July, with a net loss of
0.49%. The month was highlighted by very few significant losses or gains in any
one particular market or sector. The currency sector however, was our worst
performer with significant losses occurring in Japanese yen trading as choppy
markets led to reversals in our short positions just before the Bank of Japan,
or BOJ, announced they would not allow a strong yen to continue. The BOJ sold 30
Billion yen in July, making it the largest monthly intervention on record.
Additional losses were incurred in New Zealand, Australian and Canadian dollars
as well as the British pound and Euro currency. Profits were generated in long
positions in Stock Indices including the Nikkei, DAX, NASDAQ and the Taiwanese
stock index. The entire global stock index sector continued to climb because of
a mix of better than expected economic statistics, rising corporate earnings and
an improved outlook for the U.S. economy.
August performance was slightly positive with Grant Park posting a
0.19% return for Class A units and 0.12% for Class B units. Upbeat economic data
here in the U.S. led to a surge in global stock prices and supported the U.S.
dollar against most major currencies. Profits were generated in global stock
indices, as the Dow Jones posted its sixth straight monthly gain. This
increasing confidence in the U.S. markets led to strength abroad, particularly
in the Asian markets. The improving economic picture in the U.S. also led to
gains in both long dollar positions and short short-term global fixed income
positions. Losses were incurred in both the base and precious metals with long
positions in zinc proving the most costly. Zinc prices fell in response to an
increase in warehouse inventories. Additional losses were incurred in soybean
oil.
September was another slightly positive month for Grant Park, wrapping
up a quiet quarter. Grant Park's net return for Class A units was 0.13% and
0.06% for Class B units. Grant Park's diversification across market sectors and
across trading managers played a role this month in Grant Park's slightly
positive performance. Positions in agriculturals and softs proved profitable,
while positions in the financial and energy sectors generated losses. Three of
our four traders posted modest profits while one (Graham) posted a net loss. Our
most profitable trades were in long positions in the soy complex, cotton and the
Japanese yen. Losses were incurred in the fixed income sector and the energy
sector.
October was a volatile yet profitable month for the Fund. Portfolio
positions benefited from China's surging demand for commodities and indications
of an accelerated recovery here in the U.S. Grant Park's net return on the month
for Class A units was 2.52% and 2.45% for Class B units. Profits were generated
in cotton, the soy complex and base metals mostly as a result of surging demand
out of China. Additional profits were generated in U.S. stock indices as stocks
rose in response to October's stronger-than-expected employment report. The
market also reacted positively to increases in consumer confidence and durable
good orders. Losses were incurred in the energy sector, which declined as U.S.
inventories of both natural gas and crude oil rose. Additional losses were
incurred in U.S. and European interest rate futures, which declined as investors
became increasingly risk tolerant, shifting their assets out of fixed income
into stocks.
November performance was negative for Grant Park with Class A units
posting a net loss of 0.91% and Class B units a loss of 0.98%. The portfolio
suffered as a result of reversals in both the grains and base metal markets with
the most significant losses incurred in the soy complex, cotton and copper. The
markets reacted to the possibility of a trade dispute heating up with China over
the U.S. government's decision to restrict textile imports. Copper prices were
additionally impacted by the terrorist bombings in Turkey, which led to fears
that global economic growth would slow. Additional
8
losses were suffered in the Euroswiss contract. Prices rose as investors sought
safety in government bonds and cash instruments in response to the continued
turmoil in Iraq, and the terrorist bombings in Turkey. Fears of future attacks
on softer, civilian targets weighed heavy on investors minds.
The last month of 2003 finished on a positive note with Grant Park
Class A units posting a net 6.00% profit on the month while Class B units were
up 5.93%, leaving the Fund up 20.03% and 7.66% for the year respectively (Class
B units began trading on August 1, 2003). Grant Park December profits were
generated in several of the same sectors that showed strong trends throughout
the year including currencies, metals, and world stock indices. Both the British
pound and euro currency continued to rally against the U.S. dollar. Uncertainty
in the wake of the elevated terror alert to Orange here in the U.S. during the
holiday season and concern that more cases of mad cow disease might be
discovered in the U.S. helped keep pressure on the dollar. Metals (both precious
and industrial) continued their upward trends for the year. China's burgeoning
middle class, a result of its expanding economy, continued to fuel demand for
commodities. Nickel prices reached 14-year highs and copper, up over 44% on the
year, reached six-year highs. Equity prices across the globe continued their
bullish trend on the year. Additional profits were generated in the energy
sector, as colder than normal temperatures in the Northeastern United States led
to higher prices. Losses were incurred in Australian interest rate futures,
which rose in response to worries that the strong Australian dollar would have a
negative effect on the nation's exports, causing growth to slow.
YEAR ENDED DECEMBER 31, 2002
The return for 2002 was approximately 15.3%. Of this 15.3% increase,
approximately 25.2% was due to trading gains and approximately 1.5% was due to
interest income, offset by approximately 11.4% due to brokerage fees,
performance fees, operating costs and offering costs borne by Grant Park. An
analysis of the 25.2% trading gains by sector is as follows:
SECTOR % GAIN (LOSS)
- ----------------------------------------------- -------------
Interest Rates................................. 10.1%
Currencies..................................... 14.6
Stock Indices.................................. (0.1)
Energy......................................... 1.6
Agriculturals.................................. 4.7
Metals......................................... (2.0)
Softs.......................................... (1.9)
Miscellaneous.................................. (1.8)
----
Total....................................... 25.2%
====
January produced a slight negative return for Grant Park. The Enron and
Global Crossing bankruptcies took a toll on the U.S. equities markets, which
were already under pressure resulting in a difficult start to the new year. The
international picture was no better as Japan continued to struggle economically
and the political situation in Argentina led to instability in South America. On
the positive side, U.S. consumer spending continued to be robust. Grant Park
posted a small loss for January, largely as a result of volatility in the global
currency markets. Energy and short stock index positions contributed small
gains.
February continued the trend of high market volatility resulting in
negative performance for Grant Park. Losses were generated specifically in the
British pound and short sterling as the Bank of England reported a surge in
inflation. Additional losses were generated in short positions in the Japanese
government bond as the Bank of Japan continued to inject cash into the ailing
economy by buying an unprecedented amount of bonds.
9
March resulted in the first positive month of the year for Grant Park
as long positions in the energy complex and soybeans both proved profitable.
Energy rallied as tensions in the Middle East intensified sparking fears of
supply disruptions. Soybeans rallied due to a deal between the United States and
China regarding the exporting of genetically modified crops from the United
States to China, which is the single largest soybean customer of the United
States.
April was a negative month for Grant Park as the crude oil market
proved exceptionally volatile. While firm diplomacy by the United States eased
tensions in the Middle East, the situation in Venezuela was becoming less
predictable as President Hugo Chavez returned to office in a political reversal
after being ousted just a few days earlier. Profitable positions in the U.S.
dollar helped offset some of the losses incurred in the energy markets.
Grant Park experienced solid gains in May as the U.S. dollar slipped
sharply amidst renewed terror threats and weaker stocks. The U.S. dollar
weakened unilaterally around the globe, hitting an eight-month low against the
Euro and slipping against every major currency. Grant Park also profited in gold
as the precious metal soared to its highest level since June 2000 on dollar
worries, heightened tensions in Kashmir and floundering equity markets.
June produced the first double-digit profitable month for Grant Park
since the Long Term Capital Management and Russian debacles of 1998. Equity
markets around the world were dramatically affected as accounting irregularities
were uncovered at several public corporations. Several large companies warned
that earnings would not meet expectations, which further accelerated the decline
back to the lows seen after September 11, 2001. The U.S. dollar also fell,
posting a twenty-seven-month low against the Euro and a seven-month low against
the yen. Grant Park benefited from these trades as well as unrelated positions
in long cotton and short coffee. Losses were incurred in gold, Canadian dollars
and soybean oil.
For the third consecutive month, Grant Park enjoyed solid gains in
July. The most significant gains were generated in U.S. and European interest
rate futures, stock indices, grains and the British pound. Some losses were
generated by the rebound of the U.S. dollar and in volatility in soft
commodities.
In August, Grant Park posted another profitable month making for four
consecutive months of positive performance. Long positions in Japanese
government bonds and U.S. interest rate futures accounted for a substantial
portion of the gains as investors repositioned money away from the world's
equity markets. Corn and wheat were also profitable as poor weather conditions
caused the Department of Agriculture to reduce its crop yield forecasts,
resulting in prices reaching four and one-half-year highs. Losses in August
stemmed from reversals in the currency and stock index sectors.
September was the fifth consecutive profitable month for Grant Park.
Once again, long positions in U.S. interest rate futures produced positive
returns as a wave of negative economic data renewed speculation that the Federal
Reserve would respond with another round of interest rate cuts. Additional
profits were made in energy, global stock indices and British interest rate
futures. Japanese government bonds and the yen produced losses for Grant Park in
September as the Japanese government indicated it might begin large-scale
intervention in order to weaken the currency and stimulate the domestic economy.
October ended the string of successive months of positive performance
for Grant Park. A sharp surge in the U.S. stock market led to a corresponding
decline in U.S. government debt instruments as investors moved back into
equities. European debt instruments also fell in response to the stock market
rally, as well as in response to data indicating resurgence in economic activity
on the European continent. Long energy positions added to losses as it appeared
the United States would not imminently undertake military action against Iraq.
Some losses were offset by gains in long sugar and short U.S. dollar positions.
10
November was negative for Grant Park. The most significant losses were
generated from positions in global interest rate futures, European currencies
and sugar. The strength in worldwide equity markets caused global bonds to
decline and caused the U.S. dollar to rally versus its European counterparts.
The recent uptrend in sugar prices reversed amid abundant supply and
expectations for a large upcoming crop. Long positions in U.S. stock index
futures produced some gains for Grant Park, as stocks rallied in response to the
Federal Reserve's half-percentage point cut in interest rates.
Grant Park finished the year on a positive note with a profitable
December. Gains were made via long positions in European currencies, petroleum
contracts, gold and Australian interest rate futures. The continued uncertainty
in the Middle East caused the U.S. dollar to weaken and energy to rally.
Risk-averse investors sought safe havens in gold and Australian debt
instruments. Some losses were incurred by long positions in the soybean complex,
which declined on news of improved weather in Brazil, as well as long positions
in U.S. equity markets, which struggled amid growing tensions with both Iraq and
North Korea.
YEAR ENDED DECEMBER 31, 2001
In 2001, Grant Park had a return of 7.0%, approximately 13.3% of which
was due to trading gains and approximately 3.3% was due to interest income,
offset by approximately 9.6% due to brokerage fees, performance fees and
operating and offering costs borne by Grant Park. An analysis of the 13.3%
trading gain by sector is as follows:
SECTOR % GAIN (LOSS)
- -------------------------------------------- -------------
Interest Rates.............................. 10.2%
Currencies.................................. 1.2
Stock Indices............................... 4.7
Energy...................................... (2.3)
Agriculturals............................... (0.3)
Metals...................................... 0.5
Softs....................................... (0.6)
Miscellaneous............................... (0.1)
----
Total.................................... 13.3%
====
January was profitable for Grant Park, although the month was marked by
much volatility. A surprise interest rate cut by the Federal Reserve sparked
sharp profits early in the month, but those profits fell by mid-month amid
questions about the true state of the economy and the ultimate effect of the
rate cuts. The biggest winning positions for January were in the Eurodollar,
soybeans and Australian three-year bonds. Losses were generated in the
Australian dollar, silver and sugar.
February resulted in a slight positive return for Grant Park. Grant
Park's short equities positions and long bond positions both benefited from a
continued decline in U.S. equities prices. Some of these gains, however, were
offset by losses in energy and coffee. Coffee was particularly volatile as
conflicting pressures from both producers and fund selling caused prices to
fluctuate wildly.
Grant Park posted solid gains in March. Concerns over the health of the
global economy sent stocks downward and the U.S. dollar to new highs.
Substantial profits were made via short positions in global stock indices, most
notably the Hang Seng and FTSE 100 which both made two-year lows. Despite the
weakness in U.S. equities, the U.S. dollar rose as investors reasoned that the
United States was in better position to deal with its economic troubles than
other developed nations.
April was a challenging month for Grant Park as several of the trends
that had previously been profitable had either ceased or reversed. The most
significant losses occurred in the sugar and global debt
11
markets. Sugar fell to its lowest level since May 2000 and choppiness in debt
markets forced defensive liquidation of established positions. While overall
Grant Park lost money in April, some profits were still posted in the Mexican
peso and in unleaded gasoline.
May performance was slightly negative for Grant Park. The month started
with good prospects for trendfollowers, but by month end those prospects had
faded. Losses were generated in gold, Euroswiss, Japanese yen and sugar as all
of these sectors were marked by high volatility throughout May. Profits in
natural gas and the Mexican peso somewhat softened these losses.
June was another month with negative performance for Grant Park as
tradable trends failed to materialize. Volatile, directionless price action in
the Euroswiss, Euro and Australian interest rate markets accounted for the bulk
of the losses in June. While these losses were lessened by profits in lean hogs
and soybeans, the second quarter closed with seemingly disjointed markets marked
by uncertainty regarding world economic conditions. Despite this difficult
market environment, Grant Park was able to post a net positive return through
the first half of the year.
Grant Park posted a slight positive return for July amid weakness in
U.S. stocks. Profits were garnered in the U.S. interest rate complex, the Hang
Seng and soybeans. Interest rate contracts in the United States rallied as
Federal Reserve Chairman Alan Greenspan made comments on the potential for
additional interest rate cuts designed to spur the struggling economy. The Hang
Seng struggled, as did most stock indices around the world, posting two-year
lows. Soybeans rallied as the Department of Agriculture reported a deterioration
of current crop conditions brought about by extended hot and dry weather in the
Midwest. The bulk of the losses in July were derived from trend reversals in the
world currency markets.
August was another positive month for Grant Park. Short positions in
the Hang Seng and German Dax were particularly profitable, as both indices
posted multi-year lows. Additional profits were earned in short U.S. dollar and
long global debt positions. Some of the dry conditions were alleviated in the
grain producing areas of the United States, causing previously profitable trends
to reverse and resulting in losses in some grain positions. Energy and Japanese
government bonds were also quite choppy resulting in additional losses in an
overall positive month.
September was marked by the devastating terrorist attack on September
11. While this event impacted the lives of individuals around the globe, it also
created extreme volatility in various markets from which Grant Park was able to
generate profits. As stock indices around the world moved lower due to the
terrorist activities, Grant Park's short positions in the Dax and Hang Seng
proved to be very profitable. As prices stabilized, Grant Park reduced its
exposure, but still maintained some shorts in these markets. Additional profits
were made in long global debt contracts as U.S. and European central banks
lowered interest rates in the wake of the attacks.
October was also profitable for Grant Park as the world began to
recover from the September 11 attacks. U.S. debt contracts rallied sharply amid
signs the terrorist attacks would further slow an already struggling economy.
The weak economic data indicated further easing by the Federal Reserve which
helped Grant Park's long U.S. debt positions. Other profits came in the short
South African rand position as the negative outlook for emerging markets caused
the rand to plummet. Losses occurred in silver and gold as the metals reversed
from the recent highs experienced immediately after the attacks.
November saw Grant Park return a portion of the gains made during the
previous four months. Most notably, U.S. debt futures plummeted following
encouraging developments in the war against Afghanistan. The surprisingly quick
collapse of portions of the Taliban regime raised hopes that the United
States-led war on terror would progress more rapidly than previously thought.
Additional losses occurred in the Japanese yen as mid-month volatility caught
Grant Park on both sides of the market. A
12
continued short position in the South African rand earned profits as political
instability in neighboring Zimbabwe caused the currencies of the region to move
lower.
Grant Park ended 2001 with positive performance in December. The
majority of the gain for the month was made in currencies, primarily the
Japanese yen and South African rand, which were both very weak. These gains were
offset somewhat by losses in the U.S. interest rate sector amid signs the U.S.
economy may be emerging from recession. Grant Park was positive for the third
consecutive year amid declining world equity markets and diminished return on
fixed income rates.
CAPITAL RESOURCES
Grant Park plans to raise additional capital only through the sale of
units pursuant to the continuous offering and does not intend to raise any
capital through borrowing. Due to the nature of Grant Park's business, it will
make no capital expenditures and will have no capital assets that are not
operating capital or assets.
LIQUIDITY
Most U.S. futures exchanges limit fluctuations in some futures and
options 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 contract
has reached the daily limit for that day, positions in that contract can neither
be taken nor liquidated. Futures prices have occasionally moved to the daily
limit for several consecutive days with little or no trading. Similar
occurrences could prevent Grant Park from promptly liquidating unfavorable
positions and subject Grant Park to substantial losses that could exceed the
margin initially committed to those trades. In addition, even if futures or
options prices do not move to the daily limit, Grant Park may not be able to
execute trades at favorable prices, if little trading in the contracts is taking
place. Other than these limitations on liquidity, which are inherent in Grant
Park's futures and options trading operations, Grant Park's assets are expected
to be highly liquid.
OFF-BALANCE SHEET RISK
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. Grant Park 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 Grant
Park 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 Grant Park at the same time, and if Grant Park
were unable to offset positions, Grant Park could lose all of its assets and the
limited partners would realize a 100% loss. Grant Park 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 Grant Park are valued each day on a mark-to-market basis.
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 Grant Park. 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.
13
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. Grant Park 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 Grant Park, in which
case Grant Park could suffer significant losses on these contracts.
ITEM 7A. QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET RISK
INTRODUCTION
Grant Park is a speculative commodity pool. The market sensitive
instruments held by it are acquired for speculative trading purposes, and all or
a substantial amount of Grant Park's assets are subject to the risk of trading
loss. Unlike an operating company, the risk of market sensitive instruments is
integral, not incidental, to Grant Park's business.
Market movements result in frequent changes in the fair market value of
Grant Park's open positions and, consequently, in its earnings and cash flow.
Grant Park's market risk is influenced by a wide variety of factors, including
the level and volatility of exchange rates, interest rates, equity price levels,
the market value of financial instruments and contracts, market prices for base
and precious metals, energy complexes and other commodities, the diversification
effects among Grant Park's open positions and the liquidity of the markets in
which it trades.
Grant Park rapidly acquires and liquidates both long and short
positions in a wide range of different markets. Consequently, it is not possible
to predict how a particular future market scenario will affect performance.
Grant Park's current trading advisors all employ trend-following strategies that
rely on sustained movements in price. Erratic, choppy, sideways trading markets
and sharp reversals in movements can materially and adversely affect Grant
Park's results. Grant Park's past performance is not necessarily indicative of
its future results.
Value at risk is a measure of the maximum amount that Grant Park could
reasonably be expected to lose in a given market sector in a given day. However,
the inherent uncertainty of Grant Park's speculative trading and the recurrence
in the markets traded by Grant Park of market movements far exceeding
expectations could result in actual trading or non-trading losses far beyond the
indicated value at risk or Grant Park's experience to date. This risk is often
referred to as the risk of ruin. In light of the foregoing as well as the risks
and uncertainties intrinsic to all future projections, the inclusion of the
quantification included in this section should not be considered to constitute
any assurance or representation that Grant Park's losses in any market sector
will be limited to value at risk or by Grant Park's attempts to manage its
market risk. Moreover, value at risk may be defined differently as used by other
commodity pools or in other contexts.
Materiality, as used in this section, is based on an assessment of
reasonably possible market movements and the potential losses caused by such
movements, taking into account the leverage, and multiplier features of Grant
Park's market sensitive instruments.
14
The following quantitative and qualitative disclosures regarding Grant
Park's market risk exposures contain forward-looking statements. All
quantitative and qualitative disclosures in this section are deemed to be
forward-looking statements, except for statements of historical fact and
descriptions of how Grant Park manages its risk exposure. Grant Park's primary
market risk exposures, as well as the strategies used and to be used by its
trading advisors for managing such exposures are subject to numerous
uncertainties, contingencies and risks, any one of which could cause the actual
results of Grant Park's risk controls to differ materially from the objectives
of such strategies. Government interventions, defaults and expropriations,
illiquid markets, the emergence of dominant fundamental factors, political
upheavals, changes in historical price relationships, an influx of new market
participants, increased regulation and many other factors could result in
material losses as well as in material changes to the risk exposures and the
risk management strategies of Grant Park. Grant Park's current market exposure
and/or risk management strategies may not be effective in either the short-or
long-term and may change materially.
QUANTITATIVE MARKET RISK
TRADING RISK
Grant Park's approximate risk exposure in the various market sectors
traded by its trading advisors is quantified below in terms of value at risk.
Due to Grant Park's mark-to-market accounting, any loss in the fair value of
Grant Park's open positions is directly reflected in Grant Park's earnings,
realized or unrealized.
Exchange maintenance margin requirements have been used by Grant Park
as the measure of its value at risk. Maintenance margin requirements are set by
exchanges to equal or exceed the maximum losses reasonably expected to be
incurred in the fair value of any given contract in 95% to 99% of any one-day
interval. The maintenance margin levels are established by brokers, dealers and
exchanges using historical price studies as well as an assessment of current
market volatility and economic fundamentals to provide a probabilistic estimate
of the maximum expected near-term one-day price fluctuation. Maintenance margin
has been used rather than the more generally available initial margin, because
initial margin includes a credit risk component that is not relevant to value at
risk.
In the case of market sensitive instruments that are not
exchange-traded, including currencies and some energy products and metals in the
case of Grant Park, the margin requirements for the equivalent futures positions
have been used as value at risk. In those cases in which a futures-equivalent
margin is not available, dealers' margins have been used.
In the case of contracts denominated in foreign currencies, the value
at risk figures include foreign currency margin amounts converted into U.S.
dollars with an incremental adjustment to reflect the exchange rate risk
inherent to Grant Park, which is valued in U.S. dollars, in expressing value at
risk in a functional currency other than U.S. dollars.
In quantifying Grant Park's value at risk, 100% positive correlation in
the different positions held in each market risk category has been assumed.
Consequently, the margin requirements applicable to the open contracts have
simply been aggregated to determine each trading category's aggregate value at
risk. The diversification effects resulting from the fact that Grant Park's
positions are rarely, if ever, 100% positively correlated have not been
reflected.
Value at Risk by Market Sectors
The following tables indicates the trading value at risk associated
with Grant Park's open positions by market category as of December 31, 2003 and
December 31, 2002 and the trading
15
gains/losses by market category for the years ended December 31, 2003 and 2002.
All open position trading risk exposures of Grant Park have been included in
calculating the figures set forth below. As of December 31, 2003, Grant Park's
net asset value was approximately $67.4 million. As of December 31, 2002, Grant
Park's net asset value was approximately $14.6 million.
DECEMBER 31, 2003
-----------------------------------------------
VALUE AT % OF TOTAL TRADING
MARKET SECTOR RISK CAPITALIZATION GAIN/(LOSS)
- ----------------------------------------------------------- ------------ ----------------- -----------
Stock Indices.............................................. $ 3,595,518 5.3% 3.6%
Currencies................................................. $ 2,363,583 3.5 17.9
Interest Rates............................................. $ 2,173,842 3.2 6.3
Metals..................................................... $ 1,411,432 2.1 4.3
Energy..................................................... $ 1,164,900 1.7 (0.2)
Agriculturals.............................................. $ 367,150 0.5 1.7
Softs...................................................... $ 166,804 0.3 (0.4)
Meats...................................................... $ 8,000 0.0 (0.3)
------------ ---- ----
Total................................................... $ 11,251,229 16.6% 32.9%
============ ==== ====
DECEMBER 31, 2002
-----------------------------------------------
VALUE AT % OF TOTAL TRADING
MARKET SECTOR RISK CAPITALIZATION GAIN/(LOSS)
- ----------------------------------------------------------- ------------ ----------------- -----------
Interest Rates............................................. $ 739,385 5.1% 10.1%
Currencies................................................. $ 275,815 1.9 14.6
Energy..................................................... $ 231,441 1.6 1.6
Stock Indices.............................................. $ 145,977 1.0 (0.1)
Metals..................................................... $ 93,182 0.6 (2.0)
Agriculturals.............................................. $ 33,000 0.2 4.7
Softs...................................................... $ 25,150 0.2 (1.9)
----------- ---- ----
Total................................................... $ 1,544,151 10.6% 27.0%
=========== ==== ====
Material Limitations on Value at Risk as an Assessment of Market Risk
The face value of the market sector instruments held by Grant Park is
typically many times the applicable maintenance margin requirement, which
generally ranges between approximately 1% and 10% of contract face value, as
well as many times the capitalization of Grant Park. The magnitude of Grant
Park's open positions creates a risk of ruin not typically found in most other
investment vehicles. Because of the size of its positions, certain market
conditions--unusual, but historically recurring from time to time--could cause
Grant Park to incur severe losses over a short period of time. The value at risk
table above, as well as the past performance of Grant Park, gives no indication
of this risk of ruin.
NON-TRADING RISK
Grant Park has non-trading market risk on its foreign cash balances not
needed for margin. However, these balances, as well as the market risk they
represent, are immaterial. Grant Park also has non-trading market risk as a
result of investing a substantial portion of its available assets in U.S.
Treasury bills and Treasury repurchase agreements. The market risk represented
by these investments is also immaterial.
16
QUALITATIVE MARKET RISK
TRADING RISK
The following were the primary trading risk exposures of Grant Park as
of December 31, 2003, by market sector.
Stock Indices
Grant Park's primary equity exposure is due to equity price risk in the
G-7 countries as well as other countries including Hong Kong, Taiwan, and
Australia. The stock index futures contracts traded by Grant Park currently are
generally limited to futures on broadly based indices, although Grant Park may
trade narrow-based stock index futures contracts in the future. As of December
31, 2003, Grant Park's primary exposures were in the S&P 500 (USA), NASDAQ
(USA), Australian Index 200, Hang Seng (Hong Kong) and FTSE (United Kingdom)
stock indices. Grant Park is primarily exposed to the risk of adverse price
trends or static markets in the major U.S., European and Asian indices. Static
markets would not cause major market changes but would make it difficult for
Grant Park to avoid being "whipsawed" into numerous small losses.
Currencies
Exchange rate risk is a significant market exposure of Grant Park.
Grant Park's currency exposure is due to exchange rate fluctuations, primarily
fluctuations that disrupt the historical pricing relationships between different
currencies and currency pairs. These fluctuations are influenced by interest
rate changes as well as political and general economic conditions. Grant Park
trades in a large number of currencies, including cross-rates, which are
positions between two currencies other than the U.S. dollar. The general partner
anticipates that the currency sector will remain one of the primary market
exposures for Grant Park for the foreseeable future.
Interest Rates
Interest rate risk is the principal market exposure of Grant Park.
Interest rate movements directly affect the price of the futures positions held
by Grant Park and indirectly the value of its stock index and currency
positions. Interest rate movements in one country as well as relative interest
rate movements between countries materially impact Grant Park's profitability.
Grant Park's primary interest rate exposure is due to interest rate fluctuations
in the United States and the other G-7 countries. However, Grant Park also takes
futures positions on the government debt of smaller nations, such as Australia.
The general partner anticipates that G-7 interest rates will remain the primary
market exposure of Grant Park for the foreseeable future.
Metals
Grant Park's metals market exposure is due to fluctuations in the price
of both precious metals, including gold and silver, as well as base metals
including aluminum, copper, nickel and zinc. Gold, silver, copper, nickel and
zinc accounted for Grant Park's primary metal exposure as of December 31, 2003.
Energy
Grant Park's primary energy market exposure is due to gas and oil price
movements, often resulting from political developments in the Middle East. As of
December 31, 2003, crude oil was the
17
dominant energy market exposure of Grant Park. Oil and gas prices can be
volatile and substantial profits and losses have been and are expected to
continue to be experienced in this market.
Agricultural/Softs
Grant Park's primary commodities exposure is due to agricultural price
movements, which are often directly affected by severe or unexpected weather
conditions. The soybean complex, corn and wheat accounted for the substantial
bulk of Grant Park's commodity exposure as of December 31, 2003.
Non-Trading Risk Exposure
The following were the only non-trading risk exposures of Grant Park as
of December 31, 2003.
Foreign Currency Balances
Grant Park's primary foreign currency balances are in Japanese yen,
British pounds, Euros and Australian dollars. The advisors regularly convert
foreign currency balances to U.S. dollars in an attempt to control Grant Park's
non-trading risk.
Cash Management
Grant Park maintains a substantial portion, ranging from approximately
75% to 95%, of its available assets in Treasury bills held at the clearing
broker, in Treasury repurchase agreements purchased at Harris Trust & Savings
Bank or in U.S. Treasury securities, securities issued by U.S. government
agencies and other high quality money market securities purchased at Horizon
Cash Management, LLC which are held in a separate, segregated account at
Northern Trust. Violent fluctuations in prevailing interest rates could cause
immaterial mark-to-market losses on Grant Park's cash management income.
MANAGING RISK EXPOSURE
The general partner monitors and controls Grant Park's risk exposure on
a daily basis through financial, credit and risk management monitoring systems
and, accordingly, believes that it has effective procedures for evaluating and
limiting the credit and market risks to which Grant Park is subject.
The general partner monitors Grant Park's performance and the
concentration of its open positions, and consults with the trading advisors
concerning Grant Park's overall risk profile. If the general partner felt it
necessary to do so, the general partner could require the trading advisors to
close out individual positions as well as enter positions traded on behalf of
Grant Park. However, any intervention would be a highly unusual event. The
general partner primarily relies on the trading advisors' own risk control
policies while maintaining a general supervisory overview of Grant Park's market
risk exposures. The trading advisors apply their own risk management policies to
their trading. The trading advisors often follow diversification guidelines,
margin limits and stop loss points to exit a position. The trading advisors'
research of risk management often suggests ongoing modifications to their
trading programs.
As part of the general partner's risk management, the general partner
periodically meets with the trading advisors to discuss their risk management
and to look for any material changes to the trading advisors' portfolio balance
and trading techniques. The trading advisors are required to notify the general
partner of any material changes to their programs.
GENERAL
From time to time, certain regulatory or self-regulatory organizations
have proposed increased margin requirements on futures contracts. Because Grant
Park generally will use a small percentage of
18
assets as margin, Grant Park does not believe that any increase in margin
requirements, as proposed, will have a material effect on Grant Park's
operations.
ITEM 8. FINANCIAL STATEMENTS AND SUPPLEMENTARY DATA
Financial statements meeting the requirements of Regulation S-X appear
beginning on page F-1 of this report. The supplementary financial information
specified by Item 302 of Regulation S-K is included in this report under the
heading "Selected Financial Data" above.
ITEM 9. CHANGES IN AND DISAGREEMENTS WITH ACCOUNTANTS ON ACCOUNTING
AND FINANCIAL DISCLOSURE
On March 10, 2003, Dearborn Capital Management L.L.C. engaged the
accounting firm of McGladrey & Pullen, LLP to act as Grant Park's independent
accountants. McGladrey & Pullen, LLP replaced Grant Park's previous independent
accountants, Taglia and Associates. Grant Park previously reported the
information required by Item 304 of Regulation S-K on page 25 of Amendment No. 3
to Registration Statement on Form S-1 (File No. 333-104317) filed with the
Securities and Exchange Commission on June 25, 2003.
ITEM 9A. CONTROLS AND PROCEDURES
As of the end of the period covered by this report, the general partner
carried out an evaluation, under the supervision and with the participation of
the general partner's management including its principal executive officer and
principal financial officer, of the effectiveness of the design and operation of
Grant Park's disclosure controls and procedures as contemplated by Rule 13a-15
of the Securities Exchange Act of 1934, as amended. Based on, and as of the date
of that evaluation, the general partner's principal executive officer and
principal financial officer concluded that Grant Park's disclosure controls and
procedures are effective, in all material respects, in timely alerting them to
material information relating to Grant Park required to be included in the
reports required to be filed or submitted by Grant Park with the SEC under the
Exchange Act.
There was no change in Grant Park's internal control over financial
reporting in the year ended December 31, 2003 that has materially affected or is
reasonably likely to materially affect Grant Park's internal control over
financial reporting.
PART III
ITEM 10. DIRECTORS AND EXECUTIVE OFFICERS OF THE REGISTRANT
Grant Park has no directors or executive officers and also does not
have any employees. Grant Park is managed solely by Dearborn Capital Management,
L.L.C. in its capacity as general partner. Dearborn Capital Management, L.L.C.
has been registered as a commodity pool operator and a commodity trading advisor
under the Act and has been a member of the NFA since December 1995.
The principals of the general partner are Dearborn Capital Management
Ltd., Centum Prata Holding AG, David M. Kavanagh, Margaret E. Manning, Maureen
O'Rourke and Abdullah Mohammed Al Rayes. Only the officers of Dearborn Capital
Management, L.L.C., Mr. Kavanagh, Ms. Manning and Ms. O'Rourke, have management
responsibility and control over the general partner.
Mr. Kavanagh, president of Dearborn Capital Management, L.L.C., has
been responsible for overseeing all operations and activities of the general
partner since its formation. Commencing in
19
October 1998, Mr. Kavanagh also became president, a principal and an associated
person of Dearborn Capital Brokers Ltd., an independent introducing broker.
Since 1983, Mr. Kavanagh has been a member in good standing of the Chicago Board
of Trade. Between 1983 and October 1998, Mr. Kavanagh served as an institutional
salesman in the financial futures area on behalf of Refco and Conti Commodity
Services, Inc., which was acquired by Refco in 1984. His clients included large
hedge funds and financial institutions. Since October 1998, Mr. Kavanagh has
from time to time continued to perform introducing brokerage services for Refco,
through Dearborn Capital Brokers. Neither Dearborn Capital Brokers nor Mr.
Kavanagh provide brokerage services to Grant Park's trading account. In the
past, from time to time Mr. Kavanagh has provided brokerage services to
Financial Consortium International LLC, a registered introducing broker,
commodity pool operator and broker-dealer, since October 1999. In 1980, Mr.
Kavanagh received an MBA from the University of Notre Dame, and in 1978,
graduated with a B.S. in business administration from John Carroll University.
Ms. Manning, vice president of Dearborn Capital Management, L.L.C., is
primarily responsible for the marketing and research operations of the general
partner. Ms. Manning joined the general partner in May 1993. Before joining the
general partner, Ms. Manning was employed as an auditor at KPMG LLP (formerly
KPMG Peat Marwick LLP) from 1991 to 1993, specializing in the financial and real
estate industries. Ms. Manning is a certified public accountant and received a
B.S. in accounting from Indiana University in 1991.
Ms. O'Rourke, chief financial officer of the general partner, is
responsible for financial reporting and compliance issues. Prior to joining the
general partner in May 2003, Ms. O'Rourke was employed as assistant vice
president at MetLife Investors Life Insurance Company from 1992 to September
2001. Before that, Ms. O'Rourke was employed as a tax senior at KPMG LLP
(formerly KPMG Peat Marwick LLP) from 1987 to 1991. Ms. O'Rourke is a certified
public accountant. She received a B.B.A. in accounting from the University of
Notre Dame in 1987 and received a M.S. in Taxation from DePaul University in
1996.
CODE OF ETHICS
Grant Park has not adopted a code of ethics because it does not have
any officers or employees.
SECTION 16(A) BENEFICIAL OWNERSHIP REPORTING COMPLIANCE
Section 16 of the Securities Exchange Act of 1934, as amended, requires
an issuer's directors and certain executive officers and certain other
beneficial owners of the issuer's equity securities to periodically file notices
of changes in their beneficial ownership with the SEC. Grant Park does not have
any directors or officers. However, the officers of Grant Park's general
partner, as well as the general partner itself, also file such notices regarding
their beneficial ownership in Grant Park, if any. Grant Park believes that for
2003, all required filings were timely filed by each of these persons, except:
(1) each of Dearborn Capital Management, L.L.C. and David M. Kavanagh filed a
late Form 4, which were each filed on January 9, 2004, reporting the purchase of
Class A units and General Partnership units on November 1, 2003 and January 1,
2004; and (2) Margaret E. Manning filed a late Form 4, which was filed on
January 9, 2004, reporting the purchase of Class A units on September 1, 2003
and January 1, 2004.
ITEM 11. EXECUTIVE COMPENSATION
Grant Park has no directors or officers. Its affairs are managed by
Dearborn Capital Management, L.L.C., its general partner, which receives
compensation for its services from Grant Park, as follows:
20
Effective April 1, 2004, Class A units of Grant Park pay the general
partner a monthly brokerage charge equal to 0.6583%, a rate of 7.9% annually, of
Class A's month-end adjusted net assets. Class B units pay a monthly brokerage
charge equal to 0.675%, a rate of 8.1% annually, of Class B's month-end adjusted
net assets. The general partner pays from the brokerage charge all clearing,
execution and give-up, floor brokerage, exchange and NFA fees, any other
transaction costs, selling agent compensation and consulting fees to the trading
advisors. The payments to the clearing brokers are based upon a specified amount
per round-turn for each commodity interest transaction executed on behalf of
Grant Park. The amounts paid to selling agents, trading advisors or others may
be based upon a specified percentage of Grant Park's net asset value or
round-turn transactions. A round-turn is both the purchase, or sale, of a
commodity interest contract and the subsequent offsetting sale, or purchase, of
the contract. The balance of the brokerage charge not paid out to other parties
is retained by the general partner as payment for its services to Grant Park.
Grant Park pays the general partner the brokerage charge, which is
based on a fixed percentage of net assets, regardless of whether actual
transaction costs were less than or exceeded this fixed percentage or whether
the number of trades significantly increases. Assuming Grant Park's brokerage
charge was expressed on a per-transaction basis, it is estimated that the
brokerage charge would equate to round-turn commissions of approximately $53.85,
based on the average trading activity of the four trading advisors for the last
three calendar years and assuming allocations of net assets to the trading
advisors as follows: 30% to Rabar; 30% to EMC; 10% to ETC; and 30% to Graham.
The clearing brokers are also paid by the general partner, out of its
brokerage charge, an average of between approximately $5.00 and $10.00 dollars
per round turn transaction entered into by Grant Park. This round turn
commission includes all clearing, exchange and NFA fees.
From August 1, 2003 to April 1, 2004, Grant Park paid the general
partner a monthly brokerage charge equal to a rate of up to 8.1% annually of
Grant Park's month-end adjusted net assets. The charge amounted to $1,421,649
during 2003. Prior to August 1, 2003, Grant Park paid the general partner a
management fee, accrued monthly and paid quarterly, equal to a rate of 2%
annually of Grant Park's month-end adjusted net assets. This fee equaled
$221,750 during 2003.
The Guidelines for the Registration of Commodity Pool Programs
developed by the North American Securities Administrators Association, Inc., or
NASAA Guidelines, require that the brokerage charge payable by Grant Park will
not be greater than (1) 80% of the published retail commission rate plus pit
brokerage fees, or (2) 14% annually of Grant Park's average net assets,
including pit brokerage fees. Net assets for purposes of this limitation exclude
assets not directly related to trading activity, if any. The general partner
intends to operate Grant Park so as to comply with these limitations.
Additionally, all expenses incurred in connection with the organization
and the ongoing offering of the units are paid by the general partner and then
reimbursed to the general partner by Grant Park. The limited partnership
agreement provides that Grant Park shall be entitled to reimbursement for
organization and offering expenses at a rate of up to 1.0% per annum, computed
monthly, of which up to 10% of such amount is reimbursable by Class A and 90% is
reimbursable by Class B. Effective April 1, 2004, Class A units will bear
organization and offering expenses at an annual rate of 20 basis points (0.20%)
of the adjusted net assets of the Class A units, calculated and payable monthly
on the basis of month-end adjusted net assets. Class B units will bear these
expenses at an annual rate of 90 basis points (0.90%) of the adjusted net assets
of the Class B units, calculated and payable monthly on the basis of month-end
adjusted net assets. In no event, however, will the reimbursement from Grant
Park to the general partner exceed 1.0% per annum of the average month-end net
assets of Grant Park. The general partner has the discretion to change the
amounts assessed to each class for organization and offering expenses, provided
the amounts do not exceed the limits set forth in the limited partnership
agreement. In
21
its discretion, the general partner may require Grant Park to reimburse the
general partner in any subsequent calendar year for amounts that exceed these
limits in any calendar year, provided that the maximum amount reimbursed by
Grant Park in any calendar year will not exceed the overall limits set forth
above.
The NASAA Guidelines require that the organization and offering
expenses of Grant Park will not exceed 15% of the total subscriptions accepted.
The general partner, and not Grant Park, will be responsible for any expenses in
excess of that limitation. Since the general partner has agreed to limit Grant
Park's responsibility for these expenses to a total of 1% per annum of Grant
Park's average month-end net assets, the general partner does not expect the
NASAA Guidelines limit of 15% of total subscriptions to be reached.
ITEM 12. SECURITY OWNERSHIP OF CERTAIN BENEFICIAL OWNERS AND
MANAGEMENT AND RELATED STOCKHOLDER MATTERS
Grant Park has no officers or directors. Its affairs are managed by its
general partner, Dearborn Capital Management, L.L.C. Set forth in the table
below is information regarding the beneficial ownership of the officers of Grant
Park's general partner in Grant Park as of March 1, 2004.
PERCENTAGE
OF
NUMBER OF OUTSTANDING
CLASS A NUMBER OF CLASS A PERCENTAGE
LIMITED GENERAL LIMITED OF GENERAL
PARTNERSHIP PARTNERSHIP PARTNERSHIP PARTNERSHIP
NAME UNITS UNITS UNITS UNITS
- ------------------------------------------- ------------- ------------ ----------- -----------
Dearborn Capital Management, L.L.C......... 885.4461 98.3829 0.96% 0.11%
David M. Kavanagh.......................... 885.4461 (1) 98.3829 (1) 0.96% 0.11%
Margaret E. Manning........................ 33.642 -- 0.04% --
Maureen O'Rourke........................... -- -- -- --
- ------------------
(1) Represents units directly held by Dearborn Capital Management, L.L.C.,
the general partner of Grant Park. The managing member of Dearborn
Capital Management, L.L.C. is Dearborn Capital Management Ltd. Mr.
Kavanagh is the sole shareholder of Dearborn Capital Management Ltd.
Grant Park has no securities authorized for issuance under equity
compensation plans.
ITEM 13. CERTAIN RELATIONSHIPS AND RELATED TRANSACTIONS
See Item 11, "Executive Compensation" and Item 12, "Security Ownership
of Certain Beneficial Owners and Management."
22
ITEM 14. PRINCIPAL ACCOUNTANT FEES AND SERVICES
The following table sets forth the fees billed to Grant Park for
professional audit services provided by McGladrey & Pullen, LLP, Grant Park's
independent accountants, for the audit of Grant Park's annual financial
statements for the years ended December 31, 2003 and 2002, and fees billed for
other professional services rendered by McGladrey & Pullen, LLP and RSM
McGladrey, Inc. (an affiliate of McGladrey & Pullen, LLP) during those years.
FEE CATEGORY 2003 2002
- ------------------------------------ -------- -------
Audit Fees(1)....................... $151,431 $27,525
Audit-Related Fees.................. -- --
Tax Fees(2)......................... 5,360 --
All Other Fees...................... -- --
-------- -------
TOTAL FEES....................... $156,791 $27,525
======== =======
- ------------------
(1) Audit fees consist of fees for professional services rendered for the
audit of Grant Park's financial statements and review of financial
statements included in Grant Park's quarterly reports, as well as
services normally provided by the independent accountant in connection
with statutory and regulatory filings or engagements.
(2) Tax fees consist of compliance fees for the preparation of original tax
returns.
Grant Park's general partner, Dearborn Capital Management, L.L.C.,
approved all the services provided by McGladrey & Pullen to Grant Park described
above. The general partner has determined that the payments made to McGladrey
for these services during 2003 are compatible with maintaining that firm's
independence. The general partner pre-approves all audit and permitted non-audit
services of Grant Park's independent accountants, including all engagement fees
and terms.
23
PART IV
ITEM 15. EXHIBITS, FINANCIAL STATEMENT SCHEDULES, AND REPORTS
ON FORM 8-K
(a) The following documents are filed as part of this
report:
(1) See Financial Statements beginning on page
F-1 hereof.
(2) Schedules:
Financial statement schedules have been
omitted because they are not included in the
financial statements or notes hereto
applicable or because equivalent information
has been included in the financial
statements or notes thereto.
(3) Exhibits
EXHIBIT
NUMBER DESCRIPTION OF DOCUMENT
- ------- -----------------------
3.1(1) Third Amended and Restated Limited Partnership Agreement of the
Registrant.
3.2(2) Certificate of Limited Partnership of the Registrant.
10.1(3) First Amended and Restated Advisory Contract among the registrant,
Dearborn Capital Management, L.L.C. and Rabar Market Research, Inc.
10.2(3) First Amended and Restated Advisory Contract among the registrant,
Dearborn Capital Management, L.L.C. and EMC Capital Management, Inc.
10.3(3) First Amended and Restated Advisory Contract among the registrant,
Dearborn Capital Management, L.L.C. and Eckhardt Trading Company.
10.4(3) Advisory Contract among the registrant, Dearborn Capital Management,
L.L.C. and Graham Capital Management, L.P.
10.5(4) Subscription Agreement and Power of Attorney.
10.6(5) Request for Redemption Form.
24.1 Power of Attorney (included on signature page).
31.1 Certification of Principal Executive Officer pursuant to Rule 13a-14(a)
under the Securities Exchange Act of 1934.
31.2 Certification of Principal Financial Officer pursuant to Rule 13a-14(a)
under the Securities Exchange Act of 1934.
24
EXHIBIT
NUMBER DESCRIPTION OF DOCUMENT
- ------- -----------------------
32.1 Certification pursuant to 18 U.S.C. Section 1350, as adopted pursuant
to Section 906 of the Sarbanes-Oxley Act of 2002.
- ------------------
(1) Included as Appendix A to the prospectus which is part of the
Registrant's Registration Statement on Form S-1 (File No. 333-113297)
and incorporated herein by reference.
(2) Filed as an Exhibit to the Registrant's Registration Statement on Form
S-1 (File No. 333-104317) and incorporated herein by reference.
(3) Filed as an Exhibit to the Registrant's Registration Statement on Form
S-1 (File No. 333-113297) and incorporated herein by reference.
(4) Included as Appendix B to the prospectus which is part of the
Registrant's Registration Statement on Form S-1 (File No. 333-113297)
(5) Included as Appendix D to the prospectus which is part of the
Registrant's Registration Statement on Form S-1 (File No. 333-113297)
(b) Reports on Form 8-K
None.
25
INDEX TO FINANCIAL STATEMENTS
GRANT PARK FUTURES FUND LIMITED PARTNERSHIP
Independent Auditor's Report......................................................................... F-2
Statements of Financial Condition as of December 31, 2003 and 2002................................ F-3
Condensed Schedule of Investments as of December 31, 2003......................................... F-4
Condensed Schedule of Investments as of December 31, 2002......................................... F-5
Statements of Operations for the years ended December 31, 2003, 2002 and 2001 .................... F-6
Statements of Changes in Partners' Capital for the years ended December 31, 2003, 2002 and 2001 .. F-7
Notes to Financial Statements..................................................................... F-8
DEARBORN CAPITAL MANAGEMENT, L.L.C.
Independent Auditor's Report......................................................................... F-14
Statement of Financial Condition as of December 31, 2003.......................................... F-15
Notes to Statement of Financial Condition......................................................... F-16
F-1
INDEPENDENT AUDITOR'S REPORT ON THE FINANCIAL STATEMENTS
To the Partners
Grant Park Futures Fund Limited Partnership
Chicago, Illinois
We have audited the accompanying statements of financial condition,
including the condensed schedules of investments, of Grant Park Futures Fund
Limited Partnership as of December 31, 2003 and 2002, and the related statements
of operations and changes in partners' capital for each of the three years in
the period ended December 31, 2003. 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 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 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 Grant Park Futures
Fund Limited Partnership as of December 31, 2003 and 2002, and the results of
its operations for each of the three years in the period ended December 31,
2003, in conformity with accounting principles generally accepted in the United
States of America.
/s/ McGladrey & Pullen, LLP
Chicago, Illinois
February 19, 2004
McGladrey & Pullen, LLP is a member firm of RSM International -
an affiliation of separate and independent legal entities.
F-2
GRANT PARK FUTURES FUND LIMITED PARTNERSHIP
STATEMENTS OF FINANCIAL CONDITION
DECEMBER 31, 2003 AND 2002
ASSETS 2003 2002
- ---------------------------------------------------------------------- ----------- -----------
Equity in broker's trading accounts:
U.S. Government securities, at market value........................ $ 7,494,683 $ 2,096,884
Cash............................................................... 5,815,172 689,688
Unrealized gain on open contracts, net............................. 5,563,659 941,073
----------- -----------
Deposits with broker............................................ 18,873,514 3,727,645
Cash and cash equivalents............................................. 68,985,354 12,061,861
Interest receivable................................................... 2,872 2,284
----------- -----------
TOTAL ASSETS.................................................... $87,861,740 $15,791,790
=========== ===========
LIABILITIES AND PARTNERS' CAPITAL
Liabilities
Brokerage commission payable....................................... $ 436,522 $ --
Accrued management fees............................................ -- 131,277
Commissions payable................................................ -- 23,226
Accrued incentive fees............................................. 1,140,443 98,118
Organization and offering costs payable............................ 28,975 --
Accrued operating expenses......................................... 43,353 --
Other accrued expenses............................................. 96,469 58,377
Pending partner additions.......................................... 18,295,637 656,033
Redemptions payable................................................ 402,295 218,800
----------- -----------
TOTAL LIABILITIES............................................... 20,443,694 1,185,831
----------- -----------
Partners' Capital
General Partner (units outstanding December 31, 2003 - 707.62)..... 844,919 797,315
Limited Partners
Class A (units outstanding December 31, 2003 - 27,275.54)....... 32,567,704 13,808,644
Class B (units outstanding December 31, 2003 - 31,586.19)....... 34,005,423 --
----------- -----------
TOTAL PARTNERS' CAPITAL....................................... 67,418,046 14,605,959
----------- -----------
TOTAL LIABILITIES AND PARTNERS' CAPITAL....................... $87,861,740 $15,791,790
=========== ===========
The accompanying notes are an integral part of these financial statements.
F-3
GRANT PARK FUTURES FUND LIMITED PARTNERSHIP
CONDENSED SCHEDULE OF INVESTMENTS
DECEMBER 31, 2003
NO. OF CONTRACTS
---------------- UNREALIZED UNREALIZED NET
GAIN/(LOSS) PERCENT GAIN/(LOSS) PERCENT UNREALIZED PERCENT
EXPIR- ON OPEN OF ON OPEN OF GAIN/(LOSS) OF
ATION LONG PARTNERS' SHORT PARTNERS' ON OPEN PARTNERS'
DATES LONG SHORT CONTRACTS CAPITAL CONTRACTS CAPITAL CONTRACTS CAPITAL
------ ---- ----- ---------- --------- ----------- --------- ---------- ---------
FUTURES CONTRACTS
U.S. Futures Positions:
Currencies........... $ 492,319 0.7% $ (67,674) (0.1)% $ 424,645 0.6%
Energy............... (141,842) (0.2)% - * (141,842) (0.2)%
Grains............... 91,733 0.1% - * 91,733 0.1%
Interest rates....... 47,864 0.1% - * 47,864 0.1%
Meats................ - * 1,520 * 1,520 *
Metals............... 892,100 1.3% - * 892,100 1.3%
Soft Commodities..... 7,387 * 4,697 * 12,084 *
Stock Indexes........ 529,577 0.8% 181,080 0.3% 710,657 1.1%
----------- ---------- ----------
Total U.S. Futures
Positions............. 1,919,138 119,623 2,038,761
Foreign Futures
Positions:
Energy............... 22,375 * - * 22,375 *
Interest rates....... 205,525 0.3% (40,589) (0.1)% 164,936 0.2%
Metals:
Nickel............ 01/04-03/04 54 14 1,166,825 1.7% (310,426) (0.1)% 856,399 1.6%
Other Metals...... 769,188 1.1% (207,925) (0.3)% 561,263 0.8%
Soft commodities..... - * 4,077 * 4,077 *
Stock indexes........ 459,768 0.7% (773) * 458,995 0.7%
----------- ---------- ----------
Total Foreign Futures
Positions............ 2,623,681 (555,636) 2,068,045
----------- ---------- ----------
TOTAL FUTURES CONTRACTS. $4,542,819 $(436,013) $4,106,806
=========== ========== ==========
FORWARD CONTRACTS
British Pounds....... 03/04 $ 683,371 1.0% $ (94,050) (0.1)% $ 589,321 0.9%
Other currencies..... 1,118,240 1.7% (250,708) (0.4)% 867,532 1.3%
----------- ---------- ----------
TOTAL FORWARD CONTRACTS. $1,801,611 $ (344,758) $1,456,853
=========== ========== ==========
- ------------------
* Percentage is less than 0.1% of partners' capital.
U.S. Government Securities:
PERCENT
OF
PARTNERS'
FACE VALUE VALUE CAPITAL
- ---------- ---------- ---------
$7,500,000 U.S. Treasury Bills, January 29, 2004 $7,494,683 11.1%
----------
Total U.S. Government Securities (cost
$7,481,450) $7,494,683
==========
The accompanying notes are an integral part of these financial statements.
F-4
GRANT PARK FUTURES FUND LIMITED PARTNERSHIP
CONDENSED SCHEDULE OF INVESTMENTS
DECEMBER 31, 2002
UNREALIZED UNREALIZED NET
GAIN/(LOSS) PERCENT GAIN/(LOSS) PERCENT UNREALIZED PERCENT
ON OPEN OF ON OPEN OF GAIN/(LOSS) OF
LONG PARTNERS' SHORT PARTNERS' ON OPEN PARTNERS'
CONTRACTS CAPITAL CONTRACTS CAPITAL CONTRACTS CAPITAL
---------- --------- ----------- --------- ----------- ---------
U.S. Futures Positions:
Currencies............................... $400,410 2.7% $ 11,001 0.1% $411,411 2.8%
Energy................................... 60,150 0.4 - * 60,150 0.4
Grains................................... (3,966) * 19,025 0.1 15,059 0.1
Interest rates........................... 80,481 0.6 - * 80,481 0.6
Meats.................................... 870 * - * 870 *
Metals................................... 44,700 0.3 2,638 * 47,338 0.3
Stock Indexes............................ (15,367) (0.1) 91,590 0.6 76,223 0.5
Soft Commodities......................... (9,114) (0.1) 4,635 * (4,479) *
-------- -------- --------
Total U.S. Futures Positions................ 558,164 128,889 687,053
Foreign Futures Positions:
Energy................................... 1,500 * 4,431 * 5,931 *
Interest rates........................... 278,512 1.9 2,004 * 280,516 1.9
Metals................................... (10,280) (0.1) (41,247) (0.3) (51,527) (0.4)
Stock indexes............................ 5,804 * 13,296 0.1 19,100 0.1
-------- -------- --------
Total Foreign Futures Positions............. 275,536 (21,516) 254,020
$833,700 $107,373 $941,073
======== ======== ========
- ------------------
* Percentage is less than 0.1% of partners' capital.
U.S. Government Securities:
PERCENT OF
PARTNERS'
FACE VALUE VALUE CAPITAL
---------------- ------------ ----------
$1,400,000 U.S. Treasury Bills, January 30, 2003 $1,397,567 9.6%
$700,000 U.S. Treasury Bill, March 20, 2003 699,317 4.8%
----------
Total U.S. Government Securities (cost $2,093,108) $2,096,884
==========
The accompanying notes are an integral part of these financial statements.
F-5
GRANT PARK FUTURES FUND LIMITED PARTNERSHIP
STATEMENTS OF OPERATIONS
YEARS ENDED DECEMBER 31, 2003, 2002 AND 2001
2003 2002 2001
------------- ------------- --------------
INCOME
Trading gains (losses)
Realized........................ $ 5,526,575 $2,460,796 $2,564,474
Change in unrealized............ 4,622,586 510,668 (994,042)
----------- ---------- ----------
Gains from trading............ 10,149,161 2,971,464 1,570,432
Interest income................. 247,863 173,351 399,709
----------- ---------- ----------
TOTAL INCOME.................. 10,397,024 3,144,815 1,970,141
----------- ---------- ----------
EXPENSES
Brokerage commission............... 1,421,649 - -
Commissions........................ 274,784 439,731 366,368
Management fees.................... 427,893 478,624 480,800
Incentive fees..................... 1,585,258 269,870 159,136
Operating expenses................. 370,911 168,385 143,294
----------- ---------- ----------
TOTAL EXPENSES.................. 4,080,495 1,356,610 1,149,598
----------- ---------- ----------
NET INCOME...................... $ 6,316,529 $1,788,205 $ 820,543
=========== ========== ==========
The accompanying notes are an integral part of these financial statements.
F-6
GRANT PARK FUTURES FUND LIMITED PARTNERSHIP
STATEMENTS OF CHANGES IN PARTNERS' CAPITAL
YEARS ENDED DECEMBER 31, 2003, 2002 AND 2001
LIMITED PARTNERS LIMITED PARTNERS
----------------- ------------------
GENERAL PARTNER CLASS A CLASS B
--------------------- ------------------ ------------------
NUMBER NUMBER NUMBER
OF OF OF TOTAL
UNITS AMOUNT UNITS AMOUNT UNITS AMOUNT AMOUNT
------ -------- ------ ------------- ------- --------- -----------
Partners' capital,
December 31, 2000... -- $637,869 -- $11,448,521 -- $ -- $12,086,390
Contributions....... -- -- -- 163,382 -- -- 163,382
Redemptions......... -- -- -- (1,503,240) -- -- (1,503,240)
Net income.......... -- 49,106 -- 771,437 -- -- 820,543
------ -------- --------- ----------- --------- ---------- -----------
Partners' capital,
December 31, 2001... -- 686,975 -- 10,880,100 -- -- 11,567,075
Contributions....... -- -- -- 2,546,373 -- -- 2,546,373
Redemptions......... -- -- -- (1,295,694) -- -- (1,295,694)
Net income.......... -- 110,340 -- 1,677,865 -- 1,788,205
------ -------- --------- ----------- --------- ---------- -----------
Partners' capital,
December 31, 2002... * 797,315 * 13,808,644 -- -- 14,605,959
Contributions,
January 1
through March 31. * -- * 4,161,878 -- -- 4,161,878
Redemptions,
January 1
through March 31. * (200,000) * (20,000) -- -- (220,000)
Contributions,
April 1 through
December 31...... 101.16 115,000 10,348.32 11,558,797 31,586.19 31,996,685 43,670,482
Redemptions,
April 1 through
December 31...... -- -- (912.25) (1,048,041) -- -- (1,048,041)
Offering Costs...... -- -- -- (11,584) -- (57,177) (68,761)
Net income.......... -- 132,604 -- 4,118,010 -- 2,065,915 6,316,529
------ -------- --------- ----------- --------- ----------- -----------
Partners' capital,
December 31, 2003... 707.62 $844,919 27,275.54 $32,567,704 31,586.19 $34,005,423 $67,418,046
====== ======== ========= =========== ========= =========== ===========
Net asset value per
unit at April 1,
2003 for A Units &
at August 1, 2003
for B Units......... $ 1,000.00 $ 1,000.00
=========== ===========
Net asset value per
unit at
December 31, 2003... 1,194.03 $ 1,076.59
=========== ===========
Increase in net asset
value per asset for
the period April 1
to December 31,
2003 for A Units and
for the period
August 1 to
December 31, 2003
for B Units......... $ 194.03 $ 76.59
=========== ===========
- ------------------
* The Partnership converted its "Interests" to units effective April 1,
2003, with all existing Limited Partners at that date converting to
Class A Units.
The financial results will be presented on a unitized
basis from that date.
Converted units at April 2003:
General Partner...................... 606.46
Limited Partner Class A.............. 17,839.47
The accompanying notes are an integral part of these financial statements.
F-7
GRANT PARK FUTURES FUND LIMITED PARTNERSHIP
NOTES TO FINANCIAL STATEMENTS
NOTE 1. NATURE OF BUSINESS AND SIGNIFICANT ACCOUNTING POLICIES
Nature of business: Grant Park Futures Fund Limited Partnership (the
"Partnership") was organized as a limited partnership in Illinois in August 1988
and will continue until December 31, 2027, unless sooner terminated as provided
for in the Limited Partnership Agreement. 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
the various commodity exchanges where the Partnership executes transactions.
Additionally, the Partnership is subject to the requirements of futures
commission merchants ("FCMs") and interbank and other market makers through
which the Partnership trades. Effective June 30, 2003, the Partnership became
registered with the Securities and Exchange Commission ("SEC"), accordingly, as
a registrant, the Partnership is subject to the regulatory requirements under
the Securities Act of 1933 and the Securities Exchange Act of 1934.
The General Partner and the Limited Partners share in profits or losses
of the Partnership in the ratio that their respective capital accounts bear to
the total capital of the Partnership.
The Partnership is a multi-advisor pool that carries out its purpose
through trading by independent professional commodity trading advisors retained
by the General Partner and the Partnership. Through these trading advisors, the
Partnership's business is to trade, buy, sell, margin or otherwise acquire, hold
or dispose of futures and forward contracts for commodities, financial
instruments or currencies, any rights pertaining thereto and any options
thereon, or on physical commodities. The Partnership may also engage in hedge,
arbitrage and cash trading of commodities and futures.
The Partnership has elected not to provide statements of cash flows as
permitted by Statement of Financial Accounting Standards No. 102, Statements of
Cash Flows - Exemption of Certain Enterprises and Classification of Cash Flows
from Certain Securities Acquired for Resale.
Offerings of securities and use of proceeds: On June 30, 2003, the
Securities and Exchange Commission declared effective the Partnership's
Registration Statement on Form S-1 (Reg. No. 333-104317), pursuant to which the
Partnership registered for public offering $20,000,000 in aggregate amount of
Class A Limited Partnership Units and $180,000,000 in aggregate amount of Class
B Limited Partnership Units. Also as of June 30, 2003, the Partnership adopted
the Third Amended and Restated Limited Partnership Agreement.
Class A Limited Partnership Units and Class B Limited Partnership Units
are publicly offered at a price equal to the net asset value per unit as of the
close of business on each applicable closing date, which is the last business
day of each month. The proceeds of the offering are deposited in the
Partnership's bank and brokerage accounts for the purpose of engaging in trading
activities in accordance with the Partnership's trading policies and its trading
advisors' respective trading strategies.
Through February 28, 2003, the Partnership issued and sold its limited
partnership interests in an offering exempt under the Securities Act of 1933, as
amended (the Securities Act) pursuant to Section 4(2) thereof and Rule 506 of
Regulation D promulgated thereunder. Similar reliance was placed on available
exemptions from securities qualification requirements under applicable state
securities laws. The recipients of securities in such offering made
representations as to their intention to acquire the securities for investment
only and not with a view to, or for sale in connection with, any distribution
thereof, as to their ability to hold such securities indefinitely and generally,
as to their qualification as
F-8
accredited investors under the Securities Act and Regulation D promulgated
thereunder. Further, such securities were restricted as to their
transferability.
Significant accounting policies are as follows:
Revenue recognition: Futures, options on futures, and forward contracts
are recorded on the trade date and realized gains or losses are recognized when
contracts are liquidated. Unrealized gains or losses on open contracts (the
difference between contract trade price and market price) are reported in the
Statement of Financial Condition as a net gain or loss, as there exists a right
of offset of unrealized gains or losses in accordance with the Financial
Accounting Standards Board Interpretation No. 39 -- "Offsetting of Amounts
Related to Certain Contracts." Any change in net unrealized gain or loss from
the preceding period is reported in the statement of operations. Market value of
exchange-traded contracts is based upon exchange settlement prices. Market value
of non-exchange-traded contracts is based on third party quoted dealer values on
the Interbank market.
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 disclosure of contingent assets and liabilities at the date of
the financial statements and the reported amounts of revenue and expenses during
the reporting period. Actual results could differ from those estimates.
Cash and cash equivalents: Cash and cash equivalents include cash,
overnight investments, U.S. treasury bills and short-term investments in
interest-bearing demand deposits with banks and cash managers with maturities of
three months or less. The Partnership maintains deposits with high quality
financial institutions in amounts that are in excess of federally insured
limits; however, the Partnership does not believe it is exposed to any
significant credit risk.
Income taxes: No provision for income taxes has been made in these
financial statements as each partner is individually responsible for reporting
income or loss based on its respective share of the Partnership's income and
expenses as reported for income tax purposes. The Partnership is required to pay
an Illinois replacement tax of 1.5% of taxable income related to those limited
partners who are not otherwise subject to the tax. This tax has been included in
operating expenses on the statement of operations.
Organization and offering costs: All expenses incurred in connection
with the organization and the initial and ongoing public offering of partnership
interests will be paid by Dearborn Capital Management, L.L.C. ("General
Partner") and be reimbursed to the General Partner by the Partnership. This
reimbursement will be made monthly. In no event, however, will the monthly
reimbursement from the Partnership to the General Partner exceed 0.083%, or 1.0%
annually, of the net asset value of the Partnership. In its discretion, the
General Partner may require the Partnership to reimburse the General Partner in
any subsequent calendar year for amounts that exceed these limits in any
calendar year, provided that the maximum amount reimbursed by the Partnership
will not exceed the overall limit set forth above. Amounts reimbursed by the
Partnership with respect to the initial and ongoing public offering expenses
will be charged against partners' capital at the time of reimbursement or
accrual. Any amounts reimbursed by the Partnership with respect to organization
expenses will be expensed at the time the reimbursement is incurred or accrued.
If the Partnership terminates prior to completion of payment of the calculated
amounts to the General Partner, the General Partner will not be entitled to any
additional payments, and the Partnership will have no further obligation to the
General Partner. At December 31, 2003, the amount of unreimbursed organization
and offering costs incurred by the General Partner is $763,813.
F-9
Foreign Currency Transactions: The Partnership's functional currency is
the U.S. dollar, however, it transacts business in currencies other than the
U.S. dollar. Assets and liabilities denominated in currencies other than the
U.S. dollar are translated into U.S. dollars at the rates in effect at the date
of the Statement of Financial Condition. Income and expense items denominated in
currencies other than the U.S. dollar are translated into U.S. dollars at the
rates in effect during the period. Gains and losses resulting from the
translation to U.S. dollars are reported in income currently.
NOTE 2. GENERAL PARTNER AND RELATED PARTY TRANSACTIONS
Dearborn Capital Management, L.L.C. is the General Partner of the
Partnership. The General Partner shall at all times, so long as it remains a
general partner of the Partnership, own Units in the Partnership: (i) in an
amount sufficient, in the opinion of counsel for the Partnership, for the
Partnership to be taxed as a partnership rather than as an association taxable
as a corporation; and (ii) during such time as the Units are registered for sale
to the public, in an amount at least equal to the greater of: (a) 1% of all
capital contributions of all Partners to the Partnership; or (b) $25,000; or
such other amount satisfying the requirements then imposed by the NASAA
Guidelines. Further, during such time as the Units are registered for sale to
the public, the General Partner shall, so long as it remains a general partner
of the Partnership, maintain a net worth (as such term may be defined in the
NASAA Guidelines) at least equal to the greater of: (i) 5% of the total capital
contributions of all partners and all limited partnerships to which it is a
general partner (including the Partnership) plus 5% of the Units being offered
for sale in the Partnership; or (ii) $50,000; or such other amount satisfying
the requirements then imposed by the NASAA Guidelines. In no event, however,
shall the General Partner be required to maintain a net worth in excess of
$1,000,000 or such other maximum amount satisfying the requirements then imposed
by the NASAA Guidelines.
Prior to August 1, 2003, and for the years ended December 31, 2002 and
2001, brokerage commissions and other trading fees paid to clearing FCMs totaled
$274,784, $439,731 and $366,368, respectively, and are included in commissions
on the Statement of Operations.
Prior to August 1, 2003, the Partnership paid the General Partner a
management fee of 2% per annum of the Partnership net assets, as defined. This
fee, which was accrued monthly and paid quarterly, amounted to $221,750,
$245,615 and $247,212 for the seven months ended July 31, 2003, and the
years ended December 31, 2002 and 2001, respectively.
Effective August 1, 2003, the Partnership pays the General Partner a
brokerage commission up to 8.1% per annum of the Partnership net assets, as
defined. The charge, which is accrued monthly, amounted to $1,421,649 for the
five months ended December 31, 2003. Included in the brokerage commission of
$1,421,649 is $893,893 of fees paid to the General Partner and its selling
agents, $289,974 of management fees paid to commodity trading advisors (see Note
3) and $237,782 of commissions paid to its clearing FCMs.
The General Partner may, in its sole discretion, waive or reduce the
management fee it is otherwise entitled to receive from any or all Limited
Partners.
NOTE 3. COMMODITY TRADING ADVISORS
The Partnership has entered into advisory contracts with Rabar Market
Research, Inc., EMC Capital Management, Inc., Eckhardt Trading Co. and Graham
Capital Management, L.P. to be the Partnership's commodity trading advisors (the
"Advisors"). Effective August 1, 2003, the Advisors receive a quarterly
management fee ranging from 1 percent to 2 percent per annum of the
Partnership's month-end allocated net assets, which amounted to fees of $289,974
for the five months ended December 31, 2003.
F-10
Prior to the change on August 1, 2003, the Advisors received a
quarterly management fee ranging from 1 percent to 2.5 percent per annum of the
Partnership's month-end allocated net assets, which amounted to fees of
$206,143, $233,009 and $233,588 for the seven months ended July 31, 2003,
and the years ended December 31, 2002 and 2001, respectively.
Additionally, the Advisors receive a quarterly incentive fee ranging
from 20 percent to 24 percent of the new trading profits on the allocated net
assets of the Advisor, which amounted to fees of $1,585,258, $269,870 and
$159,136 for the years ended December 31, 2003, 2002 and 2001, respectively.
NOTE 4. REDEMPTIONS
Limited Partners have the right to redeem Interests as of any month-end
upon ten (10) days' prior written notice to the Partnership. The General
Partner, however, may permit earlier redemptions in its discretion. There are no
redemption fees applicable to Class A Limited Partners or to Class B Limited
Partners who redeem their units on or after the one-year anniversary of their
subscription. Class B Limited Partners who redeem their units prior to the
one-year anniversary of their subscriptions for the redeemed units will pay the
applicable early redemption fee. Redemptions will be made on the last day of the
month for an amount equal to the net assets, as defined, represented by the
interests to be redeemed.
In addition, the General Partner may at any time cause the redemption
of all or a portion of any Limited Partner's Interests upon 15 day's written
notice. The General Partner may also immediately redeem any Limited Partner's
Interests without notice if the General Partner believes that (i) the redemption
is necessary to avoid having the assets of the Partnership deemed Plan Assets
under the Employee Retirement Income Security Act of 1974, as amended ("ERISA"),
(ii) the Limited Partner made a misrepresentation in connection with its
subscription for the Interests, or (iii) the redemption is necessary to avoid a
violation of law by the Partnership or any Partner.
NOTE 5. FINANCIAL HIGHLIGHTS
The following financial highlights reflect activity related to the
Partnership. Total return is based on the change in value during the period of a
theoretical investment made at the beginning of each calendar month during the
year. Individual investor's ratios may vary from these ratios based on various
factors, including and among others, the timing of capital transactions.
2003 2002 2001
----- ------ ------
Total return - A Units**......................... 20.03% 15.25% 7.00%
Total return - B Units**......................... 7.66%
Ratios as a percentage of average net assets:
Interest income............................... 1.02% 1.45% 3.28%
Expenses...................................... 16.84% 11.39% 9.42%
The interest income and total expense ratios above are computed based
upon the weighted average net assets of the Partnership for the years ended
December 31, 2003, 2002 and 2001.
F-11
The following per unit performance calculations reflect activity
related to the Partnership.
A UNITS** B UNITS**
--------- ---------
Per Unit Performance
(for unit outstanding throughout the entire period):
Net asset value per unit at beginning of period.............. $ 1,000 $ 1,000
Income from operations:
Net realized and change in unrealized gain from trading... 2,350 1,235
------- -------
Expenses net of interest income........................... (2,146) (1,102)
------- -------
Total income from operations........................... 205 133
Organization and offering costs.............................. (10) (56)
------- -------
Net asset value per unit at end of period.................... $ 1,194 $ 1,077
======= =======
- ------------------
Expenses net of interest income per unit and organization and offering
costs per unit are calculated by dividing the expenses net of interest
income and organization and offering costs by the average number of
units outstanding during the period from April 1, 2003 to December 31,
2003. The net realized and change in unrealized gain from trading is a
balancing amount necessary to reconcile the change in net asset value
per unit with the other per unit information.
** The Partnership converted its "interests" to units effective April 1,
2003, with all existing Limited Partners at that date converting to
Class A Units. B Units began trading August 1, 2003.
NOTE 6. TRADING ACTIVITIES AND RELATED RISKS
The Partnership engages in the speculative trading of U.S. and foreign
futures contracts, options on U.S. and foreign futures contracts, and forward
contracts (collectively, derivatives). These derivatives include both financial
and nonfinancial contracts held as part of a diversified trading strategy. The
Partnership is exposed to both market risk, the risk arising from changes in the
market value of the contracts; and credit risk, the risk of failure by another
party to perform according to the terms of a contract.
The purchase and sale of futures and options on futures contracts
require margin deposits with FCMs. Additional deposits may be necessary for any
loss on contract value. The Commodity Exchange Act requires an FCM to segregate
all customer transactions and assets from the FCM's proprietary activities. A
customer's cash and other property (for example, U.S. Treasury bills) deposited
with an FCM are considered commingled with all other customer funds subject to
the FCM's segregation requirements. In the event of an FCM'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 the total of cash and
other property deposited.
Net trading results from derivatives for the years ended December 31,
2003, 2002 and 2001, are reflected in the statements of operations. Such trading
results reflect the net gain arising from the Partnership's speculative trading
of futures contracts, options on futures contract, and forward contracts.
For derivatives, risks arise from changes in the market value of the
contracts. Theoretically, the Partnership is exposed to a market risk equal to
the value of futures and forward 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; for purchased
options the risk of loss is limited to the premiums paid.
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 Fund. The counterparty for futures and options on futures
contracts traded in the United States and on most non-U.S. futures exchanges is
the clearinghouse associated with such exchange. In general, clearinghouses are
backed by the corporate
F-12
members of the clearinghouse who are required to share any financial burden
resulting from the nonperformance by one of their members and, as such, should
significantly reduce this credit risk.
In cases where the clearinghouse 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 clearinghouse backed by a group of
financial institutions; thus, there likely will be greater counterparty credit
risk. The Partnership trades only with those counterparties that it believes to
be creditworthy. All positions of the Partnership are valued each day on a
mark-to-market basis. There can be no assurance that any clearing member,
clearinghouse or other counterparty will be able to meet its obligations to the
Partnership.
The unrealized gain (loss) on open futures and forward contracts is
comprised of the following:
FUTURES CONTRACTS FORWARD CONTRACTS
(EXCHANGE-TRADED) (NON-EXCHANGE-TRADED) TOTAL
-------------------------- --------------------------- ----------------------------
DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31,
2003 2002 2003 2002 2003 2002
----------- ------------ ------------ ------------ ------------ -------------
Gross unrealized gains $ 5,261,756 $1,163,733 $2,057,060 $ - $ 7,318,816 $1,163,733
Gross unrealized
(losses) (1,154,950) (222,660) (600,207) $ - (1,755,157) (222,660)
----------- ---------- ---------- ---------- ----------- ----------
Net unrealized gain
(loss) $ 4,106,806 $ 941,073 $1,456,853 $ - $ 5,563,659 $ 941,073
=========== ========== ========== ========== =========== ==========
The General Partner has established procedures to actively monitor and
minimize market and credit risks. The limited partners bear the risk of loss
only to the extent of the market value of their respective investments and, in
certain specific circumstances, distributions and redemptions received.
NOTE 7. SUBSEQUENT EVENT
From January 1, 2004 to February 19, 2004, there were contributions and
redemptions totaling approximately $42,960,000 and $355,000, respectively.
F-13
[MCGLADREY & PULLEN LOGO]
INDEPENDENT AUDITOR'S REPORT
To the Members
Dearborn Capital Management, L.L.C.
Chicago, Illinois
We have audited the accompanying statement of financial condition of
Dearborn Capital Management, L.L.C. as of December 31, 2003. This financial
statement is the responsibility of the Company's management. Our responsibility
is to express an opinion on this financial statement 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 statement
of financial condition is free of material misstatement. An audit includes
examining, on a test basis, evidence supporting the amounts and disclosures in
the statement of financial condition. An audit also includes assessing the
accounting principles used and significant estimates made by management, as well
as evaluating the overall statement of financial condition presentation. We
believe that our audit provides a reasonable basis for our opinion.
In our opinion, the statement of financial condition referred to above
presents fairly, in all material respects, the financial position of Dearborn
Capital Management, L.L.C. as of December 31, 2003, in conformity with
accounting principles generally accepted in the United States of America.
/s/ McGladrey & Pullen, LLP
Chicago, Illinois
February 19, 2004
F-14
DEARBORN CAPITAL MANAGEMENT, L.L.C.
STATEMENT OF FINANCIAL CONDITION
DECEMBER 31, 2003
ASSETS
Cash and cash equivalents...................................... $ 201,468
Receivables:
Grant Park Futures Fund Limited Partnership................. 453,834
Advisory and performance fees............................... 162,012
Other....................................................... 2,315
Investments:
Grant Park Futures Fund Limited Partnership................. 844,919
Other, at fair value........................................ 103,588
Prepaid expenses............................................... 1,662,825
Office equipment, net of accumulated depreciation of $52,051... 2,384
----------
TOTAL ASSETS $3,433,345
==========
LIABILITIES AND MEMBERS' EQUITY
Liabilities
Note payable................................................ $ 380,125
Accounts payable, accrued expenses and other liabilities.... 379,574
----------
759,699
Member's equity 2,673,646
----------
TOTAL LIABILITIES AND MEMBERS' EQUITY $3,433,345
==========
The accompanying notes are an integral part of this statement of
financial condition.
F-15
DEARBORN CAPITAL MANAGEMENT, L.L.C.
NOTES TO STATEMENT OF FINANCIAL CONDITION
NOTE 1. NATURE OF THE BUSINESS AND SIGNIFICANT ACCOUNTING POLICIES
Dearborn Capital Management, L.L.C. (the "Company") was organized as a
limited liability company in Illinois in January 1996 and will continue until
December 31, 2045, unless sooner terminated as provided for in the Operating
Agreement. The Company is registered as a Commodity Pool Operator ("CPO") and a
Commodity Trading Advisor ("CTA") with the Commodity Futures Trading Commission
("CFTC") and is a member of the National Futures Association ("NFA"). The
Company conducts an investment management business and acts as the General
Partner for Grant Park Futures Fund Limited Partnership (the "Partnership").
Significant accounting policies are as follows:
Investments: The Company accounts for its investment in the Partnership
on the equity method of accounting, whereby the investment in the Partnership is
adjusted for the Company's proportionate share of the Partnership's results of
operations.
The Company values securities that are listed on a securities exchange
at their last sale price on the date of determination or, if no sales occurred
on that date, at the mean between the last closing "bid" and "asked" prices on
that date. For securities that are not listed on a securities exchange, they are
valued at their last closing bid prices for long positions and their last
closing asked prices for short positions on the date of determination. In the
absence of quoted values or when quoted values are not deemed to be
representative of market values, investments are valued at fair value as
determined in good faith by the Company.
Use of estimates: The preparation of the Statement of Financial
Condition in conformity with generally accepted accounting principles requires
management to make estimates and assumptions that affect the reported amounts of
assets and liabilities and disclosure of contingent assets and liabilities at
the date of the Statement of Financial Condition. Actual results could differ
from those estimates.
Cash and cash equivalents: Cash and cash equivalents include cash and
short-term investments in interest-bearing demand deposits with banks and cash
managers.
Income taxes: No provision for income taxes has been made in these
financial statements as each member is individually responsible for reporting
income or loss based on its respective share of the Company's income and
expenses as reported for income tax purposes.
NOTE 2. INVESTMENTS
The Company as General Partner of the Partnership has an investment in
the Partnership as recorded on the Statement of Financial Condition. The Company
has committed to maintaining an investment in the Partnership equal to at least
1% of all capital contributions of all partners to the Partnership or $25,000.
Further, during such time as the units of the Partnership are registered for
sale to the public, the Company shall, so long as it remains a General Partner
of the Partnership, maintain a net worth at least equal to the greater of 5% of
the total capital contributions of all partners and all limited partnerships to
which it is a General Partner (including the Partnership) plus 5% of the units
being offered for sale in the Partnership or $50,000. In no event shall the
Company be required to maintain a net worth in excess of $1,000,000.
F-16
At December 31, 2003, other investments (recorded at fair value)
consist of the following:
Private equity investment.................... $ 50,000
Note receivable.............................. 50,000
Equity securities............................ 3,588
--------
$103,588
========
The note receivable is stated at the unpaid principal balance. Interest
on the note of 18% annually is recognized over the term of the loan using the
interest method, with the maturity date on February 28, 2010. The accrual of
interest on the note is discounted when, in the opinion of management, there is
an indication that the borrower may be unable to meet payments as they become
due.
NOTE 3. RECEIVABLE FROM GRANT PARK FUTURES FUND LIMITED PARTNERSHIP AND
PREPAID EXPENSES
At December 31, 2003, the receivable from Grant Park Futures Fund
Limited Partnership and prepaid expenses consist of the following:
Selling Agents - Class A Unit Interests..................... $ 44,542
Selling Agents - Class B Unit Interests..................... 99,182
Commodity Trading Advisors.................................. 95,934
Management fees paid to Company............................. 141,848
----------
Total brokerage commission receivable................. 381,506
Organization and offering costs receivable.................. 28,975
Operating expenses.......................................... 43,353
----------
Total receivable from Grant Park Futures Fund
Limited Partnership............................... $ 453,834
==========
Class B selling commissions................................. $ 899,012
Organization and offering costs............................. 763,813
----------
Total prepaid expenses................................ $1,662,825
==========
Brokerage Commission: Effective August 1, 2003, the Partnership pays
the Company a brokerage commission up to 8.1% per annum of the Partnership net
assets. From this brokerage commission received from the Partnership, the
Company pays all clearing, execution and give-up, floor brokerage, exchange and
NFA fees, and commissions to certain selling agents as compensation for
selling interests of the Partnership and fees to the Partnership's commodity
trading advisors. The remainder is retained by the Company as a management fee.
If such commissions and fees exceed the 8.1% brokerage commission limit in any
one year, the Company will bear the excess amount. In its discretion, the
Company may require that the Partnership reimburse the Company.
The brokerage commission is paid to the Company by the Partnership on a
monthly basis. At December 31, 2003, the Company has brokerage commission
receivable from the Partnership of $381,506, which is included in receivable
from Grant Park Futures Fund Limited Partnership on the Statement of Financial
Condition.
Selling Agents: The Company pays, on behalf of the Partnership,
commissions charged by certain selling agents equal to 2 to 2.5% annually of the
Partnership's new Class A-Unit interests. At December 31, 2003, the Company has
a receivable from the Partnership, included in receivable from Grant Park
Futures Fund Limited Partnership on the Statement of Financial Condition, and
offsetting payable due to selling agents of $44,542. The payable is included in
accounts payable, accrued expenses and other liabilities on the Statement of
Financial Condition.
F-17
The Company pays, on behalf of the Partnership, a 3.5% up-front
commission to certain selling agents for the Partnership's Class B-Unit
interests. The commissions are reimbursed to the Company by the Partnership
through a portion of the brokerage commission noted above. At December 31, 2003,
the Company had advanced commission charges for Class B interests totaling
$889,012, which is included in prepaid expenses on the Statement of Financial
Condition. The Partnership has a receivable from the Partnership of $99,182 for
December 2003 commissions included in receivable from Grant Park Futures Fund
Limited Partnership on the Statement of Financial Condition.
Commodity Trading Advisors: The Company pays, on behalf of the
Partnership, management fees to the Partnership's commodity trading advisors.
The Company receives the management fees from the Partnership on a monthly basis
and pays such amounts due to the commodity trading advisors on a quarterly
basis. At December 31, 2003, the Company has a receivable from the Partnership
of $95,934 included in receivable from Grant Park Futures Fund Limited
Partnership on the Statement of Financial Condition, and a payable of $187,681
due to the commodity trading advisors. The payable is included in accounts
payable, accrued expenses and other liabilities on the Statement of Financial
Condition.
Management Fees paid to Company: At December 31, 2003, the Company has
a management fee receivable for the remainder of the brokerage commission charge
of $141,848 included in receivable from Grant Park Futures Fund Limited
Partnership on the Statement of Financial Condition.
Organization and Offering Costs: All expenses incurred in connection
with the organization and the initial and ongoing public offering of partnership
interests will be paid by the Company on behalf of the Partnership, and
reimbursed to the Company by the Partnership. This reimbursement will be made
monthly, effective August 1, 2003. In no event, however, will the monthly
reimbursement from the Partnership to the Company exceed 0.083%, or 1.0%
annually, of the net asset value of the Partnership. In its discretion, the
Company may require the Partnership to reimburse the Company in any subsequent
calendar year for amounts that exceed these limits in any calendar year,
provided that the maximum amount reimbursed by the Partnership will not exceed
the overall limit.
The reimbursement for organization and offering cost is made on a
monthly basis. At December 31, 2003, the Company has organization and offering
costs receivable from the Partnership of $28,975, included in receivable from
Grant Park Futures Fund Limited Partnership on the Statement of Financial
Condition.
At December 31, 2003, the Company has organization and offering
expenses incurred on behalf of the Partnership, however, not yet reimbursed of
$763,813, included in prepaid expenses on the Statement of Financial Condition.
This amount is carried on the Company's books as an asset due to the probable
future economic benefit to be obtained from the eventual receipt from the
Partnership of these reimbursements, even though the Partnership is not liable
for this amount at the current time. The Company recognizes an amount due from
the Partnership each month as a receivable, which reduces the balance remaining
as a prepaid expense. The Company analyzes the value of the remaining prepaid
expenses on its Statement of Financial Condition on a quarterly basis to ensure
that the carrying value is an accurate estimate of what the Company can expect
to receive over time, and expenses any excess on its books.
Operating Expenses: Effective August 1, 2003, all ongoing operating
expenses, such as legal, audit, internal control attestation, administrative
costs, expense of preparing and filing required periodic reports with the
Securities and Exchange Commission ("SEC"), printing and postage will be paid by
the Company on behalf of the Partnership, and reimbursed to the Company by the
Partnership. This reimbursement will be made monthly. In no event, however, will
the monthly reimbursement from the Partnership to the Company exceed .0625%, or
..75% annually, of the net asset value of the Partnership. The Company will bear
the excess amount. In its discretion, the Company may require the Partnership to
F-18
reimburse the Company in any subsequent calendar year for amounts that exceed
these limits in any calendar year, provided that the maximum amount reimbursed
by the Partnership will not exceed the overall limit set forth above. The
Company has received reimbursements from the Partnership totaling $159,101 for
the year ended December 31, 2003. At December 31, 2003, the Company has
operating expenses receivable from the Partnership of $43,353, included in
receivable from Grant Park Futures Fund Limited Partnership on the Statement of
Financial Condition.
NOTE 4. ADVISORY AND PERFORMANCE FEES RECEIVABLE
The Company has entered into agreements with certain of its trading
advisors whereby the Company earns a portion of fees earned by the trading
advisors on certain accounts that have been previously introduced by the
Company. These accounts introduced do not include the Partnership. At December
31, 2003, the Company has a receivable from the certain commodity trading
advisors of $126,898 related to the agreements.
The Company is a Co-Investment Advisor to Wimbledon Dearborn
Alternative Investment Fund ("Wimbledon"). The Investment Advisors receive an
annual advisor and distribution fee equal to 2% of Wimbledon's net assets,
payable quarterly in arrears, of which the Company receives 50% of the fee. At
December 31, 2003, the Company has a management fee receivable from Wimbledon of
$35,114 and related selling agent fees payable of $17,666, which is included in
accounts payable, accrued expenses and other liabilities.
NOTE 5. NOTE PAYABLE
The Company has entered into an agreement with a bank for a credit
facility up to a maximum amount of $3.5 million. Amounts can be borrowed in
multiple advances; however, the Company may not reborrow any amounts that have
been repaid, but may still borrow the difference between the maximum amount and
the principal amounts of prior borrowings. Loan amounts are due on demand, no
later than November 30, 2004, and bear interest at the prime rate (4% at
December 31, 2003). Loans are collateralized by certain property of the Company,
including receivables, investments and equipment. At December 31, 2003, the
Company has an outstanding balance of $380,125 which is included in note payable
on the Statement of Financial Condition.
NOTE 6. TRADING ACTIVITIES AND RELATED RISKS
The Company, as part of its proprietary trading program, as well as
through its investment in the Partnership, engages in the speculative trading of
U.S. and foreign futures contracts, options on U.S. and foreign futures
contracts, and forward contracts (collectively, derivatives). These derivatives
include both financial and nonfinancial contracts held as part of a diversified
trading strategy. The Company is exposed to both market risk, the risk arising
from changes in the market value of the contracts; and credit risk, the risk of
failure by another party to perform according to the terms of a contract.
The purchase and sale of futures and options on futures contracts
require margin deposits with Futures Commission Merchants ("FCMs"). Additional
deposits may be necessary for any loss on contract value. The Commodity Exchange
Act requires an FCM to segregate all customer transactions and assets from the
FCM's proprietary activities. A customer's cash and other property (for example,
U.S. Treasury bills) deposited with an FCM are considered commingled with all
other customer funds subject to the FCM's segregation requirements. In the event
of an FCM'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 the total of cash and other property deposited.
F-19
For derivatives, risks arise from changes in the market value of the
contracts. Theoretically, the Company is exposed to a market risk equal to the
value of futures and forward contracts purchased and unlimited liability on such
contracts sold short. As both a buyer and seller of options, the Company 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
Company to potentially unlimited liability; for purchased options the risk of
loss is limited to the premiums paid.
There are no open futures and forward contracts at December 31, 2003.
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 Company. The counterparty for futures and options on
futures contracts traded in the United States and on most non-U.S. futures
exchanges is the clearinghouse associated with such exchange. In general,
clearinghouses are backed by the corporate members of the clearinghouse who are
required to share any financial burden resulting from the nonperformance by one
of their members and, as such, should significantly reduce this credit risk. In
cases where the clearinghouse 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.
The Company is exposed to concentrations of credit risk. The Company
maintains cash at a financial institution and in a trading account at a FCM. The
total cash balance maintained at the financial institution is insured by the
Federal Deposit Insurance Corporation ("FDIC") up to $100,000 per depositor, per
bank. The Company had cash at December 31, 2003, that exceeded the balance
insured by the FDIC. The Company trades only with those counterparties that it
believes to be creditworthy. All positions of the Company are valued each day on
a mark-to-market basis. There can be no assurance that any clearing member,
clearinghouse or other counterparty will be able to meet its obligations to the
Company. The Company monitors such credit risk at both the financial institution
and the FCM and has not experienced any losses related to such risks to date.
F-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, State of Illinois on the 30th day of March, 2004.
GRANT PARK FUTURES FUND LIMITED
PARTNERSHIP
BY: DEARBORN CAPITAL MANAGEMENT, L.L.C.
its general partner
By: /s/ David M. Kavanagh
-----------------------------------
David M. Kavanagh
President
POWER OF ATTORNEY
KNOW ALL PERSONS BY THESE PRESENTS, that each person whose signature
appears below hereby constitutes and appoints David M. Kavanagh and Maureen
O'Rourke, and each of them, the true and lawful attorneys-in-fact and agents of
the undersigned, with full power of substitution and resubstitution, for and in
the name, place and stead of the undersigned, to sign any and all amendments to
this Annual Report on Form 10-K, and to file the same, with all exhibits thereto
and other documents in connection therewith, with the Securities and Exchange
Commission, and hereby grants to such attorneys-in-fact and agents, and each of
them, full power and authority to do and perform each and every act and thing
requisite and necessary to be done, as fully as to all intents and purposes as
each of the undersigned might or could do in person, hereby ratifying and
confirming all that said attorneys-in-fact and agents, or any of them, or their
or his substitutes, may lawfully do or cause to be done by virtue hereof.
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 and in the capacities indicated on March 30, 2004.
SIGNATURE TITLE
- ------------------------------------ --------------------------------------
/s/ David M. Kavanagh
- ----------------------------------- President (Principal Executive Officer)
David M. Kavanagh
/s/ Maureen O'Rourke
- ---------------------------------- Chief Financial Officer (Principal
Maureen O'Rourke Financial and Accounting Officer)
EXHIBIT INDEX
EXHIBIT
NUMBER DESCRIPTION OF DOCUMENT
3.1(1) Third Amended and Restated Limited Partnership Agreement of the
Registrant.
3.2(2) Certificate of Limited Partnership of the Registrant.
10.1(3) First Amended and Restated Advisory Contract among the registrant,
Dearborn Capital Management, L.L.C. and Rabar Market Research, Inc.
10.2(3) First Amended and Restated Advisory Contract among the registrant,
Dearborn Capital Management, L.L.C. and EMC Capital Management, Inc.
10.3(3) First Amended and Restated Advisory Contract among the registrant,
Dearborn Capital Management, L.L.C. and Eckhardt Trading Company.
10.4(3) Advisory Contract among the registrant, Dearborn Capital Management,
L.L.C. and Graham Capital Management, L.P.
10.5(4) Subscription Agreement and Power of Attorney.
10.6(5) Request for Redemption Form.
24.1 Power of Attorney (included on signature page).
31.1 Certification of Principal Executive Officer pursuant to
Rule 13a-14(a) under the Securities Exchange Act of 1934.
31.2 Certification of Principal Financial Officer pursuant to
Rule 13a-14(a)under the Securities Exchange Act of 1934.
32.1 Certification pursuant to 18 U.S.C. Section 1350, as adopted pursuant
to Section 906 of the Sarbanes-Oxley Act of 2002.
- ------------------
(1) Included as Appendix A to the prospectus which is part of the
Registrant's Registration Statement on Form S-1 (File No. 333-113297)
and incorporated herein by reference.
(2) Filed as an Exhibit to the Registrant's Registration Statement on Form
S-1 (File No. 333-104317) and incorporated herein by reference.
(3) Filed as an Exhibit to the Registrant's Registration Statement on Form
S-1 (File No. 333-113297) and incorporated herein by reference.
(4) Included as Appendix B to the prospectus which is part of the
Registrant's Registration Statement on Form S-1 (File No. 333-113297)
(5) Included as Appendix D to the prospectus which is part of the
Registrant's Registration Statement on Form S-1 (File No. 333-113297)