UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

 

FORM 10-Q

 

ý QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF

THE SECURITIES EXCHANGE ACT OF 1934

 

For the Quarterly Period Ended:  September 30, 2003

 

o 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)

 

 

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 ý   No o

 

Indicate by check mark whether the Registrant is an accelerated filer (as defined in Rule 12b-2 of the Securities Exchange Act of 1934).  Yes o   No ý

 

 

GRANT PARK FUTURES FUND LIMITED PARTNERSHIP

 

QUARTER ENDED September 30, 2003

 

INDEX

 

PART I - FINANCIAL INFORMATION
	Item 1.	Financial Statements	1
		Statements of Financial Condition as of September 30, 2003 (unaudited) and December 31, 2002 (audited)	1
		Condensed Schedule of Investments as of September 30, 2003 (unaudited)	2
		Condensed Schedule of Investments as of December 31, 2002 (audited)	3
		Statements of Operations for the three months and nine months ended September 30, 2003 and 2002 (unaudited)	4
		Statements of Changes in Partners’ Capital (Net Asset Value) for the nine months ended September 30, 2003 and 2002	5
		Notes to Financial Statements (unaudited)	6
	Item 2.	Management’s Discussion and Analysis of Financial Condition and Results of Operations	9
	Item 3.	Quantitative and Qualitative Disclosures About Market Risk	15
	Item 4.	Controls and Procedures	20
PART II - OTHER INFORMATION			20
	Item 2.	Changes in Securities and Use of Proceeds	20
	Item 6.	Exhibits and Reports on Form 8-K	21
SIGNATURES			22

 

 

PART I - FINANCIAL INFORMATION

 

Item 1.  Financial Statements

 

Grant Park Futures Fund Limited Partnership

 

Statements of Financial Condition

 

		September 30, 2003			December 31, 2002
		(Unaudited)
Assets
Equity in broker’s trading accounts:
U.S. Government securities, at market value		$	2,798,017		$	2,093,108
Cash		1,720,400			689,688
Unrealized gain (loss) on open contracts, net		1,738,274			941,073
Deposits with broker		6,256,691			3,723,869
Cash and cash equivalents		34,216,540			12,061,861
Interest receivable		994			6,060
Total assets		$	40,474,225		$	15,791,790
Liabilities and Partners’ Capital
Liabilities
Brokerage commission payable		$	180,269		$	—
Accrued management fees		—			131,277
Commissions payable		—			23,226
Accrued incentive fees		114,812			98,118
Other accrued expenses		50,685			58,377
Pending partner additions		10,750,422			656,033
Redemptions payable		—			218,800
Total liabilities		11,096,188			1,185,831
Partners’ Capital
General Partner (units outstanding September 30, 2003 - 606.46)		672,514			797,315
Limited Partners
Class A (units outstanding September 30, 2003 - 20,639.30)		22,887,248			13,808,644
Class B (units outstanding September 30, 2003 - 5,807.38)		5,818,275			—
Total partners’ capital		29,378,037			14,605,959
Total liabilities and partners’ capital		$	40,474,225		$	15,791,790

 

The accompanying notes are an integral part of these financial statements.

 

1

 

Grant Park Futures Fund Limited Partnership

Condensed Schedule of Investments

September 30, 2003

(Unaudited)

 

		Unrealized gain/(loss) on open long contracts			Percent of Partners’ Capital		Unrealized gain/(loss) on open short contracts			Percent of Partners’ Capital		Net Unrealized gain/(loss) on open contracts			Percent of Partners’ Capital
U.S. Futures Positions:
Currencies		$	715,603		2.4	%	$	(140,694	)	(0.5	)%	$	574,909		2.0	%
Energy		675				*	(34,504		)	(0.1	)	(33,829		)	(0.1	)
Grains
11/03 Soybeans		331,163			1.1		—				*	331,163			1.1
Grains – Other		418,455			1.4		30,075			0.1		448,530			1.5
Interest rates		184,384			0.6		(24,266		)	(0.1	)	160,118			0.5
Meats		(13,480		)		*	—				*	(13,480		)	*
Metals		45,405			0.2		—				*	45,405			0.2
Soft Commodities		332,565			1.1		(10,825		)		*	321,740			1.1
Stock Indexes		(73,729		)	(0.3	)	6,463				*	(67,266		)	(0.2	)
Total U.S. Futures Positions		1,941,041					(173,751		)			1,767,290
Foreign Futures Positions:
Energy		—					(3,650		)		*	(3,650		)		*
Interest rates		158,514			0.5		(113,038		)	(0.4	)	45,476			0.2
Metals		80,611			0.3		(9,044		)		*	71,567			0.2
Stock indexes		(170,277		)	(0.6	)	22,341			0.1		(147,936		)	(0.5	)
Soft Commodities		—					5,527				*	5,527				*
Total Foreign Futures Positions		68,848					(97,864		)			(29,016		)
		$	2,009,889				$	(271,615	)			$	1,738,274		5.9	%

 

* Percentage is less than 0.1% of partners’ capital.

 

U.S. Government Securities:

 

Face Value					Value			Percent of Partners’ Capital
$	2,800,000		U.S. Treasury Bills, October 30, 2003		$	2,798,017		9.5	%
			Total U.S. Government Securities (cost, including accrued interest - $2,798,017)		$	2,798,017

 

The accompanying notes are an integral part of these financial statements.

 

2

 

Grant Park Futures Fund Limited Partnership

 

Condensed Schedule of Investments

December 31, 2002

 

		Unrealized gain/(loss) on open long contracts			Percent of Partners’ Capital		Unrealized gain/(loss) on open short contracts			Percent of Partners’ Capital		Net Unrealized gain/(loss) on open contracts			Percent of Partners’ 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		6.4	%

 

* Percentage is less than 0.1% of partners’ capital.

 

U.S. Government Securities:

 

Face Value					Value			Percent of Partners’ Capital
$	1,400,000		U.S. Treasury Bills, January 30, 2003		$	1,395,553		9.6	%
700,000			U.S. Treasury Bill, March 20, 2003		697,555			4.8	%
			Total U.S. Government Securities (cost, including accrued interest - $2,093,108)		$	2,093,108

 

The accompanying notes are an integral part of these financial statements.

 

3

 

Grant Park Futures Fund Limited Partnership

 

Statements of Operations

 

		Three Months Ended September 30,						Nine Months Ended September 30,
		2003			2002			2003			2002
		(Unaudited)						(Unaudited)
Income
Trading gains (losses)
Realized		$	(1,390,464	)	$	2,203,250		$	2,678,973		$	2,835,172
Change in unrealized		1,943,934			(479,294		)	797,201			177,561
Net gains from trading		553,470			1,723,956			3,476,174			3,012,733
Interest income		44,576			49,234			141,158			132,196
Total income		598,046			1,773,190			3,617,332			3,144,929
Expenses
Brokerage commission		334,707			—			334,707			—
Commissions		45,157			81,992			307,423			322,692
Management fees		65,478			129,262			427,892			347,347
Incentive fees		114,812			125,936			444,814			171,752
Operating expenses		51,804			50,836			173,910			139,029
Total expenses		611,958			388,026			1,688,746			980,820
Net income/(loss)		$	(13,912	)	$	1,385,164		$	1,928,586		$	2,164,109

 

The accompanying notes are an integral part of these financial statements.

 

4

 

Grant Park Futures Fund Limited Partnership

 

Statements of Changes in Partners’ Capital

 

									Limited Partners					Limited Partners
		General Partner							Class A					Class B
		Number of Units			Amount				Number of Units		Amount			Number of Units		Amount			Total Amount
Partners’ capital, December 31, 2002			*		$	797,315				*	$	13,808,644			*	$	—		$	14,605,959
Contributions			*		—					*	4,161,879				*	—			4,161,879
Redemptions			*		(200,000			)		*	(20,000		)		*	—			(220,000		)
Net income (loss)		—			9,146				—		(111,059		)	—		—			(101,913		)
Partners’ capital, March 31, 2003 (Unaudited)		606.46			606,461				17,839.47		17,839,464			—		—			18,445,925
Contributions		—			—				—		—			—		—			—
Redemptions		—			—				(114.11	)	(127,155		)	—		—			(127,155		)
Net income		—			67,202				—		1,977,208			—		—			2,044,410
Partners’ capital, June 30, 2003 (Unaudited)		606.46			$	673,663			17,725.36		$	19,689,517		—		$	—		$	20,363,180
Contributions		—			—				2,996.35		3,316,470			5,807.38		5,812,765			9,129,235
Redemptions		—			—				(82.41	)	(91,227		)	—		—			(91,227		)
Offering Costs		—			—				—		(3,763		)	—		(5,476		)	(9,239		)
Net income		—			(1,149			)	—		(23,749		)	—		10,986			(13,912		)
Partners’ capital, September 30, 2003 (Unaudited)		606.46			672,514				20,639.30		22,887,248			5,807.38		5,818,275			29,378,037
Net asset value per unit at April 1, 2003 for A Units & at August 1,  2003 for B Units (Unaudited)											$	1,000.00				$	1,000.00
Net asset value per unit at September 30, 2003 (Unaudited)											$	1,108.92				$	1,001.88
Increase in net asset value per asset for the period April 1 to September 30, 2003 for A Units and for the period August 1 to September 30, 2003 for B Units (Unaudited)											$	108.92				$	1.88

 

*            The Fund 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.

 

The accompanying notes are an integral part of these financial statements.

 

5

 

NOTES TO FINANCIAL STATEMENTS
(Unaudited)

 

Note 1.                                  Nature of Business and Significant Accounting Policies

 

Basis of presentation:  The accompanying September 30, 2003 and 2002 unaudited financial statements of Grant Park Futures Fund Limited Partnership (the Partnership) have been prepared in accordance with accounting principles generally accepted in the United States of America for interim financial information and with the instructions to Form 10-Q and Rule 10-01 of Regulation S-X.  Accordingly, they do not include all of the information and footnotes required by accounting principles generally accepted in the United States of America for complete financial statements.  In the opinion of management, all adjustments considered necessary for a fair presentation of the financial condition and results of operations of the Partnership for the periods presented have been included.

 

Operating results of the three and nine months ended September 30, 2003, are not necessarily indicative of the results that may be expected for the year ending December 31, 2003.  For further information, refer to the financial statements and footnotes thereto included in the Partnership’s annual report for the year ended December 31, 2002.

 

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 will be 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 accredited investors under the Securities Act and Regulation D promulgated thereunder.  Further, such securities were restricted as to their transferability.

 

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

 

6

 

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.

 

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 $334,707 for the two months ended September 30, 2003.  Included in the brokerage commission of $334,707 is $220,107 of fees paid to the General Partner and its selling agents, $68,433 of management fees paid to commodity trading advisors and $46,167 of commissions paid to the broker.

 

Prior to August 1, 2003, the Partnership paid the General Partner a management fee of 2 percent per annum of the Partnership net assets, as defined.  This fee, which was accrued monthly and paid quarterly, amounted to $33,876 and $65,508 for the three months ended September 30, 2003 and 2002, respectively, and $221,750 and $178,017 for the nine months ended September 30, 2003 and 2002, respectively.

 

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 $68,433 for the two months ended September 30, 2003.

 

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 $31,602 and $63,754 for the three months ended September 30, 2003 and 2002, respectively and $206,142 and $169,329 for the nine months ended September 30,2003 and 2002, 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 $114,812 and $125,936 for the three months ended September 30, 2003 and 2002, respectively, and $444,814 and $171,752 for the nine months ended September 30, 2003 and 2002, respectively.

 

7

 

Note 4.                                  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.

 

		Three Months Ended September 30,					Nine Months Ended September 30,
		2003			2002		2003		2002
		(Unaudited)					(Unaudited)
Total return – A Units		(0.17	)%		11.41	%	11.47	%	19.18	%
Total return – B Units***		0.19	%		N/A		0.19	%	N/A
Ratios as a percentage of average net assets:
Interest income **		0.85	%		1.57	%	1.00	%	1.53	%
Expenses **		11.79	%		12.39	%	12.04	%	11.33	%

 

** Annualized

*** B Units began trading on August 1, 2003.

 

 

The interest income and total expense ratios above are computed based upon the weighted average net assets of the Partnership for the three months and six months ended September 30, 2003 and 2002 (annualized).

 

Note 5.                                  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 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.

 

Net trading results from derivatives for the three months and nine months ended September 30, 2003 and 2002 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.

 

8

 

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 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 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 6.  Subsequent Capital Contributions and Withdrawals

 

From October 1, 2003 to November 12, 2003, there were contributions and redemptions totaling approximately $11,006,000 and $71,000, respectively.

 

Item 2.  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.`

 

9

 

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.  Graham Capital Management, L.P. began trading on September 1, 2003.  As of September 30, 2003, the general partner allocated Grant Park’s net assets among the trading advisors as follows:  30% to Rabar, 25% to EMC, 26% to ETC and 19% to Graham.

 

On June 30, 2003, the SEC declared effective Grant Park’s Registration Statement on Form S-1 through which it registered up to $20 million in aggregate amount of Class A limited partnership units and $180 million in aggregate amount of Class B limited partnership units.  Pursuant to the Registration Statement, Class A Limited Partnership Units and Class B Limited Partnership Units are publicly offered 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.  Class B Limited Partnership Units began trading on August 1, 2003 and were offered at a price of $1,000.00 per unit.

 

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.

 

Results Of Operations

 

Grant Park’s net return, which consists of 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, 2002 was approximately 15.3%.  The net asset value at December 31, 2002 was approximately $14.6 million.  The net asset value at September 30, 2003 was approximately $29.4 million and at September 30, 2002 was approximately $13.4 million.

 

10

 

The table below sets forth Grant Park’s trading gains or losses by sector for the three and nine month periods ended September 30, 2003 and 2002.

 

		% Gain (Loss)
		Three Months Ended September 30				Nine Months Ended September 30
Sector		2003		2002		2003		2002
Interest Rates		0.2	%	12.1	%	8.7	%	11.5	%
Currencies		0.2		(2.3	)	10.6		10.9
Stock Indices		0.7		1.2		1.5		1.2
Energy		(1.2	)	1.0		1.0		1.2
Agriculturals		2.3		3.5		0.9		5.0
Metals		(0.3	)	(0.5	)	(1.6	)	(0.8	)
Softs		0.1		(0.8	)	(0.9	)	(1.4	)
Miscellaneous		0.2		(0.1	)	(0.1	)	0.1
Total		2.2	%	14.1	%	20.1	%	27.7	%

 

*              less than 0.1% loss.

**           less than 0.1% gain.

 

Three months ended September 30, 2003 compared to three months ended September 30, 2002

 

For the three months ended September 30, 2003, Grant Park had a negative return of approximately 0.2%.  Approximately 2.2% resulted from trading gains, and approximately 0.2% was due to interest income.  These gains were offset by approximately 2.6% in brokerage fees, performance fees and operating and offering costs borne by Grant Park.  For the same period in 2002, Grant Park had a positive return of approximately 11.4%.  Approximately 14.1% resulted from trading gains and approximately 0.4% was due to interest income.  An offset of approximately 3.1% was the result of brokerage fees, performance fees and operating and offering costs borne by Grant Park.

 

Nine months ended September 30, 2003 compared to nine months ended September 30, 2002

 

For the first nine months of 2003, Grant Park had a positive return of approximately 11.5% for the A Units and 0.2% for the B Units.  Approximately 20.1% resulted from trading gains, and approximately 0.7% was due to interest income.  These gains were offset by approximately 9.3% in brokerage fees, performance fees and operating and offering costs borne by Grant Park.  For the same period in 2002, Grant Park had a positive return of approximately 19.2%.  Approximately 27.7% resulted from trading gains, and 1.1% was due to interest income.  An offset of approximately 9.6% was the result of brokerage fees, performance fees and operating and offering costs borne by Grant Park.

 

Nine months ended September 30, 2003

 

Key trading developments for Grant Park during the first nine months of 2003 included the following:

 

11

 

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 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.

 

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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 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 A Units and 0.12% for 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 A Units was 0.13% and 0.06% for B Units.  The 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.

 

Nine months ended September 30, 2002

 

Key trading developments during the first nine months of 2002 included the following:

 

January produced a negative net return for Grant Park of approximately 0.87%.  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.

 

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February continued the trend of high market volatility resulting in a negative net return for Grant Park of approximately 5.95%.  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.

 

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.  Grant Park’s net return for the month was approximately 2.26%.  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.  Grant Park earned a negative net return for the month of approximately 3.07%.  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.  Net return for May was approximately 5.17%.  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, as Grant Park earned a net return of approximately 10.07%.  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.

 

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Critical Accounting Policies

 

Grant Park’s only critical accounting policy is the valuation of its investments. The substantial majority of the 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 of investments, and accordingly, it is unlikely that materially different amounts would be reported under different conditions using different but reasonably plausible assumptions.

 

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.

 

Item 3.  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.

 

15

 

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.

 

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 5% 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.

 

16

 

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 indicate the trading value at risk associated with Grant Park’s open positions by market category as of September 30, 2003 and December 31, 2002 and the trading gains/losses by market category for the nine months ended September 30, 2003 and the year ended December 31, 2002. All open position trading risk exposures of Grant Park have been included in calculating the figures set forth below. As of September 30, 2003, Grant Park’s net asset value was approximately $29.4 million. As of December 31, 2002, Grant Park’s net asset value was approximately $14.6 million.

 

As of September 30, 2003

 

 

As of December 31, 2002

 

 

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 range 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.

 

17

 

Qualitative Market Risk

 

Trading Risk

 

The following were the primary trading risk exposures of Grant Park as of September 30, 2003, by market sector.

 

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 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.  As of September 30, 2003, Grant Park’s interest rate exposure was a mix of both long and short positions in a variety of G-7 countries.

 

Currencies

 

Exchange rate risk is a significant market exposure of Grant Park. Grant Park’s currency exposure is 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.  As of September 30, 2003, Grant Park was positioned to benefit from the effects of a weakening dollar against most major and minor currencies.

 

Energy

 

Grant Park’s primary energy market exposure is to gas and oil price movements, often resulting from political developments in the Middle East. As of September 30, 2003, Grant Park had a mild exposure in the energy market with a slight short bias.

 

Stock Indices

 

Grant Park’s primary equity exposure is to equity price risk in the G-7 countries as well as other jurisdictions including Hong Kong, Taiwan, and Australia. The stock index futures contracts currently traded by Grant Park 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 September 30, 2003, Grant Park’s primary exposures were in the S&P 500 (U.S.A.), NASDAQ (U.S.A.), Nikkei (Japan) and DAX (Germany) stock indices. Grant Park is primarily exposed to the risk of adverse price trends or static markets in the major U.S., European and Japanese 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.

 

Metals

 

Grant Park’s metals market exposure is 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 lead accounted for Grant Park’s primary metal exposure as of September 30, 2003.

 

18

 

Agricultural / Softs

 

Grant Park’s primary commodities exposure is to agricultural price movements, which are often directly affected by severe or unexpected weather conditions. The soybean complex, cotton, wheat and coffee accounted for the bulk of Grant Park’s long commodity exposure while Grant Park continued to hold short positions in corn and sugar as of September 30, 2003.

 

Non-Trading Risk Exposure

 

The following were the only non-trading risk exposures of Grant Park as of September 30, 2003.

 

Foreign Currency Balances

 

Grant Park’s primary foreign currency balances are in Japanese yen, British pounds, Euros and Australian dollars. The trading advisors regularly convert foreign currency balances to U.S. dollars in an attempt to control Grant Park’s nontrading 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 or in Treasury repurchase agreements purchased at Harris Trust & Savings Bank and Horizon Cash Management, LLC. 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 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.

 

19

 

Item 4.  Controls and Procedures

 

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 design and operation of Grant Park’s disclosure controls and procedures.  Based on this evaluation, the general partner’s principal executive officer and principal financial officer concluded that, as of September 30, 2003, Grant Park’s disclosure controls and procedures were effective to provide reasonable assurance that the information required to be disclosed by Grant Park in the reports filed or submitted under the Securities Exchange Act of 1934 is recorded, processed, summarized and reported within the time periods specified in the SEC’s rules and forms.

 

Any control system, no matter how well designed and operated, can provide only reasonable (not absolute) assurance that its objectives will be met.  Furthermore, no evaluation of controls can provide absolute assurance that all control issues and instances of fraud, if any, have been detected.

 

There was no change in Grant Park's internal control over financial reporting in the quarter ended September 30, 2003 that has materially affected or is reasonably likely to materially affect Grant Park's control over financial reporting.

 

 

PART II- OTHER INFORMATION

 

Item 2.  Changes in Securities and Use of Proceeds

 

On June 30, 2003, the Securities and Exchange Commission declared effective Grant Park’s Registration Statement on Form S-1 (Reg. No. 333-104317), pursuant to which Grant Park 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, Grant Park adopted the Third Amended and Restated Limited Partnership Agreement, which included modifications required under the Guidelines for the Registration of Commodity Pool Programs promulgated by the North American Securities Administrators Association, Inc. and requested by various state securities regulators in connection with Grant Park’s public offering.

 

Class A Limited Partnership Units and Class B Limited Partnership Units are being offered 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.  The close of business on July 31, 2003 marked the initial closing date of the public offering.  The lead selling agents for the offering are UBS Financial Services Inc., A.G. Edwards & Sons, Inc. and Fahnestock & Co. Inc.  On the initial closing date, the Class A Limited Partnership Units were offered at a price of $1,105.35 per unit with 876.20 units being sold and the Class B Limited Partnership Units were offered at a price of $1,000 per unit with 1,414.14 units being sold.  As of the close of business on August 31, 2003, the Class A Limited Partnership Units were offered at $1,107.45 with 2,120.15 units being sold and the Class B Limited Partnership Units were offered at $1,001.23 with 4,393.24 units being sold and as of the close of business on September 30, 2003, the Class A Limited Partnership Units were offered at $1,108.92 with 3,589.60 units being sold and the Class B Limited Partnership Units were offered at $1,001.88 with 6,757.15 units being sold.  Expenses incurred in connection with the organization and offering of the units, which are paid by the general partner and then reimbursed by Grant Park on a monthly basis (with such reimbursement limited to 0.1% annually of the net asset value of the Class A Units and 0.9% annually of the Class B Units) amounted to a total of approximately $9,300.00 for the period.  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.

 

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Item 6.  Exhibits and Reports on Form 8-K

 

	(a)	Exhibits
		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
	(b)	Reports on Form 8-K
		None.

 

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SIGNATURES

 

Pursuant to the requirements 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.

 

	GRANT PARK FUTURES FUND
	LIMITED PARTNERSHIP
Date:  November 14, 2003	by:	Dearborn Capital Management, L.L.C.
		its general partner
		By:	/s/ David M. Kavanagh
			David M. Kavanagh
			President
			(principal executive officer)
		By:	/s/ Maureen O’Rourke
			Maureen O’Rourke
			Chief Financial Officer
			(principal financial and accounting officer)

 

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