Attached files
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, 2009
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)
Illinois
|
36-3596839
|
|
(State
or other jurisdiction of
incorporation
or organization)
|
(I.R.S.
Employer
Identification
No.)
|
|
c/o
Dearborn Capital Management, L.L.C.
626
West Jackson Boulevard, Suite 600
Chicago, Illinois
60661
|
||
(Address
of principal executive offices, including zip code)
|
||
Registrant’s
telephone number, including area code: (312)
756-4450
|
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 has submitted electronically and posted on
its corporate Web site, if any, every Interactive Data File required to be
submitted and posted pursuant to Rule 405 of Regulation S-T (§232.405 of this
chapter) during the preceding 12 months (or for such shorter period that the
Registrant was required to submit and post such files).
Yes ¨ No
o
Indicate
by check mark whether the Registrant is a large accelerated filer, an
accelerated filer, a non-accelerated filer or a small reporting
company. See definition of “accelerated filer”, “large accelerated
filer” and “smaller reporting company” in Rule 12b-2 of the Exchange Act. (Check
one):
Large
accelerated filer o
|
Accelerated
filer o
|
Non-accelerated
filer ý
|
Smaller
reporting company o
|
Indicate
by check mark whether the Registrant is a shell company (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, 2009
Consolidated
Statements of Financial Condition as of September 30, 2009
(unaudited)
and
December 31, 2008 (audited)
|
1
|
||
Consolidated
Condensed Schedule of Investments as of September 30, 2009
(unaudited)
|
2
|
||
Condensed
Schedule of Investments as of December 31, 2008 (audited)
|
5
|
||
Consolidated
Statements of Operations for the three months ended September 30, 2009 and
2008 (unaudited)
|
8
|
||
Consolidated
Statements of Operations for the nine months ended September 30, 2009 and
2008 (unaudited)
|
9
|
||
Consolidated
Statements of Changes in Partners’ Capital (Net Asset Value)
for
the three and nine months ended September 30, 2009 and 2008
(unaudited)
|
10
|
||
Notes
to Consolidated Financial Statements (unaudited)
|
14
|
||
27
|
|||
39
|
|||
43
|
|||
43
|
|||
43
|
|||
45
|
|||
46
|
Grant
Park Futures Fund Limited Partnership
Consolidated
Statements of Financial Condition
September
30, 2009
|
December
31, 2008
|
|||||||||||
Class
A, Class B, Legacy 1 Class, Legacy 2 Class
|
GAM
1 Class, GAM 2 Class, GAM 3 Class
|
Class
A, Class B
|
||||||||||
(Unaudited)
|
(Unaudited)
|
(Audited)
|
||||||||||
Assets
|
||||||||||||
Equity
in brokers’ trading accounts:
|
||||||||||||
U.S.
Government securities, at fair value
|
$ | 89,848,115 | $ | — | $ | 29,215,898 | ||||||
Government-sponsored
enterprises, at fair value
|
— | — | 15,695,417 | |||||||||
Cash
|
44,546,103 | — | 11,972,086 | |||||||||
Unrealized
gain (loss) on open contracts, net
|
23,586,665 | — | 5,210,231 | |||||||||
Deposits
with brokers
|
157,980,883 | — | 62,093,632 | |||||||||
Cash
and cash equivalents
|
105,934,210 | 8,698,329 | 157,740,416 | |||||||||
Certificates
of deposit, at fair value
|
17,398,849 | — | 28,525,736 | |||||||||
Commercial
paper, at fair value
|
— | — | 9,979,833 | |||||||||
Government-sponsored
enterprises, at fair value
|
524,872,071 | — | 311,078,226 | |||||||||
U.S.
Government securities, at fair value
|
44,825,933 | — | — | |||||||||
Investment
in unconsolidated trading companies
|
— | 26,170,181 | — | |||||||||
Redemption
receivable
|
— | — | 115,343,975 | |||||||||
Interest
receivable
|
10,664 | — | 233,208 | |||||||||
Inter-class
receivable, net
|
— | 266,945 | — | |||||||||
Total
assets
|
$ | 851,022,610 | $ | 35,135,455 | $ | 684,995,026 | ||||||
Liabilities
and Partners’ Capital
|
||||||||||||
Liabilities
|
||||||||||||
Brokerage
commission payable
|
$ | 5,211,622 | $ | 126,871 | $ | 3,928,422 | ||||||
Accrued
incentive fees
|
1,788,828 | 127,802 | 8,324,848 | |||||||||
Organization
and offering costs payable
|
192,485 | 6,694 | 297,332 | |||||||||
Accrued
operating expenses
|
171,226 | 5,578 | 136,617 | |||||||||
Pending
partner additions
|
1,148,370 | 8,311,101 | 22,690,889 | |||||||||
Redemptions
payable
|
5,919,249 | 250 | 6,021,709 | |||||||||
Inter-class
payable, net
|
266,945 | — | — | |||||||||
Total
liabilities
|
14,698,725 | 8,578,296 | 41,399,817 | |||||||||
Partners’
Capital
|
||||||||||||
Non-controlling
interests
|
26,557,159 | — | — | |||||||||
General
Partner
|
||||||||||||
Class
A (3,008.66 and 4,348.18 units outstanding at September 30, 2009 and
December 31, 2008, respectively)
|
4,379,153 | — | 6,827,509 | |||||||||
Class
B (427.01 units outstanding at September 30, 2009)
|
534,813 | — | — | |||||||||
Legacy
1 Class (1,025.00 units outstanding at September 30,
2009)
|
1,007,528 | — | — | |||||||||
Legacy
2 Class (1,000.00 units outstanding at September 30,
2009)
|
981,949 | — | — | |||||||||
GAM
1 Class (1,044.66 units outstanding at September 30,
2009)
|
— | 1,039,159 | — | |||||||||
GAM
2 Class (561.52 units outstanding at September 30,
2009)
|
— | 557,331 | — | |||||||||
GAM
3 Class (500.00 units outstanding at September 30,
2009)
|
— | 491,108 | — | |||||||||
Limited
Partners
|
||||||||||||
Class
A (49,655.38 and 52,408.70 units outstanding at September 30, 2009 and
December 31, 2008, respectively)
|
72,274,302 | — | 82,292,140 | |||||||||
Class
B (580,289.12 and 408,160.74 units outstanding at September 30, 2009
and December 31, 2008, respectively)
|
726,785,884 | — | 554,475,560 | |||||||||
Legacy
1 Class (2,276.28 units outstanding at September 30,
2009)
|
2,237,482 | — | — | |||||||||
Legacy
2 Class (1,594.40 units outstanding at September 30,
2009)
|
1,565,615 | — | — | |||||||||
GAM
1 Class (2,263.53 units outstanding at September 30,
2009)
|
— | 2,251,618 | — | |||||||||
GAM
2 Class (3,124.62 units outstanding at September 30,
2009)
|
— | 3,101,307 | — | |||||||||
GAM
3 Class (19,462.76 units outstanding at September 30,
2009)
|
— | 19,116,636 | — | |||||||||
Total
partners’ capital
|
836,323,885 | 26,557,159 | 643,595,209 | |||||||||
Total
liabilities and partners’ capital
|
$ | 851,022,610 | $ | 35,135,455 | $ | 684,995,026 |
The
accompanying notes are an integral part of these consolidated financial
statements.
Grant
Park Futures Fund Limited Partnership
Consolidated
Condensed Schedule of Investments
September
30, 2009
(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
|
|||||||||||||||||||
Futures
Contracts *
|
||||||||||||||||||||||||
U.S.
Futures Positions:
|
||||||||||||||||||||||||
Currencies
|
$ | 5,797,711 | 0.7 | % | $ | 174,890 | ** | $ | 5,972,601 | 0.7 | % | |||||||||||||
Energy
|
(415,050 | ) | ** | (1,249,313 | ) | (0.1 | )% | (1,664,363 | ) | (0.2 | )% | |||||||||||||
Grains
|
(1,268,902 | ) | (0.2 | )% | 1,361,386 | 0.2 | % | 92,484 | ** | |||||||||||||||
Interest
rates
|
3,071,950 | 0.4 | % | (189,914 | ) | ** | 2,882,036 | 0.3 | % | |||||||||||||||
Meats
|
(9,262 | ) | ** | (121,522 | ) | ** | (130,784 | ) | ** | |||||||||||||||
Metals
|
2,463,563 | 0.3 | % | 4,662 | ** | 2,468,225 | 0.3 | % | ||||||||||||||||
Soft
commodities
|
4,845,949 | 0.6 | % | (2,049,231 | ) | (0.2 | )% | 2,796,718 | 0.3 | % | ||||||||||||||
Stock
indices and single stock futures
|
905,235 | 0.1 | % | 25,942 | ** | 931,177 | 0.1 | % | ||||||||||||||||
Total
U.S. Futures
Positions
|
15,391,194 | (2,043,100 | ) | 13,348,094 | ||||||||||||||||||||
Foreign
Futures Positions:
|
||||||||||||||||||||||||
Energy
|
(562,260 | ) | (0.1 | )% | 337,918 | ** | (224,342 | ) | ** | |||||||||||||||
Grains
|
— | ** | 74,217 | ** | 74,217 | ** | ||||||||||||||||||
Interest
rates
|
5,562,972 | 0.7 | % | 19,638 | ** | 5,582,610 | 0.7 | % | ||||||||||||||||
Metals
|
9,885,041 | 1.2 | % | (9,013,983 | ) | (1.1 | )% | 871,058 | 0.1 | % | ||||||||||||||
Soft
commodities
|
401,375 | ** | (96,810 | ) | ** | 304,565 | ** | |||||||||||||||||
Stock
indices
|
455,320 | 0.1 | % | 26,073 | ** | 481,393 | 0.1 | % | ||||||||||||||||
Total
Foreign Futures Positions
|
15,742,448 | (8,652,947 | ) | 7,089,501 | ||||||||||||||||||||
Total
Futures Contracts
|
31,133,642 | 3.7 | % | (10,696,047 | ) | (1.3 | )% | 20,437,595 | 2.4 | % | ||||||||||||||
Forward
Contracts *
|
||||||||||||||||||||||||
Currencies
|
3,067,982 | 0.4 | % | (58,362 | ) | ** | 3,009,620 | 0.4 | % | |||||||||||||||
Options
on Futures Contracts*
|
||||||||||||||||||||||||
Currencies
|
147,700 | ** | — | ** | 147,700 | ** | ||||||||||||||||||
Indices
|
4,370 | ** | (12,620 | ) | ** | (8,250 | ) | ** | ||||||||||||||||
Total
Options on Futures Contracts
|
152,070 | ** | (12,620 | ) | ** | 139,450 | ** | |||||||||||||||||
Total
Futures, Forward and Options on Futures
Contracts
|
$ | 34,353,694 | 4.1 | % | $ | (10,767,029 | ) | (1.3 | )% | $ | 23,586,665 | 2.8 | % |
____________
|
*
|
No
individual futures, forward, and option of futures contract position
constituted greater than 1 percent of partners’
capital. Accordingly, the number of contracts and expiration
dates are not presented.
|
|
**
|
Represents
less than 0.1% of partners’
capital.
|
Certificates
of deposit
|
|||||||||||||
Face Value
|
Maturity Date
|
Description
|
Fair Value
|
Percent
of Partners’ Capital
|
|||||||||
$ | 240,000 |
11/30/2009
|
Liberty
Federal Bank, 1.7%
|
$ | 242,669 | * | |||||||
240,000 |
12/29/2009
|
Cole
Taylor Bank, 1.7%
|
242,739 | * | |||||||||
240,000 |
12/29/2009
|
Nature
Coast Bank, 1.8%
|
242,819 | * | |||||||||
240,000 |
12/18/2009
|
Anchorbank,
2.5%
|
244,701 | * | |||||||||
240,000 |
11/12/2009
|
Huntington
National Bank, 3.8%
|
247,964 | * | |||||||||
240,000 |
11/17/2009
|
Mercantile
Bank of Michigan, 3.6%
|
247,527 | * | |||||||||
240,000 |
12/17/2009
|
Goldman
Sachs Bank, 2.5%
|
244,734 | * | |||||||||
240,000 |
12/18/2009
|
GE
Money Bank, 2.6%
|
244,812 | * | |||||||||
15,000,000 |
2/2/2010
|
Harris
Bank, 2.0%
|
15,195,813 | 1.8 | % | ||||||||
245,000 |
6/24/2010
|
Westernbank,
1.5%
|
245,071 | * | |||||||||
Total
Certificates of deposit
|
$ | 17,398,849 | 2.1 | % |
____________
|
*
|
Represents
less than 0.1% of partners’
capital.
|
The
accompanying notes are an integral part of these consolidated financial
statements.
Grant
Park Futures Fund Limited Partnership
Consolidated
Condensed Schedule of Investments (continued)
September
30, 2009
(Unaudited)
Government-sponsored
enterprises
|
|||||||||||||
Face Value
|
Maturity Date
|
Description
|
Fair Value
|
Percent
of Partners’ Capital
|
|||||||||
$ | 10,000,000 |
10/5/2009
|
Federal
Home Loan Bank, 3 month LIBOR minus 4 basis points quarterly
reset
|
$ | 10,013,151 | 1.2 | % | ||||||
15,000,000 |
10/19/2009
|
Freddie
Mac, 1 month LIBOR minus 6 basis points monthly reset
|
15,000,692 | 1.8 | % | ||||||||
20,000,000 |
12/28/2009
|
Federal
Home Loan Bank Discount Note, 0.9%
|
19,958,444 | 2.4 | % | ||||||||
20,000,000 |
12/30/2009
|
Farmer
Mac, 1.0%
|
20,050,556 | 2.4 | % | ||||||||
20,000,000 |
2/5/2010
|
Federal
Home Loan Bank, 1.0%
|
20,030,402 | 2.4 | % | ||||||||
12,700,000
|
2/19/2010
|
Federal
Home Loan Bank, 3 month LIBOR minus 3.5 basis points quarterly
reset
|
12,697,032
|
1.5
|
%
|
||||||||
20,000,000 |
3/4/2010
|
Federal
Home Loan Bank, 1.1%
|
20,015,750 | 2.4 | % | ||||||||
14,500,000 |
6/25/2010
|
Federal
Home Loan Bank, 0.7%
|
14,532,987 | 1.7 | % | ||||||||
20,000,000 |
8/5/2010
|
Fannie
Mae, 3 month LIBOR minus 5 basis points quarterly reset
|
20,012,050 | 2.4 | % | ||||||||
25,000,000 |
8/24/2010
|
Freddie
Mac, 3 month LIBOR minus 2 basis points quarterly reset
|
25,010,209 | 3.0 | % | ||||||||
25,000,000 |
9/3/2010
|
Freddie
Mac, 3 month LIBOR minus 2 basis points quarterly reset
|
25,006,113 | 3.0 | % | ||||||||
25,000,000 |
9/24/2010
|
Freddie
Mac, 3 month LIBOR minus 3 basis points quarterly reset
|
25,001,243 | 3.0 | % | ||||||||
10,000,000
|
11/8/2010
|
Federal
Home Loan Bank, 3 month LIBOR minus 19 basis points quarterly
reset
|
10,004,110
|
1.2
|
%
|
||||||||
24,500,000
|
11/26/2010
|
Federal
Home Loan Bank, 3 month LIBOR minus 15 basis points quarterly
reset
|
24,501,796
|
2.9
|
%
|
||||||||
14,500,000
|
12/6/2010
|
Federal
Home Loan Bank, 3 month LIBOR minus 15 basis points quarterly
reset
|
14,501,731
|
1.7
|
%
|
||||||||
25,000,000 |
2/1/2011
|
Freddie
Mac, 3 month LIBOR minus 13 basis points quarterly reset
|
25,013,544 | 3.0 | % | ||||||||
20,000,000
|
2/14/2011
|
Federal
Farm Credit Bank, 1 month LIBOR minus 3 basis points monthly
reset
|
19,993,697
|
2.4
|
%
|
||||||||
9,700,000 |
3/29/2011
|
Federal
Home Loan Bank , 0.5%
|
9,700,269 | 1.2 | % | ||||||||
20,000,000 |
4/28/2011
|
Freddie
Mac, 1.3%
|
20,106,250 | 2.4 | % | ||||||||
20,000,000 |
5/27/2011
|
Fannie
Mae, 3 month LIBOR plus 10 basis points quarterly reset
|
20,007,557 | 2.4 | % | ||||||||
25,000,000 |
6/17/2011
|
Freddie
Mac, 3 month LIBOR plus 10 basis points quarterly reset
|
25,003,825 | 3.0 | % | ||||||||
20,000,000 |
7/7/2011
|
Freddie
Mac, 1.6%
|
20,063,484 | 2.4 | % | ||||||||
25,000,000 |
7/20/2011
|
Federal
Home Loan Bank, 1.0%
|
25,049,306 | 3.0 | % | ||||||||
25,000,000 |
8/17/2011
|
Fannie
Mae, 1.6%
|
25,016,493 | 3.0 | % | ||||||||
24,500,000 |
8/24/2011
|
Freddie
Mac, 1.5%
|
24,537,771 | 2.9 | % | ||||||||
24,500,000 |
8/24/2011
|
Federal
Home Loan Bank, 1.2%
|
24,530,217 | 2.9 | % | ||||||||
9,500,000 |
9/2/2011
|
Freddie
Mac, 1.8%
|
9,513,392 | 1.1 | % | ||||||||
Total
Government-sponsored enterprises
|
$ | 524,872,071 | 62.7 | % |
U.S.
Government securities
|
|||||||||||||
Face Value
|
Maturity Date
|
Description
|
Fair Value
|
Percent
of Partners’ Capital
|
|||||||||
$ | 15,000,000 |
8/26/2010
|
U.S.
Treasury Bills, 0.4%
|
$ | 14,947,908 | 1.2 | % | ||||||
30,000,000 |
9/23/2010
|
U.S.
Treasury Bills, 0.4%
|
29,878,025 | 3.6 | % | ||||||||
Total
U.S. Government securities
|
$ | 44,825,933 | 4.8 | % | |||||||||
The
accompanying notes are an integral part of these consolidated financial
statements.
Grant
Park Futures Fund Limited Partnership
Consolidated
Condensed Schedule of Investments (continued)
September
30, 2009
(Unaudited)
U.S.
Government securities in brokers’ trading accounts***
|
|||||||||||||
Face Value
|
Maturity Date
|
Description
|
Fair Value
|
Percent
of Partners’ Capital
|
|||||||||
$ | 6,500,000 |
11/5/2009
|
U.S.
Treasury Bills, 0.3% (cost $6,490,230)
|
$ | 6,497,841 | 0.8 | % | ||||||
4,000,000 |
11/12/2009
|
U.S.
Treasury Bills, 0.3% (cost $3,994,976)
|
3,998,605 | 0.5 | % | ||||||||
3,500,000 |
11/27/2009
|
U.S.
Treasury Bills, 0.3% (cost $3,494,840)
|
3,498,145 | 0.4 | % | ||||||||
10,000,000 |
12/3/2009
|
U.S.
Treasury Bills, 0.2% (cost $9,990,039)
|
9,995,783 | 1.2 | % | ||||||||
3,500,000 |
12/3/2009
|
U.S.
Treasury Bills, 0.3% (cost $3,494,635)
|
3,497,824 | 0.4 | % | ||||||||
1,000,000 |
12/10/2009
|
U.S.
Treasury Bills, 0.3% (cost $998,559)
|
999,355 | 0.1 | % | ||||||||
23,000,000 |
12/15/2009
|
U.S.
Treasury Notes, 3.5% (cost $23,704,375)
|
23,394,111 | 2.8 | % | ||||||||
4,500,000 |
12/17/2009
|
U.S.
Treasury Bills, 0.3% (cost $4,493,180)
|
4,496,516 | 0.5 | % | ||||||||
6,700,000 |
12/31/2009
|
U.S
Treasury Bills, 0.3% (cost $6,688,822)
|
6,693,325 | 0.8 | % | ||||||||
5,000,000 |
1/14/2010
|
U.S
Treasury Bills, 0.3% (cost $4,993,138)
|
4,995,399 | 0.6 | % | ||||||||
7,000,000 |
1/14/2010
|
U.S
Treasury Bills, 0.2% (cost $6,992,117)
|
6,994,538 | 0.8 | % | ||||||||
3,500,000 |
2/4/2010
|
U.S
Treasury Bills, 0.3% (cost $3,495,353)
|
3,496,362 | 0.4 | % | ||||||||
10,000,000 |
3/4/2010
|
U.S
Treasury Bills, 0.2% (cost $9,991,203)
|
9,991,550 | 1.2 | % | ||||||||
1,300,000 |
3/11/2010
|
U.S
Treasury Bills, 0.2% (cost $1,298,718)
|
1,298,761 | 0.2 | % | ||||||||
Total
U.S. Government securities
|
$ | 89,848,115 | 10.7 | % |
____________
|
***
|
Pledged
as collateral for the trading of futures, forward and option on futures
contracts.
|
The
accompanying notes are an integral part of these consolidated financial
statements.
Grant
Park Futures Fund Limited Partnership
Condensed
Schedule of Investments
December
31, 2008
No.
of contracts
|
||||||||||||||||||||||||||||||||||||
Expiration
Date
|
Long
|
Short
|
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
|
||||||||||||||||||||||||||||
Futures
Contracts*
|
||||||||||||||||||||||||||||||||||||
U.S.
Futures Positions:
|
||||||||||||||||||||||||||||||||||||
Currencies
|
$ | (375,126 | ) | (0.1 | )% | $ | 47,001 | ** | $ | (328,125 | ) | (0.1 | )% | |||||||||||||||||||||||
Energy
|
5,640 | ** | (145,915 | ) | ** | (140,275 | ) | ** | ||||||||||||||||||||||||||||
Grains
|
57,264 | ** | (207,024 | ) | ** | (149,760 | ) | ** | ||||||||||||||||||||||||||||
Interest
rates
|
(150,471 | ) | ** | (1,063 | ) | ** | (151,534 | ) | ** | |||||||||||||||||||||||||||
Meats
|
332 | ** | (77,490 | ) | ** | (77,158 | ) | ** | ||||||||||||||||||||||||||||
Metals
|
57,033 | ** | (123,818 | ) | ** | (66,785 | ) | ** | ||||||||||||||||||||||||||||
Soft
commodities
|
(1,690 | ) | ** | (116,292 | ) | ** | (117,982 | ) | ** | |||||||||||||||||||||||||||
Stock
indices
|
81,725 | ** | 12,201 | ** | 93,926 | ** | ||||||||||||||||||||||||||||||
Total
U.S. Futures Positions
|
(325,293 | ) | (612,400 | ) | (937,693 | ) | ||||||||||||||||||||||||||||||
Foreign
Futures Positions:
|
||||||||||||||||||||||||||||||||||||
Energy
|
— | ** | 188,636 | ** | 188,636 | ** | ||||||||||||||||||||||||||||||
Grains
|
— | ** | (1,016 | ) | ** | (1,016 | ) | ** | ||||||||||||||||||||||||||||
Interest
rates
|
5,693,855 | 0.9 | % | (244,950 | ) | ** | 5,448,905 | 0.8 | % | |||||||||||||||||||||||||||
Metals
|
||||||||||||||||||||||||||||||||||||
Aluminum
|
03/09 | 449 | 471 | (6,717,297 | ) | (1.0 | )% | 8,461,295 | 1.3 | % | 1,743,998 | 0.3 | % | |||||||||||||||||||||||
Other
Metals
|
(8,929,298 | ) | (1.4 | )% | 9,148,339 | 1.4 | % | 219,041 | ** | |||||||||||||||||||||||||||
Soft
commodities
|
95,511 | ** | 15,170 | ** | 110,681 | ** | ||||||||||||||||||||||||||||||
Stock
indices
|
49,768 | ** | (218,881 | ) | ** | (169,113 | ) | ** | ||||||||||||||||||||||||||||
Total
Foreign Futures Positions
|
(9,807,461 | ) | 17,348,593 | 7,541,132 | ||||||||||||||||||||||||||||||||
Total
Futures Contracts
|
$ | (10,132,754 | ) | (1.6 | )% | $ | 16,736,193 | 2.6 | % | $ | 6,603,439 | 1.0 | % | |||||||||||||||||||||||
Forward
Contracts *
|
||||||||||||||||||||||||||||||||||||
Currencies
|
$ | 336,467 | 0.1 | % | $ | (1,729,675 | ) | (0.3 | )% | $ | (1,393,208 | ) | (0.2 | )% | ||||||||||||||||||||||
Total
Futures and Forward Contracts
|
$ | (9,796,287 | ) | (1.5 | )% | $ | 15,006,518 | 2.3 | % | $ | 5,210,231 | 0.8 | % |
____________
|
*
|
No
individual futures and forward contract position, other than those
presented, constituted greater than 1 percent of partners’
capital. Accordingly, the number of contracts and
expiration dates are not presented.
|
**
|
Represents
less than 0.1% of partners’ capital.
|
Certificates
of deposit
|
|||||||||||||
Face Value
|
Maturity Date
|
Description
|
Fair Value
|
Percent
of Partners’ Capital
|
|||||||||
$ | 12,000,000 |
5/1/2009
|
Comerica
Bank, 1 month LIBOR plus 15 basis points
|
$ | 12,021,183 | 1.9 | % | ||||||
15,000,000 |
5/4/2009
|
Bank
of America, 2.6%
|
15,060,417 | 2.3 | % | ||||||||
240,000 |
8/14/2009
|
Amcore
Bank, 3.5%
|
241,120 | * | |||||||||
240,000 |
11/12/2009
|
Huntington
National Bank, 3.8%
|
241,250 | * | |||||||||
240,000 |
11/17/2009
|
Mercantile
Bank of Michigan, 3.6%
|
241,065 | * | |||||||||
240,000 |
12/17/2009
|
Goldman
Sachs Bank, 2.6%
|
240,246 | * | |||||||||
240,000 |
12/18/2009
|
GE
Money Bank, 2.6%
|
240,238 | * | |||||||||
240,000 |
12/18/2009
|
Anchorbank
FSB, 2.5%
|
240,217 | * | |||||||||
Total
Certificates of deposit
|
$ | 28,525,736 | 4.4 | % |
____________
|
*
|
Represents
less than 0.1% of partners’
capital.
|
The
accompanying notes are an integral part of these financial
statements.
Grant
Park Futures Fund Limited Partnership
Condensed
Schedule of Investments (continued)
December
31, 2008
Commercial
paper
|
|||||||||||||
Face Value
|
Maturity Date
|
Description
|
Fair Value
|
Percent
of Partners’ Capital
|
|||||||||
$ | 10,000,000 |
2/3/2009
|
Hewlett-Packard
Co., 2.2%
|
$ | 9,979,833 | 1.6 | % | ||||||
Total
Commercial paper
|
$ | 9,979,833 | 1.6 | % |
Government-sponsored
enterprises
|
|||||||||||||
Face Value
|
Maturity Date
|
Description
|
Fair Value
|
Percent
of Partners’ Capital
|
|||||||||
$ | 10,000,000 |
1/2/2009
|
Federal
Farm Credit Bank, 3 month US Treasury bill plus 82 basis points weekly
reset
|
$ | 10,030,603 | 1.6 | % | ||||||
10,000,000 |
1/2/2009
|
Federal
Home Loan Bank, 3.8%
|
10,093,944 | 1.6 | % | ||||||||
8,000,000
|
1/14/2009
|
Federal
Home Loan Bank, 3 month LIBOR minus 20 basis points quarterly
reset
|
8,081,089
|
1.3
|
%
|
||||||||
10,000,000 |
1/29/2009
|
Fannie
Mae Discount Note, 2.3%
|
9,982,500 | 1.6 | % | ||||||||
7,500,000 |
2/13/2009
|
Federal
Home Loan Bank Discount Note, 3.2%
|
7,472,229 | 1.2 | % | ||||||||
10,000,000 |
2/18/2009
|
Freddie
Mac Discount Note, 2.3%
|
9,970,000 | 1.5 | % | ||||||||
10,000,000 |
2/24/2009
|
Freddie
Mac Discount Note, 2.6%
|
9,961,150 | 1.5 | % | ||||||||
10,000,000 |
3/20/2009
|
Federal
Home Loan Bank Discount Note, 2.9%
|
9,939,333 | 1.5 | % | ||||||||
8,000,000 |
4/1/2009
|
Farmer
Mac, 2.3%
|
8,046,000 | 1.3 | % | ||||||||
8,000,000 |
4/7/2009
|
Freddie
Mac, 2.4%
|
8,044,911 | 1.3 | % | ||||||||
10,000,000 |
4/15/2009
|
Federal
Home Loan Bank Discount Note, 3.0%
|
9,917,378 | 1.5 | % | ||||||||
10,500,000 |
4/17/2009
|
Federal
Home Loan Bank Discount Note, 3.2%
|
10,404,158 | 1.6 | % | ||||||||
10,000,000
|
4/24/2009
|
Federal
Home Loan Bank, 1 month LIBOR minus 8 basis points monthly
reset
|
9,998,363
|
1.6
|
%
|
||||||||
8,000,000 |
4/24/2009
|
Farmer
Mac, 2.3%
|
8,034,244 | 1.2 | % | ||||||||
10,000,000 |
4/27/2009
|
Federal
Home Loan Bank Discount Note, 2.8%
|
9,909,778 | 1.5 | % | ||||||||
10,000,000 |
4/30/2009
|
Federal
Home Loan Bank, 2.6%
|
10,044,479 | 1.6 | % | ||||||||
10,000,000 |
5/4/2009
|
Federal
Home Loan Bank Discount Note, 1.7%
|
9,943,625 | 1.5 | % | ||||||||
10,000,000 |
5/11/2009
|
Federal
Home Loan Bank Discount Note, 3.0%
|
9,895,278 | 1.5 | % | ||||||||
10,000,000 |
5/13/2009
|
Fannie
Mae Discount Note, 1.2%
|
9,956,000 | 1.5 | % | ||||||||
12,000,000
|
5/20/2009
|
Federal
Home Loan Bank, 3 month LIBOR minus 18 basis points quarterly
reset
|
12,025,644
|
1.9
|
%
|
||||||||
8,000,000 |
5/20/2009
|
Federal
Home Loan Bank Discount Note, 1.4%
|
7,958,300 | 1.2 | % | ||||||||
8,000,000 |
6/30/2009
|
Federal
Home Loan Bank, 3.0%
|
8,000,667 | 1.2 | % | ||||||||
8,000,000 |
7/14/2009
|
Federal
Home Loan Bank, 3.2%
|
8,116,755 | 1.3 | % | ||||||||
10,000,000 |
8/20/2009
|
Federal
Home Loan Bank, 3.1%
|
10,109,167 | 1.6 | % | ||||||||
8,500,000
|
10/5/2009
|
Federal
Home Loan Bank, 3 month LIBOR minus 4 basis points quarterly
reset
|
8,587,338
|
1.3
|
%
|
||||||||
12,500,000 |
10/19/2009
|
Freddie
Mac, 1 month LIBOR minus 6 basis points monthly reset
|
12,501,579 | 1.9 | % | ||||||||
7,000,000 |
11/25/2009
|
Freddie
Mac, 2.1%
|
7,014,292 | 1.1 | % | ||||||||
10,000,000 |
12/1/2009
|
Federal
Home Loan Bank, 2.0%
|
10,016,667 | 1.6 | % | ||||||||
11,000,000 |
12/15/2009
|
Federal
Home Loan Bank, 1.8%
|
11,008,996 | 1.7 | % | ||||||||
11,000,000 |
12/16/2009
|
Freddie
Mac, 1.9%
|
11,008,708 | 1.7 | % | ||||||||
15,000,000 |
12/30/2009
|
Farmer
Mac, 1.0%
|
15,000,417 | 2.3 | % | ||||||||
10,000,000 |
2/9/2010
|
Federal
Home Loan Bank, 3 month LIBOR minus 3.5 basis points
|
10,004,634 | 1.6 | % | ||||||||
Total
Government-sponsored enterprises
|
$ | 311,078,226 | 48.3 | % |
The
accompanying notes are an integral part of these financial
statements.
Grant
Park Futures Fund Limited Partnership
Condensed
Schedule of Investments (continued)
December
31, 2008
U.S.
Government securities***
|
|||||||||||||
Face Value
|
Maturity
Date
|
Description
|
Fair Value
|
Percent
of Partners’ Capital
|
|||||||||
$ | 5,500,000 |
6/4/2009
|
U.S.
Treasury Bills, 0.2% (cost $5,493,705)
|
$ | 5,497,798 | 0.8 | % | ||||||
23,000,000 |
12/15/2009
|
U.S.
Treasury Notes, 3.5% (cost $23,682,812)
|
23,718,100 | 3.7 | % | ||||||||
Total
U.S. Government securities
|
$ | 29,215,898 | 4.5 | % |
Government-sponsored
enterprises in brokers’ trading accounts***
|
|||||||||||||
Face Value
|
Maturity
Date
|
Description
|
Fair Value
|
Percent
of Partners’ Capital
|
|||||||||
$ | 6,700,000 |
1/2/2009
|
Federal
Home Loan Bank Discount Note, 0.4%
|
$ | 6,699,993 | 1.0 | % | ||||||
4,000,000 |
3/9/2009
|
Freddie
Mac Discount Note, 2.7%
|
3,998,295 | 0.6 | % | ||||||||
5,000,000 |
5/4/2009
|
Federal
Home Loan Bank Discount Note, 1.7%
|
4,997,129 | 0.8 | % | ||||||||
Total
Government-sponsored enterprises
|
$ | 15,695,417 | 2.4 | % |
____________
|
***
|
Pledged
as collateral for the trading of futures, forward and option on futures
contracts.
|
The
accompanying notes are an integral part of these financial
statements.
Grant
Park Futures Fund Limited Partnership
Consolidated
Statements of Operations
For
the Three Months Ended September 30, 2009 and 2008
September
30, 2009
|
September
30, 2008
|
|||||||||||
Class
A, Class B, Legacy 1 Class, Legacy 2 Class
|
GAM
1 Class, GAM 2 Class, GAM 3 Class
|
Class
A, Class B
|
||||||||||
(Unaudited)
|
(Unaudited)
|
(Unaudited)
|
||||||||||
Net
gains (losses) on investments
|
||||||||||||
Net
gain (loss) from trading
|
||||||||||||
Realized
|
$ | 1,845,064 | $ | – | $ | (5,311,272 | ) | |||||
Change
in unrealized
|
23,885,788 | – | (12,847,743 | ) | ||||||||
Commissions
|
(3,141,586 | ) | – | (1,701,641 | ) | |||||||
Net
gains (losses) from trading
|
22,589,266 | – | (19,860,656 | ) | ||||||||
Income
allocated from Dearborn Select Master Fund, SPC
|
– | – | (9,894,659 | ) | ||||||||
Gain
from investments in unconsolidated trading companies
|
– | 608,330 | – | |||||||||
Total
gains (losses) on investments
|
22,589,266 | 608,330 | (29,755,315 | ) | ||||||||
Net
investment income
|
||||||||||||
Income
|
||||||||||||
Interest
income
|
1,160,703 | 39,010 | 2,893,792 | |||||||||
Expenses
from operations
|
||||||||||||
Brokerage
commission
|
13,057,517 | 228,090 | 8,491,761 | |||||||||
Incentive
fees
|
1,788,829 | 127,802 | 111,614 | |||||||||
Operating
expenses
|
510,817 | 12,780 | 350,687 | |||||||||
Organizational
and offering costs
|
573,982 | 15,336 | – | |||||||||
Total
expenses
|
15,931,145 | 384,008 | 8,954,062 | |||||||||
Net
investment (loss)
|
(14,770,442 | ) | (344,998 | ) | (6,060,270 | ) | ||||||
Non-controlling
interests in (earnings) losses
|
(608,330 | ) | – | – | ||||||||
Net
income (loss)
|
$ | 7,210,494 | $ | 263,332 | $ | (35,815,585 | ) |
Net
income (loss) per unit from operations (based on weighted average number
of units outstanding during the period):
|
||||||||||||
General
Partner & Limited Partner Class A Units
|
$ | 15.03 | $ | N/A | $ | (93.39 | ) | |||||
General
Partner & Limited Partner Class B Units
|
$ | 10.91 | $ | N/A | $ | (82.55 | ) | |||||
General
Partner & Limited Partner Legacy 1 Class Units
|
$ | 13.49 | $ | N/A | $ | N/A | ||||||
General
Partner & Limited Partner Legacy 2 Class Units
|
$ | 13.31 | $ | N/A | $ | N/A | ||||||
General
Partner & Limited Partner GAM 1 Class Units
|
$ | N/A | $ | 10.05 | $ | N/A | ||||||
General
Partner & Limited Partner GAM 2 Class Units
|
$ | N/A | $ | 8.81 | $ | N/A | ||||||
General
Partner & Limited Partner GAM 3 Class Units
|
$ | N/A | $ | 4.47 | $ | N/A | ||||||
Increase
(decrease) in net asset value per unit for the period:
|
||||||||||||
General
Partner & Limited Partner Class A Units
|
$ | 15.03 | $ | N/A | $ | (94.13 | ) | |||||
General
Partner & Limited Partner Class B Units
|
$ | 10.91 | $ | N/A | $ | (84.47 | ) | |||||
General
Partner & Limited Partner Legacy 1 Class Units
|
$ | 13.49 | $ | N/A | $ | N/A | ||||||
General
Partner & Limited Partner Legacy 2 Class Units
|
$ | 13.31 | $ | N/A | $ | N/A | ||||||
General
Partner & Limited Partner GAM 1 Class Units
|
$ | N/A | $ | 10.05 | $ | N/A | ||||||
General
Partner & Limited Partner GAM 2 Class Units
|
$ | N/A | $ | 8.81 | $ | N/A | ||||||
General
Partner & Limited Partner GAM 3 Class Units
|
$ | N/A | $ | 4.47 | $ | N/A |
The
accompanying notes are an integral part of these consolidated financial
statements.
Grant
Park Futures Fund Limited Partnership
Consolidated
Statements of Operations
For
the Nine Months Ended September 30, 2009 and 2008
September
30, 2009
|
September
30, 2008
|
|||||||||||
Class
A, Class B, Legacy 1 Class, Legacy 2 Class
|
GAM
1 Class, GAM 2 Class, GAM 3 Class
|
Class
A, Class B
|
||||||||||
(Unaudited)
|
(Unaudited)
|
(Unaudited)
|
||||||||||
Net
gains (losses) on investments
|
||||||||||||
Net
gain (loss) from trading
|
||||||||||||
Realized
|
$ | (32,650,299 | ) | $ | – | $ | 81,411,635 | |||||
Change
in unrealized
|
18,752,471 | – | (4,844,873 | ) | ||||||||
Commissions
|
(8,705,979 | ) | – | (4,866,660 | ) | |||||||
Net
gains (losses) from trading
|
(22,603,807 | ) | – | 71,700,102 | ||||||||
Income
allocated from Dearborn Select Master Fund, SPC
|
– | – | 6,542,915 | |||||||||
Loss
allocated from GP 1, LLC
|
(2,740,621 | ) | – | – | ||||||||
Gain
from investments in unconsolidated trading companies
|
– | 437,553 | – | |||||||||
Total
gains (losses) on investments
|
(25,344,428 | ) | 437,553 | 78,243,017 | ||||||||
Net
investment income
|
||||||||||||
Income
|
||||||||||||
Interest
income
|
5,133,333 | 39,010 | 9,301,255 | |||||||||
Expenses
from operations
|
||||||||||||
Brokerage
commission
|
38,232,727 | 280,385 | 24,506,603 | |||||||||
Incentive
fees
|
4,197,484 | 144,478 | 17,007,165 | |||||||||
Operating
expenses
|
1,516,188 | 15,940 | 1,015,952 | |||||||||
Organizational
and offering costs
|
2,223,190 | 19,128 | – | |||||||||
Total
expenses
|
46,169,589 | 459,931 | 42,529,720 | |||||||||
Net
investment (loss)
|
(41,036,256 | ) | (420,921 | ) | (33,228,465 | ) | ||||||
Non-controlling
interest in (earnings) losses
|
(437,553 | ) | – | – | ||||||||
Net
income (loss)
|
$ | (66,818,237 | ) | $ | 16,632 | $ | 45,014,552 |
Net
income (loss) per unit from operations (based on weighted average number
of units outstanding during the period):
|
||||||||||||
General
Partner & Limited Partner Class A Units
|
$ | (114.68 | ) | $ | N/A | $ | 135.77 | |||||
General
Partner & Limited Partner Class B Units
|
$ | (106.02 | ) | $ | N/A | $ | 114.26 | |||||
General
Partner & Limited Partner Legacy 1 Class Units
|
$ | (17.05 | ) | $ | N/A | $ | N/A | |||||
General
Partner & Limited Partner Legacy 2 Class Units
|
$ | (18.05 | ) | $ | N/A | $ | N/A | |||||
General
Partner & Limited Partner GAM 1 Class Units
|
$ | N/A | $ | (5.27 | ) | $ | N/A | |||||
General
Partner & Limited Partner GAM 2 Class Units
|
$ | N/A | $ | (7.46 | ) | $ | N/A | |||||
General
Partner & Limited Partner GAM 3 Class Units
|
$ | N/A | $ | (17.78 | ) | $ | N/A | |||||
Increase
(decrease) in net asset value per unit for the period:
|
||||||||||||
General
Partner & Limited Partner Class A Units
|
$ | (114.68 | ) | $ | N/A | $ | 133.52 | |||||
General
Partner & Limited Partner Class B Units
|
$ | (106.02 | ) | $ | N/A | $ | 108.42 | |||||
General
Partner & Limited Partner Legacy 1 Class Units
|
$ | (17.05 | ) | $ | N/A | $ | N/A | |||||
General
Partner & Limited Partner Legacy 2 Class Units
|
$ | (18.05 | ) | $ | N/A | $ | N/A | |||||
General
Partner & Limited Partner GAM 1 Class Units
|
$ | N/A | $ | (5.27 | ) | $ | N/A | |||||
General
Partner & Limited Partner GAM 2 Class Units
|
$ | N/A | $ | (7.46 | ) | $ | N/A | |||||
General
Partner & Limited Partner GAM 3 Class Units
|
$ | N/A | $ | (17.78 | ) | $ | N/A |
The
accompanying notes are an integral part of these consolidated financial
statements.
Grant
Park Futures Fund Limited Partnership
Consolidated
Statements of Changes in Partners’ Capital (Net Asset Value)
Nine
Months Ended September 30, 2009
(Unaudited)
Class
A
|
Class
B
|
|||||||||||||||||||||||||||||||
General
Partner
|
Limited
Partners
|
General
Partner
|
Limited
Partners
|
|||||||||||||||||||||||||||||
Number
of Units
|
Amount
|
Number
of Units
|
Amount
|
Number
of Units
|
Amount
|
Number
of Units
|
Amount
|
|||||||||||||||||||||||||
Partners’
capital,
December
31, 2008
|
4,348.18 | $ | 6,827,509 | 52,408.70 | $ | 82,292,140 | — | $ | — | 408,160.74 | $ | 554,475,560 | ||||||||||||||||||||
Contributions
|
— | — | 1,656.55 | 2,601,110 | 1,978.62 | 2,650,000 | 199,466.15 | 267,192,606 | ||||||||||||||||||||||||
Redemptions
|
— | — | (1,883.09 | ) | (2,856,298 | ) | — | — | (8,105.44 | ) | (10,672,187 | ) | ||||||||||||||||||||
Net
income (loss)
|
— | (335,375 | ) | — | (4,125,336 | ) | — | (99,588 | ) | — | (38,223,165 | ) | ||||||||||||||||||||
Partners’
capital,
March
31, 2009
|
4,348.18 | $ | 6,492,134 | 52,182.16 | $ | 77,911,616 | 1,978.62 | $ | 2,550,412 | 599,521.45 | $ | 772,772,814 | ||||||||||||||||||||
Contributions
|
— | — | — | — | — | — | — | — | ||||||||||||||||||||||||
Redemptions
|
(1,339.52 | ) | (2,000,000 | ) | (949.58 | ) | (1,393,123 | ) | (1,551.61 | ) | (2,000,000 | ) | (8,422.19 | ) | (10,641,580 | ) | ||||||||||||||||
Net
income (loss)
|
— | (158,207 | ) | — | (2,718,689 | ) | — | (20,255 | ) | — | (28,251,693 | ) | ||||||||||||||||||||
Partners’
capital,
June
30, 2009
|
3,008.66 | $ | 4,333,927 | 51,232.58 | $ | 73,799,804 | 427.01 | $ | 530,157 | 591,099.26 | $ | 733,879,541 | ||||||||||||||||||||
Contributions
|
— | — | — | — | — | — | — | — | ||||||||||||||||||||||||
Redemptions
|
— | — | (1,577.20 | ) | (2,275,793 | ) | — | — | (10,810.14 | ) | (13,420,727 | ) | ||||||||||||||||||||
Net
income (loss)
|
— | 45,226 | — | 750,291 | — | 4,656 | — | 6,327,070 | ||||||||||||||||||||||||
Partners’
capital,
September
30, 2009
|
3,008.66 | $ | 4,379,153 | 49,655.38 | $ | 72,274,302 | 427.01 | $ | 534,813 | 580,289.12 | $ | 726,785,884 |
Net
asset value per unit at
December
31, 2008
|
$ | 1,570.20 | $ | 1,358.47 | |||||
Net
asset value per unit at
March
31, 2009
|
$ | 1,493.07 | $ | 1,288.98 | |||||
Net
asset value per unit at
June
30, 2009
|
$ | 1,440.49 | $ | 1,241.55 | |||||
Net
asset value per unit at
September
30, 2009
|
$ | 1,455.52 | $ | 1,252.46 |
The accompanying notes are an
integral part of these consolidated financial statements.
10
Grant
Park Futures Fund Limited Partnership
Consolidated
Statements of Changes in Partners’ Capital (Net Asset Value)
Nine
Months Ended September 30, 2009
(Unaudited)
(continued)
Legacy
1 Class
|
Legacy
2 Class
|
Non-Controlling
|
||||||||||||||||||||||||||||||||||||||||||
General
Partner
|
Limited
Partners
|
General
Partner
|
Limited
Partners
|
Interests
|
||||||||||||||||||||||||||||||||||||||||
Number
of Units
|
Amount
|
Number
of Units
|
Amount
|
Number
of Units
|
Amount
|
Number
of Units
|
Amount
|
Number
of Units
|
Amount
|
Total
Amount
|
||||||||||||||||||||||||||||||||||
Partners’
capital,
December
31, 2008
|
— | $ | — | — | $ | — | — | $ | — | — | $ | — | — | $ | — | $ | 643,595,209 | |||||||||||||||||||||||||||
Contributions
|
— | — | — | — | — | — | — | — | — | — | 272,443,716 | |||||||||||||||||||||||||||||||||
Redemptions
|
— | — | — | — | — | — | — | — | — | — | (13,528,485 | ) | ||||||||||||||||||||||||||||||||
Net
income (loss)
|
— | — | — | — | — | — | — | — | — | — | (42,783,464 | ) | ||||||||||||||||||||||||||||||||
Partners’
capital,
March
31, 2009
|
— | $ | — | — | $ | — | — | $ | — | — | $ | — | — | $ | — | $ | 859,726,976 | |||||||||||||||||||||||||||
Contributions
|
1,025.00 | 1,025,000 | 385.12 | 384,527 | 1,000.00 | 1,000,000 | 839.75 | 836,009 | 9,056.93 | 9,119,954 | 12,365,490 | |||||||||||||||||||||||||||||||||
Redemptions
|
— | — | — | — | — | — | — | — | — | — | (16,034,703 | ) | ||||||||||||||||||||||||||||||||
Net
income (loss)
|
— | (31,303 | ) | — | (11,169 | ) | — | (31,360 | ) | — | (22,591 | ) | — | (246,700 | ) | (31,491,967 | ) | |||||||||||||||||||||||||||
Partners’
capital,
June
30, 2009
|
1,025.00 | $ | 993,697 | 385.12 | $ | 373,358 | 1,000.00 | $ | 968,640 | 839.75 | $ | 813,418 | 9,056.93 | $ | 8,873,254 | $ | 824,565,796 | |||||||||||||||||||||||||||
Contributions
|
— | — | 1,891.16 | 1,831,650 | — | — | 754.90 | 728,810 | 17,900.42 | 17,420,823 | 19,981,283 | |||||||||||||||||||||||||||||||||
Redemptions
|
— | — | — | — | — | — | (.25 | ) | (250 | ) | (.25 | ) | (250 | ) | (15,697,020 | ) | ||||||||||||||||||||||||||||
Net
income (loss)
|
— | 13,831 | — | 32,474 | — | 13,309 | — | 23,637 | — | 263,332 | 7,473,826 | |||||||||||||||||||||||||||||||||
Partners’
capital,
September
30, 2009
|
1,025.00 | $ | 1,007,528 | 2,276.28 | $ | 2,237,482 | 1,000.00 | $ | 981,949 | 1,594.40 | $ | 1,565,615 | 26,957.10 | $ | 26,557,159 | $ | 836,323,885 |
Net
asset value per unit at
December
31, 2008
|
||||||
Net
asset value per unit at
March
31, 2009
|
||||||
Net
asset value per unit at
June
30, 2009
|
$ | 969.46 | $ | 968.64 | ||
Net
asset value per unit at
September
30, 2009
|
$ | 982.95 | $ | 981.95 |
The accompanying notes are an
integral part of these consolidated financial statements.
11
Grant
Park Futures Fund Limited Partnership
Consolidated
Statements of Changes in Partners’ Capital (Net Asset Value)
Nine
Months Ended September 30, 2009
(Unaudited)
(continued)
GAM
1 Class
|
GAM
2 Class
|
GAM
3 Class
|
||||||||||||||||||||||||||||||||||||||||||||||||||
General
Partner
|
Limited
Partners
|
General
Partner
|
Limited
Partners
|
General
Partner
|
Limited
Partners
|
|||||||||||||||||||||||||||||||||||||||||||||||
Number
of Units
|
Amount
|
Number
of Units
|
Amount
|
Number
of Units
|
Amount
|
Number
of Units
|
Amount
|
Number
of Units
|
Amount
|
Number
of Units
|
Amount
|
Total
Amount
|
||||||||||||||||||||||||||||||||||||||||
Partners’
capital,
March
31, 2009
|
— | $ | — | — | $ | — | — | $ | — | — | $ | — | — | $ | — | — | $ | — | $ | — | ||||||||||||||||||||||||||||||||
Contributions
|
1,044.66 | 1,045,000 | 570.11 | 575,393 | 500.00 | 500,000 | 614.40 | 620,794 | 500.00 | 500,000 | 5,827.76 | 5,878,767 | 9,119,954 | |||||||||||||||||||||||||||||||||||||||
Redemptions
|
— | — | — | — | — | — | — | — | — | — | — | — | — | |||||||||||||||||||||||||||||||||||||||
Net
income (loss)
|
— | (16,337 | ) | — | (14,013 | ) | — | (8,137 | ) | — | (16,392 | ) | — | (11,127 | ) | — | (180,694 | ) | (246,700 | ) | ||||||||||||||||||||||||||||||||
Partners’
capital,
June
30, 2009
|
1,044.66 | $ | 1,028,663 | 570.11 | $ | 561,380 | 500.00 | $ | 491,863 | 614.40 | $ | 604,402 | 500.00 | $ | 488,873 | 5,827.76 | $ | 5,698,073 | $ | 8,873,254 | ||||||||||||||||||||||||||||||||
Contributions
|
— | — | 1,693.42 | 1,660,300 | 61.52 | 60,000 | 2,510.47 | 2,456,984 | — | — | 13,635.00 | 13,243,539 | 17,420,823 | |||||||||||||||||||||||||||||||||||||||
Redemptions
|
— | — | — | — | — | — | (.25 | ) | (250 | ) | — | — | — | — | (250 | ) | ||||||||||||||||||||||||||||||||||||
Net
income (loss)
|
— | 10,496 | — | 29,938 | — | 5,468 | — | 40,171 | — | 2,235 | — | 175,024 | 263,332 | |||||||||||||||||||||||||||||||||||||||
Partners’
capital,
September
30, 2009
|
1,044.66 | $ | 1,039,159 | 2,263.53 | $ | 2,251,618 | 561.52 | $ | 557,331 | 3,124.62 | $ | 3,101,307 | 500.00 | $ | 491,108 | 19,462.76 | $ | 19,116,636 | $ | 26,557,159 |
Net
asset value per unit at
March
31, 2009
|
|||||||||
Net
asset value per unit at
June
30, 2009
|
$ | 984.69 | $ | 983.73 | $ | 977.75 | |||
Net
asset value per unit at
September
30, 2009
|
$ | 994.74 | $ | 992.54 | $ | 982.22 |
The
accompanying notes are an integral part of these consolidated financial
statements.
Grant
Park Futures Fund Limited Partnership
Statements
of Changes in Partners’ Capital (Net Asset Value) (continued)
Nine
Months Ended September 30, 2008
(Unaudited)
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, 2007
|
3,671.69 | $ | 4,807,965 | 51,371.93 | $ | 67,269,942 | 335,708.69 | $ | 383,607,889 | $ | 455,685,796 | |||||||||||||||||
Contributions
|
101.66 | 145,000 | 3,225.36 | 4,586,679 | 14,930.87 | 18,253,725 | 22,985,404 | |||||||||||||||||||||
Redemptions
|
— | — | (7,032.62 | ) | (10,220,140 | ) | (7,071.19 | ) | (8,784,902 | ) | (19,005,042 | ) | ||||||||||||||||
Offering
Costs
|
— | — | — | (40,615 | ) | — | (647,318 | ) | (687,933 | ) | ||||||||||||||||||
Net
Income (loss)
|
— | 565,564 | — | 7,967,521 | — | 45,094,674 | 53,627,759 | |||||||||||||||||||||
Partners’
capital,
March
31, 2008
|
3,773.35 | 5,518,529 | 47,564.67 | 69,563,387 | 343,568.37 | 437,524,068 | 512,605,984 | |||||||||||||||||||||
Contributions
|
125.03 | 185,000 | 2,782.62 | 4,104,340 | 27,798.96 | 35,615,357 | 39,904,697 | |||||||||||||||||||||
Redemptions
|
— | — | (1,724.37 | ) | (2,537,963 | ) | (8,115.68 | ) | (10,548,734 | ) | (13,086,697 | ) | ||||||||||||||||
Offering
Costs
|
— | — | — | (39,363 | ) | — | (709,386 | ) | (748,749 | ) | ||||||||||||||||||
Net
Income (loss)
|
— | 288,734 | — | 3,648,604 | — | 23,265,040 | 27,202,378 | |||||||||||||||||||||
Partners’
capital,
June
30, 2008
|
3,898.38 | 5,992,263 | 48,622.92 | 74,739,005 | 363,251.65 | 485,146,345 | 565,877,613 | |||||||||||||||||||||
Contributions
|
251.58 | 370,000 | 3,754.95 | 5,521,274 | 32,495.86 | 41,487,549 | 47,378,823 | |||||||||||||||||||||
Redemptions
|
— | — | (1,650.57 | ) | (2,377,131 | ) | (6,785.48 | ) | (8,482,314 | ) | (10,859,445 | ) | ||||||||||||||||
Offering
Costs
|
— | — | — | (39,764 | ) | — | (722,356 | ) | (762,120 | ) | ||||||||||||||||||
Net
Income (loss)
|
— | (373,908 | ) | — | (4,644,361 | ) | — | (30,797,316 | ) | (35,815,585 | ) | |||||||||||||||||
Partners’
capital,
September
30, 2008
|
4,149.96 | $ | 5,988,355 | 50,727.30 | $ | 73,199,023 | 388,962.03 | $ | 486,631,908 | $ | 565,819,286 | |||||||||||||||||
Net
asset value per unit at December 31, 2007
|
$ | 1,309.47 | $ | 1,142.68 | ||
Net
asset value per unit at March 31, 2008
|
$ | 1,462.50 | $ | 1,273.47 | ||
Net
asset value per unit at June 30, 2008
|
$ | 1,537.12 | $ | 1,335.57 | ||
Net
asset value per unit at September 30, 2008
|
$ | 1,442.99 | $ | 1,251.10 |
The
accompanying notes are an integral part of these financial
statements.
Grant
Park Futures Fund Limited Partnership
Notes
to Consolidated Financial Statements
(Unaudited)
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 under Illinois law in
August 1988 and will continue until December 31, 2027, unless sooner
terminated as provided for in its Limited Partnership Agreement. As a
commodity investment pool, the Partnership is subject to the regulations of the
Commodity Futures Trading Commission (“CFTC”), 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, as amended and the Securities Exchange Act of 1934,
as amended.
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 is a multi-advisor pool that carries out its purpose through trading
by independent professional commodity trading advisors retained by Dearborn
Capital Management, L.L.C. (the “General Partner”), the Partnership and,
effective April 1, 2009, the Partnership’s subsidiary trading companies (each a
“Trading Company” and collectively, the “Trading Companies”). The
Trading Companies were set up to, among other things, segregate risk by
commodity trading advisor. Effectively, this new structure isolates
one trading advisor from another and any losses from one Trading Company will
not carry over to the other Trading Companies. The following is a
list of the trading companies, for which the Partnership is the sole member and
all of which were organized as Delaware limited liability companies during the
period from December 16, 2008 through February 6, 2009:
GP 1, LLC
(“GP
1”) GP
7, LLC (“GP 7”)
GP 3, LLC
(“GP
3”) GP
8, LLC (“GP 8”)
GP 4, LLC
(“GP
4”) GP
9, LLC (“GP 9”)
GP 5, LLC
(“GP
5”) GP
10, LLC (“GP 10”)
GP 6, LLC
(“GP
6”) GP
11, LLC (“GP 11”)
Additionally,
GP Cash Management, LLC was created on February 6, 2009 as a Delaware limited
liability company to collectively manage and invest excess cash not required to
be held at clearing brokers. The members of GP Cash Management, LLC
are the Trading Companies.
Presentation of financial
information: The financial statements include the accounts of
the Partnership and were prepared without audit according to the rules and
regulations of the SEC. The Partnership follows accounting standards
set by the Financial Accounting Standards Board (“FASB”). The FASB
sets generally accepted accounting principles (“GAAP”) that the Partnership
follows to ensure consistent reporting. References to GAAP issued by
the FASB in these footnotes are to the FASB Accounting Standards Codification,
(the “Codification” or “ASC”). The Codification is effective for
financial statements issued for interim and annual periods ending after
September 15, 2009. Certain information and footnote
disclosures normally included in the financial statements prepared in accordance
with GAAP may be omitted pursuant to such rules and regulations. In
our opinion, the accompanying interim, unaudited, financial statements contain
all adjustments (consisting of normal recurring accruals) necessary and adequate
disclosures to present fairly the financial position as of September 30, 2009
and the results of operations for the three and nine months ended September 30,
2009 and 2008.
These
financial statements should be read in conjunction with the audited financial
statements and notes thereto included in our 2008 Annual Report on Form 10-K as
filed with the SEC.
Classes of
interests: The Partnership has seven classes of limited
partner interests (each a “Class” and collectively, the “Interests”), Class A,
Class B, Legacy 1 Class, Legacy 2 Class, Global Alternative Markets 1 (“GAM 1”)
Class, Global Alternative Markets 2 (“GAM 2”) Class and Global Alternative
Markets 3 (“GAM 3”) Class units.
The Class
A and Class B units, are outstanding, but are no longer offered by the
Partnership. Both Class A and Class B units are traded pursuant to
identical trading programs and differ only in respect to the General Partner’s
brokerage commission.
The
Legacy 1 Class and Legacy 2 Class units are traded pursuant to trading programs
pursuing a technical trend trading philosophy, which is the same trading
philosophy used for the Class A and Class B units. The Legacy 1 Class
and Legacy 2 Class units differ in respect to the General Partner’s brokerage
commission. The Legacy 1 Class and Legacy 2 Class units are initially
being offered only to investors who are represented by approved selling agents
who are directly compensated by the investor for services rendered in connection
with an investment in the Partnership (such arrangements commonly referred to as
“wrap-accounts”).
The GAM 1
Class, GAM 2 Class and GAM 3 Class units are traded pursuant to trading programs
pursuing technical trend trading philosophies, as well as pattern recognition
philosophies, focused on relatively shorter timeframes than the Legacy 1 Class
and Legacy 2 Class units. The GAM 1 Class, GAM 2 Class and GAM 3
Class units differ in respect to the General Partner’s brokerage
commission. The GAM 1 Class and GAM 2 Class units are initially being
offered only to investors in wrap-accounts.
Significant
accounting policies are as follows:
Consolidation: Effective April 1, 2009,
Trading Companies in which an individual Class has a controlling or majority
equity interest are consolidated by such Class. Investments in
Trading Companies in which a Class does not have a controlling or majority
equity interest are carried in the consolidated statement of financial condition
at fair value. Fair value represents the proportionate share of the
equity of a Class in a Trading Company and the amount that could reasonably be
expected to be received by that Class if the investment was redeemed at the time
of valuation. Each of the Trading Companies has an investment
in GP Cash Management, LLC but no one Trading Company has a controlling or
majority equity interest in GP Cash Management, LLC. Thus, the
Trading Companies carry their investments in GP Cash Management, LLC at fair
value and these investments are consolidated by the Class that has a controlling
or majority equity interest in the Trading Companies.
All
revenues, expenses, assets and liabilities borne by a specific Class are
allocated to that Class in the consolidated financial statements. An
inter-class receivable is set up in the consolidated statement of financial
condition of GAM 1, GAM 2 and GAM 3 Class units which represents cash due from
Class A, Class B, Legacy 1 Class and Legacy 2 Class units. A
corresponding inter-class payable is shown in the statement of financial
condition of Class A, Class B, Legacy 1 Class and Legacy 2 Class units which
represents cash payable to GAM 1, GAM 2 and GAM 3 Class units. This
inter-class receivable/payable represents the portion of GAM 1, GAM 2 and GAM 3
Class units’ cash that is invested in GP Cash Management, LLC and is included in
Class A, Class B, Legacy 1 Class and Legacy 2 Class units’ financial
statements. This inter-class receivable is used by GAM 1, GAM 2 and
GAM 3 Class units to cover their share of the brokerage commission payable,
accrued incentive fees payable, organization and offering costs payable and
accrued operating expenses payable.
The
consolidated financial statements of Class A, Class B, Legacy 1 Class and Legacy
2 Class units include the assets, liabilities and earnings of its majority-owned
Trading Companies, GP 1, GP 3, GP 4, GP 5, GP 6, GP 7, GP 8, GP 9, GP 10, and GP
11. Class A, Class B, Legacy 1 Class and Legacy 2 Class units pursue
a technical trend trading philosophy and are invested in the same Trading
Companies. These classes of units are grouped together in the
consolidated statement of financial condition and in the consolidated statement
of operations. Separate financial highlights are presented for each
of these classes in Note 9.
GAM 1,
GAM 2 and GAM 3 Class units generally pursue technical trend trading
philosophies, as well as pattern recognition philosophies focusing on relatively
shorter time frames than Class A, Class B, Legacy 1 Class and Legacy 2 Class
units so these Classes are grouped together in the consolidated statement of
financial condition and in the consolidated statement of
operations. GAM 1, GAM 2 and GAM 3 Class units are invested in GP 1,
GP 3, GP 4, GP 6, GP 7, GP 9 and GP 11 but do not have a controlling or majority
equity interest in these Trading Companies so their investments in these Trading
Companies are shown in the consolidated statement of financial condition as
Investment in unconsolidated trading companies. Separate financial
highlights are presented for each of these classes in Note 9.
The
consolidated financial statements are presented by groups of Classes because
these groups of Classes have similar investment philosophies and similar
allocations to the Trading Companies. Financial highlights are shown
in Note 9 giving the limited partner an analysis by each specific
Class.
For the
period January 1, 2009 through March 31, 2009, The Partnership did not
consolidate the results of GP 1 in its financial statements in accordance with
FASB ASC 810, Consolidation, because the
control and ownership structure was deemed to be temporary and the consolidation
of these balances would not have enhanced the usefulness or understandability of
information to the investor.
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.
Revenue
recognition: Futures, options on futures, and forward
contracts are recorded on a trade date basis 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 consolidated statement of financial condition as a net
unrealized gain or loss, as there exists a right of offset of unrealized gains
or losses in accordance with FASB ASC 210-20, Balance Sheet,
Offsetting. Any change in net unrealized gain or loss from the
preceding period is reported in the consolidated statement of
operations. Fair value of exchange-traded contracts is based upon
exchange settlement prices. Fair value of non-exchange-traded
contracts is based on third party quoted dealer values on the Interbank
market. Government-sponsored enterprises and commercial paper are
stated at cost plus accrued interest, which approximates fair
value.
Redemptions
payable: Pursuant to the provisions of FASB ASC 480, Distinguishing Liabilities from
Equity, redemptions approved by the General Partner prior to month end
with a fixed effective date and fixed amount are recorded as redemptions payable
as of month end.
Income
taxes: No provision for income taxes has been made in these
consolidated 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.
Organization and offering
costs: All expenses incurred in connection with the
organization and the initial and ongoing public offering of Partnership
Interests are paid by the General Partner and are reimbursed to the General
Partner by the Partnership. This reimbursement is made
monthly. Effective April 1, 2009, Class A units bear organization and
offering expenses at an annual rate of 10 basis points (0.10 percent) of the
adjusted net assets of the Class A units, calculated and payable monthly on the
basis of month-end adjusted net assets. Legacy 1 Class, Legacy 2
Class, GAM 1 Class, GAM 2 Class, GAM 3 Class and, effective April 1, 2009, Class
B units bear these expenses at an annual rate of 30 basis points (0.30 percent)
of the adjusted net assets of the Legacy 1 Class, Legacy 2 Class, GAM 1 Class,
GAM 2 Class, GAM 3 Class and Class B units, respectively, calculated and payable
monthly on the basis of month-end adjusted net assets. Prior to April
1, 2009, Class A units and Class B units bore these expenses at an annual rate
of 20 basis points (0.20 percent) and 60 basis points (0.60 percent),
respectively, of the adjusted net assets of the Class A and Class B units,
respectively, calculated and payable monthly on the basis of month-end adjusted
net assets.
“Adjusted
net assets” is defined as the month-end net assets of the particular class
before accruals for fees and expenses and redemptions. 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. Amounts reimbursed by the
Partnership with respect to the initial and ongoing public offering expenses are
charged against partners’ capital at the time of reimbursement or
accrual. Any amounts reimbursed by the Partnership with respect to
organization expenses are 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 September 30, 2009, all
organization and offering costs incurred by the General Partner have been
reimbursed.
Effective
January 1, 2009, the Partnership has changed its accounting policy with respect
to organization and offering costs. Prior to that date, the
Partnership charged organization and offering costs directly to partners’
capital. The Partnership charges organization and offering costs to
expense from operations as opposed to taking a direct charge to partners’
capital. This change was done on a prospective basis starting January
1, 2009. The effect of the change on net income (loss) is an increase
in expense from operations of $589,318 and $2,242,318 and no change to partners’
capital for the three and nine months ended September 30, 2009,
respectively. There is no cumulative effect of the change on the net
asset value of the Partnership.
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 consolidated 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.
Reclassification: Certain
amounts in the 2008 financial statements have been reclassified to conform with
the 2009 presentation.
Statement of Cash
Flows: The Partnership has elected not to provide statements
of cash flows as permitted by FASB ASC 230, Statement of Cash
Flows.
Recently adopted accounting
pronouncements: FASB ASC 810, Consolidation, was issued to
establish accounting and reporting standards for the non-controlling interest in
a subsidiary and for the deconsolidation of a subsidiary. FASB ASC
810 clarifies that a non-controlling interest in a subsidiary, which is
sometimes referred to as minority interest, is an ownership interest in the
consolidated entity that should be reported as a component of equity in the
consolidated financial statements. Among other requirements, FASB ASC
810 requires consolidated net income to be reported at amounts that include the
amounts attributable to both the parent and the non-controlling
interest. It also requires disclosure, on the face of the
consolidated income statement, of the amounts of consolidated net income
attributable to the parent and to the non-controlling interest. The
provisions of FASB ASC 810 were effective on January 1, 2009 and did not have a
significant impact on the Partnership’s financial statements.
FASB ASC
855, Subsequent Events,
establishes general standards of accounting for and disclosure of events that
occur after the balance sheet date but before financial statements are
issued. The provisions of FASB ASC 855 were effective for interim and
annual periods ending after June 15, 2009. See Note 13.
In June
2009, the FASB issued FASB ASC 105, Generally Accepted Accounting
Principles, which establishes the FASB Accounting Standards Codification
as the single source of authoritative nongovernmental U.S. GAAP. The
Codification is effective for interim and annual periods ending after September
15, 2009. The Codification combines all authoritative standards into
a comprehensive, topically organized online database. After the
Codification launch on July 1, 2009 only one level of authoritative GAAP exists,
other than guidance issued by the SEC. All other accounting
literature excluded from the Codification is considered
non-authoritative. The Codification impacts the Partnership’s
financial statement disclosures since all future references to authoritative
accounting literature will be references in accordance with the
Codification. The adoption of FASB ASC 105 did not impact the
Partnership’s financial condition or results of operations.
Note
2. Fair Value Measurements
The
Partnership adopted the provisions of FASB ASC 820, Fair Value Measurements and
Disclosures, on January 1, 2008. FASB ASC 820 defines fair
value, establishes a framework for measuring fair value and expands disclosures
about fair value measurement and also emphasizes that fair value is a
market-based measurement, not an entity-specific measurement. FASB
ASC 820 defines fair value as the price that would be received to sell an asset
or paid to transfer a liability in an orderly transaction between market
participants at the measurement date and sets out a fair value
hierarchy. The fair value hierarchy gives the highest priority to
quoted prices in active markets for identical assets or liabilities (Level 1)
and the lowest priority to unobservable inputs (Level 3). Inputs are
broadly defined under FASB ASC 820 as assumptions market participants would use
in pricing an asset or liability. The three levels of the fair value hierarchy
under FASB ASC 820 are described below:
Level
1. Unadjusted quoted prices in active markets for identical assets or
liabilities that the reporting entity has the ability to access at the
measurement date.
Level
2. Inputs other than quoted prices within Level 1 that are observable
for the asset or liability, either directly or indirectly. A
significant adjustment to a Level 2 input could result in the Level 2
measurement becoming a Level 3 measurement.
Level
3. Inputs are unobservable for the asset or liability.
The
following section describes the valuation techniques used by the Partnership to
measure different financial instruments at fair value and includes the level
within the fair value hierarchy in which the financial instrument is
categorized.
Fair
value of exchange-traded contracts is based upon exchange settlement
prices. Fair value of non-exchange-traded contracts is based on third
party quoted dealer values on the Interbank market. U.S. Government
securities, Government-sponsored enterprises and commercial paper are stated at
cost plus accrued interest, which approximates fair value. The
Partnership’s investment in unconsolidated trading companies is reported in the
consolidated statement of financial condition at fair value. Fair
value ordinarily is the value determined by the management of the unconsolidated
trading companies in accordance with the valuation policies of the
unconsolidated trading companies and as reported at the time of the
Partnership’s valuation. Generally, the fair value of the Partnership’s
investment in unconsolidated trading companies represents the amount that the
Partnership could reasonably expect to receive from the unconsolidated trading
companies if the Partnership’s investment was redeemed at the time of valuation,
based on information reasonably available at the time the valuation is made and
that the Partnership believes to be reliable. The Partnership
has the benefit of full look through to the assets underlying the positions of
the unconsolidated trading companies and as such maintains this item as the same
Level 1 input as all of the positions in the consolidated financial statements
of the Partnership. These financial instruments are classified in Level 1 of the
fair value hierarchy.
Certificates of deposit include
interest-bearing instruments with maturities greater than three months and
interest paid at maturity. Certificates of deposit are
allocated to each Class based on their percentage ownership in the pooled cash
management assets on the date of the asset purchase. The Partnership
values the certificates of deposit at face value plus accrued interest, which
approximates fair value, and these financial instruments are classified in Level
2 of the fair value hierarchy.
The following table presents the fair
value hierarchy for those assets and liabilities measured at fair value on a
recurring basis as of September 30, 2009 for Class A, Class B, Legacy 1 Class,
and Legacy 2 Class:
Assets
|
Level
1
|
Level
2
|
Level
3
|
Total
|
||||||||||||
Equity
in brokers’ trading accounts
|
||||||||||||||||
U.S.
Government securities
|
$ | 89,848,115 | $ | – | $ | – | $ | 89,848,115 | ||||||||
Futures
contracts
|
20,437,595 | – | – | 20,437,595 | ||||||||||||
Forward
contracts
|
3,009,620 | – | – | 3,009,620 | ||||||||||||
Options
on futures contracts
|
139,450 | – | – | 139,450 | ||||||||||||
Cash
and cash equivalents
|
||||||||||||||||
Certificates
of deposit
|
– | 27,297,856 | – | 27,297,856 | ||||||||||||
Commercial
paper
|
77,487,094 | – | – | 77,487,094 | ||||||||||||
Certificates
of deposit
|
– | 17,398,849 | – | 17,398,849 | ||||||||||||
Government-sponsored
enterprises
|
524,872,071 | – | – | 524,872,071 | ||||||||||||
U.S.
Government securities
|
44,825,933 | – | – | 44,825,933 | ||||||||||||
The
following table presents the fair value hierarchy for those assets and
liabilities measured at fair value on a recurring basis as of September 30, 2009
for GAM 1 Class, GAM 2 Class and GAM 3 Class:
Assets
|
Level
1
|
Level
2
|
Level
3
|
Total
|
||||||||||||
Investment
in unconsolidated trading companies
|
$ | 26,170,181 | $ | – | $ | – | $ | 26,170,181 |
Note
3. Investment in unconsolidated trading companies
The
following table summarizes the GAM 1 Class, GAM 2 Class and GAM 3 Class
investments in unconsolidated Trading Companies as of September 30,
2009.
GAM 1 Class, GAM 2 Class and GAM 3
Class
|
Percentage of Net Assets Invested in Trading
Companies
|
Fair Value
|
||||||
GP
1, GP 3, GP 4, GP 6, GP 7, GP 9, GP 11*
|
99 | % | $ | 26,170,181 |
____________
|
*
|
The
investment objective of each Trading Company is speculative trading of
futures contracts, options on futures contracts, forward contracts, swaps,
derivatives and synthetics. Liquidity provision is
monthly.
|
Summarized
information reflecting the total assets, liabilities and capital for the
unconsolidated trading companies is shown in the following table.
September
30, 2009
|
||||||||||||||||||||||||||||
GP 1, LLC
|
GP 3, LLC
|
GP 4, LLC
|
GP 6, LLC
|
GP 7, LLC
|
GP 9, LLC
|
GP 11, LLC
|
||||||||||||||||||||||
Total
Assets
|
$ | 133,631,029 | $ | 78,361,908 | $ | 123,930,973 | $ | 64,505,491 | $ | 77,562,474 | $ | 71,076,353 | $ | 69,346,915 | ||||||||||||||
Total
Liabilities
|
948,452 | 526,015 | 843,878 | 806,542 | 1,999,918 | 490,154 | 436,148 | |||||||||||||||||||||
Total
Capital
|
$ | 132,682,577 | $ | 77,835,893 | $ | 123,087,095 | $ | 63,698,949 | $ | 75,562,556 | $ | 70,586,199 | $ | 68,910,767 |
Summarized
information reflecting the statement of operations for the three and nine months
ended September 30, 2009 for the unconsolidated trading companies is shown in
the following tables.
For the Three Months Ended September 30,
2009*
|
||||||||||||||||||||||||||||
GP 1, LLC
|
GP 3, LLC
|
GP 4, LLC
|
GP 6, LLC
|
GP 7, LLC
|
GP 9, LLC
|
GP 11, LLC
|
||||||||||||||||||||||
Net
gain (loss) from trading, less commissions
|
$ | 1,789,253 | $ | 3,703,952 | $ | 2,152,309 | $ | 5,474,670 | $ | 5,616,524 | $ | (2,890,387 | ) | $ | (1,717,693 | ) | ||||||||||||
Interest
income
|
196,260 | 110,302 | 163,223 | 86,375 | 107,088 | 103,490 | 99,917 | |||||||||||||||||||||
Expenses
|
2,271,248 | 1,337,615 | 2,112,738 | 1,452,159 | 2,777,355 | 1,219,925 | 1,144,979 | |||||||||||||||||||||
Net
investment income (loss)
|
(2,074,988 | ) | (1,227,313 | ) | (1,949,515 | ) | (1,365,784 | ) | (2,670,267 | ) | (1,116,435 | ) | (1,045,062 | ) | ||||||||||||||
Net
income (loss)
|
$ | (285,735 | ) | $ | 2,476,639 | $ | 202,794 | $ | 4,108,886 | $ | 2,946,257 | $ | (4,006,822 | ) | $ | (2,762,755 | ) |
____________
|
*
|
GP
1, LLC began trading January 1, 2009. GP 3, LLC, GP 4, LLC, GP
6, LLC, GP 7, LLC, GP 9, LLC and GP 11, LLC began trading April 1,
2009.
|
For the Nine Months Ended September 30,
2009*
|
||||||||||||||||||||||||||||
GP 1, LLC
|
GP 3, LLC
|
GP 4, LLC
|
GP 6, LLC
|
GP 7, LLC
|
GP 9, LLC
|
GP 11, LLC
|
||||||||||||||||||||||
Net
gain (loss) from trading, less commissions
|
$ | (9,407,365 | ) | $ | 186,725 | $ | (19,403,551 | ) | $ | 2,613,362 | $ | 14,980,487 | $ | (4,838,180 | ) | $ | (2,684,815 | ) | ||||||||||
Interest
income
|
929,927 | 503,603 | 791,483 | 387,927 | 382,726 | 436,860 | 316,907 | |||||||||||||||||||||
Expenses
|
7,416,021 | 3,981,371 | 6,643,263 | 3,550,471 | 7,212,775 | 3,577,873 | 2,764,623 | |||||||||||||||||||||
Net
investment income (loss)
|
(6,486,094 | ) | (3,477,768 | ) | (5,851,780 | ) | (3,162,544 | ) | (6,830,049 | ) | (3,141,013 | ) | (2,447,716 | ) | ||||||||||||||
Net
income (loss)
|
$ | (15,893,459 | ) | $ | (3,291,043 | ) | $ | (25,255,331 | ) | $ | (549,182 | ) | $ | 8,150,438 | $ | (7,979,193 | ) | $ | (5,132,531 | ) |
____________
|
*
|
GP
1, LLC began trading January 1, 2009. GP 3, LLC, GP 4, LLC, GP
6, LLC, GP 7, LLC, GP 9, LLC and GP 11, LLC began trading April 1,
2009.
|
Summarized
information reflecting the GAM 1, GAM 2 and GAM 3 Class investment in, and the
allocated results of the operations of the unconsolidated trading companies for
the three and nine months ended September 30, 2009, is shown in the following
tables.
For the Three Months Ended September 30,
2009
|
||||||||||||||||||||
Trading
Company
|
Net
Gains (Losses) from Trading
|
Interest
Income
|
Expenses
|
Net
Income (Loss)
|
||||||||||||||||
Commissions
|
Other
|
|||||||||||||||||||
GP
1, LLC
|
$ | 99,110 | $ | 4,814 | $ | 12,169 | $ | 50,848 | $ | 40,907 | ||||||||||
GP
3, LLC
|
158,732 | 4,066 | 10,678 | 56,514 | 95,606 | |||||||||||||||
GP
4, LLC
|
81,218 | 4,151 | 11,818 | 39,486 | 34,065 | |||||||||||||||
GP
6, LLC
|
172,079 | 2,415 | 6,593 | 48,535 | 119,366 | |||||||||||||||
GP
7, LLC
|
275,274 | 5,101 | 13,376 | 114,388 | 152,611 | |||||||||||||||
GP
9, LLC
|
(99,253 | ) | 4,697 | 12,032 | 40,203 | (146,791 | ) | |||||||||||||
GP
11, LLC
|
7,585 | 3,530 | 8,873 | 30,225 | (27,983 | ) |
For the Nine Months Ended September 30,
2009
|
||||||||||||||||||||
Trading
Company
|
Net
Gains (Losses) from Trading
|
Interest
Income
|
Expenses
|
Net
Income (Loss)
|
||||||||||||||||
Commissions
|
Other
|
|||||||||||||||||||
GP
1, LLC
|
$ | 59,157 | $ | 6,384 | $ | 15,095 | $ | 59,995 | $ | (9,549 | ) | |||||||||
GP
3, LLC
|
102,173 | 5,416 | 13,257 | 64,572 | 29,760 | |||||||||||||||
GP
4, LLC
|
(7,096 | ) | 5,536 | 14,711 | 48,520 | (64,791 | ) | |||||||||||||
GP
6, LLC
|
149,626 | 3,227 | 8,146 | 53,383 | 91,324 | |||||||||||||||
GP
7, LLC
|
335,967 | 6,760 | 16,745 | 140,246 | 185,736 | |||||||||||||||
GP
9, LLC
|
(103,036 | ) | 6,283 | 15,062 | 49,735 | (161,550 | ) | |||||||||||||
GP
11, LLC
|
(3,599 | ) | 4,704 | 11,197 | 38,775 | (48,867 | ) |
Note
4. Deposits with Brokers
The Partnership deposits assets with
brokers subject to CFTC regulations and various exchange and brokers
requirements. Margin requirements are satisfied by the deposit of
U.S. Treasury bills, U.S. Treasury notes, Government-sponsored enterprises and
cash with such brokers. The Partnership earns interest income on its
assets deposited with the brokers.
Note
5. Commodity Trading Advisors
In the
first quarter of 2009, in addition to its investment in GP 1, LLC through which
a portion of its assets are managed by Winton, the Partnership entered into
advisory contracts with Rabar Market Research, Inc., EMC Capital Management,
Inc., Eckhardt Trading Co., Graham Capital Management, L.P., Welton Investment
Corporation, Global Advisors L.P., Transtrend B.V., Quantitative Investment
Management LLC, and Revolution Capital Management, LLC (the “Advisors”) pursuant
to which the Advisors act as the Partnership’s commodity trading
advisors. The Advisors are paid a quarterly management fee ranging
from 0 percent to 2 percent per annum of the Partnership’s month-end allocated
net assets and a quarterly incentive fee ranging from 20 percent to 26 percent
of the new trading profits on the allocated net assets of the
Advisor.
Effective
April 1, 2009, the Partnership reallocated the Partnership’s assets managed by
the Advisors to the Partnership’s Trading Companies. Each Trading
Company has entered into an advisory contract with its own Advisor on the same
or substantially similar terms as the Partnership to manage all or a portion of
such Trading Company’s assets.
Note
6. General Partner and Related Party Transactions
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 North American Securities Administrators
Association, Inc. (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 percent of the total capital contributions of
all partners and all limited partnerships to which it is a general partner
(including the Partnership) plus 5 percent 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.
Ten
percent of the General Partner limited partnership interest in the Grant Park
Futures Fund Limited Partnership is characterized as a general partnership
interest reflected in the ownership of units in Class A , B, Legacy 1, Legacy 2,
GAM 1, GAM 2, and GAM 3. Notwithstanding, the general partnership
interest will continue to pay all fees associated with a limited partnership
interest.
The
Partnership pays the General Partner a monthly brokerage commission equal to one
twelfth of 7.55 percent (7.55 percent annualized) of month-end net assets for
Class A units, one twelfth of 8.00 percent (8.00 percent annualized) of
month-end net assets
for Class
B units. Effective April 1, 2009, the Partnership pays the General
Partner a monthly brokerage commission equal to one twelfth of 7.50 percent
(7.50 percent annualized) of month-end net assets for Class A units, one twelfth
of 7.95 percent (7.95 percent annualized) of month-end net assets for Class B
units, one twelfth of 5.00 percent (5.00 percent annualized) of month-end net
assets for Legacy 1 Class units, one twelfth of 5.25 (5.25 percent annualized)
of month-end net assets for Legacy 2 Class units, one twelfth of 4.45 percent
(4.45 percent annualized) of month-end net assets for GAM 1 Class units, one
twelfth of 4.70 percent (4.70 percent annualized) of month-end net assets for
GAM 2 Class units, one twelfth of 6.45 percent (6.45 percent annualized) of
month-end net assets for GAM 3 Class units. Included in the brokerage
commission are management fees paid to the Advisors, compensation to the selling
agents and an amount to the General Partner for management services
rendered.
The
inter-class receivable in the GAM 1, GAM 2 and GAM 3 Class consolidated
statement of financial condition and the corresponding inter-class payable in
the Class A, Class B, Legacy 1 Class and Legacy 2 Class consolidated statement
of financial condition is $266,945 as of September 30, 2009.
Note
7. Operating Expenses
Operating
expenses of the Partnership are paid for by the General Partner and reimbursed
by the Partnership. The operating expenses of the Partnership are
limited to 0.25 percent per year of the average month-end net assets of the
Partnership. To the extent operating expenses are less than 0.25
percent of the Partnership’s average month-end net assets during the year, the
difference may be reimbursed pro rata to record-holders as of December 31 of
each year.
Note
8. Redemptions
Class A
and Class B Limited Partners have the right to redeem units 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. Legacy 1 Class, Legacy 2 Class, GAM 1 Class, GAM 2 Class and GAM
3 Class Limited Partners are prohibited from redeeming such units for the three
months following the subscription for units. There are no redemption
fees applicable to Legacy 1 Class, Legacy 2 Class, GAM 1 Class and GAM 2 Class
Limited Partners or to GAM 3 Class Limited Partners who redeem their units on or
after the one-year anniversary of their subscription. GAM 3 Class
Limited Partners who redeem their units after the three-month lock-up, but 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 asset value per unit,
as defined, represented by the units to be redeemed. The right to
obtain redemption is also contingent upon the Partnership’s having property
sufficient to discharge its liabilities on the redemption date and may be
delayed if the General Partner determines that earlier liquidation of commodity
interest positions to meet redemption payments would be detrimental to the
Partnership or nonredeeming Limited Partners.
In
addition, the General Partner may at any time cause the redemption of all or a
portion of any Limited Partner’s units upon fifteen (15) days written
notice. The General Partner may also immediately redeem any Limited
Partner’s units 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 units, or (iii) the redemption is
necessary to avoid a violation of law by the Partnership or any
Partner.
Note
9. Financial Highlights
The
following financial highlights reflect activity for the classes of 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 period. Individual partner’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,
|
|||||||||||||||
2009
|
2008
|
2009
|
2008
|
|||||||||||||
(Unaudited)
|
(Unaudited)
|
|||||||||||||||
Total
return – Class A Units
|
1.04 | % | (6.12 | )% | (7.30 | ) % | 10.20 | % | ||||||||
Total
return – Class B Units
|
0.88 | % | (6.32 | )% | (7.80 | ) % | 9.49 | % | ||||||||
Total
return – Legacy 1 Class Units
|
1.39 | % | − | (1.70 | ) % | − | ||||||||||
Total
return – Legacy 2 Class Units
|
1.37 | % | − | (1.81 | ) % | − | ||||||||||
Ratios
as a percentage of average net asset value: (1)
|
||||||||||||||||
Interest
income (2)
|
0.57 | % | 2.08 | % | 0.87 | % | 2.37 | % | ||||||||
Expenses
prior to incentive fees (2)
|
7.00 | % | 6.35 | % | 7.15 | % | 6.50 | % | ||||||||
Incentive
fees (3)
|
0.22 | % | 0.02 | % | 0.54 | % | 3.25 | % | ||||||||
Total
expenses (2)
|
7.22 | % | 6.37 | % | 7.69 | % | 9.75 | % | ||||||||
Net
investment loss (2) (4)
|
(6.43 | )% | (4.27 | )% | (6.28 | )% | (4.13 | )% |
____________
(1)
|
Legacy
1 Class and Legacy 2 Class Units began trading April 1,
2009. These units exclude the classes of the Partnership’s
proportionate share of expenses and net investment income (loss) from GP
1, LLC from January 1, 2009 to March 31, 2009, and Dearborn Select Master
Fund, SPC – Winton Segregated Portfolio for 2008.
|
|
(2)
|
Annualized
|
|
(3)
|
Not
annualized.
|
|
(4)
|
Excludes
incentive
fee.
|
Three
Months Ended September 30,
|
Nine
Months Ended September 30,
|
|||||||||||||||
2009
|
2008
|
2009
|
2008
|
|||||||||||||
(Unaudited)
|
(Unaudited)
|
|||||||||||||||
Total
return – GAM 1 Class Units
|
1.02 | % | − | (0.53 | )% | − | ||||||||||
Total
return – GAM 2 Class Units
|
0.90 | % | − | (0.75 | )% | − | ||||||||||
Total
return – GAM 3 Class Units
|
0.46 | % | − | (1.78 | )% | − | ||||||||||
Ratios
as a percentage of average net asset value: (1)
|
||||||||||||||||
Interest
income (2)
|
0.89 | % | − | 0.72 | % | − | ||||||||||
Expenses
prior to incentive fees (2)
|
5.87 | % | − | 5.81 | % | − | ||||||||||
Incentive
fees (3)
|
0.73 | % | − | 1.33 | % | − | ||||||||||
Total
expenses (2)
|
6.60 | % | − | 7.14 | % | − | ||||||||||
Net
investment loss (2) (4)
|
(4.98 | )% | − | (5.09 | )% | − |
____________
(1)
|
GAM
1 Class, GAM 2 Class and GAM 3 Class Units began trading April 1,
2009.
|
|
(2)
|
Annualized
|
|
(3)
|
Not
annualized.
|
|
(4)
|
Excludes
incentive
fee.
|
The
interest income and expense ratios above are computed based upon the weighted
average net assets of the classes of the Partnership for the three and nine
months ended September 30, 2009 and 2008 (annualized).
The
following per unit performance calculations reflect activity related to the
classes of the Partnership for the three and nine months ended September 30,
2009 and 2008.
Class
A Units
|
Three
Months Ended September 30,
|
Nine
Months Ended September 30,
|
||||||||||||||
2009
|
2008
|
2009
|
2008
|
|||||||||||||
(Unaudited)
|
(Unaudited)
|
|||||||||||||||
Per
Unit Performance
(for
unit outstanding throughout the entire period):
|
||||||||||||||||
Net
asset value per unit at beginning of period
|
$ | 1,440.49 | $ | 1,537.12 | $ | 1,570.20 | $ | 1,309.47 | ||||||||
Income
(loss) from operations:
|
||||||||||||||||
Net
realized and change in unrealized gain (loss) from trading, net of
non-controlling interests (1)
|
39.21 | (73.72 | ) | (45.63 | ) | 251.83 | ||||||||||
Expenses
net of interest income (1)
|
(24.18 | ) | (19.67 | ) | (69.05 | ) | (116.06 | ) | ||||||||
Total
income (loss) from operations
|
15.03 | (93.39 | ) | (114.68 | ) | 135.77 | ||||||||||
Organization
and offering costs (1) (2)
|
− | (0.74 | ) | − | (2.25 | ) | ||||||||||
Net
asset value per unit at end of period
|
$ | 1,455.52 | $ | 1,442.99 | $ | 1,455.52 | $ | 1,442.99 |
Class
B Units
|
Three
Months Ended September 30,
|
Nine
Months Ended September 30,
|
||||||||||||||
2009
|
2008
|
2009
|
2008
|
|||||||||||||
(Unaudited)
|
(Unaudited)
|
|||||||||||||||
Per
Unit Performance
(for
unit outstanding throughout the entire period):
|
||||||||||||||||
Net
asset value per unit at beginning of period
|
$ | 1,241.55 | $ | 1,335.57 | $ | 1,358.47 | $ | 1,142.68 | ||||||||
Income
(loss) from operations:
|
||||||||||||||||
Net
realized and change in unrealized gain (loss) from trading, net of
non-controlling interests (1)
|
33.75 | (64.05 | ) | (38.04 | ) | 217.62 | ||||||||||
Expenses
net of interest income (1)
|
(22.84 | ) | (18.50 | ) | (67.97 | ) | (103.36 | ) | ||||||||
Total
income (loss) from operations
|
10.91 | (82.55 | ) | (106.01 | ) | 114.26 | ||||||||||
Organization
and offering costs (1) (2)
|
− | (1.92 | ) | − | (5.84 | ) | ||||||||||
Net
asset value per unit at end of period
|
$ | 1,252.46 | $ | 1,251.10 | $ | 1,252.46 | $ | 1,251.10 |
Legacy
1 Class Units
|
Three
Months Ended September 30,
|
Nine
Months Ended September 30,
|
||||||||||||||
2009
|
2008
|
2009
|
2008
|
|||||||||||||
(Unaudited)
|
(Unaudited)
|
|||||||||||||||
Per
Unit Performance
(for
unit outstanding throughout the entire period):
|
||||||||||||||||
Net
asset value per unit at beginning of period
|
$ | 969.46 | $ | − | $ | 1,000.00 | $ | − | ||||||||
Income
(loss) from operations:
|
||||||||||||||||
Net
realized and change in unrealized gain (loss) from trading, net of
non-controlling interests (1)
|
28.59 | − | 9.64 | − | ||||||||||||
Expenses
net of interest income (1)
|
(15.10 | ) | − | (26.69 | ) | − | ||||||||||
Total
income (loss) from operations
|
13.49 | − | (17.05 | ) | − | |||||||||||
Organization
and offering costs (1) (2)
|
− | − | − | − | ||||||||||||
Net
asset value per unit at end of period
|
$ | 982.95 | $ | − | $ | 982.95 | $ | − |
Legacy
2 Class Units
|
Three
Months Ended September 30,
|
Nine
Months Ended September 30,
|
||||||||||||||
2009
|
2008
|
2009
|
2008
|
|||||||||||||
(Unaudited)
|
(Unaudited)
|
|||||||||||||||
Per
Unit Performance
(for
unit outstanding throughout the entire period):
|
||||||||||||||||
Net
asset value per unit at beginning of period
|
$ | 968.64 | $ | − | $ | 1,000.00 | $ | − | ||||||||
Income
(loss) from operations:
|
||||||||||||||||
Net
realized and change in unrealized gain (loss) from trading
(1)
|
27.28 | − | 8.30 | − | ||||||||||||
Expenses
net of interest income (1)
|
(13.97 | ) | − | (26.35 | ) | − | ||||||||||
Total
income (loss) from operations
|
13.31 | − | (18.05 | ) | − | |||||||||||
Organization
and offering costs (1) (2)
|
− | − | − | − | ||||||||||||
Net
asset value per unit at end of period
|
$ | 981.95 | $ | − | $ | 981.95 | $ | − |
GAM
1 Class Units
|
Three
Months Ended September 30,
|
Nine
Months Ended September 30,
|
||||||||||||||
2009
|
2008
|
2009
|
2008
|
|||||||||||||
(Unaudited)
|
(Unaudited)
|
|||||||||||||||
Per
Unit Performance
(for
unit outstanding throughout the entire period):
|
||||||||||||||||
Net
asset value per unit at beginning of period
|
$ | 984.69 | $ | − | $ | 1,000.00 | $ | − | ||||||||
Income
(loss) from operations:
|
||||||||||||||||
Net
realized and change in unrealized gain (loss) from trading
(1)
|
24.23 | − | 21.96 | − | ||||||||||||
Expenses
net of interest income (1)
|
(14.18 | ) | − | (27.22 | ) | − | ||||||||||
Total
income (loss) from operations
|
10.05 | − | (5.26 | ) | − | |||||||||||
Organization
and offering costs (1) (2)
|
− | − | − | − | ||||||||||||
Net
asset value per unit at end of period
|
$ | 994.74 | $ | − | $ | 994.74 | $ | − |
GAM
2 Class Units
|
Three
Months Ended September 30,
|
Nine
Months Ended September 30,
|
||||||||||||||
2009
|
2008
|
2009
|
2008
|
|||||||||||||
(Unaudited)
|
(Unaudited)
|
|||||||||||||||
Per
Unit Performance
(for
unit outstanding throughout the entire period):
|
||||||||||||||||
Net
asset value per unit at beginning of period
|
$ | 983.73 | $ | − | $ | 1,000.00 | $ | − | ||||||||
Income
(loss) from operations:
|
||||||||||||||||
Net
realized and change in unrealized gain (loss) from trading
(1)
|
25.66 | − | 23.40 | − | ||||||||||||
Expenses
net of interest income (1)
|
(16.85 | ) | − | (30.86 | ) | − | ||||||||||
Total
income (loss) from operations
|
8.81 | − | (7.46 | ) | − | |||||||||||
Organization
and offering costs (1) (2)
|
− | − | − | − | ||||||||||||
Net
asset value per unit at end of period
|
$ | 992.54 | $ | − | $ | 992.54 | $ | − |
GAM
3 Class Units
|
Three
Months Ended September 30,
|
Nine
Months Ended September 30,
|
||||||||||||||
2009
|
2008
|
2009
|
2008
|
|||||||||||||
(Unaudited)
|
(Unaudited)
|
|||||||||||||||
Per
Unit Performance
(for
unit outstanding throughout the entire period):
|
||||||||||||||||
Net
asset value per unit at beginning of period
|
$ | 977.75 | $ | − | $ | 1,000.00 | $ | − | ||||||||
Income
(loss) from operations:
|
||||||||||||||||
Net
realized and change in unrealized gain (loss) from trading
(1)
|
25.94 | − | 22.71 | − | ||||||||||||
Expenses
net of interest income (1)
|
(21.47 | ) | − | (40.49 | ) | − | ||||||||||
Total
income (loss) from operations
|
4.47 | − | (17.78 | ) | − | |||||||||||
Organization
and offering costs (1) (2)
|
− | − | − | − | ||||||||||||
Net
asset value per unit at end of period
|
$ | 982.22 | $ | − | $ | 982.22 | $ | − |
____________
(1)
|
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. The net realized and change in unrealized
gain from trading, net of non-controlling interests is a balancing amount
necessary to reconcile the change in net asset value per unit with the
other per unit information.
|
|
(2)
|
See
Note 1 – Nature of Business and Significant Accounting Policies -
Organization and Offering Costs for an explanation of the change in
accounting policy relating to organization and offering
costs.
|
Note
10. Trading Activities and Related Risks
The
Partnership, through its Advisors, 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 fair 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 three and nine months ended
September 30, 2009 and 2008, are reflected in the consolidated 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 fair 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 contracts there is a credit
risk that a counterparty will not be able to meet its obligations to the
Partnership. The counterparty for futures and options on futures
contracts traded in the United States and on most non-U.S. futures exchanges is
the clearinghouse associated with such exchange. In general,
clearinghouses are backed by the 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
in the foreign
exchange market, 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
(exchange-traded)
|
Forward
Contracts
(non-exchange-traded)
|
Option
Contracts
(exchange-traded)
|
Total
|
|||||||||||||||||||||||||||||
September
30, 2009
|
December
31, 2008
|
September
30, 2009
|
December 31,
2008
|
September
30, 2009
|
December 31,
2008
|
September
30, 2009
|
December
31, 2008
|
|||||||||||||||||||||||||
Gross
unrealized gains
|
$ | 45,423,342 | $ | 27,066,816 | $ | 10,339,841 | $ | 1,785,615 | $ | 152,070 | $ | – | $ | 55,915,253 | $ | 28,852,431 | ||||||||||||||||
Gross
unrealized (losses)
|
(24,985,747 | ) | (20,463,377 | ) | (7,330,221 | ) | (3,178,823 | ) | (12,620 | ) | – | (32,328,588 | ) | (23,642,200 | ) | |||||||||||||||||
Net
unrealized gain (loss)
|
$ | 20,437,595 | $ | 6,603,439 | $ | 3,009,620 | $ | (1,393,208 | ) | $ | 139,450 | $ | – | $ | 23,586,665 | $ | 5,210,231 |
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 fair value of their respective investments and, in
certain specific circumstances, distributions and redemptions
received.
Note
11. Derivative Instruments and Hedging Activities
The Partnership adopted the provisions
of FASB ASC 815, Derivatives
and Hedging, effective January 1, 2009. FASB ASC 815 is
intended to improve transparency in financial reporting by requiring enhanced
disclosures of an entity’s derivative instruments and hedging activities and
their effects on the entity’s financial position, financial performance, and
cash flows. FASB ASC 815 applies to all derivative instruments within
the scope of FASB ASC 815-10-05. It also applies to non-derivative
hedging instruments and all hedged items designated and qualifying as hedges
under FASB ASC 815-10-05. FASB ASC 815 amends the current qualitative
and quantitative disclosure requirements for derivative instruments and hedging
activities set forth in FASB ASC 815-10-05 and generally increases the level of
disaggregation that will be required in an entity’s financial
statements. FASB ASC 815 requires qualitative disclosures about
objectives and strategies for using derivatives, quantitative disclosures about
fair value amounts of gains and losses on derivative instruments, and
disclosures about credit-risk related contingent features in derivative
agreements.
The
Partnership’s business is speculative trading. The Partnership does
not designate any derivative instruments as hedging instruments under FASB ASC
815-10-05. For the three and nine months ended September 30, 2009,
the monthly average futures contracts bought and sold was approximately 3,713
and 3,448, respectively and 2,925 and 2,819, respectively. The
following tables summarize the quantitative information required by FASB ASC
815:
Fair
Values of Derivative Instruments
|
|||||||||||||
Asset
Derivatives*
September
30, 2009
|
Liability
Derivatives*
September
30, 2009
|
Fair
Value
|
Statement
of Financial Position Location
|
||||||||||
Currencies
contracts
|
$ | 9,129,921 | $ | - | $ | 9,129,921 |
Unrealized
gain (loss) on open contracts, net
|
||||||
Energy
contracts
|
- | (1,888,705 | ) | (1,888,705 | ) |
Unrealized
gain (loss) on open contracts, net
|
|||||||
Grains
contracts
|
166,701 | - | 166,701 |
Unrealized
gain (loss) on open contracts, net
|
|||||||||
Interest
rates contracts
|
8,464,646 | - | 8,464,646 |
Unrealized
gain (loss) on open contracts, net
|
|||||||||
Meats
contracts
|
- | (130,784 | ) | (130,784 | ) |
Unrealized
gain (loss) on open contracts, net
|
|||||||
Metals
contracts
|
3,339,283 | - | 3,339,283 |
Unrealized
gain (loss) on open contracts, net
|
|||||||||
Soft
commodities contracts
|
3,101,283 | - | 3,101,283 |
Unrealized
gain (loss) on open contracts, net
|
|||||||||
Stock
indices contracts
|
1,404,320 | - | 1,404,320 |
Unrealized
gain (loss) on open contracts, net
|
|||||||||
$ | 25,606,154 | $ | (2,019,489 | ) | $ | 23,586,665 |
Unrealized
gain (loss) on open contracts,
net
|
____________
*
|
The
fair values of all asset and liability derivatives, including currencies,
energy, grains, interest rates, meats, metals, soft commodities and stock
indices contracts, are included in equity in broker trading accounts in
the consolidated statement of financial
condition.
|
The
Effect of Derivative Instruments on the Consolidated Statement of Operations for
the Three and Nine Months Ended September 30, 2009
Type of contract
|
Location of Gain or Loss in Consolidated Statement
of Operations
|
Three Months Ended September 30,
2009
|
Nine Months Ended September 30,
2009
|
||||||
Currencies
contracts
|
Realized
and Change in unrealized gains (losses) on trading
|
$ | 7,980,966 | $ | 2,351,805 | ||||
Energy
contracts
|
Realized
and Change in unrealized gains (losses) on trading
|
(194,169 | ) | (10,170,185 | ) | ||||
Grains
contracts
|
Realized
and Change in unrealized gains (losses) on trading
|
(1,677,061 | ) | (1,971,252 | ) | ||||
Interest
rates contracts
|
Realized
and Change in unrealized gains (losses) on trading
|
3,893,281 | (9,101,749 | ) | |||||
Meats
contracts
|
Realized
and Change in unrealized gains (losses) on trading
|
(835,869 | ) | 254,249 | |||||
Metals
contracts
|
Realized
and Change in unrealized gains (losses) on trading
|
2,563,619 | 1,046,167 | ||||||
Softs
commodities contracts
|
Realized
and Change in unrealized gains (losses) on trading
|
4,470,511 | (3,963,060 | ) | |||||
Stock
indices contracts
|
Realized
and Change in unrealized gains (losses) on trading
|
9,529,574 | 7,656,197 | ||||||
Realized
and Change in unrealized gains (losses) on trading
|
$ | 25,730,852 | $ | (13,897,828 | ) |
Line Item in Consolidated Statement of
Operations
|
Three Months Ended September 30,
2009
|
Nine Months Ended September 30,
2009
|
||||||
Realized
|
$ | 1,845,064 | $ | (32,650,299 | ) | |||
Change
in unrealized
|
23,885,788 | 18,752,471 | ||||||
$ | 25,730,852 | $ | (13,897,828 | ) |
Note
12. Indemnifications
In the
normal course of business, the Partnership enters into contracts and agreements
that contain a variety of representations and warranties and which provide
general indemnifications. The Partnership’s maximum exposure under
these arrangements is unknown, as this would involve future claims that may be
made against the Partnership that have not yet occurred. The
Partnership expects the risk of any future obligation under these
indemnifications to be remote.
Note
13. Subsequent Events
Management
of the Partnership evaluated subsequent events through November 16, 2009, the
date these financial statements were issued. From October 1, 2009 to
November 16, 2009, there were aggregate contributions to and redemptions from
the Partnership totaling approximately $17,688,000 and $0,
respectively.
Introduction
Grant
Park Futures Fund Limited Partnership (“Grant Park”) is a multi-advisor
commodity pool organized to pool assets of its investors for purposes of
investing those assets in U.S. in the foreign exchange market and international
commodity futures and forward contracts and other commodity interests, including
options contracts on futures, forwards and commodities, spot contracts, swap
contracts in the foreign exchange market 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.
Reorganization
of Grant Park
As a result of recent changes in the
rules and regulations of the Financial Industry Regulatory Authority (“FINRA”)
affecting commodity pools, the general partner has made certain changes to the
organization of Grant Park, including the creation of additional classes of
units, and the termination of the offering and sale of any new Class A and Class
B units during the first quarter of 2009.
As part of the reorganization, and
effective April 1, 2009, Grant Park invests through different commodity trading
advisors retained by the general partner. However, instead of each
trading advisor maintaining a separate account in the name of Grant Park, as was
historically the case, the assets of Grant Park are invested in various trading
companies, each of which is organized as a limited liability
company. Each trading company will then allocate its assets to one of
the commodity trading advisors retained by the general partner.
Additionally,
a separate cash management multiple member limited liability company was created
to collectively manage and invest excess cash not required to be held at the
clearing brokers for each individual trading advisor. Effectively,
this new structure segregates and isolates one trading advisor from another,
reducing cross liabilities of the trading advisors. The
reorganization was completed at no additional cost to the limited
partners.
Grant
Park invests through independent professional commodity trading advisors
retained by the general partner. Rabar Market Research, Inc.
(“Rabar”), EMC Capital Management, Inc. (“EMC”), Eckhardt Trading Company
(“ETC”), Graham Capital Management, L.P. (“Graham”), Winton Capital Management
Limited (“Winton”), Welton Investment Corporation (“Welton”), Global Advisors
L.P. (“Global Advisors”), Transtrend B.V. (“Transtrend”), Quantitative
Investment Management LLC (“QIM”), and Revolution Capital Management, LLC
(“RCM”), serve as Grant Park’s commodity trading advisors. Each of
the trading advisors is registered as a commodity trading advisor under the
Commodity Exchange Act and is a member of the NFA. As of September
30, 2009, the general partner allocated Grant Park’s net assets among its core
trading advisors EMC, Winton and Welton and non-core trading advisors Rabar,
ETC, Graham, Global Advisors, Transtrend, QIM and RCM. No more than
twenty percent of Grant Park’s assets are allocated to any one trading
advisor. The general partner may terminate or replace the trading
advisors or retain additional trading advisors in its sole
discretion.
Through
December 31, 2008 a portion of Grant Park’s net assets was allocated to Winton
through the Dearborn Select Master Fund, SPC – Winton Segregated Portfolio –
Class GP (the “GP Class”). Dearborn Select Master Fund, SPC
(“Dearborn Select”) was incorporated under the laws of the Cayman Islands on
April 7, 2006 and is a private investment fund organized as a segregated
portfolio company with limited liability. The GP Class allocated the
assets invested by Grant Park to Winton through one or more managed accounts,
traded pursuant to Winton’s Diversified Program. Grant Park owned all
of the outstanding Class GP units of the GP Class. The general
partner of Grant Park was also the Investment Manager of Dearborn
Select. As of December 31, 2008, the investment in the GP Class was
redeemed and is shown on the statement of financial condition as a redemption
receivable.
Effective
January 1, 2009, the portion of Grant Park’s net assets allocated to the GP
Class was reallocated to one of Grant Park’s trading companies, GP 1, LLC (“GP
1”), a Delaware limited liability company. GP 1 allocates assets to
Winton to be traded pursuant to Winton’s Diversified Program. There
have been no changes to the existing clearing broker arrangements/brokerage
charge and no material changes to the other fees and expenses allocated to Grant
Park as a result of this reallocation.
Effective
April 1, 2009, in addition to the assets allocated by Grant Park to GP 1, Grant
Park allocates assets to each of its following subsidiary limited liability
trading companies (each a Trading Company and collectively, the “Trading
Companies”):
GP 3, LLC
(“GP
3”) GP
8, LLC (“GP 8”)
GP 4, LLC
(“GP
4”) GP
9, LLC (“GP 9”)
GP 5, LLC
(“GP
5”) GP
10, LLC (“GP 10”)
GP 6, LLC
(“GP
6”) GP
11, LLC (“GP 11”)
GP 7, LLC
(“GP 7”)
Critical
Accounting Policies
Grant
Park’s critical accounting policies are valuation of its assets and
consolidation of its financial statements. Grant Park’s critical accounting
policies are described in detail in Note 1 of the Financial
Statements.
Grant
Park’s most significant accounting policy is the valuation of its assets
invested in other commodity investment pools and in U.S. and international
futures and forward contracts, options contracts and other interests in
commodities. Grant Park primarily invests in 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.
Grant
Park’s consolidation of its financial statements was effective April 1,
2009. Trading Companies in which an individual Class has a
controlling or majority equity interest are consolidated by such
Class. Investments in Trading Companies in which a Class does not
have a controlling or majority equity interest are carried in the consolidated
statement of financial condition at fair value. Fair value represents
the proportionate share of the equity of a Class in a Trading Company and the
amount that could reasonably be expected to be received by that Class if the
investment was redeemed at the time of valuation. Each of the
Trading Companies has an investment in GP Cash Management, LLC but no one
Trading Company has a controlling or majority equity interest in GP Cash
Management, LLC. Thus, the Trading Companies carry their investments
in GP Cash Management, LLC at fair value and these investments are consolidated
by the Class that has a controlling or majority equity interest in the Trading
Companies.
All
revenues, expenses, assets and liabilities borne by a specific Class are
allocated to that Class in the consolidated financial statements. An
inter-class receivable is set up in the consolidated statement of financial
condition of GAM 1, GAM 2 and GAM 3 Class units which represents cash due from
Class A, Class B, Legacy 1 Class and Legacy 2 Class units. A
corresponding inter-class payable is shown in the consolidated statement of
financial condition of Class A, Class B, Legacy 1 Class and Legacy 2 Class units
which represents cash payable to GAM 1, GAM 2 and GAM 3 Class
units. This inter-class receivable/payable represents the portion of
GAM 1, GAM 2 and GAM 3 Class units’ cash that is invested in GP Cash Management,
LLC and is included in Class A, Class B, Legacy 1 Class and Legacy 2 Class
units’ financial statements. This inter-class receivable is used by
GAM 1, GAM 2 and GAM 3 Class units to cover their share of the brokerage
commission payable, accrued incentive fees payable, organization and offering
costs payable and accrued operating expenses payable.
The
consolidated financial statements of Class A, Class B, Legacy 1 Class and Legacy
2 Class units include the assets, liabilities and earnings of its majority-owned
Trading Companies, GP 1, GP 3, GP 4, GP 5, GP 6, GP 7, GP 8, GP 9, GP 10, and GP
11. Class A, Class B, Legacy 1 Class and Legacy 2 Class units pursue
a technical trend trading philosophy and are invested in the same Trading
Companies. These classes of units are grouped together in the
consolidated statement of financial condition and in the consolidated statement
of operations. Separate financial highlights are presented for each
of these classes in Note 9.
GAM 1,
GAM 2 and GAM 3 Class units generally pursue technical trend trading
philosophies, as well as pattern recognition philosophies focusing on relatively
shorter time frames than Class A, Class B, Legacy 1 Class and Legacy 2 Class
units so these Classes are grouped together in the consolidated statement of
financial condition and in the consolidated statement of
operations. GAM 1, GAM 2 and GAM 3 Class units are invested in GP 1,
GP 3, GP 4, GP 6, GP 7, GP 9 and GP 11 but do not have a controlling or majority
equity interest in these Trading Companies so their investments in these Trading
Companies are shown in the consolidated statement of financial condition as
Investment in unconsolidated trading companies. Separate financial
highlights are presented for each of these classes in Note 9.
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 does not
make any capital expenditures and does not have any 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 quarter ended September 30, 2009 was approximately
1.0% for the Class A units, 0.9% for the Class B units, 1.4% for the Legacy 1
Class units, and 1.4% for the Legacy 2 Class units, 1.0% for the GAM 1 Class
units, 0.9% for the GAM 2 Class units, and 0.5% for the GAM 3 Class
units. The net asset value at September 30, 2009 was approximately
$836.3 million, at December 31, 2008 was approximately $643.6 million and at
September 30, 2008 was approximately $565.8 million.
The table
below sets forth Class A, Class B, Legacy 1 Class and Legacy 2 Class trading
gains or losses by sector for the three and nine month periods ended September
30, 2009 and 2008, which include the investment in the GP Class for the three
and nine month periods ended September 30, 2008. The Legacy 1 Class
and Legacy 2 Class units began trading on April 1, 2009.
%
Gain (Loss)
|
||||||||||||||||
Class
A, Class
B,
Legacy
1 Class
&
Legacy
2 Class
|
Class
A, Class B
|
Class
A, Class B,
Legacy
1 Class &
Legacy
2 Class
|
Class
A, Class B
|
|||||||||||||
Three
Months Ended September 30,
|
Nine
Months ended September 30,
|
|||||||||||||||
Sector
|
2009
|
2008
|
2009
|
2008
|
||||||||||||
Interest
Rates
|
0.3 | % | 0.7 | % | (3.0 | )% | 3.7 | % | ||||||||
Currencies
|
0.9 | (2.8 | ) | 0.1 | (0.4 | ) | ||||||||||
Stock
Indices
|
2.6 | 2.4 | 3.6 | 2.3 | ||||||||||||
Energy
|
(2.0 | ) | (2.2 | ) | (2.3 | ) | 6.9 | |||||||||
Agriculturals
|
− | (1.6 | ) | − | 2.8 | |||||||||||
Metals
|
0.9 | (0.6 | ) | − | 2.1 | |||||||||||
Softs
|
0.4 | (0.5 | ) | (0.1 | ) | 1.0 | ||||||||||
Meats
|
− | (0.2 | ) | − | 0.1 | |||||||||||
Total
|
3.1 | % | (4.8 | )% | (1.7 | )% | 18.5 | % |
The table
below sets forth GAM 1 Class, GAM 2 Class and GAM 3 Class trading gains or
losses by sector for the three and nine month periods ended September 30, 2009
and 2008. The GAM 1 Class, GAM 2 Class and GAM 3 Class units began
trading on April 1, 2009.
%
Gain (Loss)
|
||||||||||||||||
GAM
1 Class, GAM 2 Class &
GAM
3 Class
|
GAM
1 Class, GAM 2 Class &
GAM
3 Class
|
|||||||||||||||
Three
Months Ended September 30,
|
Nine
Months Ended September 30,
|
|||||||||||||||
Sector
|
2009
|
2008
|
2009
|
2008
|
||||||||||||
Interest
Rates
|
0.1 | % | N/A | (2.6 | ) | N/A | ||||||||||
Currencies
|
0.3 | N/A | 0.5 | N/A | ||||||||||||
Stock
Indices
|
3.9 | N/A | 7.4 | N/A | ||||||||||||
Energy
|
(2.7 | ) | N/A | (3.2 | ) | N/A | ||||||||||
Agriculturals
|
− | N/A | − | N/A | ||||||||||||
Metals
|
0.8 | N/A | 0.4 | N/A | ||||||||||||
Softs
|
0.3 | N/A | 0.5 | N/A | ||||||||||||
Meats
|
− | N/A | − | N/A | ||||||||||||
Total
|
2.7 | % | N/A | 3.0 | % | N/A |
Three
months ended September 30, 2009 compared to three months ended September 30,
2008
For the
three months ended September 30, 2009, Grant Park had a positive return of
approximately 1.0% for the Class A units, 0.9% for the Class B units, 1.4% for
the Legacy 1 Class units, 1.4% for the Legacy 2 Class units, 1.0% for the GAM 1
Class units, 0.9% for the GAM 2 Class units, and 0.5% for the GAM 3 Class
units. On a combined unit basis for Class A, Class B, Legacy 1 Class
and Legacy 2 Class units prior to expenses, approximately 3.1% resulted from
trading gains which were further increased by 0.1% of interest
income. These gains were offset by approximately 2.3% in brokerage
fees, performance fees and operating and offering costs borne by Class A, Class
B, Legacy 1 Class and Legacy 2 Class units. On a combined unit basis
for GAM 1 Class, GAM 2 Class and GAM 3 Class units prior to expenses,
approximately 2.7% resulted from trading gains which were further increased by
0.1% of interest income. These gains were offset by approximately
2.2% in brokerage fees, performance fees and operating and offering costs borne
by GAM 1 Class, GAM 2 Class and GAM 3 Class units. For the same
period in 2008, Grant Park had a negative return of approximately 6.1% for the
Class A units and 6.3% for the Class B units. On a combined unit
basis for Class A and Class B units prior to expenses, approximately 4.8%
resulted from trading losses which were offset by 0.6% of interest
income. The trading losses were further increased by approximately
2.1% in brokerage fees, performance fees and operating and offering costs borne
by Class A and Class B units.
Nine
months ended September 30, 2009 compared to nine months ended September 30,
2008
For the
nine months ended September 30, 2009, Grant Park had a negative return of
approximately 7.3% for the Class A units, 7.8% for the Class B units, 1.7% for
the Legacy 1 Class units, 1.8% for the Legacy 2 Class units, 0.5% for the GAM 1
Class units, 0.8% for the GAM 2 Class units, and 1.8% for the GAM 3 Class
units. On a combined unit basis for Class A, Class B, Legacy 1 Class
and Legacy 2 Class units prior to expenses, approximately 1.7 % resulted from
trading losses which were offset by 0.7% of interest income. The
trading losses were further increased by approximately 6.8% in brokerage fees,
performance fees and operating and offering costs borne by Class A, Class B,
Legacy 1 Class and Legacy 2 Class units. On a combined unit basis for
GAM 1 Class, GAM 2 Class and GAM 3 Class units prior to expenses, approximately
3.0% resulted from trading gains which were further increased by 0.4% of
interest income. These gains were offset by approximately 4.7% in
brokerage fees, performance fees and operating and offering costs borne by GAM 1
Class, GAM 2 Class and GAM 3 Class units. For the same period in
2008, Grant Park had a positive return of approximately 10.2% for the Class A
units and 9.5% for the Class B units. On a combined unit basis for
Class A and Class B units prior to expenses, approximately 18.5% resulted from
trading gains and 2.2% was due to interest income. These gains were
offset by approximately 11.1% in brokerage fees, performance fees and operating
and offering costs borne by Class A and Class B units.
Three
months ended September 30, 2009
Grains
prices generally declined in the third quarter under heavy pressure from bearish
weather fundamentals. Anticipating a record-breaking harvest for 2009
speculators drove the price of corn, wheat, and soybeans sharply lower
throughout the quarter. In the softs markets, sugar prices rallied in
excess of 40% as a result of supply concerns from Brazil and
India. In the livestock markets, lean hogs prices declined as the
ongoing global economic slowdown weighed heavily on demand.
The U.S.
dollar experienced volatility in the third quarter. Strong upward
moves in the global equity markets in July led to increased risk appetite among
investors, boding well for higher-yielding currencies such as the Australian and
New Zealand dollars. Sideways movement in the equity markets in
August produced a shift in investor sentiment, which in turn impacted investor
risk appetite. Safe-haven currencies such as the Japanese yen
strengthened against major counterparts, as investors adopted a more
conservative risk profile. Uncertainty continued into September
driving the Japanese yen steadily higher against counterparts.
Elevated
U.S. crude oil and natural gas inventories led to sharp declines in the energy
markets in July. Also contributing to declining prices in the energy
sector were forecasts of weak industrial demand. In late-July
weakness in the U.S. dollar prompted a rally in the crude oil markets, lifting
prices in excess of $20 per barrel over previous lows. In the natural
gas markets, bearish supply fundamentals kept prices on a steady downtrend
through the end of August. In September, declining supplies coupled
with forecasts of upcoming cold weather in the U.S. caused a sharp retracement,
sending natural gas prices sharply higher through the end of the third
quarter.
Signs
that the global economy may be improving benefitted the equity
markets. In July, better-than-expected second-quarter corporate
earnings reports from several key North American and European firms resulted in
strong gains in the equity markets. Also contributing to the uptrend
in equities were a number of positive economic indicators including improving
unemployment and industrial manufacturing data. In August, European
and North American markets continued their uptrend as improving economic data
continued. In China equity markets fell sharply because of potential
Chinese legislation that would tighten lending requirements for the Chinese
economy.
Global
fixed income markets generally moved contrary to the equity markets in
July. U.S. Treasury markets moved sharply lower early in the quarter
as investors liquidated debt positions for riskier assets. In August,
European fixed-income markets reversed, benefitting from short-term volatility
in the equity markets. In Great Britain, reports of a record high
budget deficit weighed heavily on the UK debt markets, moving prices
lower. Japanese debt markets also declined in August as speculators
believed that the newly elected Japanese government would be increasing debt
sales in the near future. In September, U.S. fixed-income markets
climbed as short-term swings in equity prices fostered predictions that U.S.
interest rates would remain unchanged through the end of 2009.
Early in
the quarter, gold prices rallied sharply in response to weakness in the U.S.
dollar. Investors attempting to hedge inflation risk drove gold
prices above $950 per troy ounce. Prices in the base metals markets
also rallied sharply in the beginning of the third quarter. Prices
rose as investors viewed rising equity prices as a sign that industrial demand
may be improving. Near quarter-end, weaker-than-expected economic
data weakened demand forecasts driving industrial metals prices
lower. The downward shifts in investor sentiment had the biggest
impact on the LME nickel markets, which declined nearly 6% in
September. Gold, however, was able to maintain the majority of its
third quarter gains as investors seeking safer investments drove prices higher
in the last few weeks of September.
Nine
months ended September 30, 2009
Key
trading developments for Grant Park during the first nine months of 2009 include
the following:
Grant
Park recorded losses in the month of January. Class A units were down
0.91% and Class B units were down 0.98%. The bulk of setbacks came
from long positions in the fixed income markets. Uncertainty
regarding the details of President Barack Obama’s stimulus package caused a
sector wide downtrend in the U.S. debt markets impacting
performance. Long positions in the international fixed income markets
also registered setbacks for Grant Park. These losses resulted from
speculation of future increased debt supply in the Asian and European markets
caused by government bailout activity. Setbacks in the agricultural
markets stemmed from adverse price moves in the softs
markets. Increased buying in the coffee markets by large commodity
funds drove prices up in excess of 5% against positions. Short
positions in the grains markets, however, were able to partially offset sector
losses. Short corn and soybean positions registered gains as a
drought in Argentina’s key farming region put pressure on
prices. Positions in the Australasian currency markets accounted for
the bulk of sector losses during January. Early in the month, long
positions in the Australian dollar experienced setbacks as poor economic data
from the region weakened the currency. Declines in the New Zealand
dollar further drew on performance. After a reduction of New
Zealand’s foreign currency rating by Standard and Poors, investors began to
liquidate New Zealand based holdings driving the currency
downwards. The portfolio returned modest profits in the metals
markets this past month. Short positions in the aluminum markets
performed well as slowing industrial production caused a decline in demand,
driving prices lower. Also adding to profits was a 5% increase in the
price of gold which moved alongside Grant Park’s long
positions. Gains in the energy markets predominantly came from short
positions in the natural gas markets. The price of natural gas fell
steadily throughout January, despite cold weather across the
U.S. Historically, cold weather has driven the price of natural gas
higher. However last month, the demand for natural gas diminished due
to the global economic slowdown. Grant Park performed particularly
well in the equity indices markets throughout January. Short
positions made gains as prices across the global equity markets
declined. Uncertainty about government bailouts, both domestically
and abroad, coupled with poor earnings reports from a number of large financial
institutions put substantial pressure on the markets driving share prices
lower. Among the top performers in the sector were short positions in
the S&P 500, S&P Canada, and Italian MIB indices.
Grant
Park recorded losses in February. Class A units were down 0.80% and
Class B units were down 0.88%. The losses in Grant Park were
predominantly in the currency sector. Long positions in the Japanese
yen created losses as the currency dipped against the U.S.
dollar. The decline in the value of the yen was probably caused by
sharp declines in the Japanese stock market and by a decrease in demand for
Japanese exports. Long positions in the fixed income markets also had
minor losses this month and were primarily attributed to Grant Park’s positions
in the short-term domestic and international interest rate
markets. U.S. Government stimulus activity increased the debt supply
and caused prices to fall, against Grant Park’s positions. The long positions in
the Eurodollar, short sterling, and Australian bills markets were among the
least profitable positions. Mixed positions in the metals sector
registered setbacks for February. Gold prices nearly reached all-time highs
early in February but declined sharply against Grant Park’s long positions at
month-end. Increased strength in the U.S. dollar and profit-taking by traders
were the likely causes of the sell off. Performance in the energy
market was slightly positive in February. Short positions in the
natural gas markets made gains as a 9% price decrease moved alongside Grant
Park’s positions. Those gains were partially offset by losses on
short positions in unleaded gas and crude oil. Solid gains in the
equity indices markets helped offset losses during February. Grant
Park’s short positions in the S&P 500 posted profits as investors liquidated
equity positions, partially driven by data showing a contraction in the U.S.
economy and by ongoing turmoil in the banking sector. In the Asian
markets, short positions in the Japanese Nikkei 225 and Hong Kong Hang Seng
indices benefited from price declines caused by weak export data and the
region’s ailing financial sector. Grant Park’s short agricultural
positions finished positive for February. Short positions in corn and
lean hogs earned profits as the global recession weighed on demand and
prices. Short positions in the cotton markets were profitable, as
cotton prices fell because of reduced demand for cotton in the U.S. textile
sector.
Grant
Park recorded losses in March. Class A units were down 3.26% and
Class B units were down 3.33%. Global equity indices rallied against
short positions, posting setbacks for the portfolio. Improved
investor confidence resulted in price increases in nearly all North American,
European, and Asian equity indices. The unveiling of the U.S.
Treasury’s initiative to buy toxic assets from ailing institutions was a major
driver in boosting investor sentiment. Prices in the grains and softs
markets moved upwards against Grant Park’s short positions, resulting in
losses. Soybean prices moved higher as tensions between the Argentine
government and local soybean farmers fostered supply concerns. In the
softs markets, speculators drove prices upwards against positions on beliefs
that increased U.S. government activity in the Treasury markets would put
pressure on the U. S. dollar. Sharp price movements in the currency
markets hindered performance throughout March. A strong uptrend in
the euro moved against our short positions early in the month as a result of a
weakening dollar. As Grant Park’s euro positions reversed to long
near month-end, the euro underwent a sharp decline, resulting in
losses. An improved outlook on the global economy drove base metals
prices upwards against short positions. Speculators bid up industrial
metals on beliefs that a more stable global marketplace would result in
increased industrial production. Short positions in copper, aluminum,
and lead had the biggest impact on performance. Our positions in the
energy markets posted mixed results, but still finished slightly lower last
month. A steady rally in crude oil was supported by supply decreases
in the sector and moved against Grant Park’s short positions. Losses
in the energy markets were partially offset by short positions in natural
gas. An announced surplus of natural gas spurred speculative selling,
moving the price of natural gas 11% lower for March. Grant Park
registered solid gains in the fixed income markets. Long eurodollar
and euribor positions accounted for the
bulk of
gains. Decreased lending in the financial sector put pressure on
short-term yields, which supported prices in the short-term debt
markets. Our positions in the longer-term markets also added to
profits. Long UK gilt and German Bund positions made gains as
European governments bid up the fixed income markets with quantitative easing
initiatives.
Grant
Park recorded losses in April. Class A units were down 1.73%, Class B
units were down 1.78%, Legacy 1 Class units were down 1.59%, Legacy 2 Class
units were down 1.61%, GAM 1 Class units were down 0.28%, GAM 2 Class units were
down 0.30% and GAM 3 Class units were down 0.44%. Grant Park’s short
positions in the grains markets registered profits. Strength in the U.S. dollar
drove corn and wheat prices lower alongside positions. Depressed demand caused
increased grain inventories which furthered the price decline. Grant Park
finished slightly lower in the in the currency markets for April. Losses on
established-currency positions accounted for the majority of setbacks. Long
positions in the Australian dollar partially offset sector losses as increased
demand for higher yielding currencies moved markets higher. Mixed
performance in the energy markets resulted in flat performance for the month.
Short crude oil positions posted losses as strength in the equity markets moved
prices higher. Losses in the sector were offset by profits made on short natural
gas positions. Forecasts for ongoing weak demand and elevated inventories caused
speculative selling, driving natural gas prices down. The portfolio
registered strong gains in the equity markets. Grant Park’s models took
advantage of a number of reversals in Asian and Australian markets. Positions in
the Hong Kong Hang Seng, Australian SPI, and Japanese Nikkei indices accounted
for the majority of sector profits. Long positions in the
fixed-income sector resulted in losses. Optimism about the future of the global
economy moved global equity markets higher, putting pressure on the debt
markets. Changes regarding government stimulus and quantitative easing
initiatives also played a role in driving fixed-income markets
lower. A rally in industrial metals resulted in setbacks for the
portfolio’s short positions. Speculators drove prices on base metals up on
beliefs that an improving global economy could result in increased industrial
production. Short positions in the gold market registered losses as increased
demand held prices at high levels.
Grant
Park recorded gains in the month of May. Class A units were up 1.64%,
Class B units were up 1.58%, Legacy 1 Class units were up 1.66%, Legacy 2 Class
units were up 1.62%, GAM 1 Class units were up 2.02%, GAM 2 Class units were up
1.97% and GAM 3 Class units were up 1.77%. Grains prices rallied on
weak supply forecasts due to poor weather conditions in the Midwestern
U.S. A devaluing of the U.S. dollar also played a major role in
driving grains prices higher. Prices on lean hogs declined in May as
a result of soft demand in the livestock markets. The U.S. dollar
declined sharply against counterparts as increased risk appetite in foreign
markets spurred mass liquidations. Indications of economic recovery
incited investment in higher-yielding currencies, moving the Japanese yen and
Australian dollar higher for May. Crude oil markets moved higher as a
weak U.S. dollar drove prices up. Adding to crude oil’s rally were
supply concerns stemming from declining inventories and ongoing rebel attacks on
West African oil production facilities. Improved investor sentiment
sent most major equity indices higher last month. A number of
positive global economic indicators, including increased U.S. consumer
confidence and strong Japanese industrial production, prompted sidelined
investors to re-enter the equity markets. The U.S. Treasury markets
declined sharply in May as speculators forecasted increased supply in the debt
markets. Speculators in the fixed income markets liquidated
positions, anticipating that the U.S. government will increase debt issuance to
offset the current budget deficit. Benefitting from the devaluing of
the U.S. dollar, the precious metals markets underwent a strong uptrend
throughout May. Commodities investors, attempting to hedge long
dollar positions, drove the gold markets up in excess of 9% during the
month.
Grant
Park recorded losses in the month of June. Class A units were down
3.41%, Class B units were down 3.46%, Legacy 1 Class units were down 3.10%,
Legacy 2 Class units were down 3.12%, GAM Class 1 units were down 3.21%, GAM
Class 2 units were down 3.24% and GAM Class 3 units were down
3.49%. Grains prices generally declined in June. The corn
and wheat markets were among the biggest movers as prices declined nearly 20%
from recent highs. In the softs markets, sugar underwent a steady
rally following increasing demand caused by weakness in the U.S.
dollar. Liquidations across various emerging market currencies were
caused by forecasts of a prolonged global economic recovery. Weak
economic data, including weaker-than-expected U.S. unemployment figures, led to
declines in higher-yielding currencies such as the Australian and New Zealand
dollars against the U.S. dollar. Crude oil prices rose sharply to
reach six-month highs. Supply concerns stemming from violence against
Nigerian oil facilities served as a main driver behind crude oil’s
rally. Prices in the natural gas markets declined in June as poor
prospects for rapid economic growth weighed on demand
forecasts. Domestic and global equity markets underwent a volatile
month before finishing slightly lower for June. Uncertainty caused by
both strong and weak economic data was the main driver behind declines in most
major North American, European, and Asian equity indices. Despite
intra-month movement, U.S. fixed-income products finished June nearly
unchanged. Speculators bid up the debt markets on forecasts of
possible interest rate hikes, only to liquidate positions by month-end following
weak economic data. Gold prices declined in June as a result of a
stronger U.S. dollar and liquidations from large commodity
funds. Over-exaggerated inflation projections caused commodity funds
to liquidate inflation-hedging gold positions.
Grant
Park recorded losses in the month of July. Class A units were down
1.26%, Class B units were down 1.32%, Legacy 1 Class units were down 1.08%,
Legacy 2 Class units were down 1.09%, GAM Class 1 units were down 1.26%, GAM
Class 2 units were down 1.28% and GAM Class 3 units were down
1.43%. Soybean prices declined in July as a result of optimal weather
in the Midwestern United States and technical selling by large commodity
funds. In the softs markets, tight supply forecasts drove sugar
prices to multi-year highs. The U.S. dollar declined
against most counterparts in July. Signs of economic recovery and
strong moves in the global equity markets supported higher-yielding currencies
such as the Australian dollar. Elevated inventories in
the energy
markets
led to a decline across the sector. Speculators liquidated positions
on beliefs that higher inventory levels were a sign of ongoing weak demand for
energy products. Strong corporate
earnings resulted in solid gains in the global equity markets last
month. Improvement in a number of global economic indicators also
played a major role in moving prices higher. A surge in investor risk
appetite caused prices in the fixed-income markets to decline in
July. Investors liquidated debt positions on speculation that the
global recession may be abating. Gold markets rallied in July in
response to a weak U.S. dollar. In the base metals markets,
better-than-expected housing starts for June led to strong gains in the copper
markets. An improvement in the U.S. growth report also added to the
rally in base metals.
Grant
Park recorded gains in the month of August. Class A units were up
1.15%, Class B units were up 1.09%, Legacy 1 Class units were up 1.27%, Legacy 2
Class units were up 1.26%, GAM 1 Class units were up 1.11%, GAM 2 Class units
were up 1.09% and GAM 3 Class units were up 0.94%. Grains prices
generally declined in August. Optimal weather in major U.S. farming
regions supported views of future elevated supply, moving markets
lower. In the softs markets, sugar prices continued to climb as a
result of weak supply forecasts from Brazil and India. The Japanese yen and
U.S. dollar rallied against many emerging currencies as volatility in the equity
markets prompted investors to liquidate riskier assets. The British
pound weakened against most currencies as reports showed declining UK home
prices in July. Elevated U.S. energy
inventories led to declines in the natural gas markets throughout
August. Also adding to the decline in natural gas was speculation
that industrial demand would remain low until the global recession
abated. Several reports containing bullish economic data drove
North American and European equity markets higher last month. In
China, equity markets declined as concerns over tighter lending restrictions
weighed on investor confidence. Weak investor confidence caused by
short-term declines in the equity markets supported fixed-income markets last
month. Increased demand during recent Treasury auctions also played a
role in moving debt markets higher. Base metals prices rallied in
response to weakness in the U.S. dollar. Improving industrial
production figures from Europe also supported the base metals
markets. Nickel markets were among the biggest movers in the sector,
moving more than 12% higher for the month.
Grant
Park recorded gains in the month of September. Class A units were up
1.17%, Class B units were up 1.12%, Legacy 1 Class units were up 1.21%, Legacy 2
Class units were up 1.21%, GAM 1 Class units were up 1.18%, GAM 2 Class units
were up 1.10% and GAM 3 Class units were up 0.96%. Wheat and soybean
prices declined throughout September as speculators forecasted a record-breaking
crop harvest for 2009. In the corn markets, cold weather fostered
supply concerns driving corn prices higher. The British pound
weakened against major currencies last month as the Bank of England released
comments stating that further quantitative easing may be in the near
future. In the U.S., renewed risk appetite among investors led to
declines in the U.S. dollar against major counterparts. After a
recent strong downtrend, the natural gas markets reversed sharply higher last
month. Weaker-than expected inventory data and cold weather in the
U.S. were the main drivers behind moves. Crude oil markets declined
as ongoing uncertainty regarding the global economy supported weak demand
forecasts. Equity
markets rallied as a result of an improved outlook for the global
economy. Signs of improving liquidity in the financial markets
and stronger economic indicators were the main drivers behind
moves. In Asia, Japanese equity markets fell as strength in the yen
put pressure on demand for Japanese exports. U.S. fixed-income
markets rallied last month as speculators believed interest rates would remain
unchanged in the near future. European debt instruments declined as
strong gains in the European equity markets prompted
liquidations. Gold prices moved higher last month as investors
attempted to hedge inflation caused by weakness in the U.S.
dollar. Base metals predominantly declined as a result of forecasts
of ongoing weak demand in the industrial sector.
Three
months ended September 30, 2008
Positions
in several emerging market currencies drove sector performance throughout the
third quarter of 2008. Long positions registered losses as the
Indonesian rupiah, Indian rupee, Hungarian forint, and Brazilian real declined
against the dollar. Moving against Grant Park’s positions, the U.S.
dollar strengthened as a result of the actions to bolster Fannie Mae and Freddie
Mac and mergers throughout the financial industry. The Australian
dollar weakened in response to the declining price of gold, one of the nation’s
key exports, resulting in additional setbacks.
Positions
in the energy markets posted losses for the quarter, driven by a 29% drop in the
price of crude oil. Market analysts attribute crude’s decline
to the U.S. dollar’s rising strength throughout the third quarter.
Weak
grains prices also weighed on performance. Technical factors were the
primary cause for the decline. The turmoil in the global equity
markets caused investors to liquidate positions across all commodities markets
in pursuit of safer investments. Improved weather conditions in the
Midwest contributed to the selloff, especially in the corn and soybeans markets
which experienced declines in excess of 35% and 33% respectively.
A strong
U.S. dollar put pressure on the metals markets, moving them against Grant Park’s
long positions. Reduced demand from Brazil, Russia, India, and China
(the BRIC nations) also played a major role in driving prices
downwards. The portfolio recouped setbacks as positions reversed in
early September following the downward trending markets.
Long
positions in the fixed income sector fared well this quarter due to the
volatility in the equity markets. Many speculators liquidated equity
holdings to seek safer investments in the fixed income sector, thereby moving
prices upwards. Positions in the U.S. Treasury and Japanese
Government Bond markets were among the most profitable in the
sector.
Grant
Park’s short positions in the domestic and international equity indices markets
performed particularly well in the third quarter. The collapse of
financial giants, including Fannie Mae and Freddie Mac, Lehman Brothers, and
Washington Mutual, sent share prices sharply down. Despite a slew of
plans for government intervention, both domestically and internationally,
investors fled from the equity markets driving prices lower. Dips in
the Nikkei 225, Hang Seng, and German Dax indices accounted for the bulk of
profits.
Nine
months ended September 30, 2008
Key
trading developments for Grant Park during the first nine months of 2008 include
the following:
Grant
Park recorded gains for the month of January. Class A units were up
2.49% and Class B units were up 2.42%. Grant Park’s long positions in
the interest rate sector posted gains after the US Federal Reserve cut
short-term interest rates by 75 basis points during a rare inter-meeting move on
January 22nd. Positions in the shorter dated products benefited as
prices for Eurodollars soared on the news and rallied further after the central
bank elected to reduce rates by an additional 50 basis points during its
regularly scheduled meeting at the end of the month. A report showing
a drop in December payrolls also pushed fixed income prices
higher. Grain prices rallied during the month, resulting in gains to
Grant Park’s long positions in the soft/agricultural commodity
sector. The largest profits came from the corn market after prices
rallied in response to a US Department of Agriculture report that estimated the
size of US corn inventories to be 20% lower than previous USDA
forecasts. Soybean and wheat prices were also higher on speculation
that falling grain stockpiles could substantially increase competition for
planting acreage. Long positions in the metals sector benefited as
gold prices soared during the month, rallying more than 9% as investors
continued to purchase the precious metal in an effort to protect themselves from
the uncertainty of global financial markets and a weaker US
dollar. The decision by the Fed to ease interest rates also
contributed to higher gold prices. Energy prices sagged during
January, resulting in losses to long positions in the sector. Crude
oil and unleaded gasoline positions sustained the largest setbacks as investors
speculated that an economic downturn in the US could translate into decreased
demand. Short positions in natural gas reported losses after prices
rose in response to falling temperatures across the country. Currency
positions sustained losses, particularly in the cross-rate markets where the
euro depreciated against the Japanese yen on speculation that European interest
rates could be headed lower during 2008. Long positions in the
Canadian and Australian dollars were dealt losses on speculation that a slowdown
in the US economy could lessen the demand for raw materials from those
countries. Lastly, long positions in the stock indices posted losses
as continued concerns over financial institutions’ exposure to sub-prime debt
and the possibility of a US recession sent global equity markets lower by
month’s end.
Grant
Park recorded gains for the month of February. Class A units were up
9.66% and Class B units were up 9.58%. Long positions in the
soft/agricultural commodities sector provided the largest gains for Grant Park
during February after soybean, corn and wheat prices finished the month at or
near record levels on concerns over the availability of grain
stocks. Prices initially rose after the USDA reduced its forecasts
for 2008 ending wheat inventories by 20 million bushels. The rally
continued into the end of the month, fueled by reports of damage to Chinese
crops and weakness in the US dollar. Coffee also rallied during the
period, resulting in gains as analysts suggested that investors were purchasing
soft commodities as a possible hedge against inflation. Energy prices
also rose during the month, resulting in gains for the
sector. Production problems out of Nigeria combined with forecasts of
bitterly cold temperatures across the US pushed crude and heating oil prices
higher at the onset of February; prices continued higher throughout the month on
the weak US dollar and comments from Federal Reserve Chairman Ben Bernanke
indicating the central bank’s willingness to implement additional rate cuts in
order to combat a sluggish economy. Base and precious metals markets
rallied during the month, resulting in profits. Reports that copper
inventories were at their lowest levels since November spurred the red metal
higher by month’s end. Platinum and palladium prices also
gained. Long positions in gold reported gains after prices rose in
response to a higher-than-expected reading on US consumer
prices. Short positions in the US dollar advanced as the greenback
weakened against its major trading partners on the Fed Chairman’s comments
regarding the economy and monetary policy. The dollar continued its
slide, reaching new historical lows against the euro on reports of falling US
home prices, a drop in durable goods orders, weak consumer confidence data and
stagnant manufacturing numbers. Prices for interest rate instruments
were higher during the month, resulting in gains. The largest profits
in the sector came from long positions in the Japanese Government Bond market
after prices there rose in response to falling industrial production and
inflation data. Talk of further rate cuts in the US benefited long
positions in the Eurodollar market. Lastly, short positions in the
stock index sector reported gains as global equities markets finished February
at lower levels. Uncertainty as to the depth of the ongoing credit
crisis, along with tepid service sector data and disappointing earnings reports
out of the US and Europe, pushed stock prices lower as investors fretted over
the possibility of a recession in the US.
Grant
Park recorded losses in the month of March. Class A units were down
0.63% and Class B units were down 0.70%. Long positions in the
softs/agricultural commodities sector were the primary contributors to this
month’s losses. Positions in the soybean complex sustained setbacks
as soybean prices closed at a new 3-month low after reports showed an increase
in 2008 U.S. planting estimates. A sell-off in the coffee market
added to losses as analysts suggested that investors liquidated profitable long
positions in the wake of February’s rally in commodity prices. Long
metals positions, both in the industrial and precious sectors, registered losses
as a mid-month rally in the U.S. dollar drove commodity prices
lower. Positions in gold, copper, palladium, and
platinum
were the biggest contributors to sector losses. Grant Park
experienced modest gains in the equity indices sector, as profitable positions
in the European indices outweighed losses incurred from positions in the U.S.
and Japanese equity markets. Fueled by a falling Japanese government
bond market, the fixed income sector registered gains this past
month. After a powerful surge in February, analysts charged the
sell-off in the Japanese fixed income markets to poor results posted from the
most recent Japanese bond auction. Next to the currency sector,
positions in the energy markets were the most profitable for Grant
Park. A late-month rally across the sector added gains to long
positions. Analysts suggest that the linchpin to rising energy prices
was a March 21st
Department of Energy Report that quoted big drops in refinery utilization
rates. Lastly, currency positions were profitable with the bulk of
the gains coming from the euro and Japanese yen markets. Despite the
brief mid-month dollar rally, the euro reached new all-time highs against the
greenback, as talk of a U.S. recession was accompanied by the news of J.P.
Morgan’s buyout of Bear Stearns. The Japanese yen fluctuated
intra-month on increased fears of a U.S. recession and falling demand for
Japanese fixed income products, before finishing the month lower against the
dollar, producing modest gains for the portfolio’s short yen
positions.
Grant
Park recorded losses in April. Class A units were down 0.13% and
Class B units were down 0.20%. Grant Park’s positions in fixed income
registered losses in April. The majority of the setbacks came from
long positions in the Japanese Government Bond (JGB) markets. After
an impressive rally in March, JGBs plummeted early in the month due to technical
profit-taking by traders looking to get a jump on performance early in the new
Japanese fiscal year. Adding to the decline was a drop in demand for
Japanese fixed income products as was witnessed through the poor results of
2008’s first Japanese bond auction. Rallies in the U.S. equity
markets moved against Grant Park’s short positions last
month. Speculators drove equity markets upwards on beliefs that the
U.S. economy is slowly turning a corner. Supporting these beliefs was
news of large capital infusions at financial firms such as Lehman Brothers and
UBS, and strong earnings reports from technology firms such as Google, IBM, and
Intel. Short positions in international equity indices, namely the
Dax and Nikkei 225, also experienced setbacks on visions of an improving
economy. Long positions in the metals markets, namely gold, finished
slightly negative this month. Despite a steady uptrend in the first
half of the month, gold ended April slightly lower. Gold prices were
driven down by many speculators liquidating their positions in response to a
strengthening U.S. dollar. Despite losses in the livestock sector,
the softs/agriculturals portion of the portfolio produced modest gains this
month. Long positions in the corn and soybean markets became
profitable as ongoing poor weather conditions tormented Midwest farming
regions. Delayed plantings due to heavy rains and cool temperatures
fueled the upsurge. Grant Park’s currency positions posted gains this
month. The effects of a rally in the U.S. dollar against the
portfolio’s short positions were offset by profitable uptrends in various minor
currency crosses. Positions in the Mexican peso, Singapore dollar,
South African rand, and Columbian peso contributed to the sector’s
gains. Long positions across the entire energy sector proved to be
profitable this month as many of the energy markets hit new all-time
highs. Crude oil was the biggest contributor to the sector as it
reached a high of $119.93 per barrel. The rally in the crude markets
was driven by supply concerns from some of the globe’s biggest oil producing
nations. Violence in Nigeria against various Exxon Mobil production
facilities and refusal of OPEC to increase crude supply were the main drivers
behind this month’s energy moves.
Grant
Park recorded gains in the month of May. Class A units were up 2.11%
and Class B units were up 2.03%. Grant Park’s positions in the energy
complex were again the drivers in the portfolio’s performance this
month. Still predominantly long across the sector, Grant Park earned
substantial profits as the energy markets endured a strong sector-wide
uptrend. The biggest contributions came from rallies in the crude oil
markets. Despite some intra-month price swings, crude oil finished
the month $14.62 per barrel (or 12.97%) higher than last month’s close. Although
the price of crude was most heavily affected this month by swings in the U.S.
dollar, price shifts in the energy markets were also caused by increased energy
demand from China after a horrid earthquake rattled the nation’s hydroelectric
power markets. Due to short positions in the European financial
markets, the portfolio performed particularly well in the fixed income
sector. The most notable positions were those in the Euro bund and
Euribor (European Interbank Offered Rate) markets. On strong economic
data throughout the month, speculators began to adopt a view that the European
economy may be in an upswing. This renewed confidence drove up yields
on most major financial instruments, pushing prices in the futures markets
(which move inversely to yields) downwards. Although ultimately
profitable in the sector, short positions in U.S. fixed income markets
experienced setbacks. Continued domestic economic distress moved the
U.S. based Eurodollar market upwards against the portfolio’s short
positions. The continuing woes of a weakened global economy helped
Grant Park’s currency positions in May. Mixed economic reports from
the U.S., Great Britain, the Eurozone, and Australia caused big moves in the
currency markets both with and against the portfolio’s
positions. Grant Park fared well as profits stemming from short
dollar positions against the Aussie dollar, Turkish lira, and Mexican peso
outweighed losses sustained from the more established currencies such as the
British pound, euro, and Canadian dollar. The bulk of the portfolio’s
setbacks in May stemmed from positions in the equity indices
markets. Grant Park’s continued short exposure to the U.S. equity
markets experienced losses as the front contract in the e-mini S&P 500
rallied 5.82%. Short positions in France’s CAC40 and Germany’s Dax
indices also produced losses, as better-than expected economic data released
near month’s end spurred a boost in the equity markets. Grant Park’s
positions in the metals markets provided mixed results for the portfolio, but
were net negative for May. Losses incurred due to steady decreases in
copper prices against the portfolio’s long positions accounted for most of the
setbacks in the sector. Analysts attribute the move to the recent
firming of the U.S. dollar and decreased demand from China due to a recent
earthquake. On the short side however, modest profits were earned on
a 22.77% slide in the nickel markets, which moved alongside Grant Park’s short
positions. Lastly, the softs/agriculturals sector did not prove
profitable this past month, as the portfolio registered minor losses in the
grains markets. Corn prices dipped more than 2%, moving against long
positions, in May in response to a strengthening dollar. Many
analysts also attribute declines in grains prices to a late-month drop in energy
prices.
Grant
Park recorded gains in June. Class A units were up 3.06% and Class B
units were up 2.99%. Grant Park’s long positions in the energy sector
performed well as they rode a sector wide surge in prices this past
month. A combination of a weakening greenback and production concerns
were the biggest contributors to the heightened prices in the
sector. The rebel group, MEND (The Movement for the Emancipation of
the Niger Delta), continued their attacks on major oil producers in Africa,
putting a clamp on the region’s ability to produce the highly sought after light
sweet crude oil. The comments made by two separate figureheads in the
Middle East that oil prices could reach as high as $170 by summer’s end and that
oil producer Libya may reduce oil production caused a big question mark to
appear over the supply-side of the crude oil markets in the region, which drove
prices upwards. Another profitable sector for Grant Park this past
month was the softs/agriculturals sector. Leading the way was the
portfolio’s long corn positions. Massive rains sweeping across the
Midwest, especially in Illinois, Iowa, and Missouri, kept many farmers out of
their fields, as their corn crop spent a good portion of June under as much as
six inches of water in certain areas. In the face of weakening
ethanol demand, Mother Nature drove corn prices up 20.45% before month’s
end. Short positions in the domestic and foreign equity indices
markets fared well in June as well, due to the lingering effects of last year’s
credit crisis on global stocks. At home in the U.S., equity markets
waned throughout the month on the heels of poor earning reports from some of the
nation’s biggest financial firms. Sky-rocketing oil prices and
fleeting consumer confidence, both domestically and abroad, surely had an effect
on the equity markets as well. Grant Park performed well in the base
metals sector in the month of June. Fueled by supply constraints,
price increases in the aluminum and copper markets were the main causes for
profits in the sector. A labor strike in Peru, a major producer of
copper, and a temporary shutdown of a crucial aluminum producing plant here in
the U.S. caused a shock in the market pushing the price of both metals up more
than 7% for the month. Also having a positive impact on the metals
markets (as with most other commodities) was a decline in the value of the U.S.
dollar. Investments into the European fixed income markets
experienced gains this past month. Price movements were primarily
driven by the announcement from the European Central Bank, stating they would be
adopting a firmer monetary policy in the coming months to combat
inflation. The statement, which came as a surprise to many
speculators given the poor economic outlook in Europe, pushed interest rate
yields to near all-time highs, diving financial futures downwards in line with
Grant Park’s short positions. Despite losses in the domestic fixed
income, short positions in the European markets, mainly the Euribor and German
bund markets, overcame the setbacks and made the sector profitable for
June. The bulk of the setbacks this month came from the currency
markets. Contributing to losses were long positions in the New
Zealand dollar. Despite a slight retracement mid-month, the kiwi
declined against the greenback on poor consumer confidence and unemployment
figures in the region. Dips in the kiwi can also be attributed to the
announcement made by the Reserve Bank of New Zealand’s Governor saying that
although rates remained steady in June, they would most likely be cut in the
months to come. Further adding to setbacks for the sector were losses
in various minor currency positions, including the Colombian peso, Czech koruna,
and Icelandic krona.
Grant
Park recorded losses in July. Class A units were down 5.06% and Class
B units were down 5.12%. Long positions in the energy sector incurred
the fund’s largest losses during July after crude oil prices fell more than 11%
by month’s end. Prices broke after Hurricane Bertha moved away from crude
oil platforms in the Gulf of Mexico and continued lower throughout the month as
reports released in the U.S and abroad indicated that high prices were driving
the demand for fuel lower. A near-sector-wide downshift in
softs/agriculturals moved against Grant Park’s positions. After several
months of positive performance, our positions in corn and soybeans declined by
20% and 12%, respectively. After substantial rains and flooding restricted
planting activities earlier in the summer, improved weather since has allowed
farmers to plant more acreage. Analysts are therefore expecting a more
bountiful grain harvest, with a corresponding decrease in future
prices. Grant Park’s positions in this sector created losses during
July, including short positions in the German bund and Euribor (European
Interbank Offered Rate) markets. The release of a poor economic outlook
for the European economy drove prices upward. Falling consumer confidence
levels, poor growth data for Germany, and record high inflation all helped paint
the backdrop for rallies in the fixed income markets. Position in the
metals sector registered minor losses. A month-end rally in the US dollar
put pressure on the sector and had a large impact on the 5.7% decrease in copper
prices. Further, Congress’ discussion of intervening in the grain
and energy markets caused many larger institutions to liquidate positions and
move to the sidelines of the commodity markets. Grant Park posted
gains in the equity indices markets, driven by our short positions in the
European and U.S. equity markets. In the U.S., the possible failure of
Fannie Mae and Freddie Mac sent ripples through the markets, causing many
speculators to lose confidence and begin liquidating their equity
positions. Prices declined and the markets quieted after Congress
voted to protect the two mortgage lenders. Abroad, European indices,
including the CAC 40 and IBEX 35, declined as poor economic conditions in the
Eurozone continued. The ECB President’s failure to raise rates,
coupled with Germany’s announcement that the second quarter would produce
another quarter of negative growth played a big part in putting downward
pressure on share prices. Grant Park’s positions across a variety of
non-major currencies registered profits. Early in the month, the
portfolio’s short dollar positions earned modest gains. The biggest
contributors to the sector were the long positions in the Colombian and Mexican
pesos. In response to rising inflation across Mexico and Latin America,
both the Colombian and Mexican Central Banks opted to raise rates, giving their
respective currencies a boost. These positions along with long positions
in the Brazilian real and Turkish lira lifted sector performance and offset
minor losses in the euro and Great British pound.
Grant
Park recorded losses for August. Class A units were down 2.41% and
Class B units were down 2.48%. Least profitable for Grant Park this
past month were positions in the currency markets. A steady weakening
of the Australian dollar against the greenback was the primary driver behind
setbacks in the sector. The large dip in the currency was the result
of declining gold prices (one of Australia’s biggest exports) and speculation
that the Reserve Bank of Australia would soon be cutting interest rates
to
aid the
nation’s slowing economy. Heavy volatility in the grains and softs
markets proved trying for performance throughout August. Long
positions in the soybean market experienced losses on a 15.92% mid-month decline
in prices, only to recoup much of the setbacks on a strong upwards retracement
by month’s end. In the gold markets, Grant Park endured setbacks both
on long and short positions. Like many other commodities in August,
gold prices were primarily driven by moves in crude oil and the U.S.
dollar. Early in the month, decreasing energy prices and a
strengthening dollar, caused gold prices to move against the portfolio’s long
positions and touch the lowest level of 2008 at $774.0 per ounce. As
Grant Park’s positions became short mid-month, they were quickly met with
reversals. Grant Park’s positions in the energy sector also
underperformed this past month. The bulk of the sector’s setbacks
were predominantly found in the crude oil markets. Crude slipped
7.27% in August, moving in contrast to positions. A boost in the
greenback was most likely the primary cause for declines in the energy
markets. Although finishing lower for the month, the markets
experienced a strong pullback in the last week of trading due to concerns that
Hurricane Gustav would impede energy production in the Gulf of Mexico, which
helped offset some losses. Despite modest profits in the Stockholm
OMX 30 Index, Grant Park finished August negative in the equity index
sector. Setbacks were diversified amongst positions in the largest
indices in North America, Europe, Asia, and Austria. Further adding
to losses was an upwards revision of U.S. GDP growth for the second quarter,
which gave share prices a boost. Finally, the Asia/Pacific fixed
income markets accounted for the bulk of Grant Park’s profits this past month,
with long positions in the Japanese and Australian markets performing
particularly well. Persisting concerns about the status of the
Japanese economy was the primary driver in the JGB markets.
Grant
Park recorded gains in September. Class A units were up 1.31% and
Class B units were up 1.24%. Grant Park’s short positions in the
equity indices markets were the largest factor in our positive performance in
this sector during September. Share prices declined because of
on-going uncertainty about the global economy. The collapse of major
financial institutions, including Washington Mutual and Lehman Brothers, and the
need for a $700 billion government restructuring program reinforced the negative
performance of equities. Our short positions in the base metals
markets created strong gains for the portfolio throughout the
month. The slide in metals prices was likely caused by a sharp
decrease in the demand for raw materials as a result of tightening credit
markets. The devastating effect of the credit crunch on the economies
of the BRIC nations (Brazil, Russia, India, and China) was especially key, as
this group of nations has accounted for much of the demand in base metals over
the past several years. The portfolio earned modest gains in the
livestock markets this past month. A strengthening dollar and the
declines in the prices of grains and feeds combined to create substantial
pressure on the live cattle and lean hogs markets. Results in the
fixed income sector were mixed this past month. Long positions in the
European and U.S. debt markets earned modest profits as declining equities
prices drove investors into the more risk-averse debt
markets. Profits were slightly offset, however, as long positions in
the Asian equity markets endured setbacks in the Japanese Government Bond and
Euroyen markets. After heavy volatility in the energy sector, Grant
Park finished slightly lower for the month. Predominantly following
moves in the U.S. dollar all throughout September, the crude oil markets
experienced a rally mid-month, resulting in minor losses for the portfolio’s
short positions. The currency sector was not profitable during
September. Losses were generally caused due to short positions on the
U.S. dollar against a number of emerging market currencies, including the
Brazilian real, Indonesian rupiah, Indian rupee, and Turkish
lira. The consequences of the on-going credit crisis have been felt
around the world and its impact is most clearly visible in the emerging
nations. Speculators have been driving these emerging currencies down
against the dollar with the expectation that the U.S. will be able to recover
faster than other less established nations.
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. 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
in the foreign exchange market, 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 will likely 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.
In the
normal course of business, Grant Park enters into contracts and agreements that
contain a variety of representations and warranties and which provide general
indemnifications. Grant Park’s maximum exposure under these
arrangements is unknown, as this would involve future claims that may be made
against Grant Park that have not yet occurred. Grant Park expects the
risk of any future obligation under these indemnifications to be
remote.
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 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
fair 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 or pattern recognition 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.
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 indicate the trading value at risk associated with Grant Park’s
open positions by market category as of September 30, 2009 and December 31, 2008
for Grant Park, and the trading gains/losses by market category for the nine
months ended September 30, 2009 and the year ended December 31,
2008. All open position trading risk exposures of Grant Park have
been included in calculating the figures set forth below. As of
September 30, 2009, Grant Park’s net asset value was approximately $836.3
million. As of December 31, 2008, Grant Park’s net asset value was
approximately $643.6 million.
September
30, 2009
Market
Sector
|
Value
at Risk
|
%
of Total
Capitalization
|
Trading
Gain/(Loss)
|
||||
Stock
Indices
|
$
|
29,139,913
|
3.5%
|
3.6%
|
|||
Interest
Rates
|
23,830,031
|
2.8
|
(3.0)
|
||||
Currencies
|
19,756,395
|
2.4
|
0.1
|
||||
Metals
|
13,144,783
|
1.6
|
−
|
||||
Energy
|
4,331,756
|
0.5
|
(2.3)
|
||||
Softs
|
3,852,842
|
0.4
|
(0.1)
|
||||
Agriculturals
|
3,434,435
|
0.4
|
−
|
||||
Meats
|
727,193
|
0.1
|
−
|
||||
Total
|
$
|
98,217,348
|
11.7%
|
(1.7)%
|
December
31, 2008
Market
Sector
|
Value
at Risk
|
%
of Total
Capitalization
|
Trading
Gain/(Loss)
|
||||
Interest
Rates
|
$
|
14,965,191
|
2.3%
|
8.6%
|
|||
Currencies
|
5,596,368
|
0.9
|
0.1
|
||||
Metals
|
3,323,166
|
0.5
|
3.0
|
||||
Stock
Indices
|
2,393,475
|
0.4
|
5.6
|
||||
Energy
|
1,509,880
|
0.2
|
8.4
|
||||
Agriculturals
|
642,068
|
0.1
|
3.0
|
||||
Softs
|
603,856
|
0.1
|
1.5
|
||||
Meats
|
240,495
|
−
|
0.3
|
||||
Total
|
$
|
29,274,499
|
4.5%
|
30.5%
|
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 not significant. 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 short term investments. The market
risk represented by these investments is also not significant.
Qualitative
Market Risk
Trading
Risk
The
following were the primary trading risk exposures of Grant Park as of September
30, 2009, 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 jurisdictions including Hong Kong, Taiwan, Africa, India,
Singapore, South Korea, and Australia. The stock index futures
contracts currently traded by Grant Park are generally limited to futures on
broadly based indices, although Grant Park also trades narrow-based stock index
or single-stock futures contracts. As of September 30, 2009, Grant
Park was predominantly long indices in the U.S., Europe, China, South Korea,
India, Japan, Canada, and Taiwan, but had a few short positions in various U.S.
markets. Grant Park is primarily exposed to the risk of adverse price
trends or static markets in the major North American, 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.
Interest
Rates
Interest
rate risk is a 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. Grant Park also takes futures positions on the government
debt of smaller nations, such as Australia, New Zealand, and
Mexico. 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, 2009, Grant Park was predominantly long
interest rate instruments in the UK, Europe, New Zealand, Asia, Canada, Mexico,
and the U.S. The portfolio had short positions in Australian interest
rate products.
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. As of September 30, 2009, Grant Park was short
the U.S. dollar against various major currencies including the Australian
dollar, Canadian dollar, Euro, Swiss franc, Japanese yen, and New Zealand
dollar, but was long the U.S. dollar against the British pound and Mexican
peso. In general, with the exception of the British pound and Mexican
peso, a weaker U.S. dollar against most major currencies would benefit Grant
Park.
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. As of September 30, 2009, in the
precious metals sector Grant Park
had long
positions in gold, silver, palladium, and platinum. In the base
metals markets, Grant Park was long copper, lead, nickel and zinc, but had short
positions in aluminum.
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, Nigeria, Russia
and South America. As of September 30, 2009, the energy market
exposure of Grant Park was predominantly short in the natural gas, crude oil,
brent crude oil, gasoline, heating oil, kerosene, and unleaded gasoline
markets. The portfolio did have slightly long exposure to the gas oil
markets. 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/Meat/Softs
Grant
Park’s primary commodities exposure is due to agricultural price movements,
which are often directly affected by severe or unexpected weather conditions as
well as other factors. As of September 30, 2009, in the grains
markets, Grant Park had short positions in corn, soybean oil, canola, and wheat,
and long positions in soybeans and the soybean meal markets. Grant
Park was predominantly short the livestock markets with short positions in live
cattle, lean hogs, and feeder cattle. In the softs/industrials
sectors, Grant Park was long sugar, cocoa, cotton, coffee, and
rubber.
Non-Trading
Risk Exposure
The
following were the only non-trading risk exposures of Grant Park as of September
30, 2009.
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
non-trading risk.
Cash
Management
Grant
Park maintains a portion of its assets at its clearing brokers as well as at
Lake Forest Bank & Trust Company. These assets, which may range
from 5% to 25% of Grant Park’s value, are held in U.S. Treasury securities
and/or Government-sponsored enterprises. The balance of Grant Park’s
assets, which range from 75% to 95%, are invested in investment grade money
market instruments purchased and managed at Middleton Dickinson Capital
Management, LLC which are held in a separate, segregated account at State Street
Bank and Trust Company. Violent fluctuations in prevailing interest
rates or changes in other economic conditions could cause 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.
Item 4T. 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
quarter ended September 30, 2009 that has materially affected, or is reasonably
likely to materially affect, Grant Park's internal control over financial
reporting.
PART II- OTHER INFORMATION
Item 1A. Risk Factors
There have been no material changes to
the risk factors relating to Grant Park from those previously disclosed in Grant
Park’s Annual Report on Form 10-K for its fiscal year ended December 31, 2008,
in response to Item 1A to Part 1 of Form 10-K.
Item 2. Unregistered Sales of Equity
Securities and Use of Proceeds
(a) None.
(b) None.
Issuer
Purchases of Equity Securities
(c) The
following table provides information regarding the total Class A, Class B ,
Legacy 1 Class, Legacy 2 Class, GAM 1 Class, GAM 2 Class and GAM 3 Class units
redeemed by Grant Park during the three months ended September 30,
2009.
Period
|
Total
Number
of
Class A Units Redeemed
|
Weighted
Average
Price Paid per Unit
|
Total
Number
of
Class B Units Redeemed
|
Weighted
Average
Price Paid per Unit
|
Total
Number
of
Legacy 1 Class Units Redeemed
|
Weighted
Average
Price Paid per Unit
|
Total
Number
of
Legacy 2 Class Units Redeemed
|
Weighted
Average
Price Paid per Unit
|
|||||||||||||||||||||||||
07/01/09
through 07/31/09
|
86.82 | $ | 1,422.29 | 1,965.54 | $ | 1,225.20 | — | $ | 959.03 | — | $ | 958.05 | |||||||||||||||||||||
08/01/09
through 08/31/09
|
833.48 | $ | 1,438.64 | 4,674.51 | $ | 1,238.60 | — | $ | 971.16 | — | $ | 970.17 | |||||||||||||||||||||
09/01/09
through 09/30/09
|
656.90 | $ | 1,455.52 | 4,170.09 | $ | 1,252.46 | — | $ | 982.95 | 0.25 | $ | 981.95 | |||||||||||||||||||||
Total
|
1,577.20 | $ | 1,444.77 | 10,810.14 | $ | 1,241.51 | — | $ | 982.95 | 0.25 | $ | 970.06 |
Period
|
Total
Number
of
GAM 1 Class Units Redeemed
|
Weighted
Average
Price Paid per Unit
|
Total
Number
of
GAM 2 Class Units Redeemed
|
Weighted
Average
Price Paid per Unit
|
Total
Number
of
GAM 3 Class Units Redeemed
|
Weighted
Average
Price Paid per Unit
|
Total
Number of Units Redeemed as Part of Publicly Announced Plans or
Programs(1)
|
Maximum
Number of Units that May Yet Be Redeemed Under the Plans/ Program(1)
|
||||||||||||||||||||||||
07/01/09
through 07/31/09
|
— | $ | 972.27 | — | $ | 971.12 | — | $ | 963.81 | 2,052.36 | (2 | ) | ||||||||||||||||||||
08/01/09
through 08/31/09
|
— | $ | 983.09 | — | $ | 981.72 | — | $ | 972.90 | 5,507.99 | (2 | ) | ||||||||||||||||||||
09/01/09
through 09/30/09
|
— | $ | 994.74 | 0.25 | $ | 992.54 | — | $ | 982.22 | 4,827.49 | (2 | ) | ||||||||||||||||||||
Total
|
— | $ | 994.74 | 0.25 | $ | 981.79 | — | $ | 972.98 | 12,387.84 | (2 | ) |
____________
(1)
|
As
previously disclosed, pursuant to Grant Park’s Limited Partnership
Agreement, investors in Grant Park may redeem their units for an amount
equal to the net asset value per unit at the close of business on the last
business day of any calendar month if at least 10 days prior to the
redemption date, or at an earlier date if required by the investor’s
selling agent, the General Partner receives a written request for
redemption from the investor. The General Partner may permit earlier
redemptions in its discretion.
|
|
(2)
|
Not determinable. |
(a)
|
Exhibits
|
||
10.1
|
Form
of Advisory Contract Among the registrant, Dearborn Capital Management,
L.L.C., the trading advisor and the trading company.(1)
|
||
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)
|
Filed as an exhibit to the
Registrant’s Registration Statement on Form S-1 (File No. 333-153862) and
incorporated herein by
reference.
|
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
16, 2009
|
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)
|