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EX-32.1 - CERTIFICATION PURSUANT TO 18 U.S.C. SECTION 1350 - GRANT PARK FUTURES FUND LIMITED PARTNERSHIPex32-1.htm
EX-31.1 - CERTIFICATION OF PRINCIPAL EXECUTIVE OFFICER - GRANT PARK FUTURES FUND LIMITED PARTNERSHIPex31-1.htm
EX-31.2 - CERTIFICATION OF PRINCIPAL FINANCIAL OFFICER - GRANT PARK FUTURES FUND LIMITED PARTNERSHIPex31-2.htm
 


 
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:  March 31, 2010

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 smaller reporting company.  See definitions of “large accelerated filer”, “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 March 31, 2010


PART I - FINANCIAL INFORMATION
 
       
 
Item 1.
Financial Statements
 
       
   
1
       
   
2
       
   
4
       
   
6
       
   
7
       
   
11
       
 
Item 2.
24
       
 
Item 3.
30
       
 
Item 4.
34
       
PART II - OTHER INFORMATION
 
       
 
Item 1A.
34
       
 
Item 2.
34
       
 
Item 6.
36
       
SIGNATURES
37
CERTIFICATIONS
38
 
 
 
 

 
PART I - FINANCIAL INFORMATION

Item 1.  Financial Statements

Grant Park Futures Fund Limited Partnership
Consolidated Statements of Financial Condition
 
 
   
March 31, 2010
   
December 31, 2009
 
Assets
           
Equity in brokers’ trading accounts:
           
U.S. Government securities, at fair value
  $ 99,122,578     $ 89,970,252  
Cash
    16,224,762       24,103,516  
Unrealized gain on open contracts, net
    30,391,676       14,009,391  
Deposits with brokers
    145,739,016       128,083,159  
                 
Cash and cash equivalents
    102,425,668       42,335,885  
Certificates of deposit, at fair value
    485,149       15,755,711  
Government-sponsored enterprises, at fair value
    554,247,941       596,671,609  
U.S. Government securities, at fair value
    44,878,812       74,755,744  
Interest receivable
    4,074        
Total assets
  $ 847,780,660     $ 857,602,108  
                 
Liabilities and Partners’ Capital
               
Liabilities
               
Brokerage commission payable
  $ 4,853,384     $ 5,153,201  
Accrued incentive fees
    241,052       203,427  
Organization and offering costs payable
    195,864       197,909  
Accrued operating expenses
    172,680       175,169  
Pending partner additions
    18,640,512       15,517,679  
Redemptions payable
    11,418,699       5,084,225  
Total liabilities
    35,522,191       26,331,610  
Partners’ Capital
               
General Partner
               
Class A (units outstanding March 31, 2010 – 3,008.66 and December 31, 2009 – 3,008.66)
    4,134,125       4,287,922  
Class B (units outstanding March 31, 2010 – 427.01 and December 31, 2009 – 427.01)
    503,239       522,813  
Legacy 1 Class (units outstanding March 31, 2010 – 1,025.00 and December 31, 2009 – 1,025.00)
    959,047       990,276  
Legacy 2 Class (units outstanding March 31, 2010 – 1,000.00 and December 31, 2009 – 1,000.00)
    933,555       964,540  
Global 1 Class (units outstanding March 31, 2010 – 1,044.66 and December 31, 2009 – 1,044.66)
    962,109       999,554  
Global 2 Class (units outstanding March 31, 2010 – 915.66 and December 31, 2009 – 708.97)
    839,359       676,076  
Global 3 Class (units outstanding March 31, 2010 – 500.00 and December 31, 2009 – 500.00)
    449,603       469,821  
Limited Partners
               
   Class A (units outstanding March 31, 2010 – 44,697.97 and December 31, 2009 – 48,356.59)
    61,418,456       68,917,549  
   Class B (units outstanding March 31, 2010 – 550,715.89 and December 31, 2009 – 570,593.04)
    649,024,584       698,607,417  
   Legacy 1 Class (units outstanding March 31, 2010 – 4,671.85 and December 31, 2009 – 3,851.25)
    4,371,246       3,720,780  
   Legacy 2 Class (units outstanding March 31, 2010 – 4,159.41 and December 31, 2009 – 3,122.95)
    3,883,040       3,012,215  
   Global 1 Class (units outstanding March 31, 2010 – 5,441.51 and  December 31, 2009 – 3,358.60)
    5,011,521       3,213,581  
   Global 2 Class (units outstanding March 31, 2010 –12,801.19 and December 31, 2009 – 7,333.83)
    11,734,492       6,993,517  
   Global 3 Class (units outstanding March 31, 2010 – 75,660.26 and December 31, 2009 – 40,328.60)
    68,034,093       37,894,437  
Total partners’ capital
    812,258,469       831,270,498  
Total liabilities and partners’ capital
  $ 847,780,660     $ 857,602,108  
 

The accompanying notes are an integral part of these consolidated financial statements.
 
 
 
1

 
Grant Park Futures Fund Limited Partnership
Consolidated Condensed Schedule of Investments
March 31, 2010
(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
  $ 2,686,228       0.3 %   $ 699,787       0.1 %   $ 3,386,015       0.4 %
Energy
    2,067,644       0.3 %     2,675,936       0.3 %     4,743,580       0.6 %
Grains
    (850,727 )     (0.1 )%     4,400,294       0.5 %     3,549,567       0.4 %
Interest rates
    (158,784 )     **       278,931       **       120,147       **  
Meats
    1,431,551       0.2 %     (82,423 )     **       1,349,128       0.2 %
Metals
    1,898,420       0.2 %     (70,703 )     **       1,827,717       0.2 %
Soft commodities
    577,370       0.1 %     437,278       0.1 %     1,014,648       0.1 %
   Stock indices and single stock futures
    2,185,242       0.3 %     19,139       **       2,204,381       0.3 %
Total U.S.
Futures Positions
    9,836,944               8,358,239               18,195,183          
Foreign
Futures
Positions:
                                               
Energy
    1,396,603       0.2 %     (209,108 )     **       1,187,495       0.1 %
Grains
    (6,675 )     **       13,337       **       6,662       **  
Interest rates
    2,574,642       0.3 %     113,814       **       2,688,456       0.3 %
Metals
    20,507,937       2.5 %     (16,033,254 )     (2.0 )%     4,474,683       0.6 %
Soft commodities
    (45,962 )     **       (32,071 )     **       (78,033 )     **  
Stock indices
    3,456,245       0.4 %     49,209       **       3,505,454       0.4 %
Total Foreign Futures Positions
    27,882,790               (16,098,073 )             11,784,717          
Total Futures
Contracts
  $ 37,719,734       4.6 %   $ (7,739,834 )     (1.0 )%   $ 29,979,900       3.7 %
Forward
Contracts*
                                               
Currencies
  $ 1,353,019       0.2 %   $ (936,275 )     (0.1 )%   $ 416,744       0.1
                                                 
Option on Futures Contracts*
                                               
U.S. Stock Indices
  $ 5,510       **     $ (10,478 )     **     $ (4,968 )     **  
                                                 
                                                 
Total Futures, Forward and Option on Futures Contracts
  $ 39,078,263       4.8 %   $ (8,686,587 )     (1.1 )%   $ 30,391,676       3.7 %
                                                 
 
 
*
No individual futures, forward, and option on 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.
 
U.S. Certificates of deposit
 
           
Face Value
 
Maturity Date
Description
 
Fair Value
   
Percent of Partners’ Capital
 
$ 485,000  
6/24/2010 - 11/24/2010
U.S. Certificates of Deposit, 1.3-1.5% (cost $485,000)
  $ 485,149       **  
 
**             Represents less than 0.1% of partners’ capital.
 



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

 
2


Grant Park Futures Fund Limited Partnership
Consolidated Condensed Schedule of Investments (continued)
March 31, 2010
(Unaudited)

 
U.S. Government-sponsored enterprises
 
           
Face Value
 
Maturity Date
Description
 
Fair Value
   
Percent of Partners’ Capital
 
$ 98,800,000  
8/5/2010 - 3/22/2012
Federal National Mortgage Association, 0.2-1.4% 
  $ 98,986,814       12.2 %
  284,575,000  
8/24/2010 - 3/30/2012
Federal Home Loan Mortgage Corp., 0.1-1.5% 
    284,888,259       35.1 %
  149,975,000  
11/8/2010 - 2/10/2012
Federal Home Loan Bank, 0.1-1.4% 
    150,376,164       18.5 %
  20,000,000  
2/14/2011
Federal Farm Credit Bank, 0.2% 
    19,996,704       2.4 %
     
Total U.S. Government-sponsored enterprises (cost $553,330,035)
  $ 554,247,941       68.2 %

 
U.S. Government securities
 
           
Face Value
 
Maturity Date
Description
 
Fair Value
   
Percent of Partners’ Capital
 
$ 45,000,000  
2/10/2011
U.S. Treasury Bills, 0.3% (cost $44,865,456)
  $ 44,878,812       5.5 %

 


U.S. Government securities in brokers’ trading accounts***
 
           
Face Value
 
Maturity Date
Description
 
Fair Value
   
Percent of Partners’ Capital
 
$ 99,250,000  
4/1/2010-1/13/2011
U.S. Treasury Bills, 0.1-0.4% (cost $99,099,568)
  $ 99,122,578       12.2 %
 
***             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.
 
 
 
3

 
Grant Park Futures Fund Limited Partnership
Consolidated Condensed Schedule of Investments
December 31, 2009

   
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
  $ (1,345,719 )     (0.2 )%   1,691,679       0.2 %   345,960       **  
Energy
    1,459,685       0.2 %     (1,100,365 )     (0.1 )%     359,320       **  
Grains
    655,296       0.1 %     (704,834 )     (0.1 )%     (49,538 )     **  
Interest rates
    (462,911 )     (0.1 )%     1,076,800       0.1 %     613,889       0.1 %
Meats
    397,832       **       (215,832 )     **       182,000       **  
Metals
    (1,273,379 )     (0.2 )%     (35,959 )     **       (1,309,338 )     (0.2 )%
Soft commodities
    6,528,998       0.8 %     (4,543,342 )     (0.5 )%     1,985,656       0.2 %
Stock indices and single stock futures
    656,609       0.1 %     54,186       **       710,795       0.1 %
Total U.S. Futures Positions
    6,616,411               (3,777,667 )             2,838,744          
Foreign Futures Positions:
                                               
Energy
    469,717       0.1 %     24,716       **       494,433       0.1 %
Grains
    (9,180 )     **       5,150       **       (4,030 )     **  
Interest rates
    (2,198,937 )     (0.3 )%     630,585       0.1 %     (1,568,352 )     (0.2 )%
Metals
    23,381,126       2.8 %     (16,423,105 )     (2.0 )%     6,958,021       0.8 %
Soft commodities
    362,063       **       (27,893 )     **       334,170       **  
Stock indices
    4,719,890       0.6 %     (300,409 )     **       4,419,481       0.5 %
Total Foreign Futures Positions
    26,724,679               (16,090,956 )             10,633,723          
Total Futures Contracts
  $ 33,341,090       4.0 %   $ (19,868,623 )     (2.4 )%   $ 13,472,467       1.6 %
Forward Contracts *
                                               
Currencies
  $ (804,012 )     (0.1 )%   $ 1,346,066       0.2 %   $ 542,054       0.1 %
                                                 
Option on Futures Contracts *
                                               
U.S. Stock Indices
  $ 3,955       **     $ (9,085 )     **     $ (5,130 )     **  
                                                 
                                                 
Total Futures, Forward and Option on Futures Contracts
  $ 32,541,033       3.9 %   $ (18,531,642 )     (2.2 )%   $ 14,009,391       1.7 %
                                                 
 
*
No individual futures, forward and option on 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.
 

 
U.S. Certificates of deposit
 
         
Face Value
 
Maturity Date
Description
 
Fair Value
   
Percent of
Partners’ Capital
$ 15,485,000  
2/2/2010 - 11/24/2010
U.S. Certificates of Deposit, 1.3-2.0% (cost $15,485,000)
  $ 15,755,711       1.8 %

 

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

 
4


Grant Park Futures Fund Limited Partnership
Consolidated Condensed Schedule of Investments (continued)
December 31, 2009

 
U.S. Government-sponsored enterprises
 
           
Face Value
 
Maturity Date
Description
 
Fair Value
   
Percent of Partners’ Capital
 
$ 84,300,000  
8/5/2010 - 12/30/2011
Federal National Mortgage Association, 0.2-1.4% 
  $ 84,339,694       10.2 %
  249,000,000  
8/24/2010 - 12/21/2011
Federal Home Loan Mortgage Corp., 0.1-1.8% 
    249,417,475       30.0 %
  242,375,000  
2/5/2010 - 12/15/2011
Federal Home Loan Bank, 0.1-1.4% 
    242,919,190       29.2 %
  20,000,000  
2/14/2011
Federal Farm Credit Bank, 0.2% 
    19,995,250       2.4 %
     
Total U.S. Government-sponsored enterprises (cost $595,614,295)
  $ 596,671,609       71.8 %
                       

 
U.S. Government securities
 
           
Face Value
 
Maturity Date
Description
 
Fair Value
   
Percent of Partners’ Capital
 
$ 75,000,000  
9/23/2010 - 12/16/2010
U.S. Treasury Bills, 0.4% (cost $74,703,247)
  $ 74,755,744       9.0 %


 
U.S. Government securities in brokers’ trading accounts***
 
           
Face Value
 
Maturity Date
Description
 
Fair Value
   
Percent of Partners’ Capital
 
$ 90,000,000  
1/14/2010 - 12/16/2010
U.S. Treasury Bills, 0.0-0.4% (cost $89,943,831)
  $ 89,970,252       10.8 %

 
 
*** 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.
 

 
5

 
Grant Park Futures Fund Limited Partnership
Consolidated Statements of Operations
 
 
   
Three Months Ended
March 31,
 
   
2010
   
2009
 
   
(Unaudited)
 
             
Net trading gains (losses)
           
Net gain (loss) from trading
           
Realized
  $ (32,327,231 )   $ (23,713,098 )
Change in unrealized
    16,382,285       (2,712,134 )
Commissions
    (3,010,777 )     (2,377,519 )
                 
Net losses from trading
    (18,955,723 )     (28,802,751 )
                 
Loss allocated from GP1, LLC
          (2,740,621 )
                 
Total trading losses
    (18,955,723 )     (31,543,372 )
                 
Net investment income (loss)
               
Income
               
Interest income
    1,131,218       2,100,266  
                 
   Expenses from operations
               
   Brokerage commission
    12,453,806       11,662,244  
   Incentive fees
    241,052       144,525  
   Operating expenses
    501,796       477,385  
   Organizational and offering costs
    568,250       1,056,204  
                 
Total expenses
    13,764,904       13,340,358  
                 
Net investment loss
    (12,633,686 )     (11,240,092 )
                 
Net loss
  $ (31,589,409 )   $ (42,783,464 )
                 


Net loss per unit from operations (based on weighted average number of units outstanding during the period) and decrease in net asset value per unit for the period:
           
General Partner & Limited Partner Class A Units
  $ (51.12 )   $ (77.13 )
General Partner & Limited Partner Class B Units
  $ (45.84 )   $ (69.49 )
General Partner & Limited Partner Legacy 1 Class Units
  $ (30.46 )   $ N/A  
General Partner & Limited Partner Legacy 2 Class Units
  $ (30.98 )   $ N/A  
General Partner & Limited Partner Global 1 Class Units
  $ (35.84 )   $ N/A  
General Partner & Limited Partner Global 2 Class Units
  $ (36.93 )   $ N/A  
General Partner & Limited Partner Global 3 Class Units
  $ (40.43 )   $ N/A  
                 

The accompanying notes are an integral part of these consolidated financial statements.
 
 
 
6

 
Grant Park Futures Fund Limited Partnership
Consolidated Statements of Changes in Partners’ Capital (Net Asset Value)
Three Months Ended March 31, 2010
(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, 2009
    3,008.66     $ 4,287,922       48,356.59     $ 68,917,549       427.01     $ 522,813       570,593.04     $ 698,607,417  
Contributions
                                               
Redemptions
                (3,658.62 )     (4,910,974 )                 (19,877.15 )     (22,847,643 )
Net loss
          (153,797 )           (2,588,119 )           (19,574 )           (26,735,190 )
Partners’ capital,
     March 31, 2010
    3,008.66     $ 4,134,125       44,697.97     $ 61,418,456       427.01     $ 503,239       550,715.89     $ 649,024,584  

Net asset value per unit at
     December 31, 2009
$              1,425.20
  $
1,224.35
 
Net asset value per unit at
     March 31, 2010
$               1,374.08
  $
1,178.51
 
 
 
 
 
7

 
Grant Park Futures Fund Limited Partnership
Consolidated Statements of Changes in Partners’ Capital (Net Asset Value)
Three Months Ended March 31, 2010
(Unaudited)
 
 
   
Legacy 1 Class
   
Legacy 2 Class
 
   
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, 2009
    1,025.00     $ 990,276       3,851.25     $ 3,720,780       1,000.00     $ 964,540       3,122.95     $ 3,012,215  
Contributions
                838.89       785,100                   1,036.46       957,729  
Redemptions
                (18.29 )     (16,299 )                        
Net loss
          (31,229 )           (118,335 )           (30,985 )           (86,904 )
Partners’ capital,
     March 31, 2010
    1,025.00     $ 959,047       4,671.85     $ 4,371,246       1,000.00     $ 933,555       4,159.41     $ 3,883,040  

Net asset value per unit at
     December 31, 2009
  $ 966.12     $ 964.54  
Net asset value per unit at
     March 31, 2010
  $ 935.66     $ 933.56  
 
 
 
8

 
Grant Park Futures Fund Limited Partnership
Consolidated Statements of Changes in Partners’ Capital (Net Asset Value)
Three Months Ended March 31, 2010
(Unaudited)
 
 
   
Global 1 Class
   
Global 2 Class
   
Global 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,
     December 31, 2009
    1,044.66     $ 999,554       3,358.60     $ 3,213,581       708.97     $ 676,076       7,333.83     $ 6,993,517       500.00     $ 469,821       40,328.60     $ 37,894,437     $ 831,270,498  
     Contributions
                2,107.30       1,904,292       206.69       190,000       5,646.98       5,166,504                   35,642.50       31,807,215       40,810,840  
     Redemptions
                (24.39 )     (21,903 )                 (179.62 )     (164,654 )                 (310.84 )     (271,987 )     (28,233,460 )
     Net loss
          (37,445 )           (84,449 )           (26,717 )           (260,875 )           (20,218 )           (1,395,572 )     (31,589,409 )
Partners’ capital,
     March 31, 2010
    1,044.66     $ 962,109       5,441.51     $ 5,011,521       915.66     $ 839,359       12,801.19     $ 11,734,492       500.00     $ 449,603       75,660.26     $ 68,034,093     $ 812,258,469  


Net asset value per unit at December 31, 2009
  $ 956.82     $ 953.60     $ 939.64  
Net asset value per unit at March 31, 2010
  $ 920.98     $ 916.67     $ 899.21  


 
The accompanying notes are an integral part of these consolidated financial statements.
 
 
 
9

 
Grant Park Futures Fund Limited Partnership
Statements of Changes in Partners’ Capital (Net Asset Value) (continued)
Three Months Ended March 31, 2009
(Unaudited)


   
General Partner
   
Limited Partners
   
General Partner
   
Limited Partners
       
   
Class A
   
Class A
   
Class B
   
Class B
       
   
Number of
Units
   
Amount
   
Number
of Units
   
Amount
   
Number of
Units
   
Amount
   
Number
of Units
   
Amount
   
Total
Amount
 
Partners’ capital,
December 31, 2008
    4,348.18     $ 6,827,509       52,408.70     $ 82,292,140           $       408,160.74     $ 554,475,560     $ 643,595,209  
Contributions
                1,656.55       2,601,110       1,978.62       2,650,000       199,466.15       267,192,606       272,443,716  
Redemptions
                (1,883.09 )     (2,856,298 )                 (8,105.44 )     (10,672,187 )     (13,528,485 )
Net Income (loss)
          (335,375 )           (4,125,336 )           (99,588 )           (38,223,165 )     (42,783,464 )
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     $ 859,726,976  
                                                                         
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                          


 
The accompanying notes are an integral part of these financial statements.
 
 
 
10

 
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 limited liability 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 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:
 
GP 1, LLC (“GP 1”)
GP 6, LLC (“GP 6”)
GP 10, LLC (“GP 10”)
GP 3, LLC (“GP 3”)
GP 7, LLC (“GP 7”)
GP 11, LLC (“GP 11”)
GP 4, LLC (“GP 4”)
GP 8, LLC (“GP 8”)
GP 12, LLC (“GP 12”)
GP 5, LLC (“GP 5”)
GP 9, LLC (“GP 9”)
GP 14, LLC (“GP 14”)
 
Assets of Grant Park will not be invested in GP 14 until the second quarter of 2010.

Additionally, GP Cash Management, LLC was created 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 consolidated financial statements include the accounts of the Partnership and its subsidiary Trading Companies and were prepared by us without audit according to the rules and regulations of the SEC.  The Partnership follows generally accepted accounting principles ("GAAP") set by the Financial Accounting Standards Board (“FASB”) 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”).  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, consolidated financial statements contain all adjustments (consisting of normal recurring accruals) necessary and adequate disclosures to present fairly the financial position as of March 31, 2010 and the results of operations for the three months ended March 31, 2010 and 2009.
 
These consolidated financial statements should be read in conjunction with the audited consolidated financial statements and notes thereto included in our 2009 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 (“Global 1”) Class, Global Alternative Markets 2 (“Global 2”) Class and Global Alternative Markets 3 (“Global 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.
 
 
 
11

 
Grant Park Futures Fund Limited Partnership
Notes to Consolidated Financial Statements
(Unaudited)
 
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 and organization and offering and costs.  The Legacy 1 Class and Legacy 2 Class units are 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 Global 1 Class, Global 2 Class and Global 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 Global 1 Class, Global 2 Class and Global 3 Class units differ in respect to the General Partner’s brokerage commission.  The Global 1 Class and Global 2 Class units are offered only to investors in wrap-accounts.
 
Significant accounting policies are as follows:
 
Consolidation:  The Partnership is the sole member of each of the Trading Companies. The Trading Companies, in turn, are the only members of GP Cash Management, LLC.  The Partnership will present consolidated financial statements for the Partnership which include the accounts of the Trading Companies and GP Cash Management, LLC.  All material inter-company accounts and transactions are eliminated in consolidation.  Recent FASB guidance under FASB ASC 810 establishes accounting and reporting requirements for noncontrolling interests, which the Partnership previously referred to as minority interests.  This guidance requires noncontrolling interests to be reported as a component of partners’ capital on the consolidated statement of financial condition and the amount of net income (loss) attributable to noncontrolling interests to be identified on the consolidated statement of operations.  
 
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 at the date of acquisition.  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.  U.S. Government securities, Government-sponsored enterprises, certificates of deposit and commercial paper are stated at cost plus accrued interest, which approximates fair value based on quoted prices in an active market.

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.
 
The Partnership follows the provisions of ASC 740, Income Taxes.  The Partnership is not subject to examination by U.S. federal or state taxing authorities for tax years before 2006.  As of March 31, 2010, the Partnership has no uncertain income tax positions, and accordingly, has not recorded a liability for the payment of interest or penalties.
 
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, Global 1 Class, Global 2 Class, Global 3 Class and, effective April 1, 2009, Class

 
 
12

 
Grant Park Futures Fund Limited Partnership
Notes to Consolidated Financial Statements
(Unaudited)
 
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, Global 1 Class, Global 2 Class, Global 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 March 31, 2010, all organization and offering costs incurred by the General Partner have been reimbursed.
 
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 2009 financial statements have been reclassified to conform with the 2010 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.
 
Subsequent Events:  The Partnership follows the provisions of FASB ASC 855, Subsequent Events, which establishes general standards of accounting for and disclosure of events that occur after the balance sheet date but before financial statements are issued.  See Note 13.
 
Recent accounting pronouncements:  In January 2010, FASB issued Accounting Standards update No. 2010-06 (“ASU 2010-06”) for improving disclosure about fair value measurements.  ASU 2010-06 adds new disclosure requirements about transfers into and out of Levels 1 and 2 and separate disclosures about purchases, sales, issuances and settlements in the reconciliation for fair value measurements using significant unobservable inputs (Level 3).  It also clarifies existing disclosure requirements relating to the levels of disaggregation for fair value measurement and inputs and valuation techniques used to measure fair value.  The amended guidance is effective for financial statements for fiscal years and interim periods beginning after December 15, 2009 except for disclosures about purchases, sales, issuances and settlements in the rollforward of activity in Level 3 fair value measurements, which are effective for fiscal years beginning after December 15, 2010 and for interim periods within those fiscal years.  The adoption of this guidance did not materially impact the Partnership’s financial condition or results of operations.
 
Note 2.   Fair Value Measurements
 
The Partnership follows the provisions of FASB ASC 820, Fair Value Measurements and Disclosures.  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.
 
 
 
13

 
Grant Park Futures Fund Limited Partnership
Notes to Consolidated Financial Statements
(Unaudited)
 

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 based on quoted market prices in an active market.  These financial instruments are classified in Level 1 of the fair value hierarchy.


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 Partnership’s fair value hierarchy for those assets and liabilities measured at fair value on a recurring basis as of March 31, 2010:

Assets
 
Level 1
   
Level 2
   
Level 3
   
Total
 
Equity in brokers’ trading accounts
                       
U.S. Government securities
  $ 99,122,578     $     $     $ 99,122,578  
Futures contracts
    29,979,900                   29,979,900  
Forward contracts
    416,744                   416,744  
Option on futures contracts
    (4,968 )                     (4,968 )
Cash and cash equivalents
                               
Certificates of deposit
          9,026,697             9,026,697  
Commercial paper
    74,744,321                   74,744,321  
Certificates of deposit
          485,149             485,149  
Government-sponsored enterprises
    554,247,941                   554,247,941  
U.S. Government securities
    44,878,812                   44,878,812  
                                 
 
Note 3.   Investment in GP 1, LLC
 
Effective January 1, 2009, the General Partner reallocated the portion of the Partnership’s net assets allocated to Winton Capital Management Limited (“Winton”) to GP 1.  GP 1 allocates the assets invested by the Partnership to Winton through one or more managed accounts, to be traded pursuant to Winton’s Diversified Program, the same trading program Winton previously traded for the Partnership.  GP 1 entered into an advisory agreement with Winton with respect to the managed account which is substantially similar to the Partnership’s previous trading advisory agreement with Winton.  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 the Partnership as a result of this reallocation.  The General Partner of the Partnership is also the Investment Manager of GP 1.
 
Summarized information reflecting the total assets, liabilities and capital for GP 1 is shown in the following table.
 
      March 31, 2009  
Total Assets
  $ 143,012,998  
         
Total Liabilities
    409,644  
         
Total Capital
  $ 142,603,354  
 
 
 
 
14

 
Grant Park Futures Fund Limited Partnership
Notes to Consolidated Financial Statements
(Unaudited)
 
Summarized information reflecting the Partnership’s investment in, and the allocated results of the operations of, GP 1, LLC at March 31, 2009, is shown in the following table.
 
% of
                                         
Partnership’s
         
Fair
   
Net Trading
   
Expenses
   
Net
 
Investment
Liquidity
Net Assets
   
Cost
   
Value
   
Loss
   
Commissions
   
Other
   
Loss
 
Objective
Provision
                                           
  16.6 %   $ 145,343,975     $ 142,603,354     $ (1,604,776 )   $ 1,135,845     $     $ (2,740,621 )
Speculative
trading of
futures contracts,
options on
futures contracts,
forward contracts,
swaps, derivatives
and synthetics
Monthly or at such other times as the Directors may agree
                                                     
                                                     
                                                     
                                                     
                                                     
                                                     

 
Effective April 1, 2009, in accordance with the restructuring of the Partnership, GP 1 is consolidated with the Partnership, as explained in Note 1.
 
Note 4.   Deposits with Brokers
 
The Partnership, through the Trading Companies, deposits assets with brokers subject to Commodity Futures Trading Commission regulations and various exchange and broker requirements.  Margin requirements are satisfied by the deposit of U.S. Treasury bills, 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 through which a portion of its assets are managed by Winton Capital Management, the Partnership had 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 Jersey Limited, Transtrend B.V., Quantitative Investment Management LLC, Revolution Capital Management, LLC and Sunrise Capital Partners, LLC (the “Advisors”) pursuant to which the Advisors acted as the Partnership’s commodity trading advisors.  The Advisors were 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 assets managed by the Advisors to the Partnership’s subsidiary 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 percent 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
 
 
 
15

 
Grant Park Futures Fund Limited Partnership
Notes to Consolidated Financial Statements
(Unaudited)
 
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.  Notwithstanding, the general partnership interest will continue to pay all fees associated with a limited partnership interest.
 
Through March 31, 2009, the Partnership paid 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 and 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 Global 1 Class units, one twelfth of 4.70 percent (4.70 percent annualized) of month-end net assets for Global 2 Class units, one twelfth of 6.45 percent (6.45 percent annualized) of month-end net assets for Global 3 Class units.  Included in the total brokerage commission are amounts paid to the clearing brokers for execution and clearing costs which are reflected in the commissions line of the consolidated statements of operations, and the remaining amounts are management fees paid to the Advisors, compensation to the selling agents and an amount to the General Partner for management services rendered which are reflected in the brokerage commission line on the consolidated statements of operations.
 
Note 7.  Operating Expenses
 
Operating expenses of the Partnership are paid for by the General Partner and reimbursed by the Partnership.  Operating expenses of the Partnership are limited to 0.25 percent per year of the average month-end net assets of the Partnership.
 
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 will pay the applicable early redemption fee.  Legacy 1 Class, Legacy 2 Class, Global 1 Class, Global 2 Class and Global 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, Global 1 Class and Global 2 Class Limited Partners or to Global 3 Class Limited Partners who redeem their units on or after the one-year anniversary of their subscription.  Global 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 related to the Partnership.  Total return is based on the change in value during the period of a theoretical investment made at the beginning of each calendar month during the period.  Individual partner’s ratios may vary from these ratios based on various factors, including and among others, the timing of capital transactions.
 
 
 
16

 
Grant Park Futures Fund Limited Partnership
Notes to Consolidated Financial Statements
(Unaudited)
 
 
   
Three Months Ended March 31,
 
   
2010
   
2009
 
   
(Unaudited)
 
             
Total return – Class A Units
    (3.59 )%     (4.91 )%
Total return – Class B Units
    (3.74 )%     (5.12 )%
Total return-Legacy 1 Class Units
    (3.15 )%     N/A  
Total return-Legacy 2 Class Units
    (3.21 )%     N/A  
Total return-Global 1 Class Units
    (3.75 )%     N/A  
Total return-Global 2 Class Units
    (3.87 )%     N/A  
Total return-Global 3 Class Units
    (4.30 )%     N/A  
Ratios as a percentage of average net asset (1):
               
Interest income (2)
    0.57 %     1.16 %
                 
Expenses prior to incentive fees (2)
    6.77 %     7.27 %
Incentive fees (3)
    0.03 %     0.02 %
Total expenses (2)
    6.80 %     7.29 %
Net investment loss (2) (4)
    (6.20 )%     (6.11 )%
 
(1) Legacy 1 Class, Legacy 2 Class, Global 1 Class, Global 2 Class and Global 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 Partnership for the three months ended March 31, 2010 and 2009 (annualized).
 
The following per unit performance calculations reflect activity related to the Partnership for the three months ended March 31, 2010 and 2009.
 
Class A Units
 
Three Months Ended March 31,
 
   
2010
   
2009
 
   
(Unaudited)
 
Per Unit Performance
   (for unit outstanding throughout the entire period):
           
Net asset value per unit at beginning of period
  $ 1,425.20     $ 1,570.20  
Income (loss) from operations:
               
Net realized and change in unrealized gain (loss) from trading (1)
    (31.42 )     (56.24 )
Expenses net of interest income (1)
    (19.70 )     (20.89 )
Total income (loss) from operations
    (51.12 )     (77.13 )
Net asset value per unit at end of period
  $ 1,374.08     $ 1,493.07  

 
 
17

 
Grant Park Futures Fund Limited Partnership 
Notes to Consolidated Financial Statements 
(Unaudited)
 
Class B Units
 
Three Months Ended March 31,
 
   
2010
   
2009
 
   
(Unaudited)
 
Per Unit Performance
   (for unit outstanding throughout the entire period):
           
Net asset value per unit at beginning of period
  $ 1,224.35     $ 1,358.47  
Income (loss) from operations:
               
Net realized and change in unrealized gain (loss) from trading (1)
    (27.17 )     (48.60 )
Expenses net of interest income (1)
    (18.67 )     (20.89 )
Total income (loss) from operations
    (45.84 )     (69.49 )
Net asset value per unit at end of period
  $ 1,178.51     $ 1,288.98  
                 

 
Legacy 1 Class Units
 
Three Months Ended March 31,
 
   
2010
   
2009
 
   
(Unaudited)
 
Per Unit Performance
   (for unit outstanding throughout the entire period):
           
Net asset value per unit at beginning of period (2)
  $ 966.12     $ N/A  
Income (loss) from operations:
               
Net realized and change in unrealized gain (loss) from trading (1)
    (20.96 )     N/A  
Expenses net of interest income (1)
    (9.50 )     N/A  
Total income (loss) from operations
    (30.46 )     N/A  
Net asset value per unit at end of period
  $ 935.66       N/A  
                 
 

 
Legacy 2 Class Units
 
Three Months Ended March 31,
 
   
2010
   
2009
 
   
(Unaudited)
 
Per Unit Performance
   (for unit outstanding throughout the entire period):
           
Net asset value per unit at beginning of period (2)
  $ 964.54     $ N/A  
Income (loss) from operations:
               
Net realized and change in unrealized gain (loss) from trading (1)
    (20.80 )     N/A  
Expenses net of interest income (1)
    (10.18 )     N/A  
Total income (loss) from operations
    (30.98 )     N/A  
Net asset value per unit at end of period
  $ 933.56       N/A  


 
18

 
Grant Park Futures Fund Limited Partnership 
Notes to Consolidated Financial Statements 
(Unaudited)
 
Global 1 Class Units
 
Three Months Ended March 31,
 
   
2010
   
2009
 
   
(Unaudited)
 
Per Unit Performance
   (for unit outstanding throughout the entire period):
           
Net asset value per unit at beginning of period (2)
  $ 956.82     $ N/A  
Income (loss) from operations:
               
Net realized and change in unrealized gain (loss) from trading (1)
    (26.70 )     N/A  
Expenses net of interest income (1)
    (9.14 )     N/A  
Total income (loss) from operations
    (35.84 )     N/A  
Net asset value per unit at end of period
  $ 920.98       N/A  

 

Global 2 Class Units