Attached files
| file | filename |
|---|---|
| 8-K - FORM 8-K - GRANT PARK FUTURES FUND LIMITED PARTNERSHIP | f8k_082410.htm |
EXHIBIT 99.1
Grant Park Fund Weekly Commentary
For the Week Ended August 20, 2010
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August 20, 2010
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Weekly ROR1
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Month-to-Date ROR1
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Year-to-Date ROR1
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|
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Class A Units
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0.8%
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1.9%
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-5.6%
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|
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Class B Units
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0.8%
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1.9%
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-6.0%
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|
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Legacy 1 Class Units
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0.8%
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2.0%
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-4.5%
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|
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Legacy 2 Class Units
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0.8%
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1.9%
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-4.7%
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Global 1 Class Units
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0.8%
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1.9%
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-4.8%
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Global 2 Class Units
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0.8%
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1.8%
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-5.0%
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|
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Global 3 Class Units
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0.8%
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1.8%
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-6.2%
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S&P 500 Total Return Index2
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-0.7%
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-2.6%
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-2.7%
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Barclays Capital U.S. Long Government Index2
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2.5%
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4.7%
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18.4%
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1
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Subject to independent verification.
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2
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Index is unmanaged and is not available for direct investment. Please see Indices Overview (below) for more information. Weekly RORs are calculated using data acquired through Bloomberg.
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Sector Commentary
Agriculturals/Softs
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Sector/Market
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Price Action
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Cause
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Corn
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Increase
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Supply concerns caused by hot temperatures in the Midwest and by recent news of large international corn sales
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Wheat
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Decrease
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An improved outlook for wheat production following forecasts of rain in key Russian farming regions
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Live cattle
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Increase
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Speculators drove prices higher in anticipation of increased beef demand in the U.S. for the Labor Day holiday
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Grant Park’s longer-term trading advisors are predominantly long the agriculturals/softs sector. Grant Park’s shorter-term trading advisors are also predominantly long the sector.
Currencies
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Sector/Market
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Price Action
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Cause
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Swiss franc
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Increase
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Predicted rise in interest rates by the Swiss National Bank
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Euro
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Decrease
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Decline in the European equity markets
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New Zealand dollar
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Increase
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Elevated demand caused by attractive interest-rate yields on New Zealand debt instruments
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Grant Park’s longer-term trading advisors are predominantly short the currency sector. Grant Park’s shorter-term trading advisors are also predominantly short the sector.
Energy
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Sector/Market
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Price Action
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Cause
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Crude oil
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Decrease
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Near record-breaking U.S. crude oil inventories and weak economic data
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Natural gas
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Decrease
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Mild weather forecasts in the U.S.
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Grant Park’s longer-term trading advisors are predominantly short the energy sector. Grant Park’s shorter-term trading advisors are also predominantly short the sector.
ALL PERFORMANCE REPORTED IS NET OF FEES AND EXPENSES.
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. FUTURES TRADING INVOLVES A HIGH DEGREE OF RISK AND IS NOT SUITABLE FOR ALL INVESTORS. THIS DOES NOT CONSTITUTE AN OFFER OF ANY SECURITY FOR SALE. OFFERING BY PROSPECTUS ONLY.
INFORMATION IN THIS COMMENTARY IS DRAWN FROM VARIOUS SOURCES THAT ARE DEEMED TO BE RELIABLE. HOWEVER, THE INFORMATION IS NOT AUDITED BY DEARBORN CAPITAL. IN ADDITION, DEARBORN CAPITAL DRAWS UPON THIS INFORMATION TO MAKE ITS OWN ASSUMPTIONS WHICH COULD BE CONSIDERED DEARBORN CAPITAL’S OPINION. DEARBORN CAPITAL BELIEVES THAT ANY SUCH STATEMENTS OF OPINION HAVE A REASONABLE BASIS IN FACT.
Equities
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Sector/Market
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Price Action
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Cause
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U.S. equities
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Decrease
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Disappointing economic data in the U.S.; increased U.S. jobless claims estimates; weak U.S. manufacturing data
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European equities
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Decrease
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Reports of recent measures to aid the Greek economy have not yet produced the intended effect
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Nikkei 225 Index
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Decrease
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Beliefs a stronger Japanese yen would have an adverse effect on the nation’s export industries
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Grant Park’s longer-term trading advisors are predominantly long the equities sector. Grant Park’s shorter-term trading advisors are predominantly short the sector.
Fixed Income
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Sector/Market
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Price Action
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Cause
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U.S. Treasury markets
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Increase
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Weakness in the global equity markets
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Bunds
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Increase
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Strong demand during a recent 10-year bund auction
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Grant Park’s longer-term trading advisors are predominantly long the fixed income sector. Grant Park’s shorter-term trading advisors are also predominantly long the sector.
Metals
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Sector/Market
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Price Action
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Cause
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Gold
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Increase
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Safe-haven buying caused by a weak growth outlook for the global economy
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Copper
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Increase
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An unexpected drop in global copper inventories and speculation of continued, increasing Chinese demand for industrial metals
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Grant Park’s longer-term trading advisors are predominantly long the metals sector. Grant Park’s shorter-term trading advisors are predominantly short the sector.
Indices Overview 2
Standard and Poor’s 500 Total Return Index (S&P 500 Index) – A weighted index of the 500 stocks in the S&P 500 Index, which are chosen by Standard and Poor’s based on industry representation, liquidity, and stability. The stocks in the S&P 500 Index are not the 500 largest companies, rather the index is designed to capture the returns of many different sectors of the U.S. economy. The total return calculation includes the price-plus-gross cash dividend return.
Barclays Capital U.S. Long Government Index (formerly Lehman Brothers U.S. Government Index: Long Subset) – A benchmark comprised of the Barclays Capital U.S. Treasury and U.S. Agency indices. The U.S. Long Government Index includes Treasuries (public obligations of the U.S. Treasury that have remaining maturities of more than ten years) and U.S. agency debentures (publicly issued debt of U.S. Government agencies, quasi-federal corporations, and corporate or foreign debt guaranteed by the U.S. Government). The U.S. Government Index is a component of the Barclays Capital U.S. Government Index.
ALL PERFORMANCE REPORTED IS NET OF FEES AND EXPENSES.
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. FUTURES TRADING INVOLVES A HIGH DEGREE OF RISK AND IS NOT SUITABLE FOR ALL INVESTORS. THIS DOES NOT CONSTITUTE AN OFFER OF ANY SECURITY FOR SALE. OFFERING BY PROSPECTUS ONLY.
INFORMATION IN THIS COMMENTARY IS DRAWN FROM VARIOUS SOURCES THAT ARE DEEMED TO BE RELIABLE. HOWEVER, THE INFORMATION IS NOT AUDITED BY DEARBORN CAPITAL. IN ADDITION, DEARBORN CAPITAL DRAWS UPON THIS INFORMATION TO MAKE ITS OWN ASSUMPTIONS WHICH COULD BE CONSIDERED DEARBORN CAPITAL’S OPINION. DEARBORN CAPITAL BELIEVES THAT ANY SUCH STATEMENTS OF OPINION HAVE A REASONABLE BASIS IN FACT.