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Table of Contents

 

 

 

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

 

FORM 10-Q

 

x      QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934

 

For the Quarterly Period Ended:  June 30, 2014

 

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 x 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 x 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 x

 

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 x

 

 

 



Table of Contents

 

GRANT PARK FUTURES FUND LIMITED PARTNERSHIP

 

QUARTER ENDED JUNE 30, 2014

 

INDEX

 

PART I - FINANCIAL INFORMATION

 

 

 

Item 1. Financial Statements

 

 

 

Consolidated Statements of Financial Condition as of June 30, 2014 (unaudited) and December 31, 2013 (audited)

1

 

 

Consolidated Condensed Schedule of Investments as of June 30, 2014 (unaudited)

2

 

 

Consolidated Condensed Schedule of Investments as of December 31, 2013 (audited)

4

 

 

Consolidated Statements of Operations for the three and six months ended June 30, 2014 and 2013 (Unaudited)

6

 

 

Consolidated Statements of Changes in Partners’ Capital (Net Asset Value) for the six months ended June 30, 2014 and 2013 (unaudited)

7

 

 

Notes to Consolidated Financial Statements (unaudited)

9

 

 

Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations

25

 

 

Item 3. Quantitative and Qualitative Disclosures About Market Risk

33

 

 

Item 4. Controls and Procedures

37

 

 

PART II - OTHER INFORMATION

 

 

 

Item 1A. Risk Factors

37

 

 

Item 2. Unregistered Sales of Equity Securities and Use of Proceeds

37

 

 

Item 6. Exhibits

39

 

 

SIGNATURES

40

CERTIFICATIONS

 

 



Table of Contents

 

PART I - FINANCIAL INFORMATION

 

Item 1.  Financial Statements

 

Grant Park Futures Fund Limited Partnership

Consolidated Statements of Financial Condition

 

 

 

June 30,

 

December 31,

 

 

 

2014

 

2013

 

 

 

(Unaudited)

 

 

 

Assets

 

 

 

 

 

Equity in brokers’ trading accounts:

 

 

 

 

 

Cash

 

$

62,267,567

 

$

54,216,191

 

Unrealized gain (loss) on open contracts, net

 

10,866,763

 

25,510,118

 

Total equity in brokers’ trading accounts

 

73,134,330

 

79,726,309

 

Cash and cash equivalents

 

35,401,952

 

147,776,512

 

Securities owned, at fair value (cost $247,634,091 and $241,686,422, respectively)

 

247,946,854

 

242,024,612

 

Interest receivable

 

316

 

20,055

 

Total assets

 

$

356,483,452

 

$

469,547,488

 

 

 

 

 

 

 

Liabilities and Partners’ Capital (Net Asset Value)

 

 

 

 

 

Liabilities

 

 

 

 

 

Brokerage commission payable

 

$

1,916,034

 

$

2,719,686

 

Accrued incentive fees

 

834,656

 

1,167,218

 

Organization and offering costs payable

 

86,113

 

113,427

 

Accrued operating expenses

 

74,106

 

97,632

 

Pending limited partner additions

 

171,000

 

161,400

 

Redemptions payable to limited partners

 

27,276,586

 

17,916,116

 

Total liabilities

 

30,358,495

 

22,175,479

 

 

 

 

 

 

 

Partners’ Capital (Net Asset Value)

 

 

 

 

 

General Partner

 

 

 

 

 

Class A (307.34 and 763.99 units outstanding at June 30, 2014 and December 31, 2013, respectively)

 

341,984

 

893,603

 

Legacy 1 Class (1,025.00 units outstanding at both June 30, 2014 and December 31, 2013)

 

848,377

 

882,283

 

Legacy 2 Class (263.13 and 1,000.00 units outstanding at June 30, 2014 and December 31, 2013, respectively)

 

214,256

 

847,762

 

Global 1 Class (1,372.89 units outstanding at both June 30, 2014 and December 31, 2013)

 

1,104,659

 

1,146,701

 

Global 2 Class (1,329.58 and 1,974.70 units outstanding at June 30, 2014 and December 31, 2013, respectively)

 

1,053,409

 

1,626,069

 

Limited Partners

 

 

 

 

 

Class A (13,855.35 and 17,492.46 units outstanding at June 30, 2014 and December 31, 2013, respectively)

 

15,416,931

 

20,460,216

 

Class B (179,815.74 and 222,772.45 units outstanding at June 30, 2014 and December 31, 2013, respectively)

 

167,041,677

 

218,187,750

 

Legacy 1 Class (2,372.81 and 3,313.23 units outstanding at June 30, 2014 and December 31, 2013, respectively)

 

1,963,938

 

2,851,909

 

Legacy 2 Class (1,684.71 and 5,130.96 units outstanding at June 30, 2014 and December 31, 2013, respectively)

 

1,371,782

 

4,349,828

 

Global 1 Class (5,294.50 and 9,938.76 units outstanding at June 30, 2014 and December 31, 2013, respectively)

 

4,260,061

 

8,301,280

 

Global 2 Class (9,075.47 and 17,903.21 units outstanding at June 30, 2014 and December 31, 2013, respectively)

 

7,190,376

 

14,742,440

 

Global 3 Class (173,756.55 and 228,934.56 units outstanding at June 30, 2014 and December 31, 2013, respectively)

 

125,317,507

 

173,082,168

 

Total partners’ capital (net asset value)

 

326,124,957

 

447,372,009

 

Total liabilities and partners’ capital (net asset value)

 

$

356,483,452

 

$

469,547,488

 

 

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

 

1



Table of Contents

 

Grant Park Futures Fund Limited Partnership

Consolidated Condensed Schedule of Investments

June 30, 2014

(Unaudited)

 

Futures and Forwards Contracts

 

 

Unrealized
gain/(loss) on
open long
contracts

 

Percent of
Partners’
Capital (Net
Asset Value)

 

Unrealized
gain/(loss) on
open short
contracts

 

Percent of
Partners’
Capital (Net
Asset Value)

 

Net unrealized
gain/(loss) on
open contracts

 

Percent of
Partners’
Capital (Net
Asset Value)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Futures Contracts *

 

 

 

 

 

 

 

 

 

 

 

 

 

U.S. Futures Positions:

 

 

 

 

 

 

 

 

 

 

 

 

 

Agriculturals

 

$

(765,328

)

(0.23

)%

$

967,511

 

0.30

%

$

202,183

 

0.07

%

Currencies

 

$

2,880,539

 

0.88

%

$

(1,194,793

)

(0.37

)%

$

1,685,746

 

0.51

%

Energy

 

$

69,712

 

0.02

%

$

12,082

 

0.00

%

$

81,794

 

0.02

%

Interest rates

 

$

480,323

 

0.15

%

$

(34,173

)

(0.01

)%

$

446,150

 

0.14

%

Meats

 

$

2,158,896

 

0.66

%

$

 

(0.00

)%

$

2,158,896

 

0.66

%

Metals

 

$

395,675

 

0.12

%

$

(289,519

)

(0.09

)%

$

106,156

 

0.03

%

Soft commodities

 

$

16,223

 

0.00

%

$

348,924

 

0.11

%

$

365,147

 

0.11

%

Stock indices and single stock futures

 

$

1,288,951

 

0.40

%

$

70,082

 

0.02

%

$

1,359,033

 

0.42

%

Total U.S. Futures Positions

 

$

6,524,991

 

 

 

$

(119,886

)

 

 

$

6,405,105

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Foreign Futures Positions:

 

 

 

 

 

 

 

 

 

 

 

 

 

Agriculturals

 

$

(1,284

)

(0.00

)%

$

7,912

 

0.00

%

$

6,628

 

0.00

%

Energy

 

$

554,576

 

0.17

%

$

(1,398

)

(0.00

)%

$

553,178

 

0.17

%

Interest rates

 

$

3,696,049

 

1.13

%

$

(85,450

)

(0.03

)%

$

3,610,599

 

1.10

%

Metals

 

$

2,542,565

 

0.78

%

$

(2,844,590

)

(0.87

)%

$

(302,025

)

(0.09

)%

Soft commodities

 

$

14,066

 

0.00

%

$

679

 

0.00

%

$

14,745

 

0.00

%

Stock indices

 

$

115,171

 

0.04

%

$

431

 

0.00

%

$

115,602

 

0.04

%

Total Foreign Futures Positions

 

$

6,921,143

 

 

 

$

(2,922,416

)

 

 

$

3,998,727

 

 

 

Total Futures Contracts

 

$

13,446,134

 

4.13

%

$

(3,042,302

)

(0.94

)%

$

10,403,832

 

3.19

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Forward Contracts *

 

 

 

 

 

 

 

 

 

 

 

 

 

Currencies

 

$

828,991

 

0.25

%

$

(366,060

)

(0.11

)%

$

462,931

 

0.14

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Futures and Forward Contracts

 

$

14,275,125

 

4.38

%

$

(3,408,362

)

(1.05

)%

$

10,866,763

 

3.33

%

 


*  No individual futures and forward contract position constituted greater than 1 percent of partners’ capital (net asset value). Accordingly, the number of contracts and expiration dates are not presented.

 

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

 

2



Table of Contents

 

Grant Park Futures Fund Limited Partnership

Consolidated Condensed Schedule of Investments (continued)

June 30, 2014

(Unaudited)

 

Securities owned

 

U.S. Bank deposits

 

 

 

 

 

 

 

 

 

Percent of Partners’ Capital

 

Face Value

 

Maturity Date

 

Description

 

Fair Value

 

(net asset value)

 

$

10,000,000

 

11/28/2014

 

U.S. Certificates of deposit, 0.4% (cost of $10,000,000)

 

$

10,013,667

 

3.07

%

 

U.S. Commercial paper

 

 

 

 

 

 

 

 

 

Percent of Partners’ Capital

 

Face Value

 

Maturity Date

 

Description

 

Fair Value

 

(net asset value)

 

$

2,660,000

 

10/1/2014

 

U.S. Commercial paper, 0.2% (cost of $2,658,271)

 

$

2,658,640

 

0.82

%

 

U.S. Government-sponsored enterprises

 

 

 

 

 

 

 

 

 

Percent of Partners’ Capital

 

Face Value

 

Maturity Dates

 

Description

 

Fair Value

 

(net asset value)

 

$

122,450,000

 

8/27/2014-7/15/2016

 

Federal Farm Credit Banks, 0.2-0.9%

 

$

122,491,685

 

37.56

%

$

80,000,000

 

2/28/2017-6/30/2017

 

Federal Home Loan Banks, 0.9-1.2%

 

80,155,813

 

24.58

%

Total U.S. Government-sponsored enterprises (cost of $202,432,729)

 

$

202,647,498

 

62.14

%

 

Corporate Bonds

 

 

 

 

 

 

 

 

 

Percent of Partners’ Capital

 

Face Value

 

Maturity Dates

 

Description

 

Fair Value

 

(net asset value)

 

 

 

 

 

 

 

 

 

 

 

$

3,542,000

 

11/14/2014-2/3/2015

 

Foreign corporate bonds, 0.6-0.8% **

 

$

3,569,239

 

1.09

%

$

28,073,000

 

7/15/2014-1/15/2016

 

U.S. corporate bonds, 0.6-1.1% **

 

29,057,810

 

8.91

%

Total Corporate bonds (cost of $32,543,091)

 

$

32,627,049

 

10.00

%

 

 

 

 

 

Percent of Partners’ Capital

 

 

 

Fair Value

 

(net asset value)

 

Total securities owned

 

$

247,946,854

 

76.03

%

 


** No individual position constituted greater than 1 percent of partners’ capital (net asset value).

 

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

 

3



Table of Contents

 

Grant Park Futures Fund Limited Partnership

Consolidated Condensed Schedule of Investments

December 31, 2013

 

Futures, Forwards and Options on Futures and Forward Contracts

 

 

 

Unrealized
gain/(loss) on
open long
contracts

 

Percent of
Partners’ Capital
(Net Asset Value)

 

Unrealized
gain/(loss) on
open short
contracts

 

Percent of
Partners’
Capital (Net
Asset Value)

 

Net unrealized
gain/(loss) on
open contracts

 

Percent of
Partners’
Capital (Net
Asset Value)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Futures Contracts *

 

 

 

 

 

 

 

 

 

 

 

 

 

U.S. Futures Positions:

 

 

 

 

 

 

 

 

 

 

 

 

 

Agriculturals

 

$

(672,421

)

(0.15

)%

$

2,790,891

 

0.62

%

$

2,118,470

 

0.47

%

Currencies

 

$

2,379,330

 

0.53

%

$

4,686,390

 

1.05

%

$

7,065,720

 

1.58

%

Energy

 

$

(117,375

)

(0.02

)%

$

(69,658

)

(0.02

)%

$

(187,033

)

(0.04

)%

Interest rates

 

$

(198,405

)

(0.04

)%

$

828,434

 

0.19

%

$

630,029

 

0.15

%

Meats

 

$

(19,547

)

(0.00

)%

$

30,940

 

0.01

%

$

11,393

 

0.01

%

Metals

 

$

53,375

 

0.01

%

$

1,645,510

 

0.37

%

$

1,698,885

 

0.38

%

Soft commodities

 

$

16,517

 

0.00

%

$

23,094

 

0.01

%

$

39,611

 

0.01

%

Stock indices and single stock futures

 

$

5,467,944

 

1.22

%

$

14,419

 

0.00

%

$

5,482,363

 

1.22

%

Total U.S. Futures Positions

 

$

6,909,418

 

 

 

$

9,950,020

 

 

 

$

16,859,438

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Foreign Futures Positions:

 

 

 

 

 

 

 

 

 

 

 

 

 

Agriculturals

 

$

9,069

 

0.00

%

$

37,257

 

0.01

%

$

46,326

 

0.01

%

Energy

 

$

180,496

 

0.04

%

$

14,027

 

0.00

%

$

194,523

 

0.04

%

Interest rates

 

$

(1,550,167

)

(0.35

)%

$

1,080,501

 

0.24

%

$

(469,666

)

(0.11

)%

Metals

 

$

(685,660

)

(0.15

)%

$

(787,648

)

(0.18

)%

$

(1,473,308

)

(0.33

)%

Soft commodities

 

$

(1,921

)

(0.00

)%

$

(614

)

(0.00

)%

$

(2,535

)

(0.00

)%

Stock indices

 

$

9,588,632

 

2.14

%

$

(76,992

)

(0.02

)%

$

9,511,640

 

2.12

%

Total Foreign Futures Positions

 

$

7,540,449

 

 

 

$

266,531

 

 

 

$

7,806,980

 

 

 

Total Futures Contracts

 

$

14,449,867

 

3.23

%

$

10,216,551

 

2.28

%

$

24,666,418

 

5.51

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Forward Contracts *

 

 

 

 

 

 

 

 

 

 

 

 

 

Currencies

 

$

799,760

 

0.18

%

$

(64,142

)

(0.01

)%

$

735,618

 

0.17

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Options on Futures and Forward Contracts *

 

 

 

 

 

 

 

 

 

 

 

 

 

Currencies

 

$

100,190

 

0.02

%

$

(7,546

)

(0.00

)%

$

92,644

 

0.02

%

Interest rates

 

$

15,438

 

0.00

%

$

 

(0.00

)%

$

15,438

 

0.00

%

Total Options on Futures and Forward Contracts

 

$

115,628

 

0.02

%

$

(7,546

)

(0.00

)%

$

108,082

 

0.02

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Futures, Forward and Options on Futures and Forward Contracts

 

$

15,365,255

 

3.43

%

$

10,144,863

 

2.27

%

$

25,510,118

 

5.70

%

 


*            No individual futures, forward, and options on futures and forward contract position constituted greater than 1 percent of partners’ capital (net asset value). Accordingly, the number of contracts and expiration dates are not presented.

 

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

 

4



Table of Contents

 

Grant Park Futures Fund Limited Partnership

Consolidated Condensed Schedule of Investments (continued)

December 31, 2013

 

Securities owned

 

U.S. Government-sponsored enterprises

 

 

 

 

 

 

 

 

 

Percent of Partners’ Capital

 

Face Value

 

Maturity Dates

 

Description

 

Fair Value

 

(net asset value)

 

$

132,450,000

 

8/27/2014-10/7/2016

 

Federal Farm Credit Banks, 0.2-0.9%

 

$

132,509,255

 

29.62

%

$

25,000,000

 

7/29/2016-9/27/2016

 

Federal Home Loan Banks, 1-1.2%

 

25,088,017

 

5.61

%

Total U.S. Government-sponsored enterprises (cost of $157,435,063)

 

$

157,597,272

 

35.23

%

 

Corporate Bonds

 

 

 

 

 

 

 

 

 

Percent of Partners’ Capital

 

Face Value

 

Maturity Dates

 

Description

 

Fair Value

 

(net asset value)

 

 

 

 

 

 

 

 

 

 

 

$

17,122,000

 

1/15/2014-2/3/2015

 

Foreign corporate bonds, 0.6-1.4% **

 

$

17,538,526

 

3.92

%

$

54,702,000

 

1/15/2014-1/15/2016

 

U.S. corporate bonds, 0.5-1.5% **

 

56,890,467

 

12.72

%

Total Corporate bonds (cost of $74,253,167)

 

$

74,428,993

 

16.64

%

 

U.S. Government securities

 

 

 

 

 

 

 

 

 

 

Percent of Partners’ Capital

 

 

Face Value

 

Maturity Date

 

Description

 

Fair Value

 

(net asset value)

 

 

 

 

 

 

 

 

 

 

 

 

 

$

10,000,000

 

3/27/2014

 

U.S. Treasury Bill, 0.1% (cost of $9,998,192)

 

$

9,998,347

 

2.23

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Percent of Partners’ Capital

 

 

 

Fair Value

 

(net asset value)

 

Total securities owned

 

$

242,024,612

 

54.10

%

 


** No individual position constituted greater than 1 percent of partners’ capital (net asset value).

 

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

 

5



Table of Contents

 

Grant Park Futures Fund Limited Partnership

Consolidated Statements of Operations

 

 

 

Three Months Ended

 

Six Months Ended

 

 

 

June 30,

 

June 30,

 

 

 

2014

 

2013

 

2014

 

2013

 

 

 

(Unaudited)

 

(Unaudited)

 

Net trading gains (losses)

 

 

 

 

 

 

 

 

 

Net gain (loss) from futures and forward trading

 

 

 

 

 

 

 

 

 

Realized

 

$

9,168,598

 

$

(15,812,188

)

$

6,683,229

 

$

(7,305,220

)

Change in unrealized

 

3,917,871

 

(1,700,992

)

(14,563,988

)

772,399

 

Commissions

 

(1,377,490

)

(2,206,864

)

(2,949,782

)

(4,584,767

)

Net gains (losses) from futures and forward trading

 

11,708,979

 

(19,720,044

)

(10,830,541

)

(11,117,588

)

Net investment income (loss)

 

 

 

 

 

 

 

 

 

Income

 

 

 

 

 

 

 

 

 

Interest income

 

269,383

 

286,037

 

574,787

 

633,067

 

Expenses from operations

 

 

 

 

 

 

 

 

 

Brokerage commission

 

4,726,865

 

8,267,826

 

10,073,413

 

17,200,745

 

Incentive fees

 

834,656

 

21,370

 

835,439

 

339,819

 

Organizational and offering costs

 

266,669

 

426,157

 

570,955

 

884,713

 

Operating expenses

 

229,582

 

367,811

 

491,631

 

764,128

 

Total expenses

 

6,057,772

 

9,083,164

 

11,971,438

 

19,189,405

 

Net investment loss

 

$

(5,788,389

)

$

(8,797,127

)

$

(11,396,651

)

$

(18,556,338

)

Net income (loss)

 

$

5,920,590

 

$

(28,517,171

)

$

(22,227,192

)

$

(29,673,926

)

 

 

 

 

 

 

 

 

 

 

Net income (loss) per unit (based on weighted average number of units outstanding during the period) and increase (decrease) in net asset value per unit for the period:

 

 

 

 

 

 

 

 

 

General Partner & Limited Partner Class A Units

 

$

17.76

 

$

(59.60

)

$

(56.95

)

$

(62.38

)

General Partner & Limited Partner Class B Units

 

$

13.59

 

$

(51.75

)

$

(50.46

)

$

(55.65

)

General Partner & Limited Partner Legacy 1 Class Units

 

$

17.23

 

$

(38.33

)

$

(33.07

)

$

(35.47

)

General Partner & Limited Partner Legacy 2 Class Units

 

$

16.54

 

$

(38.32

)

$

(33.50

)

$

(35.95

)

General Partner & Limited Partner Global 1 Class Units

 

$

17.98

 

$

(35.74

)

$

(30.62

)

$

(31.67

)

General Partner & Limited Partner Global 2 Class Units

 

$

17.24

 

$

(35.78

)

$

(31.16

)

$

(32.28

)

General Partner & Limited Partner Global 3 Class Units

 

$

12.76

 

$

(36.55

)

$

(34.80

)

$

(36.63

)

 

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

 

6



Table of Contents

 

Grant Park Futures Fund Limited Partnership

Consolidated Statements of Changes in Partners’ Capital (Net Asset Value)

Six Months Ended June 30, 2014

(Unaudited)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Class A

 

Class B

 

Legacy 1 Class

 

Legacy 2 Class

 

 

 

General Partner

 

Limited Partners

 

General Partner

 

Limited Partners

 

General Partner

 

Limited Partners

 

General Partner

 

Limited Partners

 

 

 

Number

 

 

 

Number

 

 

 

Number

 

 

 

Number

 

 

 

Number

 

 

 

Number

 

 

 

Number

 

 

 

Number

 

 

 

 

 

of Units

 

Amount

 

of Units

 

Amount

 

of Units

 

Amount

 

of Units

 

Amount

 

of Units

 

Amount

 

of Units

 

Amount

 

of Units

 

Amount

 

of Units

 

Amount

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Partners’ capital, (net asset value) December 31, 2013

 

763.99

 

$

893,603

 

17,492.46

 

$

20,460,216

 

 

$

 

222,772.45

 

$

218,187,750

 

1,025.00

 

$

882,283

 

3,313.23

 

$

2,851,909

 

1,000.00

 

$

847,762

 

5,130.96

 

$

4,349,828

 

Contributions

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

8.26

 

7,000

 

Redemptions

 

(456.65

)

(500,000

)

(3,637.11

)

(4,012,108

)

 

 

(42,956.71

)

(39,774,299

)

 

 

(940.42

)

(773,397

)

(736.87

)

(600,000

)

(3,454.51

)

(2,793,836

)

Net income (loss)

 

 

(51,619

)

 

(1,031,177

)

 

 

 

(11,371,774

)

 

(33,906

)

 

(114,574

)

 

(33,506

)

 

(191,210

)

Partners’ capital, (net asset value) June 30, 2014

 

307.34

 

$

341,984

 

13,855.35

 

$

15,416,931

 

 

$

 

179,815.74

 

$

167,041,677

 

1,025.00

 

$

848,377

 

2,372.81

 

$

1,963,938

 

263.13

 

$

214,256

 

1,684.71

 

$

1,371,782

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net asset value per unit at December 31, 2013

 

 

 

$

1,169.66

 

 

 

 

 

 

 

$

979.42

 

 

 

 

 

 

 

$

860.76

 

 

 

 

 

 

 

$

847.76

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net asset value per unit at June 30, 2014

 

 

 

$

1,112.71

 

 

 

 

 

 

 

$

928.96

 

 

 

 

 

 

 

$

827.69

 

 

 

 

 

 

 

$

814.26

 

 

 

 

 

 

 

 

Global 1 Class

 

Global 2 Class

 

Global 3 Class

 

 

 

 

 

General Partner

 

Limited Partners

 

General Partner

 

Limited Partners

 

General Partner

 

Limited Partners

 

 

 

 

 

Number

 

 

 

Number

 

 

 

Number

 

 

 

Number

 

 

 

Number

 

 

 

Number

 

 

 

Total

 

 

 

of Units

 

Amount

 

of Units

 

Amount

 

of Units

 

Amount

 

of Units

 

Amount

 

of Units

 

Amount

 

of Units

 

Amount

 

Amount

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Partners’ capital, (net asset value) December 31, 2013

 

1,372.89

 

$

1,146,701

 

9,938.76

 

$

8,301,280

 

1,974.70

 

$

1,626,069

 

17,903.21

 

$

14,742,440

 

 

$

 

228,934.56

 

$

173,082,168

 

$

447,372,009

 

Contributions

 

 

 

86.84

 

68,380

 

 

 

25.61

 

20,500

 

 

 

3,037.04

 

2,188,700

 

2,284,580

 

Redemptions

 

 

 

(4,731.10

)

(3,741,162

)

(645.12

)

(500,000

)

(8,853.35

)

(6,923,051

)

 

 

(58,215.05

)

(41,686,587

)

(101,304,440

)

Net income (loss)

 

 

(42,042

)

 

(368,437

)

 

(72,660

)

 

(649,513

)

 

 

 

(8,266,774

)

(22,227,192

)

Partners’ capital, (net asset value) June 30, 2014

 

1,372.89

 

$

1,104,659

 

5,294.50

 

$

4,260,061

 

1,329.58

 

$

1,053,409

 

9,075.47

 

$

7,190,376

 

 

$

 

173,756.55

 

$

125,317,507

 

$

326,124,957

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net asset value per unit at December 31, 2013

 

 

 

$

835.24

 

 

 

 

 

 

 

$

823.45

 

 

 

 

 

 

 

$

756.03

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net asset value per unit at June 30, 2014

 

 

 

$

804.62

 

 

 

 

 

 

 

$

792.29

 

 

 

 

 

 

 

$

721.23

 

 

 

 

 

 

 

 

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

 

7



Table of Contents

 

Grant Park Futures Fund Limited Partnership

Consolidated Statements of Changes in Partners’ Capital (Net Asset Value) (continued)

Six Months Ended June 30, 2013

(Unaudited)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Class A

 

Class B

 

Legacy 1 Class

 

Legacy 2 Class

 

 

 

General Partner

 

Limited Partners

 

General Partner

 

Limited Partners

 

General Partner

 

Limited Partners

 

General Partner

 

Limited Partners

 

 

 

Number

 

 

 

Number

 

 

 

Number

 

 

 

Number

 

 

 

Number

 

 

 

Number

 

 

 

Number

 

 

 

Number

 

 

 

 

 

of Units

 

Amount

 

of Units

 

Amount

 

of Units

 

Amount

 

of Units

 

Amount

 

of Units

 

Amount

 

of Units

 

Amount

 

of Units

 

Amount

 

of Units

 

Amount

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Partners’ capital, (net asset value) December 31, 2012

 

2,499.78

 

$

3,040,653

 

25,707.33

 

$

31,269,640

 

 

$

 

322,257.31

 

$

330,303,791

 

1,025.00

 

$

897,998

 

4,395.66

 

$

3,851,016

 

1,000.00

 

$

864,602

 

12,793.52

 

$

11,061,307

 

Contributions

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

493.95

 

426,064

 

Redemptions

 

(839.54

)

(1,000,000

)

(4,039.33

)

(4,857,922

)

 

 

(40,666.29

)

(41,174,199

)

 

 

(532.94

)

(469,317

)

 

 

(3,072.07

)

(2,636,258

)

Net income (loss)

 

 

(124,753

)

 

(1,407,097

)

 

 

 

(16,178,438

)

 

(36,357

)

 

(134,604

)

 

(35,952

)

 

(386,119

)

Partners’ capital, (net asset value) June 30, 2013

 

1,660.24

 

$

1,915,900

 

21,668.00

 

$

25,004,621

 

 

$

 

281,591.02

 

$

272,951,154

 

1,025.00

 

$

861,641

 

3,862.72

 

$

3,247,095

 

1,000.00

 

$

828,650

 

10,215.40

 

$

8,464,994

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net asset value per unit at December 31, 2012

 

 

 

$

1,216.37

 

 

 

 

 

 

 

$

1,024.97

 

 

 

 

 

 

 

$

876.10

 

 

 

 

 

 

 

$

864.60

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net asset value per unit at June 30, 2013

 

 

 

$

1,153.99

 

 

 

 

 

 

 

$

969.32

 

 

 

 

 

 

 

$

840.63

 

 

 

 

 

 

 

$

828.65

 

 

 

 

 

 

 

 

Global 1 Class

 

Global 2 Class

 

Global 3 Class

 

 

 

 

 

General Partner

 

Limited Partners

 

General Partner

 

Limited Partners

 

General Partner

 

Limited Partners

 

 

 

 

 

Number

 

 

 

Number

 

 

 

Number

 

 

 

Number

 

 

 

Number

 

 

 

Number

 

 

 

Total

 

 

 

of Units

 

Amount

 

of Units

 

Amount

 

of Units

 

Amount

 

of Units

 

Amount

 

of Units

 

Amount

 

of Units

 

Amount

 

Amount

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Partners’ capital, (net asset value) December 31, 2012

 

1,372.89

 

$

1,160,812

 

12,449.60

 

$

10,526,414

 

1,974.70

 

$

1,649,835

 

27,930.65

 

$

23,335,702

 

 

$

 

280,522.12

 

$

218,778,280

 

$

636,740,050

 

Contributions

 

 

 

1,018.42

 

864,871

 

 

 

2,207.89

 

1,845,847

 

 

 

20,350.70

 

15,837,880

 

18,974,662

 

Redemptions

 

 

 

(1,196.43

)

(1,013,188

)

 

 

(4,908.10

)

(4,066,162

)

 

 

(34,995.74

)

(26,974,356

)

(82,191,402

)

Net income (loss)

 

 

(43,480

)

 

(390,839

)

 

(63,748

)

 

(850,174

)

 

 

 

(10,022,365

)

(29,673,926

)

Partners’ capital, (net asset value) June 30, 2013

 

1,372.89

 

$

1,117,332

 

12,271.59

 

$

9,987,258

 

1,974.70

 

$

1,586,087

 

25,230.44

 

$

20,265,213

 

 

$

 

265,877.08

 

$

197,619,439

 

$

543,849,384

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net asset value per unit at December 31, 2012

 

 

 

$

845.52

 

 

 

 

 

 

 

$

835.49

 

 

 

 

 

 

 

$

779.90

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net asset value per unit at June 30, 2013

 

 

 

$

813.85

 

 

 

 

 

 

 

$

803.21

 

 

 

 

 

 

 

$

743.27