Attached files
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| 8-K - FORM 8-K - GRANT PARK FUTURES FUND LIMITED PARTNERSHIP | f8k_021815.htm |
EXHIBIT 99.1
Grant Park Fund Weekly Commentary
For the Week Ended February 13, 2015
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Current Month
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Rolling Performance*
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Rolling Risk Metrics* (March 2010 – February 2015)
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Class
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Week
ROR
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MTD
ROR
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YTD
ROR
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1 yr
Ann
ROR
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3 yr
Ann
ROR
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5 yr
Ann
ROR
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10 yr
Ann
ROR
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Annualized
ROR
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Annualized Standard Deviation
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Maximum
Drawdown
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Sharpe
Ratio
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Sortino Ratio
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|||
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A
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0.0%
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-2.0%
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0.8%
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11.5%
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-1.3%
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-1.0%
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1.6%
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-1.0%
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9.9%
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-28.6%
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0.0
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-0.1
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|||
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B**
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0.0%
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-2.0%
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0.7%
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11.0%
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-1.9%
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-1.6%
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0.9%
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-1.6%
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9.9%
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-29.9%
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-0.1
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-0.2
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|||
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Legacy 1***
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0.1%
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-1.8%
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1.0%
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13.4%
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0.8%
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1.0%
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N/A
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1.0%
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9.8%
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-23.7%
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0.2
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0.1
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|||
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Legacy 2***
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0.1%
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-1.9%
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1.0%
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13.4%
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0.6%
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0.7%
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N/A
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0.7%
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9.7%
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-24.4%
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0.1
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0.1
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|||
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Global 1***
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0.1%
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-1.8%
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1.1%
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14.3%
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1.4%
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0.8%
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N/A
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0.8%
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9.3%
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-21.9%
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0.1
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0.1
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|||
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Global 2***
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0.1%
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-1.8%
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1.1%
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14.1%
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1.2%
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0.5%
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N/A
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0.5%
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9.3%
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-22.4%
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0.1
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0.1
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|||
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Global 3***
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0.1%
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-1.9%
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0.9%
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12.5%
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-0.5%
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-1.2%
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N/A
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-1.2%
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9.3%
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-26.2%
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-0.1
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-0.2
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S&P 500 Total Return Index****
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2.1%
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5.3%
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2.1%
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15.0%
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17.8%
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16.1%
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7.9%
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16.1%
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13.1%
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-16.3%
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1.2
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2.0
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Barclays Capital U.S. Long Gov Index****
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-1.7%
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-5.8%
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2.1%
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19.8%
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5.7%
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9.7%
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7.6%
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9.7%
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12.0%
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-15.5%
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0.8
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1.5
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*
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Performance metrics are calculated using month-to-date performance estimates. All performance data is subject to verification.
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**
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Units began trading in August 2003.
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***
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Units began trading in April 2009.
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****
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Index is unmanaged & 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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Portfolio Positions by Sectors and Markets (Two largest positions within each sector)
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Portfolio for A, B and Legacy units
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Portfolio for Global units
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Sector
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Sector
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Market
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Sector
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Market
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Exposure
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Position
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Contract
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Exposure
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Position
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Exposure
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Position
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Contract
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Exposure
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Position
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COMMODITIES
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25%
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25%
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Energy
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12%
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Short
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Crude Oil
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2.8%
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Short
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12%
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Short
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Brent Crude Oil
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2.8%
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Short
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Brent Crude Oil
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2.8%
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Short
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Crude Oil
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2.8%
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Short
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Grains/Foods
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8%
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Short
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Soybeans
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1.5%
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Long
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8%
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Short
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Soybeans
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1.5%
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Long
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Sugar
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1.1%
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Short
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Sugar
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1.0%
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Short
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Metals
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5%
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Short
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Copper
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1.5%
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Short
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5%
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Short
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Copper
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1.5%
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Short
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Silver
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0.9%
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Long
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Silver
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0.9%
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Long
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FINANCIALS
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75%
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75%
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Currencies
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19%
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Long $
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Euro
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5.3%
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Short
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19%
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Long $
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Euro
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5.3%
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Short
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Japanese Yen
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4.2%
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Short
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Japanese Yen
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4.2%
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Short
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Equities
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31%
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Long
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S&P 500
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7.5%
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Long
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31%
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Long
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S&P 500
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7.5%
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Long
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ASX SPI 200 Index
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2.7%
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Long
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ASX SPI 200 Index
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2.7%
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Long
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Fixed Income
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25%
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Long
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U.S. 10-Year Treasury Notes
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4.8%
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Long
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25%
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Long
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U.S. 10-Year Treasury Notes
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4.8%
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Long
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||
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Long Gilts
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3.3%
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Long
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Long Gilts
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3.3%
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Long
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Market Commentary (Largest price movements within each sector)
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Sector/Market
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Energy
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Crude oil markets continued to rise due to forecasts for weaker supplies following data which showed a decline in U.S. drilling activity. Natural gas markets also moved higher, as cold temperatures in the U.S. created increased demand for heating fuel. Weakness in the U.S. dollar also helped to drive energy prices higher.
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Grains/Foods
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Wheat prices finished higher based on concerns the upcoming cold weather will damage crops. Soybean prices also rose, supported by increased demand from Chinese buyers. Cocoa prices increased and reached a 3-week high due to weaker-than-expected supply data from West Africa.
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Metals
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Gold markets fell after the U.S. dollar strengthened on uncertainty concerning the outcome of the negotiations surrounding Greek debt restructuring. Base metals markets moved higher as the cease-fire agreement between Ukraine and Russia fostered beliefs Eurozone industrial demand may improve.
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Currencies
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The U.S. dollar was volatile and finished lower after a ceasefire in Ukraine was announced and in anticipation the Greek government can avoid defaulting on its debt obligations. Weaker-than-expected U.S. retail sales and U.S. employment data also played a role in driving the dollar lower. The British pound rose over 1% after Bank of England reports supported an improved outlook for the U.K. economy.
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Equities
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European equity markets rallied on news of the ceasefire in Ukraine and renewed optimism surrounding the Greek economy. U.S. equity markets moved higher and reached new all-time highs due to beliefs recent weak economic data could delay a potential interest rate hike by the U.S. Federal Reserve. In Japan, the Nikkei 225 Index rose to a 7-year high because of better-than-expected industrial production data.
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Fixed Income
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U.S. Treasury markets weakened due to strong gains in the equity sector and bullish prospects from the Eurozone. German Bund markets finished slightly higher due to buying from Eurozone investors attempting to hedge against a breakdown during negotiations surrounding Greek debt.
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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. FUTURES TRADING INVOLVES A HIGH DEGREE OF RISK, INCLUDING LIQUIDITY RISKS, NO SECONDARY MARKET EXISTS, RESTRICTIONS ON REDEMPTIONS, AND THE RISK OF FOREIGN SECURITIES. 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.
Performance Chart
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.
Compounded Annualized Rate of Return (ROR): This is the geometric 12-month mean that assumes the same rate of return for each 12-month period to arrive at the equivalent compound growth rate reflected in the actual return data.
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.
Risk Metrics Chart
Drawdown: A drawdown is any losing period during an investment’s performance history. It is defined as the percent retrenchment from an equity peak to an equity valley. Maximum drawdown is simply the largest percentage drawdown that has occurred during the specified time frame. Grant Park’s drawdowns are computed based on month-end equity values.
Sharpe Ratio: A return/risk measure defined as the average incremental return of an investment over the risk free rate.
Sortino Ratio: A ratio developed to differentiate between good and bad volatility. The calculation provides a risk-adjusted measure of performance without penalizing for upward price changes.
Standard Deviation: Measures the dispersal or uncertainty in a random variable (in this case, investment returns). It measures the degree of variation of returns around the mean, or average, return. The higher the volatility of the investment returns, the higher the standard deviation will be. For this reason, standard deviation is often used as a measure of investment risk.
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. FUTURES TRADING INVOLVES A HIGH DEGREE OF RISK, INCLUDING LIQUIDITY RISKS, NO SECONDARY MARKET EXISTS, RESTRICTIONS ON REDEMPTIONS, AND THE RISK OF FOREIGN SECURITIES. 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.