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8-K - FORM 8-K - GRANT PARK FUTURES FUND LIMITED PARTNERSHIPf8k_041415.htm
EXHIBIT 99.1
 
 
Grant Park Fund Weekly Commentary
For the Week Ended April 10, 2015

Current Month
 
Rolling Performance*
 
Rolling Risk Metrics* (May 2010 – April 2015)
Class
 
Week ROR
MTD
ROR
YTD
ROR
 
1 yr
Ann
ROR
3 yr
Ann
ROR
5 yr
Ann
ROR
10 yr
Ann
ROR
 
Annualized
ROR
Annualized Standard Deviation
Maximum
Drawdown
Sharpe
 Ratio
Sortino Ratio
A
2.1%
1.6%
4.6%
 
19.0%
0.7%
-1.4%
2.6%
 
-1.4%
9.7%
-28.6%
-0.1
-0.2
B**
2.1%
1.6%
4.4%
 
18.4%
0.1%
-2.0%
1.8%
 
-2.0%
9.7%
-29.9%
-0.2
-0.3
Legacy 1***
2.0%
1.6%
5.0%
 
20.8%
2.7%
0.6%
N/A
 
0.6%
9.5%
-23.7%
0.1
0.1
Legacy 2***
2.0%
1.6%
5.0%
 
20.7%
2.5%
0.3%
N/A
 
0.3%
9.5%
-24.4%
0.1
0.1
Global 1***
2.0%
1.6%
5.2%
 
21.7%
3.3%
0.5%
N/A
 
0.5%
9.1%
-21.9%
0.1
0.1
Global 2***
2.0%
1.6%
5.2%
 
21.5%
3.1%
0.3%
N/A
 
0.3%
9.1%
-22.4%
0.1
0.0
Global 3***
2.0%
1.6%
4.7%
 
19.8%
1.5%
-1.4%
N/A
 
-1.4%
9.1%
-26.2%
-0.1
-0.2
                             
S&P 500 Total Return Index****
1.7%
1.7%
2.7%
 
13.8%
17.0%
14.5%
8.4%
 
14.5%
13.0%
-16.3%
1.1
1.8
Barclays Capital U.S. Long Gov Index****
-1.6%
-0.5%
3.4%
 
18.0%
6.0%
9.8%
7.4%
 
9.8%
11.8%
-15.5%
0.8
1.6
*
Performance metrics are calculated using month-to-date performance estimates.  All performance data is subject to verification.
**
Units began trading in August 2003.
***
Units began trading in April 2009.
****
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.
 
Portfolio Positions by Sectors and Markets (Two largest positions within each sector)
 
 
Portfolio for A, B and Legacy units
 
Portfolio for Global units
Sector
Sector
Market
 
Sector
     Market
Exposure
Position
Contract
Exposure
  Position
 
Exposure
Position
Contract
Exposure
Position
COMMODITIES
17%
         
17%
       
Energy
6%
Short
Crude Oil
2.9%
Short
 
6%
Short
Crude Oil
2.9%
Short
Natural Gas
1.1%
Short
 
Natural Gas
1.1%
Short
Grains/Foods
7%
Short
Sugar
1.6%
Short
 
7%
Short
Sugar
1.6%
Short
Live Cattle
1.0%
Long
 
Live Cattle
1.0%
Long
Metals
4%
Short
Aluminum
0.8%
Short
 
4%
Short
Aluminum
0.8%
Short
Gold
0.7%
Short
 
Gold
0.7%
Short
FINANCIALS
83%
         
83%
       
Currencies
22%
Long $
Euro
4.8%
Short
 
22%
Long $
Euro
4.8%
Short
Japanese Yen
2.9%
Short
 
Japanese Yen
3.0%
Short
Equities
36%
Long
S&P 500
7.2%
Long
 
36%
Long
S&P 500
7.3%
Long
Dax Index
3.9%
Long
 
Dax Index
3.9%
Long
Fixed Income
25%
Long
U.S. 10-Year Treasury Notes
2.9%
Long
 
25%
Long
U.S. 10-Year Treasury Notes
2.9%
Long
Long Gilts
2.6%
Long
 
Long Gilts
2.6%
Long

 
Market Commentary (Largest price movements within each sector)
 
Sector/Market
Energy
Crude oil markets finished higher for a fourth-consecutive week as the number of active U.S. drilling rigs continued to fall.  Natural gas markets fell to a 3-year low as forecasts for milder temperatures in the U.S. reduced forecasts for future demand.
Grains/Foods
U.S. grains prices decreased as favorable weather aided forecasts for strong supplies.  Coffee markets fell due to weakness in the Brazilian real.  Sugar markets strengthened, buoyed by weaker-than-expected supply forecasts.
Metals
Gold markets rallied after a disappointing U.S. jobs report fueled speculation the U.S. Federal Reserve would delay raising interest rates.  Base metals markets finished weaker, driven lower by concerns surrounding weak Chinese manufacturing activity.
Currencies
The U.S. dollar strengthened sharply against global counterparts after the most recent FOMC meeting minutes showed some members favor raising interest rates in June.  The British pound moved lower, pressured by bearish U.K. trade data. The Australian dollar moved higher after the Reserve Bank of Australia decided to keep interest rates unchanged.
Equities
European equity markets continued to rise on speculation the ECB's accommodative policy from the will support Eurozone growth.  U.S. equity markets finished higher as an increase in corporate M&A activity and strength in the U.S. energy sector prompted buying.  In Japan, the Nikkei 225 index surged to a new 15-year high because of speculation the Bank of Japan will continue to take steps to support Japanese growth.
Fixed Income
U.S. Treasury prices declined after a smaller-than-expected increase in weekly jobless claims data supported a stronger U.S. employment outlook.  Strength in the equity markets also played a role in driving fixed-income markets lower.


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.