GRANT PARK FUTURES FUND LIMITED PARTNERSHIP - FORM 10-Q

GRANT PARK FUTURES FUND LIMITED PARTNERSHIP - FORM 10-Q - May 15, 2015

Attached files

Attached files

GRANT PARK FUTURES FUND LIMITED PARTNERSHIP Reports

file	filename
EX-32.1 - EX-32.1 - GRANT PARK FUTURES FUND LIMITED PARTNERSHIP	a15-6928_1ex32d1.htm
EX-31.2 - EX-31.2 - GRANT PARK FUTURES FUND LIMITED PARTNERSHIP	a15-6928_1ex31d2.htm
EX-31.1 - EX-31.1 - GRANT PARK FUTURES FUND LIMITED PARTNERSHIP	a15-6928_1ex31d1.htm
EXCEL - IDEA: XBRL DOCUMENT - GRANT PARK FUTURES FUND LIMITED PARTNERSHIP	Financial_Report.xls

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: March 31, 2015

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.
555 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 MARCH 31, 2015

INDEX

PART I - FINANCIAL INFORMATION

Item 1.	Financial Statements

	Consolidated Statements of Financial Condition as of March 31, 2015 (unaudited) and December 31, 2014 (audited)	1

	Consolidated Condensed Schedule of Investments as of March 31, 2015 (unaudited)	2

	Consolidated Condensed Schedule of Investments as of December 31, 2014 (audited)	4

	Consolidated Statements of Operations for the three months ended March 31, 2015 and 2014 (Unaudited)	6

	Consolidated Statements of Changes in Partners’ Capital (Net Asset Value) for the three months ended March 31, 2015 and 2014 (unaudited)	7

	Notes to Consolidated Financial Statements (unaudited)	9

Item 2.	Management’s Discussion and Analysis of Financial Condition and Results of Operations	26

Item 3.	Quantitative and Qualitative Disclosures About Market Risk	32

Item 4.	Controls and Procedures	36

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

	March 31,			December 31,
	2015			2014
	(Unaudited)
Assets
Equity in brokers’ trading accounts:
Securities owned, at fair value (cost $12,393,731)	$	12,399,728		$	12,395,634
Cash	19,547,977			3,436,216
Net unrealized gain (loss) on open futures contracts	6,933,945			11,549,467
Total equity in brokers’ trading accounts	38,881,650			27,381,317
Cash and cash equivalents	161,795,310			173,204,949
Securities owned, at fair value (cost $105,186,129 and $111,958,454, respectively)	105,429,824			112,187,759
Net unrealized gain (loss) on open forward currency contracts	(438,811		)	(181,222		)
Interest receivable, net	38,011			31,132
Total assets	$	305,705,984		$	312,623,935
Liabilities and Partners’ Capital (Net Asset Value)
Liabilities
Brokerage charge payable	$	1,606,940		$	1,679,754
Accrued incentive fees	2,827,993			5,188,240
Organization and offering costs payable	73,143			74,324
Accrued operating expenses	63,177			64,150
Pending limited partner additions	497,000			115,000
Redemptions payable to limited partners	5,689,611			6,973,279
Total liabilities	10,757,864			14,094,747
Partners’ Capital (Net Asset Value)
General Partner
Class A (307.34 units outstanding at both March 31, 2015 and December 31, 2014)	394,648			383,435
Legacy 1 Class (1,025.00 units outstanding at both March 31, 2015 and December 31, 2014)	991,255			958,529
Legacy 2 Class (263.13 units outstanding at both March 31, 2015 and December 31, 2014)	250,277			242,148
Global 1 Class (1,372.89 units outstanding at both March 31, 2015 and December 31, 2014)	1,298,524			1,253,774
Global 2 Class (1,329.58 units outstanding at both March 31, 2015 and December 31, 2014,	1,236,834			1,194,874

Limited Partners
Class A (12,034.73 and 12,125.34 units outstanding at March 31, 2015 and December 31, 2014, respectively)	15,453,243			15,127,238
Class B (151,468.55 and 155,869.84 units outstanding at March 31, 2015 and December 31, 2014, respectively)	161,713,697			161,924,013
Legacy 1 Class (1,755.65 and 1,802.74 units outstanding at March 31, 2015 and December 31, 2014, respectively)	1,697,855			1,685,836
Legacy 2 Class (678.52 and 724.42 units outstanding at March 31, 2015 and December 31, 2014, respectively)	645,368			666,651
Global 1 Class (15,251.05 and 9,206.57 units outstanding at March 31, 2015 and December 31, 2014, respectively)	14,424,895			8,407,766
Global 2 Class (5,087.01 and 5,196.84 units outstanding at March 31, 2015 and December 31, 2014, respectively)	4,732,155			4,670,326
Global 3 Class (109,950.13 and 125,561.73 units outstanding at March 31, 2015 and December 31, 2014, respectively)	92,109,369			102,014,598
Total partners’ capital (net asset value)	294,948,120			298,529,188
Total liabilities and partners’ capital (net asset value)	$	305,705,984		$	312,623,935

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

Table of Contents

Grant Park Futures Fund Limited Partnership

Consolidated Condensed Schedule of Investments

March 31, 2015

(Unaudited)

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	$	(312,292	)	(0.11	)%	$	108,319		0.04	%	$	(203,973	)	(0.07	)%
Currencies	$	(3,115	)	(0.00	)%	$	206,864		0.07	%	$	203,749		0.07	%
Energy	$	(43,944	)	(0.01	)%	$	437,048		0.15	%	$	393,104		0.14	%
Interest rates	$	1,996,746		0.67	%	$	(65,438	)	(0.02	)%	$	1,931,308		0.65	%
Meats	$	47,295		0.02	%	$	35,173		0.01	%	$	82,468		0.03	%
Metals	$	(15,050	)	(0.01	)%	$	(231,355	)	(0.08	)%	$	(246,405	)	(0.09	)%
Soft commodities	$	(1,500	)	(0.00	)%	$	1,254,857		0.43	%	$	1,253,357		0.43	%
Stock indices and single stock futures	$	(156,035	)	(0.05	)%	$	(23,773	)	(0.01	)%	$	(179,808	)	(0.06	)%
Total U.S. Futures Positions	$	1,512,105				$	1,721,695				$	3,233,800

Foreign Futures Positions:
Agriculturals	$	980		0.00	%	$	1,979		0.00	%	$	2,959		0.00	%
Energy	$	—		(0.00	)%	$	137,411		0.05	%	$	137,411		0.05	%
Interest rates	$	2,879,648		0.98	%	$	(13,719	)	(0.00	)%	$	2,865,929		0.98	%
Metals	$	208,588		0.07	%	$	(480,813	)	(0.16	)%	$	(272,225	)	(0.09	)%
Soft commodities	$	(67,385	)	(0.02	)%	$	30,943		0.01	%	$	(36,442	)	(0.01	)%
Stock indices	$	990,962		0.35	%	$	11,551		0.00	%	$	1,002,513		0.35	%
Total Foreign Futures Positions	$	4,012,793				$	(312,648	)			$	3,700,145
Total Futures Contracts	$	5,524,898		1.87	%	$	1,409,047		0.48	%	$	6,933,945		2.35	%

Forward Contracts *
Currencies	$	(31,146	)	(0.01	)%	$	(407,665	)	(0.14	)%	$	(438,811	)	(0.15	)%

Total Futures and Forward Contracts	$	5,493,752		1.86	%	$	1,001,382		0.34	%	$	6,495,134		2.20	%

* No individual futures or 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.

Table of Contents

Grant Park Futures Fund Limited Partnership

Consolidated Condensed Schedule of Investments (continued)

March 31, 2015

(Unaudited)

U.S. Government securities in brokers’ trading accounts**

						Percent of Partners’ Capital
Face Value		Maturity Date	Description	Fair Value		(net asset value)
$	12,400,000	6/18/2015	U.S. Treasury Bills, 0.1% (cost of $12,393,731)	$	12,399,728	4.20	%

Securities owned

U.S. Government-sponsored enterprises

						Percent of Partners’ Capital
Face Value		Maturity Date	Description	Fair Value		(net asset value)
$	20,000,000	7/21/2017-10/23/2017	Federal Farm Credit Banks, 1.1%	$	20,070,417	6.80	%
$	70,233,333	3/27/2017-3/29/2018	Federal Home Loan Banks, 1.0-1.4%	70,369,113		23.86	%
$	5,000,000	12/22/2017-1/8/2018	Farmer Mac Callable Note, 1.3%	5,016,705		1.70	%
Total U.S. Government-sponsored enterprises (cost of $95,233,333)				$	95,456,235	32.36	%

Commercial paper

						Percent of Partners’ Capital
Face Value		Maturity Date	Description	Fair Value		(net asset value)

$	5,300,000	5/1/2015	U.S. Commercial paper, 0.4%	$	5,298,278	1.80	%
$	2,584,000	4/10/2015	Foreign Commercial paper, 0.4%	2,583,693		0.88	%
Total Commercial paper (cost of $7,872,782)***				$	7,881,971	2.68	%

Corporate Bonds

						Percent of Partners’ Capital
Face Value		Maturity Dates	Description	Fair Value		(net asset value)

$	2,000,000	10/1/2015	U.S. Corporate bonds, 1.1% (cost of $2,080,014)	$	2,091,618	0.71	%

			Percent of Partners’ Capital
	Fair Value		(net asset value)
Total securities owned	$	105,429,824	35.75	%

**Pledged as collateral for the trading of futures and forward contracts.

*** 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.

Table of Contents

Grant Park Futures Fund Limited Partnership

Consolidated Condensed Schedule of Investments

December 31, 2014

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	$	(211,896	)	(0.07	)%	$	(18,577	)	(0.01	)%	$	(230,473	)	(0.08	)%
Currencies	$	52,169		0.02	%	$	1,925,431		0.64	%	$	1,977,600		0.66	%
Energy	$	(308,415	)	(0.10	)%	$	1,437,870		0.48	%	$	1,129,455		0.38	%
Interest rates	$	360,243		0.12	%	$	(58,553	)	(0.02	)%	$	301,690		0.10	%
Meats	$	(136,100	)	(0.05	)%	$	42,279		0.01	%	$	(93,821	)	(0.04	)%
Metals	$	(20,303	)	(0.01	)%	$	428,534		0.14	%	$	408,231		0.13	%
Soft commodities	$	(50,394	)	(0.01	)%	$	850,654		0.28	%	$	800,260		0.27	%
Stock indices and single stock futures	$	873,633		0.29	%	$	(76,935	)	(0.02	)%	$	796,698		0.27	%
Total U.S. Futures Positions	$	558,937				$	4,530,703				$	5,089,640

Foreign Futures Positions:
Agriculturals	$	3,862		0.00	%	$	(962	)	(0.00	)%	$	2,900		0.00	%
Energy	$	1,536		0.00	%	$	1,641,340		0.55	%	$	1,642,876		0.55	%
Interest rates	$	4,365,656		1.46	%	$	(39,414	)	(0.01	)%	$	4,326,242		1.45	%
Metals	$	(1,449,798	)	(0.48	)%	$	1,267,292		0.42	%	$	(182,506	)	(0.06	)%
Soft commodities	$	12,861		0.00	%	$	7,155		0.00	%	$	20,016		0.00	%
Stock indices	$	728,296		0.24	%	$	(77,997	)	(0.02	)%	$	650,299		0.22	%
Total Foreign Futures Positions	$	3,662,413				$	2,797,414				$	6,459,827
Total Futures Contracts	$	4,221,350		1.41	%	$	7,328,117		2.46	%	$	11,549,467		3.87	%

Forward Contracts *
Currencies	$	357,025		0.12	%	$	(538,247	)	(0.18	)%	$	(181,222	)	(0.06	)%

Total Futures and Forward Contracts	$	4,578,375		1.53	%	$	6,789,870		2.28	%	$	11,368,245		3.81	%

* No individual futures or 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.

Table of Contents

Grant Park Futures Fund Limited Partnership

Consolidated Condensed Schedule of Investments (continued)

December 31, 2014

U.S. Government securities in brokers’ trading accounts**

						Percent of Partners’ Capital
Face Value		Maturity Date	Description	Fair Value		(net asset value)
$	12,400,000	6/18/2015	U.S. Treasury Bills, 0.1% (cost of $12,393,731)	$	12,395,634	4.15	%

Securities owned

U.S. Government-sponsored enterprises

						Percent of Partners’ Capital
Face Value		Maturity Dates	Description	Fair Value		(net asset value)
$	20,000,000	7/21/2017-10/23/2017	Federal Farm Credit Banks, 1.1%	$	20,069,167	6.72	%
$	66,700,000	3/27/2017-12/19/2017	Federal Home Loan Banks, 1-1.3%	66,813,621		22.38	%
$	2,500,000	12/22/2017	Federal Agricultural Mortgage Corp., 1.3%	2,500,837		0.84	%
Total U.S. Government-sponsored enterprises (cost of $89,200,000)				$	89,383,625	29.94	%

Corporate Bonds

						Percent of Partners’ Capital
Face Value		Maturity Dates	Description	Fair Value		(net asset value)
$	1,542,000	2/3/2015	Foreign corporate bonds, 0.8%	$	1,553,227	0.52	%
$	10,283,000	1/15/2015-10/1/2015	U.S. corporate bonds, 0.7-1.1%	10,563,619		3.54	%
Total Corporate bonds (cost of $12,077,022) ***				$	12,116,846	4.06	%

Commercial paper

						Percent of Partners’ Capital
Face Value		Maturity Dates	Description	Fair Value		(net asset value)

$	2,584,000	4/10/2015	Foreign commercial paper, 0.5%	$	2,580,625	0.86	%
$	8,110,000	2/6/2015-2/23/2015	U.S. commercial paper, 0.3-0.4%	8,106,663		2.72	%
Total Commercial paper (cost of $10,681,432) ***				$	10,687,288	3.58	%

**Pledged as collateral for the trading of futures and forward contracts.

*** 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.

Table of Contents

Grant Park Futures Fund Limited Partnership

Consolidated Statements of Operations

	Three Months Ended
	March 31,
	2015			2014
	(Unaudited)
Net trading gains (losses)
Net gain (loss) from futures trading
Realized	$	21,735,994		$	(845,120	)
Change in unrealized	(4,615,522		)	(18,652,704		)
Commissions	(1,148,318		)	(1,572,292		)
Net gains (losses) from futures trading	15,972,154			(21,070,116		)

Net gain (loss) from forward trading
Realized	(43,760		)	(1,640,249		)
Change in unrealized	(257,589		)	170,845
Net gains (losses) from forward trading	(301,349		)	(1,469,404		)

Net trading gains (losses)	$	15,670,805		$	(22,539,520	)

Net investment income (loss)
Income
Interest income	349,733			305,404
Expenses from operations
Brokerage charge	3,958,848			5,346,548
Incentive fees	2,854,760			783
Organizational and offering costs	221,638			304,286
Operating expenses	191,386			262,049
Total expenses	7,226,632			5,913,666
Net investment loss	$	(6,876,899	)	$	(5,608,262	)
Net income (loss)	$	8,793,906		$	(28,147,782	)

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	$	36.49		$	(74.71	)
General Partner & Limited Partner Class B Units	$	28.80		$	(64.05	)
General Partner & Limited Partner Legacy 1 Class Units	$	31.93		$	(50.30	)
General Partner & Limited Partner Legacy 2 Class Units	$	30.89		$	(50.04	)
General Partner & Limited Partner Global 1 Class Units	$	32.59		$	(48.60	)
General Partner & Limited Partner Global 2 Class Units	$	31.55		$	(48.40	)
General Partner & Limited Partner Global 3 Class Units	$	25.27		$	(47.56	)

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

Table of Contents

Grant Park Futures Fund Limited Partnership

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

Three Months Ended March 31, 2015

(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 of			Number of					Number of			Number of					Number of			Number of					Number of			Number of
	Units	Amount		Units		Amount			Units	Amount		Units		Amount			Units	Amount		Units		Amount			Units	Amount		Units		Amount

Partners’ capital, (net asset value) December 31, 2014	307.34	$	383,435	12,125.34		$	15,127,238		—	$	—	155,869.84		$	161,924,013		1,025.00	$	958,529	1,802.74		$	1,685,836		263.13	$	242,148	724.42		$	666,651
Contributions	—	—		—		—			—	—		—		—			—	—		—		—			—	—		—		—
Redemptions	—	—		(90.61	)	(116,046		)	—	—		(4,401.29	)	(4,694,684		)	—	—		(47.09	)	(45,362		)	—	—		(45.90	)	(43,442		)
Net income (loss)	—	11,213		—		442,051			—	—		—		4,484,368			—	32,726		—		57,381			—	8,129		—		22,159
Partners’ capital, (net asset value) March 31, 2015	307.34	$	394,648	12,034.73		$	15,453,243		—	$	—	151,468.55		$	161,713,697		1,025.00	$	991,255	1,755.65		$	1,697,855		263.13	$	250,277	678.52		$	645,368

Net asset value per unit at December 31, 2014		$	1,247.57							$	1,038.84							$	935.15							$	920.26

Net asset value per unit at March 31, 2015		$	1,284.06							$	1,067.64							$	967.08							$	951.15

	Global 1 Class								Global 2 Class								Global 3 Class
	General Partner			Limited Partners					General Partner			Limited Partners					General Partner			Limited Partners
	Number of			Number of					Number of			Number of					Number of			Number of					Total
	Units	Amount		Units		Amount			Units	Amount		Units		Amount			Units	Amount		Units		Amount			Amount

Partners’ capital, (net asset value) December 31, 2014	1,372.89	$	1,253,774	9,206.57		$	8,407,766		1,329.58	$	1,194,874	5,196.84		$	4,670,326		—	$	—	125,561.73		$	102,014,598		$	298,529,188
Contributions	—	—		7,243.58		6,686,019			—	—		—		—			—	—		735.49		610,653			7,296,672
Redemptions	—	—		(1,199.10	)	(1,129,413		)	—	—		(109.83	)	(101,684		)	—	—		(16,347.09	)	(13,541,015		)	(19,671,646		)
Net income (loss)	—	44,750		—		460,523			—	41,960		—		163,513			—	—		—		3,025,133			8,793,906
Partners’ capital, (net asset value) March 31, 2015	1,372.89	$	1,298,524	15,251.05		$	14,424,895		1,329.58	$	1,236,834	5,087.01		$	4,732,155		—	$	—	109,950.13		$	92,109,369		$	294,948,120

Net asset value per unit at December 31, 2014		$	913.24							$	898.69							$	812.47

Net asset value per unit at March 31, 2015		$	945.83							$	930.24							$	837.74

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

Table of Contents

Grant Park Futures Fund Limited Partnership

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

Three Months Ended March 31, 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 of					Number of					Number of			Number of					Number of				Number of					Number of				Number of
	Units		Amount			Units		Amount			Units	Amount		Units		Amount			Units	Amount			Units		Amount			Units	Amount			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		)	(1,090.04	)	(1,196,880		)	—	—		(19,000.29	)	(17,616,417		)	—	—			(410.06	)	(335,299		)	—	—			(1,297.21	)	(1,044,766		)
Net income (loss)	—		(57,075		)	—		(1,303,476		)	—	—		—		(14,044,107		)	—	(51,563		)	—		(163,705		)	—	(50,040		)	—		(247,211		)
Partners’ capital, (net asset value) March 31, 2014	307.34		$	336,528		16,402.42		$	17,959,860		—	$	—	203,772.16		$	186,527,226		1,025.00	$	830,720		2,903.17		$	2,352,905		1,000.00	$	797,722		3,842.01		$	3,064,851

Net asset value per unit at December 31, 2013			$	1,169.66								$	979.42							$	860.76								$	847.76

Net asset value per unit at March 31, 2014			$	1,094.95								$	915.37							$	810.46								$	797.72

	Global 1 Class									Global 2 Class										Global 3 Class
	General Partner				Limited Partners					General Partner					Limited Partners					General Partner			Limited Partners
	Number of				Number of					Number of					Number of					Number of			Number of					Total
	Units	Amount			Units		Amount			Units		Amount			Units		Amount			Units	Amount		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	—	—			3.10		2,500			—		—			25.61		20,500			—	—		1,469.75		1,069,400			1,099,400
Redemptions	—	—			(3,014.23	)	(2,375,755		)	(645.12	)	(500,000		)	(5,147.60	)	(4,015,130		)	—	—		(21,894.02	)	(15,679,312		)	(43,263,559		)
Net income (loss)	—	(66,732		)	—		(478,499		)	—		(95,575		)	—		(841,692		)	—	—		—		(10,748,107		)	(28,147,782		)
Partners’ capital, (net asset value) March 31, 2014	1,372.89	$	1,079,969		6,927.63		$	5,449,526		1,329.58		$	1,030,494		12,781.22		$	9,906,118		—	$	—	208,510.29		$	147,724,149		$	377,060,068

Net asset value per unit at December 31, 2013		$	835.24									$	823.45								$	756.03

Net asset value per unit at March 31, 2014		$	786.64									$	775.05								$	708.47

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

Table of Contents

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 terminated sooner 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. The Partnership is a registrant with the Securities and Exchange Commission (“SEC”), and, accordingly 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 engages in the speculative trading of futures and forward contracts for commodities, financial instruments or currencies, any rights pertaining thereto and any options thereon, or on physical commodities, equities, listed options, and broad based exchange-traded funds. The Partnership may also engage in hedge, arbitrage and cash trading of commodities and futures.

The Partnership is a multi-advisor commodity 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, 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 5, LLC (“GP 5”)	GP 9, LLC (“GP 9”)	GP 15, LLC (“GP 15”)
GP 3, LLC (“GP 3”)	GP 6, LLC (“GP 6”)	GP 11, LLC (“GP 11”)	GP 17, LLC (“GP 17”)
GP 4, LLC (“GP 4”)	GP 8, LLC (“GP 8”)	GP 14, LLC (“GP 14”)	GP 18, LLC (“GP 18”)

There were no assets allocated to GP 3, GP 5, GP 6 and GP 15 as of March 31, 2015 and December 31, 2014.

Additionally, GP Cash Management, LLC (“GP Cash Management”) 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 are the Trading Companies.

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 brokerage charge payable to the General Partner.

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 charge and organization and offering 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. The Global 1 Class, Global 2 Class and Global 3 Class units differ in respect to the General Partner’s brokerage charge. The Global 1 Class and Global 2 Class units are offered only to investors in wrap accounts.

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Grant Park Futures Fund Limited Partnership

Notes to Consolidated Financial Statements

(Unaudited)

The Partnership’s significant accounting policies are as follows:

Pursuant to rules and regulations of the SEC, audited consolidated financial statements are prepared in conformity with U.S. generally accepted accounting principles (“U.S. GAAP”) as established by the Financial Accounting Standards Board (“FASB”) to ensure consistent reporting of financial condition and results of operations.

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. The Partnership presents consolidated financial statements, which include the accounts of the Trading Companies and GP Cash Management. All material inter-company accounts and transactions are eliminated in consolidation.

Use of estimates: The preparation of financial statements in conformity with U.S. GAAP 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 may include cash, overnight investments, commercial paper, U.S. treasury bills and short-term investments in interest-bearing demand deposits with banks and cash managers with original maturities of three months or less at the date of acquisition.

Valuation of investments: All investments are used for trading purposes and recorded at their estimated fair value, as described in Note 2.

Investment transactions, investment income and expenses: Futures contracts, forward contracts and options on futures and forward contracts are recorded on a trade date basis and realized gains or losses are recognized when contracts/positions are liquidated. Unrealized gains or losses on open contracts/positions (the difference between contract trade price and market price) or securities 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. Interest income and expense is recognized under the accrual basis.

Set forth in Note 10 are instruments and transactions eligible for offset in the consolidated statement of financial condition and which are subject to derivative clearing agreements with the Partnership’s clearing brokers. Each clearing broker nets margin held on behalf of the Partnership or payment obligations of the clearing broker to the Partnership against any payment obligations of the Partnership to the clearing broker. The Partnership is required to deposit margin at each clearing broker to meet the original and maintenance requirements established by that clearing broker, and/or the exchange or clearinghouse associated with the exchange on which the instrument is traded. The derivative clearing agreements give each clearing broker a security interest in this margin to secure any liabilities owed to the clearing broker arising from a default by the Partnership.

Commissions: Commissions and other trading fees are reflected separately in the consolidated statement of operations.

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. FASB guidance requires the evaluation of tax positions taken or expected to be taken in the course of preparing the Partnership’s tax returns to determine whether the tax positions are more-likely-than-not” of being sustained “when challenged” or “when examined” by the applicable tax authority. Tax positions not deemed to meet the more-likely-than-not threshold would be recorded as a tax benefit or expense and liability in the current year. As of March 31, 2015, management has determined that there are no material uncertain income tax positions and, accordingly, has not recorded a liability. The Partnership is generally not subject to examination by U.S. federal or state taxing authorities for tax years before 2011.

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Grant Park Futures Fund Limited Partnership

Notes to Consolidated Financial Statements

(Unaudited)

Organization and offering costs: All expenses incurred in connection with the organization and the 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. In its discretion, the General Partner may require the Partnership to reimburse the General Partner in any subsequent calendar year for amounts that exceed the limits in Note 5 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 ongoing public offering expenses are charged to expense from operations at the time of reimbursement or accrual. Any amounts reimbursed by the Partnership with respect to organizational 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, 2015 and December 31, 2014, 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.

The Partnership does not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from fluctuations arising from changes in market prices of securities held. Such fluctuations are included with the net realized or unrealized gain or loss from investments.

Reclassification: Certain amounts in the 2014 consolidated financial statements have been reclassified to conform with the 2015 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. The Partnership noted that as of and for the period ended March 31, 2015 and 2014, substantially all investments were highly liquid, all investments are carried at fair value, the Partnership carried no debt, and the statements of changes in partners’ capital (net asset value) is presented.

Recently adopted accounting pronouncements: In August 2014, the FASB issued ASU 2014-15 — Presentation of Financial Statement — Going Concern (Subtopic 205-40) containing guidance on management’s responsibility in evaluating whether there is substantial doubt about a company’s ability to continue as a going concern and about related footnote disclosures. The guidance is effective for annual periods ending after December 15, 2016, and interim periods within annual periods beginning after December 15, 2016. The Partnership is currently evaluating the impact this pronouncement would have on its consolidated financial statements.

Note 2. Fair Value Measurements

As described in Note 1, the Partnership follows the provisions of FASB ASC 820, Fair Value Measurements and Disclosures. 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 Partnership utilizes valuation techniques to maximize the use of observable inputs and minimize the use of unobservable inputs. Assets and liabilities recorded at fair value are categorized within the fair value hierarchy based upon the level of judgment associated with the inputs used to measure their value. 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 as assumptions market participants would use in pricing an asset or liability. The three levels of the fair value hierarchy 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.

Level 3. Inputs that are unobservable for the asset or liability. The Partnership does not have any assets classified as Level 3.

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.

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Grant Park Futures Fund Limited Partnership

Notes to Consolidated Financial Statements

(Unaudited)

Fair value of exchange-traded futures contracts and options on futures contracts are based upon exchange settlement prices as of the last business day of the reporting period. These financial instruments are classified in Level 1 of the fair value hierarchy. The Partnership values forward contracts and options on forward contracts based on the average bid and ask price of quoted forward spot prices obtained as of the last business day of the reporting period, and forward contracts and options on forward contracts are classified in Level 2.

The Partnership values bank deposits, which consist of interest bearing demand deposits and are included in cash and cash equivalents in the statements of financial condition, at face value plus accrued interest, which approximates fair value based on prevailing interest rates, and these financial instruments are classified in Level 1 of the fair value hierarchy.

U.S. Government securities, U.S. Government-sponsored enterprise securities and commercial paper are stated at cost plus accrued interest, which approximates fair value based on quoted market prices in an active market. The Partnership compares market prices quoted by dealers to the cost plus accrued interest to ensure a reasonable approximation of fair value. These securities are classified in Level 2 of the fair value hierarchy.

The Partnership values corporate bonds at cost plus accrued interest, which approximates fair value. Corporate bonds purchased are of a high credit quality and have observable market price quotations. The fair value of corporate bonds is evaluated considering market prices of the issuer quoted by dealers. Corporate bonds 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, 2015:

Assets	Level 1		Level 2			Level 3		Total
Equity in brokers’ trading accounts
U.S. Government securities	$	—	$	12,399,728		$	—	$	12,399,728
U.S. and foreign futures contracts	6,933,945		—			—		6,933,945
Cash and cash equivalents
Bank deposits	2,654,053		—			—		2,654,053
Foreign commercial paper	—		10,002,404			—		10,002,404
U.S. Commercial paper	—		140,584,861			—		140,584,861
Securities owned
U.S. Government-sponsored enterprises	—		95,456,235			—		95,456,235
Foreign commercial paper			2,583,693					2,583,693
U.S. Commercial paper	—		5,298,278			—		5,298,278
Corporate bonds	—		2,091,618			—		2,091,618
Forward currency contracts	—		(438,811		)	—		(438,811		)
Total	$	9,587,998	$	267,978,006		$	—	$	277,566,004

The gross presentation of the fair value of the Partnership’s derivatives by contract type is shown in Note 10. See the consolidated condensed schedule of investments for additional detail categorization.

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 December 31, 2014:

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Grant Park Futures Fund Limited Partnership

Notes to Consolidated Financial Statements

(Unaudited)

Assets	Level 1		Level 2			Level 3		Total
Equity in brokers’ trading accounts
U.S. Government securities	$	—	$	12,395,634		$	—	$	12,395,634
U.S. and foreign futures contracts	11,549,467		—			—		11,549,467
Cash and cash equivalents
Bank deposits	6,163,896		—			—		6,163,896
Foreign commercial paper	—		18,301,948			—		18,301,948
U.S. Commercial paper	—		136,220,051			—		136,220,051
Securities owned
Foreign commercial paper			2,580,625					2,580,625
U.S. commercial paper	—		8,106,663			—		8,106,663
U.S. Government-sponsored enterprises	—		89,383,625			—		89,383,625
Foreign corporate bonds	—		1,553,227			—		1,553,227
U.S. corporate bonds	—		10,563,619			—		10,563,619
Forward currency contracts	—		(181,222		)	—		(181,222		)
Total	$	17,713,363	$	278,924,170		$	—	$	296,637,533

The Partnership assesses the level of the investments at each measurement date, and transfers between levels are recognized on the actual date of the event or change in circumstances that caused the transfer in accordance with the Partnership’s accounting policy regarding the recognition of transfers between levels of the fair value hierarchy. The Partnership believes that these transfers reflect a better classification of the instruments based on the lack of Level 1 inputs available and market activity levels of the securities described above. There was no effect on the consolidated statement of operations for year the ended December 31, 2014. There were no transfers among Levels 1, 2 and 3 during the three months ended March 31, 2015 and year ended December 31, 2014.

Note 3. Deposits with Brokers

The Partnership, through the Trading Companies, deposits assets with clearing brokers subject to CFTC regulations and various exchange and broker requirements. Margin requirements may be satisfied by the deposit of U.S. Treasury bills, Government- sponsored enterprise securities and/or cash with such clearing brokers. The Partnership earns interest income on its assets deposited with the clearing brokers.

Note 4. Commodity Trading Advisors

The Partnership, through the Trading Companies, allocates assets to the commodity trading advisors. Each Trading Company has entered into an advisory contract with its own Advisor. The commodity trading advisors are Amplitude Capital International Limited (“Amplitude”), EMC Capital Advisors, LLC (“EMC”), Lynx Asset Management AB (“Lynx”), Quantica Capital AG (“Quantica”), Rabar Market Research, Inc. (“Rabar”), Revolution Capital Management, LLC (“RCM”), Transtrend B.V. (“Transtrend”) and Winton Capital Management Limited (“Winton”) (collectively, the “Advisors”). The Advisors are paid a consulting fee, either monthly or quarterly, ranging from 0 percent to 2 percent per annum of the Partnership’s month-end allocated net assets and a quarterly or semi-annual incentive fee ranging from 20 percent to 23.5 percent of the new trading profits on the allocated net assets of the Advisor.

Note 5. 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

Table of Contents

Grant Park Futures Fund Limited Partnership

Notes to Consolidated Financial Statements

(Unaudited)

the Partnership) plus 5 percent of the Units being offered for sale in the Partnership; or (ii) $50,000; or such other amount satisfying 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 Partners limited partnership interest in the 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.

The Partnership pays the General Partner a monthly brokerage charge, organization and offering costs and operating expenses as presented in the table below:

			Organization and Offering
	Brokerage charge*		Reimbursement*		Operating Expense*
Class A units	7.00	%	0.10	%	0.25	%
Class B units	7.45	%	0.30	%	0.25	%
Legacy 1 Class units	4.50	%	0.30	%	0.25	%
Legacy 2 Class units	4.75	%	0.30	%	0.25	%
Global 1 Class units	3.95	%	0.30	%	0.25	%
Global 2 Class units	4.20	%	0.30	%	0.25	%
Global 3 Class units	5.95	%	0.30	%	0.25	%

*The fees are 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.

Included in the total brokerage charge 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 charge line on the consolidated statements of operations. The brokerage charge in the amount of $3,958,848 and $5,346,548 for the three months ended March 31, 2015 and 2014, respectively, is shown on the consolidated statements of operations.

Ongoing organization and offering costs of the Partnership are paid for by the General Partner and reimbursed by the Partnership. The organization and offering costs in the amounts of $221,638 and $304,286 for the three months ended March 31, 2015 and 2014, respectively, are shown on the consolidated statement of operations.

Operating expenses of the Partnership are paid for by the General Partner and reimbursed by the Partnership. To the extent operating expenses are less than 0.25 percent of the Partnership’s average month-end net assets during the year, the difference may be reimbursed pro rata to record-holders as of December 31 of each year. The operating expenses in the amounts of $191,386 and $262,049 for the three months ended March 31, 2015 and 2014, respectively, are shown on the consolidated statement of operations.

Note 6. Subscriptions, Redemptions and Allocation of Net Income or Loss

Subscriptions received in advance, if any, represent cash received prior to March 31 for contributions of the subsequent month and do not participate in earnings of the Partnership until the following April.

Class A, Class B, Legacy 1 Class, Legacy 2 Class, Global 1 Class, Global 2 Class and Global 3 Class 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. 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. 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. 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. Redemptions will be made as of 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.

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Grant Park Futures Fund Limited Partnership

Notes to Consolidated Financial Statements

(Unaudited)

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.

In accordance with the Third Amended and Restated Limited Partnership Agreement, net income or loss of the Partnership is allocated to partners according to their respective interests in the Partnership as of the beginning of the month.

Note 7. 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 by a limited partner at the beginning of each calendar month during the period and is not annualized. Individual limited partners’ ratios may vary from these ratios based on various factors, including but not limited to the timing of capital transactions.

	Three Months Ended
	March 31,
	2015		2014

Total return — Class A Units	2.92	%	(6.39	)%
Total return — Class B Units	2.77	%	(6.54	)%
Total return — Legacy 1 Class Units	3.41	%	(5.84	)%
Total return — Legacy 2 Class Units	3.36	%	(5.90	)%
Total return — Global 1 Class Units	3.57	%	(5.82	)%
Total return — Global 2 Class Units	3.51	%	(5.88	)%
Total return — Global 3 Class Units	3.11	%	(6.29	)%
Ratios as a percentage of average net assets:
Expenses prior to incentive fees (1)	5.85	%	5.72	%
Incentive fees (2)	0.95	%	(0.00	)%
Total expenses	6.80	%	5.72	%
Net investment loss (1) (3)	(5.38	)%	(5.42	)%

(1) Annualized.

(2) Not annualized.

(3) Excludes incentive fee.

The expense ratios above are computed based upon the weighted average net assets of the Partnership for the three months ended March 31, 2015 and 2014 (annualized).

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Grant Park Futures Fund Limited Partnership

Notes to Consolidated Financial Statements

(Unaudited)

The following per unit performance calculations reflect activity related to the Partnership for the three months ended March 31, 2015 and 2014.

Class A Units

	Three Months Ended
	March 31,
	2015			2014

Per Unit Performance (for unit outstanding throughout the entire period):
Net asset value per unit at beginning of period	$	1,247.57		$	1,169.66
Income (loss) from operations:
Net realized and change in unrealized gain (loss) from trading*	65.67			(58.84		)
Expenses net of interest income*	(29.18		)	(15.87		)
Total income (loss) from operations	36.49			(74.71		)
Net asset value per unit at end of period	$	1,284.06		$	1,094.95

Class B Units

	Three Months Ended
	March 31,
	2015			2014

Per Unit Performance (for unit outstanding throughout the entire period):
Net asset value per unit at beginning of period	$	1,038.84		$	979.42
Income (loss) from operations:
Net realized and change in unrealized gain (loss) from trading*	54.80			(49.27		)
Expenses net of interest income*	(26.00		)	(14.78		)
Total income (loss) from operations	28.80			(64.05		)
Net asset value per unit at end of period	$	1,067.64		$	915.37

Legacy 1 Class Units

	Three Months Ended
	March 31,
	2015			2014

Per Unit Performance (for unit outstanding throughout the entire period):
Net asset value per unit at beginning of period	$	935.15		$	860.76
Income (loss) from operations:
Net realized and change in unrealized gain (loss) from trading*	49.28			(43.44		)
Expenses net of interest income*	(17.35		)	(6.86		)
Total income (loss) from operations	31.93			(50.30		)
Net asset value per unit at end of period	$	967.08		$	810.46

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Grant Park Futures Fund Limited Partnership

Notes to Consolidated Financial Statements

(Unaudited)

Legacy 2 Class Units

	Three Months Ended
	March 31,
	2015			2014

Per Unit Performance (for unit outstanding throughout the entire period):
Net asset value per unit at beginning of period	$	920.26		$	847.76
Income (loss) from operations:
Net realized and change in unrealized gain (loss) from trading*	48.58			(42.59		)
Expenses net of interest income*	(17.69		)	(7.45		)
Total income (loss) from operations	30.89			(50.04		)
Net asset value per unit at end of period	$	951.15		$	797.72

Global 1 Class Units

	Three Months Ended
	March 31,
	2015			2014

Per Unit Performance (for unit outstanding throughout the entire period):
Net asset value per unit at beginning of period	$	913.24		$	835.24
Income (loss) from operations:
Net realized and change in unrealized gain (loss) from trading*	50.23			(42.81		)
Expenses net of interest income*	(17.64		)	(5.79		)
Total income (loss) from operations	32.59			(48.60		)
Net asset value per unit at end of period	$	945.83		$	786.64

Global 2 Class Units

	Three Months Ended
	March 31,
	2015			2014

Per Unit Performance (for unit outstanding throughout the entire period):
Net asset value per unit at beginning of period	$	898.69		$	823.45
Income (loss) from operations:
Net realized and change in unrealized gain (loss) from trading*	47.69			(42.16		)
Expenses net of interest income*	(16.14		)	(6.24		)
Total income (loss) from operations	31.55			(48.40		)
Net asset value per unit at end of period	$	930.24		$	775.05

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Grant Park Futures Fund Limited Partnership

Notes to Consolidated Financial Statements

(Unaudited)

Global 3 Class Units

	Three Months Ended
	March 31,
	2015			2014

Per Unit Performance (for unit outstanding throughout the entire period):
Net asset value per unit at beginning of period	$	812.47		$	756.03
Income (loss) from operations:
Net realized and change in unrealized gain (loss) from trading*	43.12			(38.88		)
Expenses net of interest income*	(17.85		)	(8.68		)
Total income (loss) from operations	25.27			(47.56		)
Net asset value per unit at end of period	$	837.74		$	708.47

* Expenses net of interest income per unit are calculated by dividing the expenses net of interest income by the average number of units outstanding during the period. The net realized and change in unrealized gain from trading is a balancing amount necessary to reconcile the change in net asset value per unit with the other per unit information.

Note 8. Trading Activities and Related Risks

The Partnership, through its Advisors, engages in the speculative trading of a variety of instruments, including U.S. and foreign futures contracts, options on U.S. and foreign futures contracts and forward contracts (collectively, derivatives; see Note 10). These derivatives include both financial and nonfinancial contracts held as part of a diversified trading strategy. Additionally, the Partnership’s speculative trading includes equities and exchange-traded funds. The Partnership is exposed to both market risk, the risk arising from changes in the market value of the contracts, and credit risk, the risk of failure by another party to perform according to the terms of a contract.

The purchase and sale of futures and options on futures contracts require margin deposits with FCMs. Additional deposits may be necessary for any loss on contract value. The Commodity Exchange Act requires an FCM to segregate all customer transactions and assets from the FCM’s proprietary activities. A customer’s cash and other property (for example, U.S. Treasury bills) deposited with an FCM are considered commingled with all other customer funds subject to the FCM’s segregation requirements. In the event of an FCM’s insolvency, recovery may be limited to a pro rata share of segregated funds available. It is possible that the recovered amount could be less than the total of cash and other property deposited. The Partnership utilizes E D & F Man Capital Markets Inc., Jefferies Bache, LLC, UBS Securities LLC and SG Americas Securities, LLC as its clearing brokers.

The amount of required margin and good faith deposits with the FCM’s and interbank market makers usually ranges from 5% to 35% of the Partnership’s net asset value. The fair value of securities held to satisfy such requirements at March 31, 2015 and December 31, 2014 was $12,399,728 and $12,395,634, respectively, which was 4.20% and 4.15% of the net asset value, respectively. The cash deposited with the FCM’s at March 31, 2015 and December 31, 2014 was $19,547,977 and $3,436,216, respectively, which was 6.63% and 1.15% of the net asset value, respectively. The cash deposited with interbank market makers at March 31, 2015 and December 31, 2014 was $8,097,411 and $12,402,493, respectively, which was 2.75% and 4.15%, respectively.

For derivatives, risks arise from changes in the fair value of the contracts. Theoretically, the Partnership is exposed to a market risk equal to the value of futures and forward contracts purchased and unlimited liability on such contracts sold short. As both a buyer and seller of options, the Partnership pays or receives a premium at the outset and then bears the risk of unfavorable changes in the price of the contract underlying the option. Written options expose the Partnership to potentially unlimited liability; for purchased options the risk of loss is limited to the premiums paid.

In addition to market risk, in entering into commodity interest contracts there is a credit risk that a counterparty will not be able to meet its obligations to the Partnership. The counterparty for futures and options on futures contracts traded in the United States and on most non-U.S. futures exchanges is the clearinghouse associated with such exchange. In general, clearinghouses are backed by the corporate members of the clearinghouse who are required to share any financial burden resulting from the nonperformance by one of their members and, as such, should significantly reduce this credit risk. In cases in which the clearinghouse is not backed by the clearing members, like some non-U.S. exchanges, it is normally backed by a consortium of banks or other financial institutions.

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Grant Park Futures Fund Limited Partnership

Notes to Consolidated Financial Statements

(Unaudited)

In the case of forward contracts, over-the-counter options contracts or swap contracts, which are traded on the interbank or other institutional markets rather than on exchanges, the counterparty is generally a single bank or other financial institution, rather than a clearinghouse backed by a group of financial institutions; thus, there likely will be greater counterparty credit risk. The Partnership trades only with those counterparties that it believes to be creditworthy. All positions of the Partnership are valued each day on a mark-to-market basis. There can be no assurance that any clearing member, clearinghouse or other counterparty will be able to meet its obligations to the Partnership.

Securities sold short represent obligations of the Partnership to deliver specific securities and thereby create a liability to purchase these instruments in the open market at prevailing prices. These transactions may result in market risk not reflected in the consolidated statement of financial condition as the Partnership’s ultimate obligation to satisfy its obligation for trading liabilities may exceed the amount reflected in the consolidated statement of financial condition.

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.

The General Partner has established procedures to actively monitor and minimize market and credit risks. The Limited Partners bear the risk of loss only to the extent of the fair value of their respective investments and, in certain specific circumstances, distributions and redemptions received.

Note 9. Indemnifications

In the normal course of business, the Partnership enters into contracts and agreements that contain a variety of representations and warranties and which provide general indemnifications. The Partnership’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Partnership that have not yet occurred. The Partnership expects the risk of any future obligation under these indemnifications to be remote.

Note 10. Derivative Instruments

The Partnership follows the provisions of FASB ASC 815, Derivatives and Hedging. FASB ASC 815 is intended to improve transparency in financial reporting by requiring enhanced disclosures of an entity’s derivative instruments and hedging activities and their effects on the entity’s financial position, financial performance, and cash flows. FASB ASC 815 applies to all derivative instruments within the scope of FASB ASC 815-10-05. It also applies to non-derivative hedging instruments and all hedged items designated and qualifying as hedges under FASB ASC 815-10-05. FASB ASC 815 amends the current qualitative and quantitative disclosure requirements for derivative instruments and hedging activities set forth in FASB ASC 815-10-05 and generally increases the level of disaggregation that will be required in an entity’s financial statements. FASB ASC 815 requires qualitative disclosures about objectives and strategies for using derivatives, quantitative disclosures about fair value amounts of gains and losses on derivative instruments, and disclosures about credit-risk-related contingent features in derivative agreements (see Trading Activities and Related Risks, Note 8).

The Partnership’s business is speculative trading. The Partnership intends to close out all futures, options on futures and forward contracts prior to their expiration. The Partnership trades in futures and other commodity interest contracts and is therefore a party to financial instruments with elements of off-balance sheet market risk and credit risk. In entering into these contracts, the Partnership faces the market risk that these contracts may be significantly influenced by market conditions, such as interest rate volatility, resulting in such contracts being less valuable. The Partnership minimizes market risk through real-time monitoring of open positions, diversification of the portfolio and maintenance of a margin-to-equity ratio that rarely exceeds 25%.

In addition to market risk, in entering into commodity interest contracts there is a credit risk that a counter party will not be able to meet its obligations to the Partnership. In general, clearing organizations are backed by the corporate members of the clearing organization who are required to share any financial burden resulting from the non-performance by one of their members and, as such, should significantly reduce this credit risk. In cases in which the clearing organization is not backed by the clearing members, like some non-U.S. exchanges, it is normally backed by a consortium of banks or other financial institutions.

In the case of forward contracts, over-the-counter options contracts or swap contracts, which are traded on the interbank or other institutional market rather than on exchanges, the counterparty is generally a single bank or other financial institution, rather than a central clearing organization backed by a group of financial institutions. As a result, there will likely be greater counterparty credit risk in these transactions. The Partnership trades only with those counterparties that it believes to be creditworthy. Nonetheless,

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Grant Park Futures Fund Limited Partnership

Notes to Consolidated Financial Statements

(Unaudited)

the clearing member, clearing organization or other counterparty to these transactions may not be able to meet its obligations to the Partnership, in which case the Partnership could suffer significant losses on these contracts.

The Partnership does not designate any derivative instruments as hedging instruments under FASB ASC 815-10-05. The monthly average futures contracts, forward contracts, options on futures contracts and equity options bought and sold was approximately 72,405 and 74,315 for the three months ended March 31, 2015 and 2014, respectively. The following tables summarize the quantitative information required by FASB ASC 815:

	Consolidated	Asset		Liability
	Statements of Financial	Derivatives		Derivatives
	Condition Location	3/31/2015		3/31/2015			Fair Value

Agricultural contracts	Net Unrealized gain (loss) on open futures contracts	$	198,407	$	(399,421	)	$	(201,014	)
Currencies contracts	Net Unrealized gain (loss) on open futures contracts	967,359		(763,610		)	203,749
Energy contracts	Net Unrealized gain (loss) on open futures contracts	725,885		(195,370		)	530,515
Interest rates contracts	Net Unrealized gain (loss) on open futures contracts	5,024,979		(227,742		)	4,797,237
Meats contracts	Net Unrealized gain (loss) on open futures contracts	165,007		(82,539		)	82,468
Metals contracts	Net Unrealized gain (loss) on open futures contracts	1,184,834		(1,703,464		)	(518,630		)
Soft commodities contracts	Net Unrealized gain (loss) on open futures contracts	1,297,342		(80,427		)	1,216,915
Stock indices contracts	Net Unrealized gain (loss) on open futures contracts	1,917,216		(1,094,511		)	822,705
Forward currency contracts	Net Unrealized gain (loss) on open forward currency contracts	859,820		(1,298,631		)	(438,811		)

		$	12,340,849	$	(5,845,715	)	$	6,495,134

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Grant Park Futures Fund Limited Partnership

Notes to Consolidated Financial Statements

(Unaudited)

	Consolidated	Asset		Liability
	Statements of Financial	Derivatives		Derivatives
	Condition Location	12/31/2014		12/31/2014			Fair Value

Agricultural contracts	Net Unrealized gain (loss) on open futures contracts	$	191,641	$	(419,214	)	$	(227,573	)
Currencies contracts	Net Unrealized gain (loss) on open futures contracts	2,137,050		(159,450		)	1,977,600
Energy contracts	Net Unrealized gain (loss) on open futures contracts	3,081,754		(309,423		)	2,772,331
Interest rates contracts	Net Unrealized gain (loss) on open futures contracts	5,167,693		(539,761		)	4,627,932
Meats contracts	Net Unrealized gain (loss) on open futures contracts	59,987		(153,808		)	(93,821		)
Metals contracts	Net Unrealized gain (loss) on open futures contracts	1,755,563		(1,529,838		)	225,725
Soft commodities contracts	Net Unrealized gain (loss) on open futures contracts	888,928		(68,652		)	820,276
Stock indices contracts	Net Unrealized gain (loss) on open futures contracts	2,186,388		(739,391		)	1,446,997
Forward currency contracts	Net Unrealized gain (loss) on open forward currency contracts	1,196,820		(1,378,042		)	(181,222		)

		$	16,665,824	$	(5,297,579	)	$	11,368,245

The Effect of Derivative Instruments on the Consolidated Statement of Operations for the Three Months Ended March 31, 2015 and 2014

	Consolidated Statements	Three Months Ended			Three Months Ended
Type of Contract	of Operations Location	March 31, 2015			March 31, 2014

Agriculturals contracts	Net gain (loss) from futures trading	$	(1,756,907	)	$	3,368,975
Currencies contracts	Net gain (loss) from futures trading	5,506,085			(5,003,102		)
Energy contracts	Net gain (loss) from futures trading	(129,702		)	(2,690,534		)
Interest rates contracts	Net gain (loss) from futures trading	8,576,983			2,231,257
Meats contracts	Net gain (loss) from futures trading	577,289			3,211,171
Metals contracts	Net gain (loss) from futures trading	(2,298,370		)	(8,097,783		)
Soft commodities contracts	Net gain (loss) from futures trading	100,072			718,769
Stock indices	Net gain (loss) from futures trading	6,545,022			(13,236,577		)
Forward Currency Contracts	Net gain (loss) from forward trading	(301,349		)	(1,469,404		)

		$	16,819,123		$	(20,967,228	)

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Grant Park Futures Fund Limited Partnership

Notes to Consolidated Financial Statements

(Unaudited)

Line Item in Consolidated Statement of	Three Months Ended
Operations	March 31, 2015			March 31, 2014

Net gain (loss) from futures trading
Realized	$	21,735,994		$	(845,120	)
Change in unrealized	(4,615,522		)	(18,652,704		)
Total realized and changed in unrealized net gain (loss) from futures trading	$	17,120,472		$	(19,497,824	)

Net gain (loss) from forward trading
Realized	$	(43,760	)	$	(1,640,249	)
Change in unrealized	(257,589		)	170,845
Total realized and changed in unrealized net gain (loss) from forward trading	$	(301,349	)	$	(1,469,404	)

Total realized and changed in unrealized net gain (loss) from futures and forward trading	$	16,819,123		$	(20,967,228	)

The gross amounts of recognized derivative assets and gross amounts offset in the accompanying Consolidated Statements of Financial Condition were as follows:

Offsetting of Derivative Assets

As of March 31, 2015

						Net Amount of
			Gross Amounts			Unrealized Gain
			Offset in the			Presented in
	Gross Amount of		Consolidated			the Consolidated
	Recognized		Statement of			Statement of
Type of Instrument	Assets		Financial Condition			Financial Condition

U.S. and foreign futures contracts	$	11,481,029	$	(4,547,084	)	$	6,933,945
Forward contracts	859,820		(1,298,631		)	(438,811		)
Total derivatives	$	12,340,849	$	(5,845,715	)	$	6,495,134

Derivatives Assets and Collateral Received by Counterparty

As of March 31, 2015

	Net Amount of
	Unrealized Gain
	Presented in		Gross Amounts Not Offset in the Consolidated
	the Consolidated		Statement of Financial Condition
	Statement of		Financial		Cash Collateral
Counterparty	Financial Condition		Instruments		Received		Net Amount

Deutsche Bank AG	$	11,565	$	—	$	—	$	11,565
ED&F Man Capital Markets Inc.	80,924		—		—		80,924
Jefferies LLC	1,614,742		—		—		1,614,742
SG Americas Securities, LLC	1,572,713		—		—		1,572,713
UBS Securities LLC	3,215,190		—		—		3,215,190
Total	$	6,495,134	$	—	$	—	$	6,495,134

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Grant Park Futures Fund Limited Partnership

Notes to Consolidated Financial Statements

(Unaudited)

Offsetting of Derivative Liabilities

As of March 31, 2015

						Net Amount of
			Gross Amounts			Unrealized Gain
			Offset in the			Presented in
	Gross Amount of		Consolidated			the Consolidated
	Recognized		Statement of			Statement of
Type of Instrument	Liabilities		Financial Condition			Financial Condition

U.S. and foreign futures contracts	$	4,547,084	$	(4,547,084	)	$	—
Forward contracts	1,298,631		(1,298,631		)	—
Total derivatives	$	5,845,715	$	(5,845,715	)	$	—

Derivatives Liabilities and Collateral Pledged by Counterparty

As of March 31, 2015

Net Amount of

Unrealized Gain

Presented in

Gross Amounts Not Offset in the Consolidated

the Consolidated

Statement of Financial Condition

Statement of

Financial

Cash Collateral

Counterparty

Financial Condition

Instruments

Received

Net Amount

Deutsche Bank AG

—

ED&F Man Capital Markets Inc.

—

Jefferies LLC

—

SG Americas Securities, LLC

—

UBS Securities LLC

—

Total

—

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Grant Park Futures Fund Limited Partnership

Notes to Consolidated Financial Statements

(Unaudited)

Offsetting of Derivative Assets

As of December 31, 2014

						Net Amount of
			Gross Amounts			Unrealized Gain
			Offset in the			Presented in
	Gross Amount of		Consolidated			the Consolidated
	Recognized		Statement of			Statement of
Type of Instrument	Assets		Financial Condition			Financial Condition

U.S. and foreign futures contracts	$	15,469,004	$	(3,919,537	)	$	11,549,467
Forward contracts	1,196,820		(1,378,042		)	(181,222		)
Total derivatives	$	16,665,824	$	(5,297,579	)	$	11,368,245

Derivatives Assets and Collateral Received by Counterparty

As of December 31, 2014

	Net Amount of
	Unrealized Gain
	Presented in		Gross Amounts Not Offset in the
	the Consolidated		Statement of Financial Condition
	Statement of		Financial		Cash Collateral
Counterparty	Financial Condition		Instruments		Received		Net Amount

Bank of America N.A.	$	207,217	$	—	$	—	$	207,217
Jefferies, LLC	4,107,099		—		—		4,107,099
Newedge USA, LLC	1,285,569		—		—		1,285,569
UBS Securities LLC	5,768,360		—		—		5,768,360
Total	$	11,368,245	$	—	$	—	$	11,368,245

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Grant Park Futures Fund Limited Partnership

Notes to Consolidated Financial Statements

(Unaudited)

Offsetting of Derivative Liabilities

As of December 31, 2014

						Net Amount of
			Gross Amounts			Unrealized Gain
			Offset in the			Presented in
	Gross Amount of		Consolidated			the Consolidated
	Recognized		Statement of			Statement of
Type of Instrument	Liabilities		Financial Condition			Financial Condition

U.S. and foreign futures contracts	$	3,919,537	$	(3,919,537	)	$	—
Forward contracts	1,378,042		(1,378,042		)	—
Total derivatives	$	5,297,579	$	(5,297,579	)	$	—

Derivatives Liabilities and Collateral Pledged by Counterparty

As of December 31, 2014

Net Amount of

Unrealized Gain

Presented in

Gross Amounts Not Offset in the

the Consolidated

Statement of Financial Condition

Statement of

Financial

Cash Collateral

Counterparty

Financial Condition

Instruments

Received

Net Amount

Bank of America N.A.

—

Jefferies, LLC

—

Newedge USA, LLC

—

UBS Securities LLC

—

Total

—

Note 11. Subsequent Events

The Partnership has evaluated subsequent events for potential recognition and/or disclosure. Subsequent to March 31, 2015, there were contributions and redemptions totaling approximately $5,081,000 and $4,379,000, respectively.

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

Introduction

Grant Park is a multi-advisor commodity pool organized to pool assets of its investors for the purpose of trading in the U.S. and international spot and derivatives markets for currencies, interest rates, stock indices, agricultural and energy products, precious and base metals and other commodities and underliers. The Partnership also engages in the trading of equity securities, listed options, broad-based exchange traded funds, hedge, arbitrage and cash trading of commodities and futures. Grant Park has been in continuous operation since it commenced trading on January 1, 1989. Grant Park’s general partner, commodity pool operator and sponsor is Dearborn Capital Management, L.L.C., an Illinois limited liability company. The manager of Dearborn Capital Management, L.L.C. is David M. Kavanagh, its President.

Organization of Grant Park

Grant Park invests through different commodity trading advisors retained by the general partner. However, instead of each trading advisor maintaining a separate account in the name of Grant Park, the assets of Grant Park are invested in various Trading Companies, each of which is organized as a limited liability company. Each Trading Company allocates those assets to one of the commodity trading advisors retained by the general partner. The following is a list of the Trading Companies, for which Grant Park is the sole member and all of which were organized as Delaware limited liability companies:

GP 1, LLC (“GP 1”) GP 5, LLC (“GP 5”) GP 9, LLC (“GP 9”) GP 15, LLC (“GP 15”)

GP 3, LLC (“GP 3”) GP 6, LLC (“GP 6”) GP 11, LLC (“GP 11”) GP 17, LLC (“GP 17”)

GP 4, LLC (“GP 4”) GP 8, LLC (“GP 8”) GP 14, LLC (“GP 14”) GP 18, LLC (“GP 18”)

There were no assets allocated to GP 3, GP 5, GP 6 and GP 15 as of March 31, 2015.

Grant Park invests through the Trading Companies with independent professional commodity trading advisors retained by the general partner. Amplitude Capital International Limited, EMC Capital Advisors LLC, Lynx Asset Management AB, Quantica Capital AG, Rabar Market Research, Inc., Revolution Capital Management, LLC, Transtrend B.V. and Winton Capital Management Limited serve as Grant Park’s commodity trading advisors. Each of the trading advisors is registered as a commodity trading advisor under the Commodity Exchange Act and is a member of the NFA. As of March 31, 2015, the general partner allocated between 5% to 25% of Grant Park’s net assets through the respective Trading Companies among its trading advisors Amplitude, EMC, Lynx, Quantica, Rabar, RCM, Transtrend and Winton. No more than 25% of Grant Park’s assets are allocated to any one Trading Company and, in turn, any one trading advisor. The general partner may terminate or replace the trading advisors or retain additional trading advisors in its sole discretion.

The table below illustrates the trading advisors for each class of Grant Park’s outstanding limited partnership units as of March 31, 2015:

Amplitude

EMC

Lynx

Quantica

Rabar

RCM

Transtrend

Winton

Class A

Class B

Legacy 1

Legacy 2

Global 1

Global 2

Global 3

The trading advisors for the Legacy 1 Class and Legacy 2 Class units pursue a technical trend trading philosophy, which is the same trading philosophy the trading advisors have historically used for the Class A and Class B units. The trading advisors for the Global 1 Class, Global 2 Class and Global 3 Class units pursue technical trend trading philosophies, as well as pattern recognition.

The general partner may, in its sole discretion, reallocate assets among the trading advisors upon termination of a trading advisor or retention of any new trading advisors, or at the commencement of any month.

Critical Accounting Policies

Grant Park’s most significant accounting policy is the valuation of its assets invested in U.S. and international futures and forward contracts, options contracts, other interests in commodities, and fixed income products. The majority of these investments are exchange-traded contracts, valued based upon exchange settlement prices. The remainder of its investments are non-exchange-traded contracts with valuation of those investments based on quoted forward spot prices and fixed income products, including securities of U.S. Government-sponsored enterprises, corporate bonds and commercial paper, which are stated at cost plus accrued interest, which approximates fair value based on quoted market prices in an active market. With the valuation of the investments easily obtained,

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there is little or no judgment or uncertainty involved in the valuation of investments, and accordingly, it is unlikely that materially different amounts would be reported under different conditions using different but reasonably plausible assumptions.

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. Grant Park’s significant accounting policies are described in detail in Note 1 of the consolidated financial statements.

Grant Park is the sole member of each of the Trading Companies. The Trading Companies, in turn, are the only members of GP Cash Management, LLC. Grant Park presents consolidated financial statements which include the accounts of the Trading Companies and GP Cash Management, LLC. All material inter-company accounts and transactions are eliminated in consolidation.

Valuation of Financial Instruments

Grant Park 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. Grant Park records all investments at fair value in the financial statements. Changes in fair value from the prior period are recorded as unrealized gain or losses and are reported in the consolidated statement of operations. Fair value of exchange-traded futures contracts and options on futures contracts are based upon exchange settlement prices. Grant Park values forward contracts and options on forward contracts based on the average bid and ask price of quoted forward spot prices obtained. U.S. Government securities, securities of U.S. Government-sponsored enterprises, corporate bonds and commercial paper are stated at cost plus accrued interest, which approximates fair value based on quoted market prices in an active market. Grant Park compares market prices quoted by dealers to the cost plus accrued interest to ensure a reasonable approximation of fair value. Grant Park values bank deposits at face value plus accrued interest, which approximates fair value.

Results of Operations

Grant Park’s returns, which are Grant Park’s trading gains plus interest income less brokerage fees, performance fees, operating costs and offering costs borne by Grant Park, for the three months ended March 31, 2015 and 2014, are set forth in the table below:

	Three Months Ended
	March 31,
	2015		2014
Total return — Class A Units	2.92	%	(6.39	)%
Total return — Class B Units	2.77	%	(6.54	)%
Total return — Legacy 1 Class Units	3.41	%	(5.84	)%
Total return — Legacy 2 Class Units	3.36	%	(5.90	)%
Total return — Global 1 Class Units	3.57	%	(5.82	)%
Total return — Global 2 Class Units	3.51	%	(5.88	)%
Total return — Global 3 Class Units	3.11	%	(6.29	)%

Grant Park’s total net asset value at March 31, 2015 was approximately $294.9 million, at December 31, 2014 was approximately $298.5 million and at March 31, 2014 was approximately $377.1 million. Results from past periods are not indicative of results that may be expected for any future period.

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The table below sets forth Grant Park’s trading gains or losses by sector for the three months ended March 31, 2015 and 2014.

	% Gain (Loss)
	Three Months Ended
	March 31,
	2015		2014
Agriculturals	(0.6	)%	0.9	%
Currencies	1.9		(1.3	)
Energy	—		(0.7	)
Interest rates	2.9		0.6
Meats	0.2		0.8
Metals	(0.8	)	(2.2	)
Soft commodities	—		0.2
Stock indices	2.2		(3.5	)
Forward Currency Contracts	(0.1	)	(0.4	)
	5.7	%	(5.6	)%

Three months ended March 31, 2015 compared to three months ended March 31, 2014

For the three months ended March 31, 2015, Grant Park had a positive return of approximately 2.9% for the Class A units, a positive return of approximately 2.8% for the Class B units, a positive return of approximately 3.4% for the Legacy 1 Class units, a positive return of approximately 3.4% for the Legacy 2 Class units, a positive return of approximately 3.6% for the Global 1 Class units, a positive return of approximately 3.5% for the Global 2 Class units and positive return of approximately 3.1% for the Global 3 Class units. On a combined basis prior to expenses, Grant Park had trading profits of approximately 5.7%, which were further increased by gains of approximately 0.1% from interest income. These trading profits were decreased by approximately 2.9% in combined brokerage fees, performance fees and operating and offering costs borne by Grant Park. For the same period in 2014, Grant Park had a negative return of approximately 6.4% for the Class A units, a negative return of approximately 6.5% for the Class B units, a negative return of approximately 5.8% for the Legacy 1 Class units, a negative return of approximately 5.9% for the Legacy 2 Class units, a negative return of approximately 5.8% for the Global 1 Class units, a negative return of approximately 5.9% for the Global 2 Class units and negative return of approximately 6.3% for the Global 3 Class units. On a combined basis prior to expenses, Grant Park had trading losses of approximately 5.6%, which were decreased by gains of approximately 0.1% from interest income. These trading losses were increased by approximately 0.9% in combined brokerage fees, performance fees and operating and offering costs borne by Grant Park.

Three months ended March 31, 2015

Grant Park gained approximately 2.9% for the quarter due to strong performance in the financial markets. Grant Park’s long positions in the U.S. dollar were the primary driver for positive performances as the dollar strengthened throughout the quarter.

Grant Park’s positive returns during January reflect a continuation of the key, long-term trends that led to a profitable 2014. Long positions in fixed-income markets were positive as concerns about the Eurozone financial situation, coupled with speculation the Federal Reserve would delay raising interest rates, combined to drive fixed-income prices steadily higher. Profits were partially offset by losses on long positions in the equity markets. The same factors that benefited Grant Park’s fixed income sector also created minor losses in the equities investments. In the currencies markets, short euro positions profited as the value of the euro fell after the European Central Bank (ECB) pledged to purchase over €1 trillion of Eurozone government debt as part of its quantitative easing initiative. Short positions in the Swiss franc lost value when the Swiss National Bank unexpectedly announced the unpegging of the Swiss franc from the euro. Grant Park’s active risk management was able to reduce exposure to the extreme change in the franc’s value and avoided incurring significant losses. In the commodity markets, short positions in crude oil added to Grant Park’s value as ongoing global over-production drove crude oil prices lower.

In February, Grant Park capitalized on reversals in the equity markets. Long positon in the global equities benefited from rallies that were prompted by strong U.S. corporate earnings and on optimism the Greek government would not default on its debt obligations. Equity prices also rose after the Federal Reserve indicated an increase in U.S. interest rates would not occur until at least mid-year. Gains in equities were slightly offset by losses in the fixed income sector as debt prices moved lower and against Grant Park’s long positions. Long gold positions also experienced setbacks as ongoing strength in the U.S. dollar put pressure on assets used to hedge dollar weakness. Prices in the crude oil markets reversed higher - and against Grant Park’s short positions - due to a decline in U.S. energy production and forecasts for expanded demand.

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The positive performance during March was accomplished despite heavy volatility in the financial markets. Long exposure to the equity and fixed-income sectors experienced setbacks early in the month amidst speculation the Federal Reserve would raise U.S. rates at mid-year. Federal Reserve Chair Janet Yellen subsequently testified before congress and suggested a mid-year rate hike was unlikely; this prompted a reversal in both the debt and equity markets. Grant Park’s long positions capitalized on the uptrend and recouped a large portion of early-month losses in the fixed income sector. Long exposure to U.S. equity markets also experienced setbacks as weak corporate earnings forecasts and concerns surrounding the conflict in Yemen fostered liquidations. Positions in the currency markets profited during the month as short exposure to the euro benefited from steep declines in the currency’s value which were caused by the ECB’s quantitative easing initiative. Short positions in the British pound profited after the Bank of England’s decision to keep U.K. interest rates unchanged.

Key trading developments for Grant Park during the first three months of 2015 included the following:

January. Grant Park recorded gains during the month. Class A units were up 2.82%, Class B units were up 2.77%, Legacy 1 Class units were up 2.91%, Legacy 2 Class units were up 2.89%, Global 1 Class units were up 2.98%, Global 2 Class units were up 2.96% and Global 3 Class units were up 2.83%. Crude oil prices continued to decline as global supplies remained strong amidst weak overall demand. Natural gas markets also fell as inventories declined less than forecast. Grains prices declined after the U.S. Department of Agriculture reported stronger-than expected supplies and weak export sales. Soybean markets moved to a new low as export sales slipped because of large cancellations by China. Gold prices rose with an increase in demand for safe-haven assets as investors attempted to hedge against declines in the euro. Copper markets finished lower as global inventories increased and concerns grew over slowing Chinese growth. The Swiss franc rose sharply after the Swiss National Bank unexpectedly announced it would no longer hold the Swiss franc at a fixed exchange rate with the euro. The euro further weakened after the ECB announced its plans to expand quantitative easing. The Canadian dollar declined as weakness in the energy markets drove the currency sharply lower. European equity markets moved higher after the ECB expanded its quantitative easing initiatives. U.S. equity markets weakened following weak economic data, weaker-than-expected corporate earnings and continued declines in the energy sector. U.S. Treasury markets rose due to increased demand for safe-haven assets which was prompted by the uncertainty surrounding economic stability in Europe and steep price declines in the energy markets. Speculation the U.S. Federal Reserve may delay raising interest rates also supported fixed-income markets. The German Bund strengthened after the ECB announced its plans to purchase over €1 trillion of European sovereign debt over the next 2 years.

February. Grant Park recorded gains and losses during the month. Class A units were down 0.26%, Class B units were down 0.31%, Legacy 1 Class units were down 0.04%, Legacy 2 Class units were down 0.06%, Global 1 Class units were up 0.01%, Global 2 Class units were down 0.01% and Global 3 Class units were down 0.14%. Crude oil prices increased as production fell and demand rose. Natural gas and heating oil markets moved higher as demand for heating fuels rose because of cold temperatures in the U.S. Corn and wheat markets rose as weakness in the U.S. dollar made U.S. grains more attractive to international buyers. Concerns about crop damage caused by recent cold weather also supported higher grains prices. Soybean and cocoa markets moved higher because of weak supply forecasts. Coffee prices fell after rains in Brazil eased previous supply concerns. Gold markets fell after the Greek government reached a new debt agreement with its European creditors. Strength in the U.S. dollar and lower demand for safe-haven assets also put pressure on gold. Copper markets moved higher due to stronger-than-expected Chinese manufacturing activity. The U.S dollar strengthened against global counterparts on renewed beliefs the U.S. Federal Reserve will raise interests rates in June. Strong economic indicators, including better-than-expected U.S. jobless claims data and durable goods orders, also strengthened the dollar. The euro declined as investors prepared for the start of the ECB’s new quantitative easing initiatives. Global equity markets rose to all-time highs on upbeat corporate earnings reports in the U.S. and on renewed beliefs the Greek government would not default on its debt obligations. The rallies were strengthened after Federal Reserve Chair Yellen reaffirmed the Federal Reserve would wait to raise U.S. interest rates until at least mid-year. The Japanese Nikkei 225 index finished near a 15-year high due to bullish economic data from the region. U.S. fixed income markets fell as global investors liquidated debt positions and shifted their focus towards riskier assets. Debt prices moved lower after Greek debt negotiations spurred optimism for the Eurozone. U.K. fixed-income markets lost value following reports of significant improvement in the U.K. labor market.

March. Grant Park recorded gains during the month. Class A units were up 0.36%, Class B units were up 0.31%, Legacy 1 Class units were up 0.52%, Legacy 2 Class units were up 0.50%, Global 1 Class units were up 0.56%, Global 2 Class units were up 0.55% and Global 3 Class units were up 0.42%. Crude oil prices fell as beliefs a deal over Iran’s nuclear program could lead to the removal of sanctions and increase global supplies. Natural gas prices moved lower on expectations of reduced demand because of warmer weather in the U.S. Prices were also pressured after the U.S. Energy Information Administration reported a large increase in supplies. Corn and wheat markets fell after the U.S. Department of Agriculture forecasted larger-than-expected plantings and increased supply forecasts for this spring. Coffee and sugar prices moved lower because of improved weather conditions in Brazil and weakness in the Brazilian real. Gold markets rallied as strength in the U.S. dollar reduced demand for assets used to hedge the dollar. Copper markets moved higher mid-month as protests halted production at one of the world’s largest copper mines and spurred supply concerns. Strength in the copper markets was slightly offset by declines caused by worse-than expected U.S. and Chinese manufacturing data.

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The U.S dollar strengthened against global counterparts due to a rally prompted by bullish economic data and after comments from Federal Reserve Chair Yellen supported speculation the U.S. would see an interest rate increase far sooner than its international counterparts. The euro fell after the first round of quantitative easing initiatives by the ECB. In the U.K., the British pound fell in reaction to disappointing economic indicators, political uncertainty ahead of the U.K. elections in May, and the Bank of England’s decision to keep interest rates unchanged. U.S. equity markets fell amidst concerns over potential interest rate hikes and forecasts of a weak first quarter earnings season. European equity markets moved higher, led by Germany’s Dax Index, driven by hopes the ECB’s new quantitative easing measures would fuel growth in the Eurozone. In Japan, the Nikkei 225 Index finished higher because of strong corporate earnings. U.S. Treasury markets moved higher after weak U.S. economic data and comments from the Federal Reserve fueled speculation a U.S. interest rate hike was not imminent. Increased demand for safe-haven assets amidst geopolitical turmoil in the Middle East and equity market declines also played a role in driving fixed-income prices higher.

Three months ended March 31, 2014

Trading conditions were difficult throughout the first quarter, primarily due to rapid reversals in a variety of markets that had delivered profitable opportunities during the end of 2013. During the previous quarter, markets exhibited more historically-normal dynamics and were driven by supply and demand imbalances and by global macroeconomic events.

Entering 2014, the global financial markets were uncertain how the change in leadership at the Federal Reserve would impact the decision to reduce quantitative easing and — potentially — address the notion of increasing interest rates. During the first quarter, violent reactions by the financial markets were triggered by three interrelated factors: the uncertainty about the sustained economic recoveries across the dominant global economies; the overreaction to any Federal Reserve policy announcement about its forward-looking plans and by the unexpected regional tensions created when Russia annexed a portion of Ukraine and threatened to recreate the uncertainties associated with a return to Cold-War-like conditions.

Grant Park’s long exposure to global equities, which benefitted the portfolio’s performance in 2013, met with immediate setbacks as the year began. Equity prices were pushed sharply lower in January due to concerns about U.S. economic growth and by economic data indicating the Chinese economy was weak. Additionally, the threat of a liquidity crisis in emerging-market currencies caused a flight to quality in several currencies, including the Japanese yen. This rapid reversal moved against Grant Park’s short-yen positions and created significant losses in what had been the most profitable trading opportunity for Grant Park in 2013. The losses were partially offset by the performance of Grant Park’s short-term and discretionary components. These two strategies are designed to adapt to rapid changes in the market, capturing moves to both the upside and downside of various commodity and financial markets. The fixed-income sector was especially beneficial as a shorter-term investment focus was able to profit from sharp early-month declines and from late-month rallies.

Grant Park’s performance was positive in February as equity markets resumed their upward momentum and the longer-term traders drove the positive performance. These longer-term strategies kept their equity positions relatively consistent throughout January and February and were positioned to benefit from the upward moves. The long positions in the energy markets profited while natural gas positions rose 25% during the month and Grant Park’s risk management strategies reduced our exposure and preserved capital when those markets sharply reversed and erased early-month gains. Monthly gains were partially offset by Grant Park’s exposure to the precious metals markets. The Crimean Crisis caused a sharp rise in demand for gold and created a rally that moved against Grant Park’s short positions. By month-end, Grant Park’s exposure was substantially reduced.

Finally, trading conditions in March resembled January, as political concerns about Crimea and economic concerns about China negatively impacted equity markets and adversely affected trading opportunities across multiple sectors. Pessimism over the strength of the Chinese economy, in particular and a significant improvement in weather across the U.S. combined to reduce demand across the energy markets; the sector-wide selloff across drove prices down and against Grant Park’s long positions. Profitable trading in the grains/foods markets added 0.8% in positive performance and helped to partially offset the energy-related trading losses.

Key trading developments for Grant Park during the first three months of 2014 included the following:

January. Grant Park recorded losses during the month. Class A units were down 4.77%, Class B units were down 4.83%, Legacy 1 Class units were down 4.59%, Legacy 2 Class units were down 4.61%, Global 1 Class units were down 4.59%, Global 2 Class units were down 4.61% and Global 3 Class units were down 4.75%. Emerging market currencies were highly volatile throughout the month as the potential impact of reduced bond-buying by the U.S. Federal Reserve created significant investor concerns. Ultimately, investors sought to purchase currencies issued by stable national governments. That action caused the Japanese yen to reverse a long-term trend and to rise in value against its counterparts. The Canadian dollar fell by more than 4% against the U.S. dollar, driven, in part, by speculation the country’s central bank may favor future cuts in interest rates. Natural gas prices surged over 16% higher as a result of extremely cold temperatures across much of the U.S. and by smaller-than-expected inventories. Heating oil prices rose more than 6% because of supply shortages in the Northeastern U.S. Global equities markets sold off in reaction to a number of events throughout the month. The concern about the Federal Reserve’s tapering of its bond-buying program

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and worse-than-expected corporate earnings reports in the U.S., combined with weaker-than-expected data concerning Chinese manufacturing data, caused investors to shift their tendencies from “risk-on” to “risk-off”. U.S. Treasury and German Bund prices registered considerable gains as investors moved towards safe-haven assets in response to the selloff in the equity markets. Wheat prices declined significantly after the USDA reported wheat production is on track to produce a world record for crop yield. Coffee prices increased over 13%, driven by concerns unseasonably dry conditions in Brazil could potentially damage the existing crop. Gold prices were driven higher as demand for safe-haven assets increased in reaction to poor economic data out of China, the U.S., and Europe. Copper prices decreased as demand fell after China reported data showing manufacturing activity had slowed towards the end of 2013.

February. Grant Park recorded gains during the month. Class A units were up 1.19%, Class B units were up 1.14%, Legacy 1 Class units were up 1.39%, Legacy 2 Class units were up 1.37%, Global 1 Class units were up 1.40%, Global 2 Class units were up 1.37% and Global 3 Class units were up 1.23%. British pound strengthened against its counterparts following a reported increase in business investment in the U.K., which boded well for the overall economy and could position the Bank of England to increase interest rates. In Asia, the Japanese yen broke recent downtrends and moved higher. The New Zealand dollar appreciated by more than 4%, driven by positive economic data which investors believed would increase the likelihood the Reserve Bank of New Zealand will raise interest rates. Natural gas markets experienced several price reversals due to conflicting weather forecasts throughout the month. Prices rose nearly 24% by mid-month and then sharply declined to finish 7% lower for the entire month. Crude oil prices rose by more than 5% in reaction to lower- than-expected inventory levels. Global equities markets rallied on positive U.S. manufacturing data, upbeat earnings reports in Australia and statements by Chairwoman Yellen concerning the Federal Reserve’s perspective on the U.S. economy. U.S. Treasury and German Bund prices gained as investors moved towards safe-haven assets due to the escalating conflict between Ukraine and Russia. Coffee prices surged over 43% as a severe drought in Brazil significantly reduced the size of overall supplies. Soybean prices rallied by 10% based on a large grains sale by the U.S. to China and due to concerns about the impact extremely cold temperatures across the U.S. could have on future supplies. Precious metal markets rose in response to geopolitical turmoil and uncertainty regarding China’s monetary policy. Aluminum prices advanced over 2% due to weather-related transportation delays.

March. Grant Park recorded losses during the month. Class A units were down 2.85%, Class B units were down 2.91%, Legacy 1 Class units were down 2.66%, Legacy 2 Class units were down 2.68%, Global 1 Class units were down 2.64%, Global 2 Class units were down 2.66% and Global 3 Class units were down 2.81%. The Australian dollar appreciated against counterparts after the country’s central bank announced it would keep interest rates unchanged as the Australian economy continues to strengthen. The Japanese yen depreciated against counterparts because of the Reserve Bank of Australia’s comments coupled with those of Federal Reserve Chair Yellen. Gasoline blendstock prices increased in excess of 4% after the Energy Information Administration released data which showed gasoline inventories had fallen below their 5-year average. Natural gas prices fell by more than 3% due to lower seasonal demand. The Hang Seng Index decreased by more than 2% after poor Chinese economic data caused investors to exhibit risk-off tendencies. The Eurostoxx 50 Index experienced several intra-month price reversals in reaction to a myriad of economic and geopolitical news developments. The index fell by 5% mid-month, but ended the month down by less than 1% as investors reacted to positive news regarding easing turmoil in Ukraine. Prices for 30-Year U.S. Treasury bonds and German Bunds fell as a result of a mid-month equity market rally and comments from the Federal Reserve, which reduced demand for safe-haven assets. Lean hog prices increased sharply due to an outbreak of a porcine virus which reduced overall supplies. Corn prices were driven more than 6% higher in reaction to a report from the U.S. Department of Agriculture which projected lower-than-expected production. Precious metal markets experienced price declines due a decline in safe-haven demand caused by comments from Federal Reserve Chair Janet Yellen, which alluded to a possible interest rate hike in 2015. Copper prices fell by more than 6% in reaction to poor Chinese economic data.

Capital Resources

Grant Park plans to raise additional capital only through the sale of units pursuant to the continuous offering and does not intend to raise any capital through borrowing. Due to the nature of Grant Park’s business, it does not make any capital expenditures and does not have any capital assets that are not operating capital or assets.

Grant Park maintains 65% to 95% of its net asset value in cash, cash equivalents or other liquid positions over and above that needed to post as collateral for trading. These funds are available to meet redemptions each month.

Liquidity

Most U.S. futures exchanges limit fluctuations in some futures and options contract prices during a single day by regulations referred to as daily price fluctuation limits or daily limits. During a single trading day, no trades may be executed at prices beyond the daily limit. Once the price of a contract has reached the daily limit for that day, positions in that contract can neither be taken nor liquidated. Futures prices have occasionally moved to the daily limit for several consecutive days with little or no trading. Similar occurrences could prevent Grant Park from promptly liquidating unfavorable positions and subject Grant Park to substantial losses

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that could exceed the margin initially committed to those trades. In addition, even if futures or options prices do not move to the daily limit, Grant Park may not be able to execute trades at favorable prices, if little trading in the contracts is taking place. Other than these limitations on liquidity, which are inherent in Grant Park’s futures and options trading operations, Grant Park’s assets are expected to be highly liquid.

A portion of each Trading Company’s assets is used as margin to support its trading. Margin requirements are satisfied by the deposit of U.S. Treasury bills, obligations of Government-sponsored enterprises and/or cash with brokers subject to CFTC regulations and various exchange and broker requirements.

Grant Park maintains a portion of its assets at its clearing brokers as well as at Lake Forest Bank & Trust Company. These assets, which may range from 5% to 35% of Grant Park’s value, are held in cash, U.S. Treasury securities, commercial paper and/or securities of Government-sponsored enterprises. The balance of Grant Park’s assets, which range from 65% to 95%, are invested in investment grade money market instruments purchased and managed by Middleton Dickinson Capital Management, LLC which are held in a separate account in the name of GP Cash Management, LLC and custodied at State Street Bank and Trust Company. Violent fluctuations in prevailing interest rates or changes in other economic conditions could cause mark-to-market losses on Grant Park’s cash management income.

Off-Balance Sheet Risk

Off-balance sheet risk refers to an unrecorded potential liability that, even though it does not appear on the balance sheet, may result in future obligation or loss. Grant Park trades in futures and other commodity interest contracts and is therefore a party to financial instruments with elements of off-balance sheet market and credit risk. In entering into these contracts, Grant Park faces the market risk that these contracts may be significantly influenced by market conditions, such as interest rate volatility, resulting in such contracts being less valuable. If the markets should move against all of the commodity interest positions of Grant Park at the same time, and if Grant Park were unable to offset positions, Grant Park could lose all of its assets and the limited partners would realize a 100% loss. Grant Park minimizes market risk through real-time monitoring of open positions, diversification of the portfolio and maintenance of a margin-to-equity ratio that rarely exceeds 25%. All positions of Grant Park are valued each day on a mark-to-market basis.

In addition to market risk, when entering into commodity interest contracts there is a credit risk that a counterparty will not be able to meet its obligations to Grant Park. The counterparty for futures and options on futures contracts traded in the United States and on most non-U.S. futures exchanges is the clearing organization associated with such exchange. In general, clearing organizations are backed by the corporate members of the clearing organization who are required to share any financial burden resulting from the nonperformance by one of their members and, as such, should significantly reduce this credit risk.

In cases where the clearing organization is not backed by the clearing members, like some non- U.S. exchanges, it is normally backed by a consortium of banks or other financial institutions.

In the case of forward contracts, over-the-counter options contracts or swap contracts, which are traded on the interbank or other institutional market rather than on exchanges, the counterparty is generally a single bank or other financial institution, rather than a central clearing organization backed by a group of financial institutions. As a result, there likely will be greater counterparty credit risk in these transactions. Grant Park trades only with those counterparties that it believes to be creditworthy. Nonetheless, the clearing member, clearing organization or other counterparty to these transactions may not be able to meet its obligations to Grant Park, in which case Grant Park could suffer significant losses on these contracts.

In the normal course of business, Grant Park enters into contracts and agreements that contain a variety of representations and warranties and which provide general indemnifications. Grant Park’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against Grant Park that have not yet occurred. Grant Park expects the risk of any future obligation under these indemnifications to be remote.

Item 3. Quantitative and Qualitative Disclosures About Market Risk

Introduction

Grant Park is a speculative commodity pool. The market sensitive instruments held by it are acquired for speculative trading purposes, and all or a substantial amount of Grant Park’s assets are subject to the risk of trading loss. Unlike an operating company, the risk of market sensitive instruments is integral, not incidental, to Grant Park’s business.

Market movements result in frequent changes in the fair market value of Grant Park’s open positions and, consequently, in its

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earnings and cash flow. Grant Park’s market risk is influenced by a wide variety of factors, including the level and volatility of exchange rates, interest rates, equity price levels, the market value of financial instruments and contracts, market prices for base and precious metals, energy complexes and other commodities, the diversification effects among Grant Park’s open positions and the liquidity of the markets in which it trades.

Grant Park rapidly acquires and liquidates both long and short positions in a wide range of different markets. Consequently, it is not possible to predict how a particular future market scenario will affect performance. Erratic, choppy, sideways trading markets and sharp reversals in movements can materially and adversely affect Grant Park’s results. Likewise, markets in which a potential price trend may start to develop but reverses before an actual trend is realized may result in unprofitable transactions. Grant Park’s past performance is not necessarily indicative of its future results.

Materiality, as used in this section, is based on an assessment of reasonably possible market movements and the potential losses caused by such movements, taking into account the leverage, and multiplier features of Grant Park’s market sensitive instruments.

The following quantitative and qualitative disclosures regarding Grant Park’s market risk exposures contain forward-looking statements within the meaning of the safe harbor from civil liability provided for such statements by the Private Securities Litigation Reform Act of 1995 (set forth in Section 27A of the Securities Act of 1933 and Section 21E of the Securities Exchange Act of 1934). All quantitative and qualitative disclosures in this section are deemed to be forward-looking statements, except for statements of historical fact and descriptions of how Grant Park manages its risk exposure. Grant Park’s primary market risk exposures, as well as the strategies used and to be used by its trading advisors for managing such exposures, are subject to numerous uncertainties, contingencies and risks, any one of which could cause the actual results of Grant Park’s risk controls to differ materially from the objectives of such strategies. Government interventions, defaults and expropriations, illiquid markets, the emergence of dominant fundamental factors, political upheavals, changes in historical price relationships, an influx of new market participants, increased regulation and many other factors could result in material losses as well as in material changes to the risk exposures and the risk management strategies of Grant Park. Grant Park’s current market exposure and/or risk management strategies may not be effective in either the short-or long-term and may change materially.

Quantitative Market Risk

Trading Risk

Grant Park’s approximate risk exposure in the various market sectors traded by its trading advisors is quantified below in terms of Value at Risk (VaR). Due to Grant Park’s mark-to-market accounting, any loss in the fair value of Grant Park’s open positions is directly reflected in Grant Park’s earnings, realized or unrealized.

Grant Park uses an Aggregate Returns Volatility method to calculate VaR for the portfolio. The method consists of creating a historical price time series for each instrument or its proxy instrument for the past 200 days, and then measuring the standard deviation of that return history. Then, using a normal distribution (a normal distribution curve has a mean of zero and a standard deviation of one), the standard deviation measurement is scaled up in order to achieve a result in line with the 95% degree of confidence, which corresponds to a scaling factor of approximately 1.645 times of standard deviations.

The VaR for each market sector represents the one day risk of loss for the aggregate exposures associated with that sector. The current methodology used to calculate VaR represents the VaR of Grant Park’s open positions across all market sectors and is less than the sum of the VaR of the individual market sectors due to the diversification benefit across all market sectors combined.

Grant Park’s VaR methodology and computation is based on the underlying risk of each contract or instrument in the portfolio and does not distinguish between exchange and non-exchange traded contracts. It is also not based on exchange maintenance margin requirements. VaR does not typically represent the worst case outcome.

VaR is a measure of the maximum amount that Grant Park could reasonably be expected to lose in a given market sector in a given day; however, VaR does not typically represent the worst case outcome. The inherent uncertainty of Grant Park’s speculative trading and the recurrence in the markets traded by Grant Park of market movements far exceeding expectations could result in actual trading or non-trading losses far beyond the indicated value at risk or Grant Park’s experience to date. This risk is often referred to as the risk of ruin. In light of the preceding information, as well as the risks and uncertainties intrinsic to all future projections, the inclusion of the quantification in this section should not be considered to constitute any assurance or representation that Grant Park’s losses in any market sector will be limited to VaR or by Grant Park’s attempts to manage its market risk. VaR models, including Grant Park’s, are continually evolving as trading portfolios become more diverse and modeling systems and techniques continue to evolve. Moreover, value at risk may be defined differently as used by other commodity pools or in other contexts.

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The composition of Grant Park’s trading portfolio, based on the nature of its business of speculative trading of futures, forwards and options, can change significantly, over any period of time, including a single day of trading. These changes can have a positive or negative material impact on the market risk as measured by VaR.

Value at Risk by Market Sectors

The following tables indicate the trading value at risk associated with Grant Park’s open positions by market category as of March 31, 2015 and December 31, 2014 and the trading gains/losses by market category for the three months ended March 31, 2015 and the year ended December 31, 2014. All open position trading risk exposures of Grant Park have been included in calculating the figures set forth below. As of March 31, 2015, Grant Park’s net asset value was approximately $294.9 million. As of December 31, 2014, Grant Park’s net asset value was approximately $298.5 million.

	March 31, 2015
Market Sector	Value at Risk*		Trading Gain/(Loss)

Stock indices	0.9	%	2.2	%
Interest rates	0.6		2.9
Currencies	0.4		1.8
Energy	0.2		0.0
Metals	0.2		(0.8	)
Agriculturals/softs/meats	0.1		(0.4	)

Aggregate/Total	1.1	%	5.7	%

	December 31, 2014
Market Sector	Value at Risk*		Trading Gain/(Loss)

Interest rates	0.5	%	11.0	%
Stock indices	0.4		(4.6	)
Currencies	0.3		4.3
Energy	0.2		3.6
Metals	0.1		(2.6	)
Agriculturals/softs/meats	0.1		3.7

Aggregate/Total	0.6	%	15.4	%

* The VaR for a market sector represents the one-day risk of loss for the aggregate exposure for that particular sector. The aggregate VaR represents the VaR of Grant Park’s open positions across all market sectors and is less than the sum of the VaR of the individual market sectors due to the diversification benefit across all market sectors combined.

Material Limitations of Value at Risk as an Assessment of Market Risk

Past market risk factors will not always result in an accurate prediction of future distributions and correlations of future market movements. Changes in the portfolio value caused by market movements may differ from those measured by the VaR model. The VaR model reflects past trading positions, while future risk depends on future trading positions. VaR using a one-day time horizon does not fully capture the market risk of positions that cannot be liquidated within one day. The historical market risk data for the VaR model may provide only limited insight into the losses that could be incurred under unusual market movements. The magnitude of Grant Park’s open positions creates a risk of ruin not typically found in most other investment vehicles. Because of the size of its positions, certain market conditions-unusual, but historically recurring from time to time-could cause Grant Park to incur severe losses over a short period of time. The value at risk table above, as well as the past performance of Grant Park, gives no indication of this risk of ruin.

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Non-Trading Risk

Grant Park has non-trading market risk on its foreign cash balances not needed for margin. However, these balances, as well as the market risk they represent, are immaterial. Grant Park also has non-trading market risk as a result of investing a portion of its available assets in U.S. Treasury bills. The market risk represented by these investments is also immaterial.

Qualitative Market Risk

Trading Risk

The following were the primary trading risk exposures of Grant Park as of March 31, 2015, by market sector.

Stock Indices

Grant Park’s primary equity exposure is due to equity price risk in the G-7 countries as well as other jurisdictions including Hong Kong, China, Taiwan, South Africa, India, Turkey, Singapore, South Korea, and Australia. The stock index futures contracts currently traded by Grant Park are generally futures on broadly based indices, although Grant Park also trades narrow-based stock index or single-stock futures contracts. As of March 31, 2015, Grant Park was predominantly long equities in the U.S., Eurozone, Japan, Taiwan, Hong Kong, Australia, U.K. China, Canada, Sweden, Singapore, India, South Africa, and short equities in Thailand and Turkey.

Interest Rates

Interest rate risk is a principal market exposure of Grant Park. Interest rate movements directly affect the price of the futures positions held by Grant Park and indirectly affect the value of its stock index and currency positions. Interest rate movements in one country as well as relative interest rate movements between countries materially impact Grant Park’s profitability. Grant Park’s primary interest rate exposure is due to interest rate fluctuations in the United States and the other G-7 countries. Grant Park also takes futures positions on the government debt of smaller nations, such as Australia, New Zealand, Singapore, and Mexico. The general partner anticipates that G-7 interest rates will remain the primary market exposure of Grant Park for the foreseeable future. As of March 31, 2015, Grant Park was long interest rate instruments in the U.S., Eurozone, U.K., Australia, Canada, Japan, Singapore, and New Zealand.

Currencies

Exchange rate risk is a significant market exposure of Grant Park. Grant Park’s currency exposure is due to exchange rate fluctuations, primarily fluctuations that disrupt the historical pricing relationships between different currencies and currency pairs. These fluctuations are influenced by interest rate changes as well as political and general economic conditions. Grant Park trades in a large number of currencies, including cross-rates, which are positions between two currencies other than the U.S. dollar. The general partner anticipates that the currency sector will remain one of the primary market exposures for Grant Park for the foreseeable future. As of March 31, 2015, Grant Park was long the U.S. dollar against the Australian dollar, British pound, Canadian dollar, euro, Japanese yen, and Swiss franc, and short the U.S. dollar against the New Zealand dollar and Mexican peso.

Energy

Grant Park’s primary energy market exposure is due to gas and oil price movements, often resulting from political developments in the Middle East, Nigeria, Russia, and South America. As of March 31, 2015, the energy market exposure of Grant Park was predominantly long Brent crude oil, natural gas, gasoline blendstock, gas oil, heating oil, crude oil, WTI Crude oil, kerosene, new crude oil, and Oman crude oil, and short Phelix Baseload quarterly and carbon emission futures. Energy prices can be volatile and substantial profits and losses have been and are expected to continue to be experienced in these markets.

Metals

Grant Park’s metals market exposure is due to fluctuations in the price of both precious metals, including gold and silver, as well as base metals including aluminum, lead, copper, tin, nickel, and zinc. As of March 31, 2015, in the precious metals sector Grant Park had long positions in silver, and short positions in platinum, gold, and palladium. In the base metals markets Grant Park had short positions in aluminum, copper, zinc, lead, nickel, and tin.

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Agriculturals/Softs/Meats

Grant Park’s primary commodities exposure is due to agricultural price movements, which are often directly affected by severe or unexpected weather conditions as well as other factors. As of March 31, 2015, in the grains markets, Grant Park had long positions in soybean meal, rapeseed, milling wheat, and white maize, and short positions in corn, wheat, soybean oil, crude palm oil, soybeans, oats, canola, and rough rice. In the livestock markets, Grant Park was long live cattle, feeder cattle and short lean hogs. Grant Park was long rubber, cocoa, and sunflower seeds, and short sugar, coffee, cotton, lumber, orange juice, and fluid milk.

Non-Trading Risk Exposure

The following were the only non-trading risk exposures of Grant Park as of March 31, 2015.

Foreign Currency Balances

Grant Park’s primary foreign currency balances are in Japanese yen, British pounds, euros and Australian dollars. The trading advisors regularly convert foreign currency balances to U.S. dollars in an attempt to control Grant Park’s non-trading risk.

Managing Risk Exposure

The general partner monitors and controls Grant Park’s risk exposure on a daily basis through financial, credit and risk management monitoring systems and, accordingly, believes that it has effective procedures for evaluating and limiting the credit and market risks to which Grant Park is subject.

The general partner monitors Grant Park’s performance and the concentration of its open positions and consults with the trading advisors concerning Grant Park’s overall risk profile. If the general partner felt it necessary to do so, the general partner could require the trading advisors to close out individual positions as well as enter positions traded on behalf of Grant Park. However, any intervention would be a highly unusual event. The general partner primarily relies on the trading advisors’ own risk control policies while maintaining a general supervisory overview of Grant Park’s market risk exposures. The trading advisors apply their own risk management policies to their trading. The trading advisors often follow diversification guidelines, margin limits and stop loss points to exit a position. The trading advisors’ research of risk management often suggests ongoing modifications to their trading programs.

As part of the general partner’s risk management, the general partner periodically meets with the trading advisors to discuss their risk management and to look for any material changes to the trading advisors’ portfolio balance and trading techniques. The trading advisors are required to notify the general partner of any material changes to their programs.

General

From time to time, certain regulatory or self-regulatory organizations have proposed increased margin requirements on futures contracts. Because Grant Park generally will use a small percentage of assets as margin, Grant Park does not believe that any increase in margin requirements, as proposed, will have a material effect on Grant Park’s operations.

Item 4. Controls and Procedures

As of the end of the period covered by this report, the general partner carried out an evaluation, under the supervision and with the participation of the general partner’s management including its principal executive officer and principal financial officer, of the effectiveness of the design and operation of Grant Park’s disclosure controls and procedures as contemplated by Rule 13a-15 of the Securities Exchange Act of 1934, as amended. Based on, and as of the date of that evaluation, the general partner’s principal executive officer and principal financial officer concluded that Grant Park’s disclosure controls and procedures are effective, in all material respects, in timely alerting them to material information relating to Grant Park required to be included in the reports required to be filed or submitted by Grant Park with the SEC under the Exchange Act.

There were no changes in Grant Park’s internal control over financial reporting during the quarter ended March 31, 2015 that have materially affected, or are reasonably likely to materially affect, Grant Park’s internal control over financial reporting.

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PART II- OTHER INFORMATION

Item 1A. Risk Factors

There have been no material changes to the risk factors relating to Grant Park from those previously disclosed in Grant Park’s Annual Report on Form 10-K for its fiscal year ended December 31, 2014, in response to Item 1A to Part 1 of Form 10-K.

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

(a) None.

(b) None.

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Issuer Purchases of Equity Securities

(c) The following table provides information regarding the total Class A, Class B, Legacy 1 Class, Legacy 2 Class, Global 1 Class, Global 2 Class and Global 3 Class units redeemed by Grant Park during the three months ended March 31, 2015.


Period	Total Number of Class A Units Redeemed	Weighted Average Price Paid per Unit		Total Number of Class B Units Redeemed	Weighted Average Price Paid per Unit		Total Number of Legacy 1 Class Units Redeemed	Weighted Average Price Paid per Unit		Total Number of Legacy 2 Class Units Redeemed	Weighted Average Price Paid per Unit		Total Number of Global 1 Class Units Redeemed	Weighted Average Price Paid per Unit		Total Number of Global 2 Class Units Redeemed	Weighted Average Price Paid per Unit		Total Number of Global 3 Class Units Redeemed	Weighted Average Price Paid per Unit		Total Number of Units Redeemed as Part of Publicly Announced Plans or Programs(1)	Maximum Number of Units that May Yet Be Redeemed Under the Plans/ Program(1)

01/01/2015 through 01/31/2015	0.00	$	1,282.80	1,338.08	$	1,067.64	0.00	$	962.40	0.00	$	946.90	370.32	$	940.45	26.67	$	925.29	7,245.85	$	835.43	8,980.92	(2	)
02/01/2015 through 02/28/2015	67.96	$	1,279.48	1,312.99	$	1,064.36	35.53	$	962.05	45.90	$	946.38	517.19	$	940.52	71.11	$	925.20	2,238.10	$	834.27	4,288.78	(2	)
03/01/2015 through 03/31/2015	22.65	$	1,284.06	1,750.22	$	1,067.64	11.56	$	967.08	0.00	$	951.15	311.59	$	945.83	12.05	$	930.24	6,863.14	$	837.74	8,971.21	(2	)
Total	90.61	$	1,280.62	4,401.29	$	1,066.66	47.09	$	963.28	45.90	$	946.38	1,199.10	$	941.88	109.83	$	925.77	16,347.09	$	836.24	22,240.91	(2	)

(1) As previously disclosed, pursuant to the Partnership Agreement, investors in Grant Park may redeem their units for an amount equal to the net asset value per unit at the close of business on the last business day of any calendar month if at least 10 days prior to the redemption date, or at an earlier date if required by the investor’s selling agent, the general partner receives a written request for redemption from the investor. Generally, redemptions are paid in the month subsequent to the month requested. The general partner may permit earlier redemptions in its discretion.

(2) Not determinable.

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Item 6. Exhibits

(a) Exhibits

31.1		Certification of Principal Executive Officer Pursuant to Rule 13a-14(a) under the Securities Exchange Act of 1934

31.2		Certification of Principal Financial Officer Pursuant to Rule 13a-14(a) under the Securities Exchange Act of 1934

32.1		Certification Pursuant to 18 U.S.C. Section 1350, As Adopted Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002

101.1		The following financial statements from the Partnership’s Quarterly Report on Form 10-Q for the quarter ended March 31, 2015 formatted in XBRL (eXtensible Business Reporting Language): (i) Consolidated Statements of Financial Condition; (ii) Consolidated Condensed Schedule of Investments; (iii) Consolidated Statements of Operations; (iv) Consolidated Statements of Changes in Partners’ Capital (Net Asset Value); and (v) Notes to Consolidated Financial Statements.

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SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934, the Registrant has duly caused this report to be signed on its behalf by the undersigned thereunto duly authorized.

	GRANT PARK FUTURES FUND
	LIMITED PARTNERSHIP


Date: May 15, 2015	by:	Dearborn Capital Management, L.L.C.
		its general partner

		By:	/s/ David M. Kavanagh
			David M. Kavanagh
			President
			(principal executive officer)

		By:	/s/ Maureen O’Rourke
			Maureen O’Rourke
			Chief Financial Officer
			(principal financial and accounting officer)

Percent of Partners’ Capital

Fair Value

(net asset value)

Total securities owned