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Table of Contents

 

 

 

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

 

FORM 10-Q

 

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

 

For the Quarterly Period Ended:  September 30, 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 SEPTEMBER 30, 2015

 

INDEX

 

PART I - FINANCIAL INFORMATION

 

 

 

 

 

Item 1.

Financial Statements

 

 

 

 

 

 

 

Consolidated Statements of Financial Condition as of September 30, 2015 (unaudited) and December 31, 2014 (audited)

1

 

 

 

 

 

 

Consolidated Condensed Schedule of Investments as of September 30, 2015 (unaudited)

2

 

 

 

 

 

 

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

4

 

 

 

 

 

 

Consolidated Statements of Operations for the three and nine months ended September 30, 2015 and 2014 (unaudited)

6

 

 

 

 

 

 

Consolidated Statements of Changes in Partners’ Capital (Net Asset Value) for the nine months ended September 30, 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

28

 

 

 

 

 

Item 3.

Quantitative and Qualitative Disclosures about Market Risk

39

 

 

 

 

 

Item 4.

Controls and Procedures

42

 

 

 

 

PART II - OTHER INFORMATION

 

 

 

 

 

Item 1A.

Risk Factors

43

 

 

 

 

 

Item 2.

Unregistered Sales of Equity Securities and Use of Proceeds

43

 

 

 

 

 

Item 6.

Exhibits

45

 

 

 

SIGNATURES

46

CERTIFICATIONS

 

 



Table of Contents

 

PART I - FINANCIAL INFORMATION

 

Item 1.  Financial Statements

 

Grant Park Futures Fund Limited Partnership

Consolidated Statements of Financial Condition

 

 

 

September 30,

 

December 31,

 

 

 

2015

 

2014

 

 

 

(Unaudited)

 

 

 

Assets

 

 

 

 

 

Equity in brokers’ trading accounts:

 

 

 

 

 

Securities owned, at fair value (cost $9,498,839 and $12,393,731, respectively)

 

$

9,500,412

 

$

12,395,634

 

Cash

 

18,483,321

 

15,838,709

 

Net unrealized gain (loss) on open futures contracts

 

7,293,331

 

11,549,467

 

Net unrealized gain (loss) on open forward currency contracts

 

(480,443

)

(181,222

)

Net unrealized gain (loss) on open swap contracts

 

411,108

 

 

Total equity in brokers’ trading accounts

 

35,207,729

 

39,602,588

 

Cash and cash equivalents

 

117,529,336

 

160,802,456

 

Securities owned, at fair value (cost $94,998,594 and $111,958,454, respectively)

 

95,207,295

 

112,187,759

 

Interest receivable, net

 

19,801

 

31,132

 

Total assets

 

$

247,964,161

 

$

312,623,935

 

Liabilities and Partners’ Capital (Net Asset Value)

 

 

 

 

 

Liabilities

 

 

 

 

 

Brokerage commission payable

 

$

1,316,489

 

$

1,679,754

 

Accrued incentive fees

 

4,438

 

5,188,240

 

Organization and offering costs payable

 

59,681

 

74,324

 

Accrued operating expenses

 

51,639

 

64,150

 

Pending limited partner additions

 

25,000

 

115,000

 

Redemptions payable to limited partners

 

5,042,029

 

6,973,279

 

Total liabilities

 

6,499,276

 

14,094,747

 

Partners’ Capital (Net Asset Value)

 

 

 

 

 

General Partner

 

 

 

 

 

Class A (307.34 units outstanding at both September 30, 2015 and December 31, 2014)

 

352,407

 

383,435

 

Legacy 1 Class (1,025.00 units outstanding at both September 30, 2015 and December 31, 2014)

 

895,565

 

958,529

 

Legacy 2 Class (263.13 units outstanding at both September 30, 2015 and December 31, 2014)

 

225,832

 

242,148

 

Global 1 Class (1,372.89 units outstanding at both September 30, 2015 and December 31, 2014)

 

1,172,002

 

1,253,774

 

Global 2 Class (1,329.58 units outstanding at both September 30, 2015 and December 31, 2014)

 

1,115,373

 

1,194,874

 

 

 

 

 

 

 

Limited Partners

 

 

 

 

 

Class A (11,558.77 and 12,125.34 units outstanding at September 30, 2015 and December 31, 2014, respectively)

 

13,253,489

 

15,127,238

 

Class B (141,177.44 and 155,869.84 units outstanding at September 30, 2015 and December 31, 2014, respectively)

 

134,147,698

 

161,924,013

 

Legacy 1 Class (1,352.38 and 1,802.74 units outstanding at September 30, 2015 and December 31, 2014, respectively)

 

1,181,602

 

1,685,836

 

Legacy 2 Class (515.52 and 724.42 units outstanding at September 30, 2015 and December 31, 2014, respectively)

 

442,441

 

666,651

 

Global 1 Class (23,764.06 and 9,206.57 units outstanding at September 30, 2015 and December 31, 2014, respectively)

 

20,286,731

 

8,407,766

 

Global 2 Class (4,566.43 and 5,196.84 units outstanding at September 30, 2015 and December 31, 2014, respectively)

 

3,830,738

 

4,670,326

 

Global 3 Class (86,218.24 and 125,561.73 units outstanding at September 30, 2015 and December 31, 2014, respectively)

 

64,561,007

 

102,014,598

 

Total partners’ capital (net asset value)

 

241,464,885

 

298,529,188

 

Total liabilities and partners’ capital (net asset value)

 

$

247,964,161

 

$

312,623,935

 

 

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

 

1



Table of Contents

 

Grant Park Futures Fund Limited Partnership

Consolidated Condensed Schedule of Investments

September 30, 2015

(Unaudited)

 

Futures, Forwards and Swap 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

 

$

(109,757

)

(0.05

)%

$

(234,139

)

(0.10

)%

$

(343,896

)

(0.15

)%

Currencies

 

$

(359,685

)

(0.15

)%

$

103,625

 

0.04

%

$

(256,060

)

(0.11

)%

Energy

 

$

(112,807

)

(0.05

)%

$

804,577

 

0.33

%

$

691,770

 

0.28

%

Interest rates

 

$

2,619,623

 

1.09

%

$

28,764

 

0.01

%

$

2,648,387

 

1.10

%

Meats

 

$

103,800

 

0.04

%

$

904,876

 

0.37

%

$

1,008,676

 

0.41

%

Metals

 

$

(53,245

)

(0.02

)%

$

67,513

 

0.03

%

$

14,268

 

0.01

%

Soft commodities

 

$

(60,212

)

(0.02

)%

$

220,439

 

0.09

%

$

160,227

 

0.07

%

Stock indices and single stock futures

 

$

(116,254

)

(0.05

)%

$

189,984

 

0.08

%

$

73,730

 

0.03

%

Total U.S. Futures Positions

 

$

1,911,463

 

 

 

$

2,085,639

 

 

 

$

3,997,102

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Foreign Futures Positions:

 

 

 

 

 

 

 

 

 

 

 

 

 

Agriculturals

 

$

9,362

 

0.00

%

$

1,866

 

0.00

%

$

11,228

 

0.00

%

Energy

 

$

1,455

 

0.00

%

$

344,969

 

0.14

%

$

346,424

 

0.14

%

Interest rates

 

$

2,665,184

 

1.10

%

$

(103,781

)

(0.04

)%

$

2,561,403

 

1.06

%

Metals

 

$

(854,057

)

(0.35

)%

$

1,261,679

 

0.52

%

$

407,622

 

0.17

%

Soft commodities

 

$

(8,230

)

0.00

%

$

19,794

 

0.01

%

$

11,564

 

0.01

%

Stock indices

 

$

(251,065

)

(0.10

)%

$

209,053

 

0.09

%

$

(42,012

)

(0.01

)%

Total Foreign Futures Positions

 

$

1,562,649

 

 

 

$

1,733,580

 

 

 

$

3,296,229

 

 

 

Total Futures Contracts

 

$

3,474,112

 

1.44

%

$

3,819,219

 

1.58

%

$

7,293,331

 

3.02

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Forward Contracts *

 

 

 

 

 

 

 

 

 

 

 

 

 

Currencies

 

$

(190,786

)

(0.08

)%

$

(289,657

)

(0.12

)%

$

(480,443

)

(0.20

)%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Swap Contracts

 

 

 

 

 

 

 

 

 

 

 

 

 

Total return Swap GP5 TRS Index

 

$

411,108

 

0.17

%

$

 

(0.00

)%

$

411,108

 

0.17

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Futures, Forward and Swap Contracts

 

$

3,694,434

 

1.53

%

$

3,529,562

 

1.46

%

$

7,223,996

 

2.99

%

 


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

 

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

 

2



Table of Contents

 

Grant Park Futures Fund Limited Partnership

Consolidated Condensed Schedule of Investments (continued)

September 30, 2015

(Unaudited)

 

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

 

 

 

 

 

 

 

 

 

Percent of Partners’ Capital

 

Face Value

 

Maturity Date

 

Description

 

Fair Value

 

(net asset value)

 

$

9,500,000

 

12/17/2015

 

U.S. Treasury Bills, 0.0% (cost of $9,498,839)

 

$

9,500,412

 

3.93

%

 

Securities owned

 

U.S. Government-sponsored enterprises

 

 

 

 

 

 

 

 

 

Percent of Partners’ Capital

 

Face Value

 

Maturity Dates

 

Description

 

Fair Value

 

(net asset value)

 

$

49,735,000

 

3/29/2018-8/24/2018

 

Federal Home Loan Banks, 1.1-1.4%

 

$

49,898,414

 

20.66

%

$

16,500,000

 

8/10/2018-9/28/2018

 

Federal Farm Credit Banks, 1.1-1.3%

 

16,510,443

 

6.84

%

$

2,500,000

 

12/22/2017

 

Federal Agricultural Mortgage Corp., 1.3%

 

2,509,213

 

1.04

%

 

 

Total U.S. Government-sponsored enterprises (cost of $68,735,470)

 

$

68,918,070

 

28.54

%

 

Commercial paper

 

 

 

 

 

 

 

 

 

Percent of Partners’ Capital

 

Face Value

 

Maturity Date

 

Description

 

Fair Value

 

(net asset value)

 

$

2,000,000

 

1/5/2016

 

Foreign Commercial paper, 0.5%

 

$

1,997,440

 

0.83

%

$

12,170,000

 

10/1/2015-1/11/2016

 

U.S. Commercial paper, 0.3-0.6%

 

12,160,986

 

5.04

%

 

 

Total commercial paper (cost of $14,151,147)***

 

$

14,158,426

 

5.87

%

 

Corporate Bonds

 

 

 

 

 

 

 

 

 

Percent of Partners’ Capital

 

Face Value

 

Maturity Dates

 

Description

 

Fair Value

 

(net asset value)

 

$

11,740,000

 

10/1/2015-2/16/2018

 

U.S. corporate bonds, 1.1-1.8% (cost of $12,111,977)***

 

$

12,130,799

 

5.02

%

 

 

 

 

 

 

 

 

 

Percent of Partners’ Capital

 

 

 

 

 

 

 

Fair Value

 

(net asset value)

 

Total securities owned

 

 

 

 

 

$

95,207,295

 

39.43

%

 


**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.

 

3



Table of Contents

 

Grant Park Futures Fund Limited Partnership

Consolidated Condensed Schedule of Investments

December 31, 2014

 

Futures and Forwards Contracts

 

 

 

Unrealized
gain/(loss) on
open long
contracts

 

Percent of
Partners’ Capital
(Net Asset Value)

 

Unrealized
gain/(loss) on
open short
contracts

 

Percent of
Partners’
Capital (Net
Asset Value)

 

Net unrealized
gain/(loss) on
open contracts

 

Percent of
Partners’
Capital (Net
Asset Value)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Futures Contracts *

 

 

 

 

 

 

 

 

 

 

 

 

 

U.S. Futures Positions:

 

 

 

 

 

 

 

 

 

 

 

 

 

Agriculturals

 

$

(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, forward, and options on futures and forward contract position constituted greater than 1 percent of partners’ capital (net asset value). Accordingly, the number of contracts and expiration dates are not presented.

 

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

 

4



Table of Contents

 

Grant Park Futures Fund Limited Partnership

Consolidated Condensed Schedule of Investments (continued)

December 31, 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

%

 

 

 

 

 

 

 

 

 

Percent of Partners’ Capital

 

 

 

 

 

 

 

Fair Value

 

(net asset value)

 

Total securities owned

 

 

 

$

112,187,759

 

37.58

%

 


**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.

 

5



Table of Contents

 

Grant Park Futures Fund Limited Partnership

Consolidated Statements of Operations

(Unaudited)

 

 

 

Three Months Ended

 

Nine Months Ended

 

 

 

September 30,

 

September 30,

 

 

 

2015

 

2014

 

2015

 

2014

 

 

 

 

 

 

 

 

 

 

 

Net trading gains (losses)

 

 

 

 

 

 

 

 

 

Net gain (loss) from futures trading

 

 

 

 

 

 

 

 

 

Realized

 

$

(4,068,248

)

$

24,289,534

 

$

22,467

 

$

33,347,892

 

Change in unrealized

 

6,729,583

 

354,244

 

(4,256,137

)

(13,907,614

)

Commissions

 

(938,521

)

(1,200,795

)

(3,116,775

)

(4,150,577

)

Net gains (losses) from futures trading

 

1,722,814

 

23,442,983

 

(7,350,445

)

15,289,701

 

 

 

 

 

 

 

 

 

 

 

Net gain (loss) from forward trading

 

 

 

 

 

 

 

 

 

Realized

 

$

(734,802

)

$

708,675

 

$

(1,812,839

)

$

(1,666,454

)

Change in unrealized

 

(796,665

)

(1,039,449

)

(299,220

)

(1,341,579

)

Net gains (losses) from forward trading

 

(1,531,467

)

(330,774

)

(2,112,059

)

(3,008,033

)

 

 

 

 

 

 

 

 

 

 

Net gain (loss) from swap trading

 

 

 

 

 

 

 

 

 

Change in unrealized

 

$

411,108

 

$

 

$

411,108

 

$

 

Net gains (losses) from swap trading

 

411,108

 

 

411,108

 

 

 

 

 

 

 

 

 

 

 

 

Net trading gains (losses)

 

$

602,455

 

$

23,112,209

 

$

(9,051,396

)

$

12,281,668

 

Net investment income (loss)

 

 

 

 

 

 

 

 

 

Income

 

 

 

 

 

 

 

 

 

Interest income

 

299,081

 

246,032

 

987,837

 

820,819

 

Expenses from operations

 

 

 

 

 

 

 

 

 

Brokerage charge

 

3,170,861

 

4,147,505

 

10,657,787

 

14,220,918

 

Incentive fees

 

4,438

 

2,078,920

 

2,560,842

 

2,914,359

 

Organizational and offering costs

 

182,058

 

232,297

 

602,272

 

803,252

 

Operating expenses

 

157,497

 

200,132

 

520,538

 

691,763

 

Total expenses

 

3,514,854

 

6,658,854

 

14,341,439

 

18,630,292

 

Net investment loss

 

$

(3,215,773

)

$

(6,412,822

)

$

(13,353,602

)

$

(17,809,473

)

Net income (loss)

 

$

(2,613,318

)

$

16,699,387

 

$

(22,404,998

)

$

(5,527,805

)

 

 

 

 

 

 

 

 

 

 

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

 

$

(11.64

)

$

62.18

 

$

(100.95

)

$

5.23

 

General Partner & Limited Partner Class B Units

 

$

(11.22

)

$

50.78

 

$

(88.63

)

$

0.32

 

General Partner & Limited Partner Legacy 1 Class Units

 

$

(3.86

)

$

49.96

 

$

(61.43

)

$

16.89

 

General Partner & Limited Partner Legacy 2 Class Units

 

$

(4.31

)

$

49.30

 

$

(62.01

)

$

15.80

 

General Partner & Limited Partner Global 1 Class Units

 

$

(4.57

)

$

48.78

 

$

(59.57

)

$

18.16

 

General Partner & Limited Partner Global 2 Class Units

 

$

(4.94

)

$

47.73

 

$

(59.80

)

$

16.57

 

General Partner & Limited Partner Global 3 Class Units

 

$

(7.67

)

$

40.76

 

$

(63.66

)

$

5.96

 

 

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

 

6



Table of Contents

 

Grant Park Futures Fund Limited Partnership

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

Nine Months Ended September 30, 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

 

 

 

Number

 

 

 

Number

 

 

 

Number

 

 

 

Number

 

 

 

Number

 

 

 

Number

 

 

 

Number

 

 

 

 

 

of Units

 

Amount

 

of Units

 

Amount

 

of Units

 

Amount

 

of Units

 

Amount

 

of Units

 

Amount

 

of Units

 

Amount

 

of Units

 

Amount

 

of Units

 

Amount

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

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

 

 

 

(566.57

)

(672,171

)

 

 

(14,692.40

)

(14,653,792

)

 

 

(450.36

)

(403,028

)

 

 

(208.90

)

(187,697

)

Net income (loss)

 

 

(31,028

)

 

(1,201,578

)

 

 

 

(13,122,523

)

 

(62,964

)

 

(101,206

)

 

(16,316

)

 

(36,513

)

Partners’ capital, (net asset value) September 30, 2015

 

307.34

 

$

352,407

 

11,558.77

 

$

13,253,489

 

 

$

 

141,177.44

 

$

134,147,698

 

1,025.00

 

$

895,565

 

1,352.38

 

$

1,181,602

 

263.13

 

$

225,832

 

515.52

 

$

442,441

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

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 September 30, 2015

 

 

 

$

1,146.62

 

 

 

 

 

 

 

$

950.21

 

 

 

 

 

 

 

$

873.72

 

 

 

 

 

 

 

$

858.25

 

 

 

 

 

 

 

 

Global 1 Class

 

Global 2 Class

 

Global 3 Class

 

 

 

 

 

General Partner

 

Limited Partners

 

General Partner

 

Limited Partners

 

General Partner

 

Limited Partners

 

 

 

 

 

Number

 

 

 

Number

 

 

 

Number

 

 

 

Number

 

 

 

Number

 

 

 

Number

 

 

 

Total

 

 

 

of Units

 

Amount

 

of Units

 

Amount

 

of Units

 

Amount

 

of Units

 

Amount

 

of Units

 

Amount

 

of Units

 

Amount

 

Amount

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

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

 

 

 

18,923.49

 

17,198,219

 

 

 

 

 

 

 

1,989.95

 

1,624,956

 

18,823,175

 

Redemptions

 

 

 

(4,366.00

)

(3,892,787

)

 

 

(630.41

)

(550,241

)

 

 

(41,333.44

)

(33,122,764

)

(53,482,480

)

Net income (loss)

 

 

(81,772

)

 

(1,426,467

)

 

(79,501

)

 

(289,347

)

 

 

 

(5,955,783

)

(22,404,998

)

Partners’ capital, (net asset value) September 30, 2015

 

1,372.89

 

$

1,172,002

 

23,764.06

 

$

20,286,731

 

1,329.58

 

$

1,115,373

 

4,566.43

 

$

3,830,738

 

 

$

 

86,218.24

 

$

64,561,007

 

$

241,464,885

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net asset value per unit at December 31, 2014

 

 

 

$

913.24

 

 

 

 

 

 

 

$

898.69

 

 

 

 

 

 

 

$

812.47

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net asset value per unit at September 30, 2015

 

 

 

$

853.67

 

 

 

 

 

 

 

$

838.89

 

 

 

 

 

 

 

$

748.81

 

 

 

 

 

 

 

 

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

 

7



Table of Contents

 

Grant Park Futures Fund Limited Partnership

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

Nine Months Ended September 30, 2014

 

 

 

Class A

 

Class B

 

Legacy 1 Class

 

Legacy 2 Class

 

 

 

General Partner

 

Limited Partners

 

General Partner

 

Limited Partners

 

General Partner

 

Limited Partners

 

General Partner

 

Limited Partners

 

 

 

Number

 

 

 

Number

 

 

 

Number

 

 

 

Number

 

 

 

Number

 

 

 

Number

 

 

 

Number

 

 

 

Number

 

 

 

 

 

of Units

 

Amount

 

of Units

 

Amount

 

of Units

 

Amount

 

of Units

 

Amount

 

of Units

 

Amount

 

of Units

 

Amount

 

of Units

 

Amount

 

of Units

 

Amount

 

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

 

763.99

 

$

893,603

 

17,492.46

 

$

20,460,216

 

 

$

 

222,772.45

 

$

218,187,750

 

1,025.00

 

$

882,283

 

3,313.23

 

$

2,851,909

 

1,000.00

 

$

847,762

 

5,130.96

 

$

4,349,828

 

Contributions

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

8.26

 

7,000

 

Redemptions

 

(456.65

)

(500,000

)

(5,094.95

)

(5,683,395

)

 

 

(60,681.88

)

(56,461,396

)

 

 

(1,344.90

)

(1,120,711

)

(736.87

)

(600,000

)

(4,220.40

)

(3,434,539

)

Net income (loss)

 

 

(32,507

)

 

(211,121

)

 

 

 

(2,919,741

)

 

17,306

 

 

(3,696

)

 

(20,532

)

 

(128,832

)

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

 

307.34

 

$

361,096

 

12,397.51

 

$

14,565,700

 

 

$

 

162,090.57

 

$

158,806,613

 

1,025.00

 

$

899,589

 

1,968.33

 

$

1,727,502

 

263.13

 

$

227,230

 

918.82

 

$

793,457

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net asset value per unit at December 31, 2013

 

 

 

$

1,169.66

 

 

 

 

 

 

 

$

979.42

 

 

 

 

 

 

 

$

860.76

 

 

 

 

 

 

 

$

847.76

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net asset value per unit at September 30, 2014

 

 

 

$

1,174.89

 

 

 

 

 

 

 

$

979.74

 

 

 

 

 

 

 

$

877.65

 

 

 

 

 

 

 

$

863.56

 

 

 

 

 

 

 

 

Global 1 Class

 

Global 2 Class

 

Global 3 Class

 

 

 

 

 

General Partner

 

Limited Partners

 

General Partner

 

Limited Partners

 

General Partner

 

Limited Partners

 

 

 

 

 

Number

 

 

 

Number

 

 

 

Number

 

 

 

Number

 

 

 

Number

 

 

 

Number

 

 

 

Total

 

 

 

of Units

 

Amount

 

of Units

 

Amount

 

of Units

 

Amount

 

of Units

 

Amount

 

of Units

 

Amount

 

of Units

 

Amount

 

Amount

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

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

 

1,372.89

 

$

1,146,701

 

9,938.76

 

$

8,301,280

 

1,974.70

 

$

1,626,069

 

17,903.21

 

$

14,742,440

 

 

$

 

228,934.56

 

$

173,082,168

 

$

447,372,009

 

Contributions

 

 

 

297.39

 

243,016

 

 

 

57.38

 

45,500

 

 

 

3,490.12

 

2,517,200

 

2,812,716

 

Redemptions

 

 

 

(4,942.16

)

(3,918,583

)

(645.12

)

(500,000

)

(12,351.18

)

(9,762,801

)

 

 

(78,825.10

)

(56,734,664

)

(138,716,089

)

Net income (loss)

 

 

24,922

 

 

(107,836

)

 

(9,198

)

 

(313,127

)

 

 

 

(1,823,443

)

(5,527,805

)

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

 

1,372.89

 

$

1,171,623

 

5,293.99

 

$

4,517,877

 

1,329.58

 

$

1,116,871

 

5,609.41

 

$

4,712,012