Attached files
| file | filename |
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| 8-K - FORM 8-K - GRANT PARK FUTURES FUND LIMITED PARTNERSHIP | f8k_051016.htm |
EXHIBIT 99.1
Grant Park Fund Weekly Commentary
For the Week Ended May 6, 2016
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Current Month
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Rolling Performance
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Rolling Risk Metrics* (June 2011 – May 2016)
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||||||||||||
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Class
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Week ROR
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MTD
ROR |
YTD
ROR |
1 yr
Ann
ROR
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3 yr
Ann
ROR
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5 yr
Ann
ROR |
10 yr
Ann
ROR
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Annualized
ROR
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Annualized Standard Deviation
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Maximum
Drawdown |
Sharpe
Ratio |
Sortino Ratio
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A
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-1.23%
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-1.23%
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0.71%
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-9.39%
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-2.60%
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-5.06%
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-0.90%
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-5.06%
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9.87%
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-23.39%
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-0.48
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-0.67
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B**
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-1.24%
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-1.24%
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0.47%
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-9.94%
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-3.19%
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-5.64%
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-1.57%
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-5.64%
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9.87%
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-25.55%
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-0.54
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-0.74
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Legacy 1***
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-1.20%
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-1.20%
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1.44%
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-7.49%
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-0.63%
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-3.04%
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N/A
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-3.04%
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9.77%
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-18.25%
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-0.27
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-0.42
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Legacy 2***
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-1.20%
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-1.20%
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1.36%
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-7.71%
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-0.80%
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-3.29%
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N/A
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-3.29%
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9.79%
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-19.01%
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-0.29
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-0.45
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Global 1***
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-1.07%
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-1.07%
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2.05%
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-7.08%
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-0.12%
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-2.38%
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N/A
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-2.38%
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9.74%
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-16.43%
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-0.20
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-0.33
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Global 2***
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-1.08%
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-1.08%
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1.98%
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-7.26%
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-0.31%
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-2.60%
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N/A
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-2.60%
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9.76%
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-17.03%
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-0.22
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-0.36
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Global 3***
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-1.11%
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-1.11%
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1.40%
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-8.73%
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-1.89%
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-4.19%
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N/A
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-4.19%
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9.78%
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-20.96%
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-0.39
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-0.57
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S&P 500 Total Return Index****
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-0.33%
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-0.33%
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1.40%
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-0.41%
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10.28%
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11.19%
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7.18%
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11.19%
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12.17%
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-15.30%
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0.94
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1.55
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Barclays Capital U.S. Long Gov Index****
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0.85%
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0.85%
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8.45%
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8.03%
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7.06%
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8.48%
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8.14%
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8.48%
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11.43%
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-15.54%
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0.77
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1.38
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*
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Performance metrics are calculated using month-to-date performance estimates. All performance data is subject to verification.
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**
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Units began trading in August 2003.
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***
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Units began trading in April 2009.
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****
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Index is unmanaged & is not available for direct investment. Please see Indices Overview (below) for more information. Weekly RORs are calculated using data acquired through Bloomberg.
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Portfolio Positions by Sectors and Markets (Two largest positions within each sector)
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Portfolio for A, B and Legacy units
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Portfolio for Global units
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Sector
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Sector
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Market
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Sector
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Market
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Exposure
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Position
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Contract
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Exposure
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Position
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Exposure
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Position
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Contract
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Exposure
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Position
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COMMODITIES
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26%
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27%
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Energy
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5%
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Short
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Brent Crude Oil
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1.6%
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Long
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5%
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Short
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Brent Crude Oil
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1.7%
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Long
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Natural Gas
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1.6%
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Short
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Natural Gas
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1.6%
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Short
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Grains/Foods
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11%
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Long
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Soybeans
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3.0%
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Long
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11%
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Long
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Soybeans
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3.2%
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Long
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Soybean Meal
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1.3%
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Long
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Soybean Meal
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1.4%
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Long
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Metals
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10%
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Long
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Silver
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3.4%
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Long
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11%
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Long
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Silver
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3.6%
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Long
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Gold
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3.1%
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Long
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Gold
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3.3%
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Long
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FINANCIALS
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74%
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73%
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Currencies
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21%
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Short $
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Australian Dollar
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3.2%
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Long
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21%
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Short $
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Australian Dollar
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3.3%
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Long
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Euro
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2.9%
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Short
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Japanese Yen
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2.2%
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Long
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Equities
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28%
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Long
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S&P 500
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5.5%
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Long
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27%
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Long
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S&P 500
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6.1%
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Long
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Dax Index
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2.5%
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Long
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Nasdaq
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2.3%
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Long
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Fixed Income
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25%
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Long
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U.S. 10-Year Treasury Notes
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3.5%
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Long
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25%
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Long
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U.S. 10-Year Treasury Notes
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3.8%
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Long
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U.S. Treasury Bonds
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2.9%
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Long
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Bunds
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2.9%
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Long
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Market Commentary (Largest price movements within each sector)
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Sector/Market
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Energy
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Despite reports a mild winter caused higher-than-normal storage levels, natural gas prices rose 3%. Crude oil was down slightly as prices consolidated after the run-up in April. Price direction was muted due to conflicting information about Canada’s wildfire crisis and positive import metrics.
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Grains/Foods
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Dry weather allowed farmers to begin their typical production schedule early. Early planting increases the yields for the growing season and increases future supplies. Prices for corn, wheat, and oats fell on these reports. The cattle market gained over 5% on signs lower prices have driven consumer demand higher.
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Metals
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The strength of the U.S. dollar was the primary driver in the metals markets. Silver and platinum fell -2.5%. Gold and palladium were down -1.5% and -5.1%, respectively. Copper fell nearly 7% due to additional worries about China’s weakening economy.
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Currencies
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The U.S dollar moved higher for a second week. It was the sole currency that strengthened due to speculation about an interest rate increase in June. The largest decline was in the Mexican Peso, which fell -4.3%.
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Equities
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Stocks fell with the losses concentrated in the small-cap indices and international markets. Mixed economic data and slowing global growth have weakened investors' appetite for risk. The S&P 500 posted losses for a second straight week, the first time since early February.
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Fixed Income
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U.S. Treasury markets rose due to weakness in U.S. equities and falling currency prices. A potential increase in interest rates by the Federal Reserve during June remains at the forefront of investor minds. Although the job growth report was weak, the data on wage growth could influence the Federal Reserve to increase rates sooner rather than later.
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Performance Chart
Barclays Capital U.S. Long Government Index (formerly Lehman Brothers U.S. Government Index: Long Subset): A benchmark comprised of the Barclays Capital U.S. Treasury and U.S. Agency indices. The U.S. Long Government Index includes Treasuries (public obligations of the U.S. Treasury that have remaining maturities of more than ten years) and U.S. agency debentures (publicly issued debt of U.S. Government agencies, quasi-federal corporations, and corporate or foreign debt guaranteed by the U.S. Government). The U.S. Government Index is a component of the Barclays Capital U.S. Government Index.
Compounded Annualized Rate of Return (ROR): This is the geometric 12-month mean that assumes the same rate of return for each 12-month period to arrive at the equivalent compound growth rate reflected in the actual return data.
Standard and Poor’s 500 Total Return Index (S&P 500 Index): A weighted index of the 500 stocks in the S&P 500 Index, which are chosen by Standard and Poor’s based on industry representation, liquidity, and stability. The stocks in the S&P 500 Index are not the 500 largest companies; rather the index is designed to capture the returns of many different sectors of the U.S. economy. The total return calculation includes the price-plus-gross cash dividend return. Investors cannot directly invest in an index and unmanaged index returns do not reflect any fees, expenses or sales charges.
Risk Metrics Chart
Drawdown: A drawdown is any losing period during an investment’s performance history. It is defined as the percent retrenchment from an equity peak to an equity valley. Maximum drawdown is simply the largest percentage drawdown that has occurred during the specified time frame. Grant Park’s drawdowns are computed based on month-end equity values.
Sharpe Ratio: A return/risk measure defined as the average incremental return of an investment over the risk free rate.
Sortino Ratio: A ratio developed to differentiate between good and bad volatility. The calculation provides a risk-adjusted measure of performance without penalizing for upward price changes.
Standard Deviation: Measures the dispersal or uncertainty in a random variable (in this case, investment returns). It measures the degree of variation of returns around the mean, or average, return. The higher the volatility of the investment returns, the higher the standard deviation will be. For this reason, standard deviation is often used as a measure of investment risk.