UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM 10-Q
ý QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF
THE SECURITIES EXCHANGE ACT OF 1934
For the Quarterly Period Ended: June 30, 2003
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 |
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36-3596839 |
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(State or other jurisdiction
of |
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(I.R.S. Employer |
c/o Dearborn Capital Management, L.L.C.
550 West Jackson Boulevard, Suite 1300
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 o No ý
Indicate by check mark whether the Registrant is an accelerated filer (as defined in Rule 12b-2 of the Securities Exchange Act of 1934). Yes o No ý
GRANT PARK FUTURES FUND LIMITED PARTNERSHIP
QUARTER ENDED JUNE 30, 2003
INDEX
PART I - FINANCIAL INFORMATION
Item 1. Financial Statements
Grant Park Futures Fund Limited Partnership
Statements of Financial Condition
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June 30, |
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December 31, |
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(Unaudited) |
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Assets |
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Equity in broker’s trading accounts: |
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U.S. Government securities, at market value |
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$ |
2,094,307 |
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$ |
2,093,108 |
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Cash |
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1,772,340 |
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689,688 |
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Unrealized gain (loss) on open contracts, net |
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(205,660 |
) |
941,073 |
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Deposits with broker |
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3,660,987 |
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3,723,869 |
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Cash and cash equivalents |
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17,268,673 |
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12,061,861 |
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Interest receivable |
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2,403 |
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6,060 |
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Total assets |
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$ |
20,932,063 |
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$ |
15,791,790 |
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Liabilities and Partners’ Capital |
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Liabilities |
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Accrued management fees |
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$ |
195,542 |
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$ |
131,277 |
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Commissions payable |
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18,812 |
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23,226 |
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Accrued incentive fees |
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261,976 |
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98,118 |
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Other accrued expenses |
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54,431 |
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58,377 |
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Pending partner additions |
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— |
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656,033 |
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Redemptions payable |
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38,122 |
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218,800 |
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Total liabilities |
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568,883 |
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1,185,831 |
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Partners’ Capital |
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General Partner (units outstanding June 30, 2003 - 606.46) |
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673,663 |
|
797,315 |
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Limited Partners |
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Class A (units outstanding June 30, 2003 - 17,725.36) |
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19,689,517 |
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13,808,644 |
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Class B (units outstanding June 30, 2003 - none) |
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— |
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— |
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Total partners’ capital |
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20,363,180 |
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14,605,959 |
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Total liabilities and partners’ capital |
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$ |
20,932,063 |
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$ |
15,791,790 |
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The accompanying notes are an integral part of these financial statements.
Grant Park Futures Fund Limited Partnership
Condensed Schedule of Investments
June 30, 2003
(Unaudited)
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|
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Unrealized |
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Percent of |
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Unrealized |
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Percent of |
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Net |
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Percent of |
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U.S. Futures Positions: |
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Currencies |
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$ |
59,706 |
|
0.3 |
% |
$ |
3,949 |
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*% |
$ |
63,655 |
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0.3 |
% |
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Energy |
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7,912 |
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* |
(8,004 |
) |
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* |
(92 |
) |
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* |
|||
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Grains |
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(40,878 |
) |
(0.2 |
) |
8,687 |
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* |
(32,191 |
) |
(0.2 |
) |
|||
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Interest rates |
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(16,014 |
) |
(0.1 |
) |
1,794 |
|
|
* |
(14,220 |
) |
(0.1 |
) |
|||
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Meats |
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(10,660 |
) |
(0.1 |
) |
— |
|
|
* |
(10,660 |
) |
(0.1 |
) |
|||
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Metals |
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(1,550 |
) |
|
* |
14,310 |
|
0.1 |
|
12,760 |
|
0.1 |
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Soft Commodities |
|
— |
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|
* |
(4,598 |
) |
|
* |
(4,598 |
) |
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* |
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Stock Indexes |
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(51,825 |
) |
(0.3 |
) |
— |
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|
* |
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