GRANT PARK FUTURES FUND LIMITED PARTNERSHIP - 10-Q Quarterly Report

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: September 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		36-3596839
(State or other jurisdiction of incorporation or organization)		(I.R.S. Employer Identification No.)

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 ý No o

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 September 30, 2003

INDEX

PART I - FINANCIAL INFORMATION

	Item 1.	Financial Statements	1

		Statements of Financial Condition as of September 30, 2003 (unaudited) and December 31, 2002 (audited)	1

		Condensed Schedule of Investments as of September 30, 2003 (unaudited)	2

		Condensed Schedule of Investments as of December 31, 2002 (audited)	3

		Statements of Operations for the three months and nine months ended September 30, 2003 and 2002 (unaudited)	4

		Statements of Changes in Partners’ Capital (Net Asset Value) for the nine months ended September 30, 2003 and 2002	5

		Notes to Financial Statements (unaudited)	6

	Item 2.	Management’s Discussion and Analysis of Financial Condition and Results of Operations	9

	Item 3.	Quantitative and Qualitative Disclosures About Market Risk	15

	Item 4.	Controls and Procedures	20

PART II - OTHER INFORMATION			20

	Item 2.	Changes in Securities and Use of Proceeds	20

	Item 6.	Exhibits and Reports on Form 8-K	21

SIGNATURES			22

PART I - FINANCIAL INFORMATION

Item 1. Financial Statements

Grant Park Futures Fund Limited Partnership

Statements of Financial Condition

	September 30, 2003		December 31, 2002
	(Unaudited)
Assets

Equity in broker’s trading accounts:
U.S. Government securities, at market value	$	2,798,017	$	2,093,108
Cash	1,720,400		689,688
Unrealized gain (loss) on open contracts, net	1,738,274		941,073
Deposits with broker	6,256,691		3,723,869

Cash and cash equivalents	34,216,540		12,061,861
Interest receivable	994		6,060

Total assets	$	40,474,225	$	15,791,790

Liabilities and Partners’ Capital

Liabilities
Brokerage commission payable	$	180,269	$	—
Accrued management fees	—		131,277
Commissions payable	—		23,226
Accrued incentive fees	114,812		98,118
Other accrued expenses	50,685		58,377
Pending partner additions	10,750,422		656,033
Redemptions payable	—		218,800
Total liabilities	11,096,188		1,185,831

Partners’ Capital
General Partner (units outstanding September 30, 2003 - 606.46)	672,514		797,315
Limited Partners
Class A (units outstanding September 30, 2003 - 20,639.30)	22,887,248		13,808,644
Class B (units outstanding September 30, 2003 - 5,807.38)	5,818,275		—
Total partners’ capital	29,378,037		14,605,959

Total liabilities and partners’ capital	$	40,474,225	$	15,791,790

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

Grant Park Futures Fund Limited Partnership

Condensed Schedule of Investments

September 30, 2003

(Unaudited)

	Unrealized gain/(loss) on open long contracts			Percent of Partners’ Capital		Unrealized gain/(loss) on open short contracts			Percent of Partners’ Capital		Net Unrealized gain/(loss) on open contracts			Percent of Partners’ Capital
U.S. Futures Positions:
Currencies	$	715,603		2.4	%	$	(140,694	)	(0.5	)%	$	574,909		2.0	%
Energy	675				*	(34,504		)	(0.1	)	(33,829		)	(0.1	)
Grains
11/03 Soybeans	331,163			1.1		—				*	331,163			1.1
Grains – Other	418,455			1.4		30,075			0.1		448,530			1.5
Interest rates	184,384			0.6		(24,266		)	(0.1	)	160,118			0.5
Meats	(13,480		)		*	—				*	(13,480		)	*
Metals	45,405